[CHASE LOGO]
ANNUAL REPORT
AUGUST 31, 2000
VISTA CAPITAL ADVANTAGE(SM)
MUTUAL FUND VARIABLE ANNUITY TRUST
Vista Fund Distributors, Inc., distributor
This report must be accompanied or preceeded by a current prospectus for
Vista Capital Advantage
<PAGE>
[VISTA
CAPITAL ADVANTAGE
MANAGED BY CHASE MANHATTAN LOGO]
October 2, 2000
Dear Vista Capital Advantage Contract Owner:
Enclosed is the August 31, 2000 Annual Report of the Mutual Fund Variable
Annuity Trust, whose portfolios serve as the underlying investments for the
Vista Capital Advantage variable annuity.
The tables below show the one year, five years (if applicable) and since
inception results, after the deduction of all insurance and withdrawal fees, of
the accounts in the Vista Capital Advantage at August 31, 2000. The insurance
fees include mortality and expense risk charges, surrender charges and the
annual contract administration charge. The surrender charges reflect the sales
charges that would have been assessed against the contract value had the
contract been surrendered.1
The first chart applies to all Vista Capital Advantage investors outside of New
York state, whose policy is issued by Anchor National Life Insurance Company.
The second chart applies to Vista Capital Advantage investors within New York
state, whose policy is issued by First SunAmerica Life Insurance Company.
Anchor National Life Insurance Company Policy Holders
Average Annual Total Return as of 8/31/002
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------
1 5 Since
Portfolio (Contract Inception Date) Year Year Inception
-----------------------------------------------------------------------------
<S> <C> <C> <C>
Growth and Income (3/13/95) 2.79% 12.72% 14.45%
Capital Growth (3/13/95) 20.24% 14.22% 16.56%
International Equity (3/13/95) 12.86% 8.22% 9.34%
Asset Allocation (3/13/95) 1.71% 8.55% 9.73%
U.S. Government Income (7/13/95) 0.24% 3.40% 3.32%
Money Market (6/2/95) -2.06% 2.89% 3.05%
7-day yield as of 8/31/00; 4.45%
-----------------------------------------------------------------------------
</TABLE>
First SunAmerica Life Insurance Company Policy Holders (New York)
Average Annual Total Return as of 8/31/002
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------
1 Since
Portfolio (Contract Inception Date) Year Inception
-----------------------------------------------------------------------------
<S> <C> <C>
Growth and Income (12/6/95) 2.79% 12.26%
Capital Growth (12/6/95) 20.20% 14.22%
International Equity (12/22/95) 12.81% 8.53%
Asset Allocation (12/22/95) 1.70% 8.26%
U.S. Government Income (12/22/95) 0.25% 2.91%
Money Market (12/22/95) -1.98% 2.99%
7-day yield as of 8/31/00; 4.53%
-----------------------------------------------------------------------------
</TABLE>
Your Vista Capital Advantage variable annuity represents a unique combination
of professional money management and tax advantages. It is designed to help
contribute to your plans for a financially secure future. If you have any
questions, please call your investment representative or 1-800-90-VISTA.
Sincerely,
/s/ Fergus Reid
---------------
Fergus Reid
Chairman
-------------
(1) The Surrender Charge schedule for each year in states other than NY is as
follows: 6%, 6%, 5%, 4%, 3%, 2%, 0%. In NY the Surrender Charge schedule for
each year is: 6%, 6%, 5%, 4%, 3%, 2%, 1%, 0%. A 10% Federal tax penalty may
apply to withdrawals before age 591/2.
(2) Past performance is no guarantee of future results. An investor's return and
principal value will fluctuate. An investor's units, when redeemed, may be
worth more or less than their original investment. This material is
authorized for public distribution only when accompanied or preceded by a
prospectus for Vista Capital Advantage.
(3) Fund shares are not insured or guaranteed by the FDIC or any other
government agency. There can be no guarantee that the Fund will maintain a
stable net asset value of $1.00.
<PAGE>
The Vista Capital Advantage (VCA) is distributed by Vista Fund Distributors,
Inc., which is unaffiliated with The Chase Manhattan Bank, Anchor National Life
Insurance Company or First SunAmerica Life Insurance Company. Chase Manhattan
is the portfolio advisor, administrator and custodian of the underlying
investment options of the variable annuity. VCA is issued by Anchor National
Life Insurance Company and in New York by First SunAmerica Life Insurance
Company.
--------------------------------------------------------------------------------
Investments in Vista Capital Advantage are not deposits, or guaranteed or
endorsed by, Chase, and are not insured by the FDIC, Federal Reserve Board or
any other government agency. Investments in Vista Capital Advantage, including
the underlying variable investment options, involve risk, including the
possible loss of principal.
--------------------------------------------------------------------------------
The views expressed on this page are exclusively those of Chase Manhattan. The
financial information presented on this page has been taken from the books and
records of the portfolios without examination by independent accountants, who
express no opinion thereto.
<PAGE>
<TABLE>
<S> <C>
Table of Contents
4 Letter from the Chairman
Performance & Commentary
5 Growth and Income
6 Capital Growth
7 International Equity
8 Asset Allocation
9 U.S. Government Income
10 Money Market
Portfolio of Investments
11 Growth and Income
13 Capital Growth
15 International Equity
18 Asset Allocation
21 U.S. Government Income
21 Money Market
Mutual Fund Variable Annuity Trust
23 Statement of Assets & Liabilities
24 Statement of Operations
25 Statement of Changes in Net Assets
26 Financial Highlights
28 Notes to Financial Statements
</TABLE>
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INVESTMENTS IN VISTA CAPITAL ADVANTAGE ARE NOT DEPOSITS OF, OR GUARANTEED OR
ENDORSED BY, THE CHASE MANHATTAN BANK, AND ARE NOT INSURED BY THE FDIC,
FEDERAL RESERVE BOARD OR ANY OTHER GOVERNMENT AGENCY. INVESTMENTS IN VISTA
CAPITAL ADVANTAGE, INCLUDING THE UNDERLYING VARIABLE INVESTMENT OPTIONS,
INVOLVE RISK, INCLUDING POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED.
--------------------------------------------------------------------------------
<PAGE>
page 4 Letter from the Chairman
October 2, 2000
Dear Vista Capital Advantage Investor:
We are pleased to present this annual report on the six portfolios underlying
the Vista Capital Advantage Variable Annuity for the year ended August 31,
2000. This report summarizes each portfolio's performance in light of events in
the financial markets and the economy.
Seven Month Period of Extreme Divergence Favors "New Economy" Sectors
For the first half of the reporting period and into March 2000, the story in
world equity markets was the growing divergence in performance between stocks
in the telecommunications, technology and Internet-related sectors and those of
traditional "old economy" companies. Like all divergences, this one began on a
logical foundation, one that saw the global economy as being in the midst of a
period of profound change that would disproportionately benefit companies tied
to the technology and communications revolution.
After reaching its high on March 10, 2000, the technology-laden Nasdaq fell
sharply in April. In a nerve-wracking month for investors, there were several
days when heavy selling sent the Nasdaq down dramatically and investors braced
themselves for the worst. The best that can be said is that the worst-case
scenarios did not materialize, despite the fact that the Nasdaq was down more
than one-third from its 2000 high on April 17. It should be noted that,
following the spring volatility, world equity markets remained highly
correlated to the Nasdaq.
Focus on the U.S. Economy Grows as Fed Works to Create Soft Landing
After the extreme volatility of April and May, global equity markets recovered
some of their losses in June amid a general feeling that many of the previous
excesses had been worked out. With more reasonable valuations to work with--and
signs that the U.S. economy may be headed for another soft landing--investors
began to feel a bit more comfortable looking ahead. After a bumpy July, markets
again rallied in August as evidence mounted that a "soft landing" had been
achieved through the Federal Reserve Board's six rate hikes, with technology
stocks at least temporarily re-assuming their position of leadership.
Among other major events in world financial markets was the U.S. Treasury's
February announcement and subsequent implementation of a plan to use the
proceeds of the U.S. budget surplus to buy back long-term Treasury bonds. This
created significant dislocation in fixed-income markets in the U.S. and, to a
lesser degree, globally as investors scrambled to buy longer-dated Treasuries
and caused the U.S. yield curve to invert.
In foreign exchange markets, investors and central bankers alike were focused
on the continuing weakness of the Euro, which had fallen to an all-time low of
88.37 cents to the U.S. Dollar at the end of August, down from a value of $1.18
when it was introduced on January 1, 1999. As the period ended, there were
concerns of the effect the weaker Euro would have on earnings of U.S.
corporations who do business in Europe and, therefore, must convert their
earnings back to more expensive dollars.
It was against this volatile backdrop that your portfolio management team once
again delivered positive returns. On behalf of them and everyone at Chase, we
thank you for your continued investment and look forward to serving your
investment needs for many years to come.
Sincerely,
/s/ Fergus Reid
---------------
Fergus Reid
Chairman
<PAGE>
Growth and Income Portfolio page 5
(unaudited)
The Growth and Income Portfolio seeks to provide long-term capital appreciation
and dividend income primarily through diversified holdings of common stocks.
Performance
The Growth and Income Portfolio had a total return of 10.44% for the year ended
August 31, 2000. This compares to the 16.31% return from the S&P 500 Index.
Strategy
The Portfolio employs a large-cap value strategy that seeks to outperform its
benchmark through outstanding stock selection. In the first half of the
reporting year, the Portfolio suffered a bit as its value orientation lagged in
a market that seemed to place no limit on the valuation of growth stocks.
However, within the technology sector, holdings did quite well. Of specific
benefit were the Portfolio's positions in semiconductor companies that
benefited from the demand for chips created by the combination of rapid growth
in the Internet, mobile communications and new consumer electronics products,
such as digital cameras.
After starting the reporting year slowly, the Portfolio's financial and
pharmaceutical stocks picked up nicely after the Nasdaq peaked on March 10,
2000. Overall, the Portfolio's value orientation came into favor after the
slide in technology and communications services stocks accelerated in March and
April. Among the larger holdings having a positive impact on returns in the
latter part of the reporting year were pharmaceutical companies Pharmacia
Corp., Pfizer, Abbott Laboratories and American Home Products. In other
value-oriented sectors that performed well, such as utilities and energy, the
Portfolio was well represented and had excellent stock selection.
Outlook
The U.S. stock market appears to have regained its focus on fundamental issues
after a prolonged period of favoring high-growth technology and related stocks
at the expense of virtually every other sector. With the market unsure as to
the extent of the economic slowdown, the coming corporate earnings season will
be an important driver of performance through the end of 2000. And, moving into
the U.S. corporate earnings season, our view is that results will show
larger-than-normal divergences within sectors and industries, leading us to
believe that we're in a stock-pickers market with plenty of opportunity for
outperformance. In our view, the policy of searching out growth at a reasonable
price is likely to continue to provide a firm foundation for the Portfolio in
the months ahead.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Growth and Income Portfolio at NAV
(Net Asset Value) would have grown to $22,893 from inception on 3/1/95 through
8/31/00.*
Investment Results
--------------------------------------------------------------------------------
Average Annual Return as of 8/31/00
<TABLE>
<S> <C>
1 year 10.44%
5 year 14.80%
Since Inception (3/1/95) 16.25%
--------------------------------------------------------------------------------
</TABLE>
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Growth and
Income Portfolio S&P 500
<S> <C>
10000 10000
11480 11678.6
13344 13861.9
18084.9 19491.5
17098.7 21071.9
20728.4 29457.4
22893 34262
</TABLE>
[END PLOT POINTS]
Source for Index returns: Lipper Analytical Services, Inc.
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not
include any insurance company charges associated with a variable annuity or
reflect any withdrawal charges. No expenses are deducted from the performance
of the indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95, shows
changes in Net Asset Value and reinvestment of all distributions, but does not
include the effect of any insurance charges or the annual maintenance fee. The
illustration above would be reduced if these fees were reflected. There is no
direct correlation between a hypothetical investment and the anticipated
performance of the Portfolio. The investment adviser is currently waiving
certain fees. This voluntary waiver may be modified or terminated at any time,
which would reduce performance.
The Standard & Poor's 500 Index is an unmanaged broad-based index that
replicates the U.S. stock market. It includes 500 widely held common stocks and
assumes reinvestment of dividends. An individual cannot invest in an index.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
<PAGE>
page 6 Capital Growth Portfolio
(unaudited)
The Capital Growth Portfolio seeks to provide long-term capital growth
primarily through diversified holdings of common stocks.
Performance
The Capital Growth Portfolio had a total return of 27.92% for the year ended
August 31, 2000. This compares to the 25.03% return for the Russell 2000 Index.
Strategy
The Portfolio's excellent performance during the reporting year was the result
of outstanding stock selection and a shift in investor sentiment towards
mid-cap stocks. During the first half of the reporting year, the Portfolio did
particularly well with its holdings in technology and other sectors that
outperformed the broader market. Performance was also boosted during this
portion of the reporting year by management's decision to reduce exposure to
value-oriented sectors, most notably among basic materials and capital goods.
As a mid-cap portfolio that's a blend of growth and value styles, the Portfolio
has benefited from the fact that mid-caps have outperformed both large and
small caps to date in 2000 (through August 31). Early in 2000, semiconductor
companies were key to performance as the combination of rapid growth in the
Internet, mobile communications and new consumer electronics products drove
demand for chips.
The Portfolio's energy holdings also performed well as investors refocused on
the sector in light of attractive valuations and higher energy prices. Energy
exploration and production stocks have risen with oil and gas prices, and a
tight balance between supply and demand indicates that the sector may have more
room to run.
Outlook
The U.S. stock market appears to have regained its focus on fundamental issues
after a prolonged period of favoring high-growth technology and related stocks
at the expense of virtually every other sector. With the market unsure as to
the extent of the economic slowdown, the coming corporate earnings season will
be an important driver of performance through the end of 2000. And, moving into
the U.S. corporate earnings season, our view is that results will show
larger-than-normal divergences within sectors and industries, leading us to
believe that we're in a stock-pickers market with plenty of opportunity for
outperformance.
Although mid-caps have outperformed in 2000, there are plenty of stocks with
attractive valuations. Following the addition of a number of technology stocks
to the large-cap S&P 500 Index, the S&P MidCap 400 has seen a marked reduction
in volatility, and this should serve investors well in an uncertain market.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Capital Growth Portfolio at NAV (Net
Asset Value) would have grown to $25,316 from inception on 3/1/95 through
8/31/00.*
Investment Results
--------------------------------------------------------------------------------
Average Annual Return as of 8/31/00
<TABLE>
<S> <C>
1 year 27.92%
5 year 16.30%
Since Inception (3/1/95) 18.39%
--------------------------------------------------------------------------------
</TABLE>
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Capital Growth
Portfolio Russell 2000
<S> <C>
10000 10000
11900 12010
14240.1 13316.2
18123.4 17173.1
15154 13839.8
19789.6 17766.4
25316 22213
</TABLE>
[END PLOT POINTS]
Source for Index Returns: Lipper Analytical Services, Inc.
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not
include any insurance company charges associated with a variable annuity or
reflect any withdrawal charges. No expenses are deducted from the performance
of the indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95, shows
changes in Net Asset Value and reinvestment of all distributions, but does not
include the effect of any insurance charges or the annual maintenance fee. The
illustration above would be reduced if these fees were reflected. There is no
direct correlation between a hypothetical investment and the anticipated
performance of the Portfolio. The investment adviser is currently waiving
certain fees. This voluntary waiver may be modified or terminated at any time,
which would reduce performance.
The Russell 2000 Index is unmanaged and tracks the shares of 2000 small-
capitalization companies. Figures include the reinvestment of dividends. An
individual cannot invest in an index.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
<PAGE>
International Equity Portfolio page 7
(unaudited)
The International Equity Portfolio seeks to provide a total return on assets
from long-term growth of capital and from income principally through
diversified holdings of the stocks of established foreign companies outside the
United States.
Performance
The International Equity Portfolio had a total return of 20.58% in the year
ended August 31, 2000. This compares to the 9.83% return from the MSCI EAFE
Index.
Strategy
In the first half of the reporting year, the management team took an overweight
position in the technology, media and telecommunications (TMT) sectors. This
proved to be highly beneficial to performance, as these sectors were winners
all across the world. Within Europe, the Fund's outstanding stock selection
included a combination of well-known industry leaders, as well as many smaller,
lesser-known "new economy" names.
As valuations became extreme in some of its favored holdings, the management
team chose to pare back a bit, reducing its TMT overweight and shifting some
assets from the Pacific Rim to Latin America. Additionally, the Fund's slight
emphasis on Europe was reduced, leading to a neutral regional and sector
weighting in the second half of the reporting year.
Outlook
Looking ahead, uncertainty continues to cloud the short-term outlook in Europe.
We expect further rate rises throughout the year in order to counter the threat
of inflation, but are concerned about the growing signs of peaking economic
performance. Longer term, our outlook for European equities is better, due to
ongoing corporate and economic restructuring. In the United Kingdom, the
outlook for the stock market is sound, as interest rates appear close to a peak
in spite of the fact that the domestic economy is quite healthy. In our view,
U.K. valuations remain attractive both on an absolute basis and relative to
those in other regions.
In Japan, we are greatly encouraged by the recent wave of upward earnings
revisions and look forward to a firm first-half results season. However, the
flow of funds equation remains complex, with accelerated sales of cross-
shareholdings being the major negative factor. Additionally, the market remains
sensitive to global issues such as Nasdaq performance and the rising price of
oil.
In Southeast Asia, our view is that the larger markets in the region all have
positive themes to support them over the coming months. In Latin America,
Brazil and Mexico enjoy improving macroeconomic fundamentals, including low
inflation and better government finances. With uncertainty over U.S. interest
rates having eased, the attractiveness of these two largest markets has risen.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the International Equity Portfolio at NAV
(Net Asset Value) would have grown to $17,758 from inception on 3/1/95 through
8/31/00.*
Investment Results
--------------------------------------------------------------------------------
Average Annual Return as of 8/31/00
<TABLE>
<S> <C>
1 year 20.58%
5 year 10.27%
Since inception (3/1/95) 11.00%
--------------------------------------------------------------------------------
</TABLE>
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
International
Equity Portfolio MSCI EAFE
<S> <C>
10000 10000
10890 10950.3
11153.3 11845.5
12075.9 12953
11779.3 12970.2
14727.8 16346.6
17758 17953
</TABLE>
[END PLOT POINTS]
Source for Index Returns: Lipper Analytical Services, Inc.
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not
include any insurance company charges associated with a variable annuity or
reflect any withdrawal charges. No expenses are deducted from the performance
of the indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95,
shows changes in Net Asset Value and reinvestment of all distributions, but
does not include the effect of any insurance charges or the annual maintenance
fee. The illustration above would be reduced if these fees were reflected.
There is no direct correlation between a hypothetical investment and the
anticipated performance of the Portfolio. The investment adviser is currently
waiving certain fees. This voluntary waiver may be modified or terminated at any
time, which would reduce performance.
International investing involves a greater degree of risk and increased
volatility. Changes in currency exchange rates and differences in accounting
and taxation policies outside the U.S. can raise or lower returns. Also, some
overseas markets may not be as politically and economically stable as the
United States and other nations.
The MSCI EAFE Index is unmanaged, is a replica (or model) of the performance of
the European, Australian and Far Eastern equity markets, and assumes the
reinvestment of dividends. An individual cannot invest in an index.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
<PAGE>
page 8 Asset Allocation Portfolio
(unaudited)
The Asset Allocation Portfolio seeks to provide maximum return through a
combination of long-term capital growth and current income by investing in
common stocks, convertible securities and government and corporate fixed-income
obligations.
Performance
The Asset Allocation Portfolio had a total return of 9.31% for the year ended
August 31, 2000. This compares to the 13.74% return for the blended 60% S&P
500/40% Lehman Government Bond Index.
Strategy
In the first half of the reporting year, the Portfolio's fixed-income
securities continued to come under pressure as a result of a rising
interest-rate environment in the United States. However, the management team
did relieve some of this pressure by maintaining a lower-than-average duration
(a measure of interest rate sensitivity) for much of early 2000. Within the
equity portion of the Portfolio, exposure to small- and mid-cap stocks
contributed favorably to performance as many secondary issues that had
previously underperformed their large-cap counterparts generated strong
investment results.
Volatility was the theme in the second half of the reporting year, as
technology stocks lost many of the gains previously recorded. Fortunately, the
Portfolio was well diversified and had holdings that performed well in many
sectors. The Fund's fixed income securities turned in a positive performance.
Outlook
The U.S. stock market appears to have regained its focus on fundamental issues
after a prolonged period of favoring high-growth technology and related stocks
at the expense of virtually every other sector. With the market unsure as to
the extent of the economic slowdown, the coming corporate earnings season will
be an important driver of performance through the end of 2000. And, moving into
the U.S. corporate earnings season, our view is that results will show
larger-than-normal divergences within sectors and industries, leading us to
believe that we're in the type of stock-pickers market with plenty of
opportunity for outperformance.
With the Fed firmly ensconced on the sidelines, our view is that the
fixed-income markets will twist and bend mainly with the economic and
inflationary breezes, although supply conditions, the upcoming elections,
international events, crude oil prices and technical factors will all certainly
play a role as well. But a range-bound bond market does not necessarily imply
inaction, as market participants will be kept rather busy sifting through the
data for clues relating to the extent, timing and sustainability of the
economy's more moderate growth path.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Asset Allocation Portfolio at NAV (Net
Asset Value) would have grown to $18,349 from inception on 3/1/95 through
8/31/00.*
Investment Results
--------------------------------------------------------------------------------
Average Annual Return as of 8/31/00
<TABLE>
<S> <C>
1 year 9.31%
5 year 10.70%
Since Inception (3/1/95) 11.67%
--------------------------------------------------------------------------------
</TABLE>
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Asset Allocation 60% S&P 500/40%
Portfolio Lehman Gov't Bond
<S> <C>
10000 10000
11040 11311
12242.8 12731.6
15010.4 16225
15004.3 17911.5
16786.9 21968.9
18349 24987
</TABLE>
[END PLOT POINTS]
Source for Index Returns: Lipper Analytical Services, Inc.
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not
include any insurance company charges associated with a variable annuity or
reflect any withdrawal charges. No expenses are deducted from the performance
of the indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95, shows
changes in Net Asset Value and reinvestment of all distributions, but does not
include the effect of any insurance charges or the annual maintenance fee. The
illustration above would be reduced if these fees were reflected. There is no
direct correlation between a hypothetical investment and the anticipated
performance of the Portfolio. The investment adviser is currently waiving
certain fees. This voluntary waiver may be modified or terminated at any time,
which would reduce performance.
The Standard & Poor's 500 Index is an unmanaged broad-based index that
replicates the U.S. stock market. It includes 500 widely held common stocks and
assumes reinvestment of all dividends.
The unmanaged Lehman Government Bond Index includes the Treasury Bond Index and
the Agency Bond Index. Maturities range from 1 to 20 years. An individual
cannot invest in an index.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
<PAGE>
U.S. Government Income Portfolio page 9
(unaudited)
The U.S. Government Income Portfolio seeks to provide monthly dividends as well
as to preserve principal.
Performance
The U.S. Government Income Portfolio had a total return of 7.80% for the year
ended August 31, 2000. This compares to the 6.21% return from the Lehman
Intermediate U.S. Government Bond Index.
Strategy
Early in the reporting period, the Portfolio turned in strong relative
performance as a result of several factors. First, in a rising rate
environment, the management team allowed the Portfolio's duration (and hence
its sensitivity to changes in interest rates) to further shorten below that of
its peer group before making a strategic reduction in December. Next, the
Portfolio's exposure to mortgage-backed securities was increased to 50% and
these holdings outperformed significantly in late 1999 as new mortgage issuance
fell. Finally, the Portfolio ended 1999 with an emphasis on 20-year maturities
in the Treasury sector, which was positive as this part of the yield curve
outperformed 30-year issues.
In the January through April 2000 period, technical factors--
especially the U.S. Treasury's program to buy back longer-dated
securities--overwhelmed fundamentals and caused fairly severe dislocation in
the fixed income markets. However, the Portfolio benefited during early 2000
from its longer-than-benchmark duration as yields on longer-dated securities
fell in response to the Treasury buyback program.
In the latter part of the reporting year, the management team kept the
Portfolio's duration relatively neutral and adjusted its yield curve strategy
to neutral. With specific regard to the yield curve, the Portfolio had
benefited from a barbell strategy when the yield curve inverted but this was
adjusted given the expectation that the curve would correct back to a more
normal slope. The management team maintained the Portfolio's exposure to
mortgage and agency securities due to historically high spreads despite the
anticipation of short-term volatility. This proved beneficial towards the end
of the reporting period as spreads began to narrow.
Outlook
With the Fed firmly ensconced on the sidelines, our view is that the
fixed-income markets will twist and bend mainly with the economic and
inflationary breezes, although supply conditions, the upcoming elections,
international events, crude oil prices and technical factors will all certainly
play a role as well. But a range-bound bond market does not necessarily imply
inaction, as market participants will be kept rather busy sifting through the
data for clues relating to the extent, timing and sustainability of the
economy's more moderate growth path.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the U.S. Government Income Portfolio at
NAV (Net Asset Value) would have grown to $14,043 from inception on 3/1/95
through 8/31/00.*
Investment Results
--------------------------------------------------------------------------------
Average Annual Return as of 8/31/00
<TABLE>
<S> <C>
1 year 7.80%
5 year 5.61%
Since Inception (3/1/95) 6.37%
--------------------------------------------------------------------------------
</TABLE>
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
US Government Lehman Intermediate
Income Portfolio US Gov't Bond
<S> <C>
10000 10000
10689.7 10616.9
10970 11090.3
11859.3 11982.8
13178.1 13093.1
13026.3 13388.8
14043 14218
</TABLE>
[END PLOT POINTS]
Source for Index Returns: Lipper Analytical Services, Inc.
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not
include any insurance company charges associated with a variable annuity or
reflect any withdrawal charges. No expenses are deducted from the performance
of the indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95 and
shows changes in Net Asset Value, but does not include the effect of any
insurance charges or the annual maintenance fee. The illustration above would
be reduced if these fees were reflected. There is no direct correlation between
a hypothetical investment and the anticipated performance of the Portfolio. The
investment adviser is currently waiving certain fees. This voluntary waiver may
be modified or terminated at any time, which would reduce performance.
The unmanaged Lehman Intermediate U.S. Government Bond Index includes bonds
with 1 to 10 year maturities and assumes the reinvestment of dividends. An
individual cannot invest in an index.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
<PAGE>
page 10 Money Market Portfolio
(unaudited)
The Money Market Portfolio seeks to provide maximum current income consistent
with preservation of capital and maintenance of liquidity.
Performance
The Money Market Portfolio's 7-day current yield (with waivers) as of August
31, 2000 was 6.03%.
Strategy
The Portfolio continued to provide its investors with an attractive yield. For
most of the year, yields on money market securities moved higher along with the
Fed's decision to continue raising interest rates to cool the economy's
blistering pace, which was evidenced by strong consumer confidence data and the
lowest unemployment data in a generation.
Management maintained a shorter-than-average average-weighted duration during
the rising rate environment, a strategy that helped performance when rates
continued to edge higher. Towards the end of the reporting period, the Fed
eased on tightening its monetary policy, which resulted in stabilizing yields
of money market securities.
Outlook
Going forward, we maintain a favorable outlook for the Money Market Portfolio.
We anticipate the economy to continue its more-muted pace, and given this
backdrop, investors should continue to favor high-quality liquid instruments,
such as those included within the Portfolio. Should interest rates resume their
upward movement, however, we intend to use any significant increase as an
opportunity to extend our average duration.
Portfolio shares are not insured or guaranteed by the FDIC or any other
government agency. Although Fund shares strive to preserve the value of the
investment at $1.00 per share, it is possible to lose money by investing in
this Fund.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable annuity
may be subject to a 10% IRS tax penalty, and are taxed as ordinary income.
<PAGE>
Growth and Income Portfolio page 11
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--98.5%
COMMON STOCK--98.5%
AEROSPACE--0.9%
2,700 BOEING CO. ....................................... $ 144,788
-----------
AUTOMOTIVE--2.6%
11,237 FORD MOTOR CO. ................................... 271,795
2,000 GENERAL MOTORS CORP. ............................. 144,375
-----------
416,170
-----------
BANKING--5.8%
1,700 BANK OF AMERICA CORP. ............................ 91,056
7,199 BANK OF NEW YORK CO., INC. ....................... 377,498
2,927 FIRSTAR CORP. .................................... 69,882
9,500 WELLS FARGO CO. .................................. 410,281
-----------
948,717
-----------
CHEMICALS--2.2%
3,600 DOW CHEMICAL CO. ................................. 94,275
6,000 E.I. DUPONT DE NEMOURS CO. ....................... 269,250
-----------
363,525
-----------
COMPUTER SOFTWARE--0.3%
1,300 COMPUTER ASSOCIATES INTERNATIONAL, INC. .......... 41,275
-----------
COMPUTERS/COMPUTER HARDWARE--1.4%
1,000 HEWLETT-PACKARD CO. .............................. 120,750
800 INTERNATIONAL BUSINESS MACHINES CORP. ............ 105,600
-----------
226,350
-----------
CONSUMER PRODUCTS--0.6%
3,100 PHILIP MORRIS COMPANIES, INC. .................... 91,838
-----------
DIVERSIFIED--3.1%
5,600 GENERAL ELECTRIC CO. ............................. 328,650
3,000 TYCO INTERNATIONAL LTD (BERMUDA) ................. 171,000
-----------
499,650
-----------
FINANCIAL SERVICES--20.4%
8,700 AMERICAN EXPRESS CO. ............................. 514,388
16,667 CITIGROUP, INC. .................................. 972,935
2,200 FANNIE MAE ....................................... 118,250
700 FREDDIE MAC ...................................... 29,488
1,900 J.P. MORGAN & CO. ................................ 317,656
3,700 MERRILL LYNCH & CO., INC. ........................ 536,500
7,500 MORGAN STANLEY DEAN WITTER & CO. ................. 806,718
300 STATE STREET CORP. ............................... 35,325
-----------
3,331,260
-----------
FOOD/BEVERAGE PRODUCTS--2.3%
1,600 ANHEUSER-BUSCH COMPANIES, INC. ................... 126,100
3,700 PEPSICO, INC. .................................... 157,712
2,300 SYSCO CORP. ...................................... 97,319
-----------
381,131
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
INSURANCE--6.9%
10,200 AMERICAN INTERNATIONAL GROUP, INC. ............... $ 909,075
1,800 MARSH & MCLENNAN COMPANIES ....................... 213,750
-----------
1,122,825
-----------
MACHINERY & ENGINEERING EQUIPMENT--0.8%
2,500 DOVER CORP. ...................................... 122,188
-----------
MANUFACTURING--0.6%
2,500 HONEYWELL INTERNATIONAL, INC. .................... 96,406
-----------
METALS/MINING--0.7%
3,200 ALCOA, INC. ...................................... 106,400
-----------
MULTI-MEDIA--4.7%
7,100 THE WALT DISNEY CO. .............................. 276,456
7,184 VIACOM, INC., CLASS B* ........................... 483,573
-----------
760,029
-----------
OIL & GAS--12.2%
1,640 BP AMOCO PLC, ADR (UNITED KINGDOM) ............... 90,610
4,200 CHEVRON CORP. .................................... 354,900
8,908 EXXON MOBIL CORP. ................................ 727,115
3,500 HALLIBURTON CO. .................................. 185,500
7,400 ROYAL DUTCH PETROLEUM CO., N.Y. REGISTERED
SHARES (NETHERLANDS) ............................. 452,787
2,200 SCHLUMBERGER LTD ................................. 187,688
-----------
1,998,600
-----------
PAPER/FOREST PRODUCTS--1.7%
3,277 INTERNATIONAL PAPER CO. .......................... 104,454
2,200 WEYERHAEUSER CO. ................................. 101,888
2,300 WILLAMETTE INDUSTRIES ............................ 70,150
-----------
276,492
-----------
PHARMACEUTICALS--6.9%
6,000 ABBOTT LABORATORIES .............................. 262,500
4,000 AMERICAN HOME PRODUCTS CORP. ..................... 216,750
1,500 ELI LILLY & CO. .................................. 109,500
2,400 PFIZER, INC. ..................................... 103,800
7,184 PHARMACIA CORP. .................................. 420,713
-----------
1,113,263
-----------
RESTAURANTS/FOOD SERVICES--0.7%
3,600 MCDONALD'S CORP. ................................. 107,550
-----------
RETAILING--1.0%
300 KOHLS CORP.* ..................................... 16,800
6,000 TARGET CORP. ..................................... 139,500
-----------
156,300
-----------
SEMI-CONDUCTORS--6.1%
4,000 ALTERA CORP.* .................................... 259,250
2,300 APPLIED MATERIALS, INC.* ......................... 198,518
2,600 INTEL CORP. ...................................... 194,675
5,000 TEXAS INSTRUMENTS, INC. .......................... 334,688
-----------
987,131
-----------
</TABLE>
See notes to financial statements.
<PAGE>
page 12 Growth and Income Portfolio (continued)
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
TELECOMMUNICATIONS--8.9%
4,977 AT&T CORP. ..................................... $ 156,776
7,700 BELLSOUTH CORP. ................................ 287,306
2,300 GLOBAL CROSSING LTD (BERMUDA)* ................. 69,144
4,400 SBC COMMUNICATIONS, INC. ....................... 183,700
3,000 SPRINT CORP. (FON GROUP) ....................... 100,500
8,900 VERIZON COMMUNICATIONS ......................... 388,262
7,500 WORLDCOM, INC.* ................................ 273,750
-----------
1,459,438
-----------
TELECOMMUNICATIONS EQUIPMENT--3.8%
7,020 MOTOROLA, INC. ................................. 253,159
4,400 NORTEL NETWORKS CORP. (CANADA) ................. 358,875
-----------
612,034
-----------
UTILITIES--3.9%
1,500 DOMINION RESOURCES, INC. ....................... 79,500
2,800 DQE, INC. ...................................... 112,525
1,900 DUKE ENERGY CORP. .............................. 142,144
3,500 ENRON CORP. .................................... 297,063
-----------
631,232
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $13,381,017) ............................. 15,994,592
-----------
Principal
Amount
------
SHORT-TERM INVESTMENT--1.7%
REPURCHASE AGREEMENT--1.7%
$ 268,000 GREENWICH CAPITAL MARKETS, INC., TRI PARTY,
6.64%, DUE 09/01/00, (DATED 08/31/00, PROCEEDS
$268,049, SECURED BY FNMA, $330,000, 6.00%, DUE
10/15/10; MARKET VALUE $277,001)
(COST $268,000) ................................ 268,000
-----------
TOTAL INVESTMENTS--100.2%
(COST $13,649,017) ............................. $16,262,592
===========
</TABLE>
See notes to financial statements.
<PAGE>
Capital Growth Portfolio page 13
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--96.1%
COMMON STOCK--96.1%
ADVERTISING--1.7%
4,900 TRUE NORTH COMMUNICATIONS INC. ........................ $ 227,238
-----------
APPAREL--0.9%
4,900 JONES APPAREL GROUP, INC.* ............................ 120,050
-----------
BANKING--3.0%
4,200 CULLEN/FROST BANKERS, INC. ............................ 130,200
3,200 TCF FINANCIAL CORP. ................................... 105,000
3,500 ZIONS BANCORP. ........................................ 156,625
-----------
391,825
-----------
BIOTECHNOLOGY--1.4%
3,500 CHIRON CORP.* ......................................... 189,219
-----------
BROADCASTING/CABLE--2.2%
3,000 AT&T CORP.--LIBERTY MEDIA GROUP, CLASS A* ............. 64,125
2,200 UNIVISION COMMUNICATIONS, INC.* ....................... 97,075
5,100 USA NETWORKS, INC.* ................................... 122,719
-----------
283,919
-----------
BUSINESS SERVICES--4.7%
5,800 ACNIELSEN CORP.* ...................................... 139,563
3,200 AFFILIATED COMPUTER SERVICES, INC., CLASS A* .......... 149,000
6,400 CONCORD EFS, INC.* .................................... 205,600
3,600 MANPOWER INC. ......................................... 130,275
-----------
624,438
-----------
CHEMICALS--3.1%
4,200 CYTEC INDUSTRIES, INC.* ............................... 140,175
2,000 FMC CORP.* ............................................ 135,625
5,500 SHERWIN-WILLIAMS CO. .................................. 126,500
-----------
402,300
-----------
COMPUTER SOFTWARE--3.7%
3,200 ALLAIRE CORP.* ........................................ 108,600
2,400 RATIONAL SOFTWARE CORP.* .............................. 308,850
1,400 SYMANTEC CORP.* ....................................... 68,338
-----------
485,788
-----------
COMPUTERS/COMPUTER HARDWARE--1.1%
5,600 ELECTRONICS FOR IMAGING, INC.* ........................ 145,600
-----------
CONSTRUCTION--2.0%
2,800 AMERICAN STANDARD COMPANIES, INC.* .................... 129,675
4,900 LENNAR CORP. .......................................... 135,363
-----------
265,038
-----------
ELECTRONICS/ELECTRICAL EQUIPMENT--11.8%
3,200 AMPHENOL CORP., CLASS A* .............................. 204,800
5,000 APW LTD.* ............................................. 220,000
1,900 COHERENT, INC.* ....................................... 152,950
2,900 PERKINELMER, INC. ..................................... 260,818
1,800 SANMINA CORP.* ........................................ 212,400
7,100 SENSORMATIC ELECTRONICS CORP.* ........................ 118,038
2,200 SYMBOL TECHNOLOGIES, INC. ............................. 91,025
7,000 VISHAY INTERTECHNOLOGY, INC.* ......................... 282,187
-----------
1,542,218
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
ENTERTAINMENT/LEISURE--2.4%
4,800 HARRAH'S ENTERTAINMENT, INC.* ......................... $ 136,200
12,100 PARK PLACE ENTERTAINMENT CORP.* ....................... 177,719
-----------
313,919
-----------
FINANCIAL SERVICES--2.8%
3,400 A.G. EDWARDS, INC. .................................... 176,800
1,300 LEHMAN BROTHERS HOLDINGS, INC. ........................ 188,500
-----------
365,300
-----------
FOOD/BEVERAGE PRODUCTS--1.0%
4,300 PEPSI BOTTLING GROUP, INC. ............................ 136,525
-----------
HEALTH CARE/HEALTH CARE SERVICES--5.7%
2,800 CYTYC CORP.* .......................................... 130,550
3,650 DENTSPLY INTERNATIONAL, INC. .......................... 121,819
13,500 HEALTH MANAGEMENT ASSOCIATES, INC., CLASS A*. 220,218
5,000 OXFORD HEALTH PLANS, INC.* ............................ 152,500
2,700 STRYKER CORP. ......................................... 120,994
-----------
746,081
-----------
INSURANCE--4.7%
2,800 AXA FINANCIAL, INC. ................................... 144,900
3,400 RADIAN GROUP, INC. .................................... 211,225
4,900 RELIASTAR FINANCIAL CORP. ............................. 263,681
-----------
619,806
-----------
MACHINERY & ENGINEERING EQUIPMENT--2.1%
3,200 DOVER CORP. ........................................... 156,400
2,200 ZEBRA TECHNOLOGIES CORP., CLASS A* .................... 118,800
-----------
275,200
-----------
MANUFACTURING--1.5%
6,000 PENTAIR, INC. ......................................... 195,000
-----------
OIL & GAS--9.3%
6,940 ANADARKO PETROLEUM CORP. .............................. 456,443
3,600 COOPER CAMERON CORP.* ................................. 280,125
7,100 GLOBAL MARINE, INC.* .................................. 229,419
2,000 NICOR, INC. ........................................... 73,750
5,600 TOSCO CORP. ........................................... 170,800
-----------
1,210,537
-----------
PAPER/FOREST PRODUCTS--0.9%
3,800 WILLAMETTE INDUSTRIES ................................. 115,900
-----------
PHARMACEUTICALS--6.5%
1,400 ALZA CORP.* ........................................... 105,875
3,900 BIOVAIL CORP. INTERNATIONAL (CANADA)* ................. 249,843
2,100 FOREST LABORATORIES INC., CLASS A* .................... 205,538
1,900 MEDIMMUNE, INC.* ...................................... 159,838
2,300 WATSON PHARMACEUTICALS, INC.* ......................... 141,881
-----------
862,975
-----------
PIPELINES--3.5%
2,800 COLUMBIA ENERGY GROUP ................................. 196,525
3,300 EL PASO ENERGY CORP. .................................. 192,225
1,500 NATIONAL FUEL GAS CO. ................................. 78,656
-----------
467,406
-----------
</TABLE>
See notes to financial statements.
<PAGE>
page 14 Capital Growth Portfolio (continued)
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
REAL ESTATE INVESTMENT TRUST--1.2%
2,000 EQUITY RESIDENTIAL PROPERTIES TRUST ................ $ 96,000
3,000 PROLOGIS TRUST ..................................... 68,625
-----------
164,625
-----------
RESTAURANTS/FOOD SERVICES--1.4%
6,000 BRINKER INTERNATIONAL, INC.* ....................... 190,500
-----------
RETAILING--1.6%
6,400 BJ'S WHOLESALE CLUB, INC.* ......................... 216,800
-----------
SEMI-CONDUCTORS--7.8%
4,400 ALTERA CORP.* ...................................... 285,174
3,200 ASM LITHOGRAPHY HOLDING NV (NETHERLANDS)* .......... 122,000
5,000 ATMEL CORP.* ....................................... 100,000
4,200 MICROCHIP TECHNOLOGY, INC.* ........................ 285,862
2,700 VITESSE SEMICONDUCTOR CORP.* ....................... 239,794
-----------
1,032,830
-----------
SHIPPING/TRANSPORTATION--1.0%
2,300 C.H. ROBINSON WORLDWIDE, INC. ...................... 136,131
-----------
TELECOMMUNICATIONS--2.2%
2,200 U.S. CELLULAR CORP.* ............................... 161,838
2,400 WESTERN WIRELESS CORP., CLASS A* ................... 122,700
-----------
284,538
-----------
TELECOMMUNICATIONS EQUIPMENT--1.3%
1,800 COMVERSE TECHNOLOGY, INC.* ......................... 165,488
-----------
UTILITIES--3.6%
4,000 AGL RESOURCES, INC. ................................ 75,750
4,450 ALLIANT ENERGY CORP. ............................... 130,163
2,800 AMERICAN WATER WORKS, INC. ......................... 68,600
2,900 ENERGY EAST CORP. .................................. 65,794
5,100 SCANA CORP. ........................................ 139,612
-----------
479,919
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $9,658,777) .................................. 12,657,113
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
------
<S> <C> <C>
SHORT-TERM INVESTMENT--3.9%
REPURCHASE AGREEMENT--3.9%
$ 514,000 GREENWICH CAPITAL MARKETS, INC., TRI PARTY,
6.64%, DUE 09/01/00, (DATED 08/31/00, PROCEEDS
$514,095, SECURED BY FNMA, $530,000, 8.00%, DUE
07/25/30; MARKET VALUE $525,279)
(COST $514,000)................................... 514,000
-------
TOTAL INVESTMENTS--100.0%
(COST $10,172,777) ............................... $13,171,113
===========
</TABLE>
See notes to financial statements.
<PAGE>
International Equity Portfolio page 15
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--98.6%
COMMON STOCK--95.9%
AUSTRALIA--0.6%
3,100 FOSTER'S BREWING GROUP LTD ....................... $ 7,329
3,400 LANG CORP., LTD* ................................. 17,642
2,000 NEWS CORP., LTD .................................. 26,094
--------
51,065
--------
BELGIUM--0.2%
500 UBIZEN* .......................................... 19,080
--------
BRAZIL--1.1%
970 TELECOMUNICACOES BRASILEIRAS SA, ADR,
PREFERRED ........................................ 89,119
--------
FINLAND--4.0%
2,200 COMPTEL OYJ ...................................... 37,017
5,352 NOKIA OYJ ........................................ 234,489
1,457 SONERA OYJ ....................................... 48,617
--------
320,123
--------
FRANCE--11.8%
1,650 ALCATEL .......................................... 134,788
1,040 BOUYGUES SA ...................................... 65,299
2,606 CNP ASSURANCES ................................... 82,101
800 EULER SA* ........................................ 37,663
720 FRANCE TELECOM SA ................................ 82,107
1,250 LAGARDERE S.C.A. ................................. 89,022
230 PINAULT-PRINTEMPS-REDOUTE SA ..................... 43,456
1,920 SOCIETE GENERALE, CLASS A ........................ 113,650
350 SOCIETE TELEVISION FRANCAISE ..................... 25,501
1,494 STMICROELECTRONICS N.V. .......................... 91,483
1,188 TOTAL FINA SA, CLASS B ........................... 176,172
--------
941,242
--------
GERMANY--4.2%
70 ALLIANZ AG ....................................... 23,575
480 BKN INTERNATIONAL AG* ............................ 25,686
327 CE CONSUMER ELECTRONIC AG ........................ 39,612
2,500 COMMERZBANK AG ................................... 80,691
800 DIALOG SEMICONDUCTOR PLC* ........................ 39,474
3,698 KAMPS AG ......................................... 79,780
274 SIEMENS AG ....................................... 43,891
--------
332,709
--------
IRELAND--0.8%
3,650 BANK OF IRELAND .................................. 21,541
6,515 GREEN PROPERTY PLC ............................... 40,672
--------
62,213
--------
ITALY--3.4%
9,600 AUTOGRILL SPA .................................... 107,431
4,700 BANCA FIDEURAM SPA ............................... 71,575
5,700 TELECOM ITALIA MOBILE SPA ........................ 49,421
3,400 TELECOM ITALIA SPA ............................... 42,001
--------
270,428
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
JAPAN--24.3%
4,000 BANK OF TOKYO-MITSUBISHI LTD ..................... $ 48,964
1,000 BRIDGESTONE CORP. ................................ 12,935
1,000 CANON, INC. ...................................... 44,709
2,000 DAI NIPPON PRINTING CO., LTD ..................... 31,474
4,000 DAI-ICHI KANGYO BANK LTD ......................... 30,331
3,000 DAIWA SECURITIES GROUP, INC. ..................... 37,398
3 EAST JAPAN RAILWAY CO. ........................... 16,309
1,000 FAMILYMART CO., LTD .............................. 29,806
300 FANUC LTD ........................................ 32,618
1,000 FUJI PHOTO FILM CO., LTD ......................... 35,805
2,000 FUJITSU LTD ...................................... 57,925
1 FUTURE SYSTEM CONSULTING CORP.* .................. 17,809
1,000 HITACHI MAXELL ................................... 25,682
1,000 HONDA MOTOR CO., LTD ............................. 36,555
1,000 HOYA CORP. ....................................... 95,604
4 JAPAN TOBACCO, INC. .............................. 30,668
1,000 KAO CORP. ........................................ 27,463
100 KEYENCE CORP. .................................... 33,180
1,000 KURITA WATER INDUSTRIES LTD ...................... 20,808
200 MABUCHI MOTOR CO., LTD ........................... 24,388
1,000 MATSUSHITA ELECTRIC INDUSTRIAL CO., LTD .......... 27,369
2,000 MATSUSHITA ELECTRIC WORKS LTD .................... 24,370
3,000 MINEBEA CO., LTD ................................. 38,804
3,000 MITSUBISHI CORP. ................................. 21,933
2,000 MITSUBISHI ESTATE CO., LTD ....................... 19,684
2,000 MITSUBISHI TRUST & BANKING CORP. ................. 15,372
700 NAMCO LTD ........................................ 19,552
2,000 NEC CORP. ........................................ 57,175
1 NET ONE SYSTEMS CO., LTD* ........................ 32,149
5 NIPPON TELEGRAPH & TELEPHONE CORP. ............... 59,518
1,000 NITTO DENKO CORP. ................................ 40,491
1,000 NOMURA SECURITIES CO., LTD ....................... 23,386
4 NTT DOCOMO, INC. ................................. 105,727
1,000 OLYMPUS OPTICAL CO., LTD ......................... 17,527
2,000 OMRON CORP. ...................................... 49,677
400 ORIENTAL LAND CO., LTD ........................... 36,817
300 ORIX CORP. ....................................... 39,929
1,000 PIONEER CORP. .................................... 42,178
2,000 RICOH CORP., LTD ................................. 34,961
100 ROHM CO., LTD .................................... 28,447
3,000 SANYO ELECTRIC CO., LTD .......................... 25,448
2,000 SHISEIDO CO., LTD ................................ 23,620
200 SOFTBANK CORP. ................................... 26,413
400 SONY CORP. ....................................... 44,615
2,000 SUMITOMO BANK LTD ................................ 24,745
4,000 SUMITOMO CHEMICAL CO., LTD ....................... 18,596
1,000 TAKEDA CHEMICAL INDUSTRIES ....................... 59,143
2,000 TOKIO MARINE & FIRE INSURANCE CO. ................ 20,302
800 TOKYO ELECTRIC POWER CO. ......................... 17,884
3,000 TOSHIBA CORP. .................................... 29,497
2,000 TOYOTA MOTOR CORP. ............................... 86,980
</TABLE>
See notes to financial statements.
<PAGE>
page 16 International Equity Portfolio (continued)
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
JAPAN (cont'd)
500 TREND MICRO INC.* ................................... $ 77,796
1,000 YAMANOUCHI PHARMACEUTICAL CO., LTD .................. 49,489
----------
1,930,025
----------
MEXICO--0.8%
10,000 ALFA SA, CLASS A* ................................... 27,719
500 CORPORACION GEO SA, ADR* ............................ 3,778
500 CORPORACION GEO SA, SER. B, ADR* .................... 3,778
25,000 GRUPO ELEKTRA SA .................................... 25,545
----------
60,820
----------
NETHERLANDS--4.9%
1,335 ASM LITHOGRAPHY HOLDING NV* ......................... 50,387
2,470 BUHRMANN NV ......................................... 70,034
500 KONINKLIJKE NUMICO NV ............................... 25,292
1,191 KONINKLIJKE PHILIPS ELECTRONICS NV .................. 57,921
1,900 ROYAL DUTCH PETROLEUM CO. ........................... 115,164
1,308 VNU NV .............................................. 69,647
----------
388,445
----------
PORTUGAL--0.5%
2,608 BANCO ESPIRITO SANTO SA ............................. 42,332
----------
SPAIN--3.4%
900 ACTIVIDADES DE CONSTRUCCION Y SERVICIOS SA .......... 22,164
5,930 AMADEUS GLOBAL TRAVEL DISTRIBUTION SA,
CLASS A* ............................................ 60,520
1,600 BANKINTER SA ........................................ 66,395
1,380 SOGECABLE* .......................................... 49,599
3,895 TELEFONICA SA ....................................... 74,663
----------
273,341
----------
SWEDEN--4.3%
3,400 SKANDIA FORSAKRINGS AB .............................. 68,763
13,590 TELEFONAKTIEBOLAGET LM ERICSON, CLASS B ............. 274,130
----------
342,893
----------
SWITZERLAND--8.2%
290 ABB LTD ............................................. 32,438
480 CHARLES VOEGELE HOLDING AG .......................... 88,659
30 COMPAGNIE FINANCIERE RICHEMONT, CLASS A* ............ 84,891
522 CREDIT SUISSE GROUP ................................. 108,993
170 DISTEFORA HOLDING AG* ............................... 45,150
53 NESTLE SA ........................................... 114,130
110 NOVARTIS AG ......................................... 166,203
100 SIA ABRASIVES HOLDING AG* ........................... 13,652
----------
654,116
----------
UNITED KINGDOM--23.1%
2,650 ASTRAZENECA GROUP PLC ............................... 120,804
3,829 BAE SYSTEMS PLC ..................................... 23,848
6,142 BARCLAYS PLC ........................................ 153,371
18,884 BP AMOCO PLC ........................................ 172,857
6,556 BRITISH TELECOM PLC ................................. 83,283
3,812 CABLE & WIRELESS PLC ................................ 70,451
15,800 CENTRICA PLC ........................................ 51,611
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
UNITED KINGDOM (cont'd)
6,800 DIMENSION DATA HOLDINGS PLC* ........................ $ 67,230
3,129 GLAXO WELLCOME PLC .................................. 89,991
6,450 HANSON PLC .......................................... 38,206
8,087 HSBC HOLDINGS PLC ................................... 116,350
6,312 KINGFISHER PLC ...................................... 45,819
3,300 LAPORTE PLC ......................................... 21,918
29,700 LAPORTE PLC, CLASS B* ............................... 345
23,880 LEGAL & GENERAL GROUP PLC ........................... 61,364
4,395 MARCONI PLC ......................................... 77,972
3,673 NXT PLC* ............................................ 82,653
4,312 SHELL TRANSPORT & TRADING CO., PLC .................. 36,810
11,208 SMITHKLINE BEECHAM PLC .............................. 146,039
18,911 TESCO PLC ........................................... 59,509
4,200 UNITED NEWS & MEDIA PLC ............................. 53,049
64,111 VODAFONE AIRTOUCH PLC ............................... 258,984
----------
1,832,464
----------
UNITED STATES--0.3%
640 UPROAR LTD., #* ..................................... 4,260
1,170 VIATEL, INC.* ....................................... 16,088
----------
20,348
----------
TOTAL COMMON STOCK
(COST $6,902,130) ................................... 7,630,763
----------
PREFERRED STOCK--2.7%
GERMANY--2.7%
1,400 MARSCHOLLEK LAUTENSCHLAEGER UND PARTNER AG. 189,471
90 SAP AG .............................................. 22,683
----------
TOTAL PREFERRED STOCK
(COST $108,787) ..................................... 212,154
----------
REDEEMABLE UNSECURED LOAN STOCK--0.0%
MALAYSIA--0.0%
4,000 SUNWAY BUILDING TECHNOLOGY, BHD, 3.00%, 07/30/01*
(COST $1,284) ....................................... 1,011
----------
WARRANTS--0.0%
AUSTRALIA--0.0%
141 LANG CORP., LTD, EXPIRES 12/30/04 ................... 163
----------
GERMANY--0.0%
11 MUENCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT AG EXPIRES 06/03/02 ................... 742
----------
TOTAL WARRANTS
(COST $0) ........................................... 905
----------
Principal
Amount
(DEM)
-----
CONVERTIBLE CORPORATE BOND--0.0%
GERMANY--0.0%
1,307 DAIMLERCHRYSLER AG, 5.75%, 06/14/02
(COST $769) ......................................... 686
----------
TOTAL INVESTMENTS--98.6%
(COST $7,012,970) ................................... $7,845,519
==========
</TABLE>
See notes to financial statements.
<PAGE>
International Equity Portfolio (continued) page 17
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Original Notional
Number Notional Value at Unrealized
of Expiration Value 08/31/00 Appreciation
Contracts Description Date (USD) (USD) (USD)
--------- ----------- ---- ----- ----- -----
<S> <C> <C> <C> <C> <C>
LONG FUTURES OUTSTANDING
2 ALL ORDINARIES
STOCK PRICE INDEX September, 2000 $92,627 $94,946 $2,319
</TABLE>
Summary of Investments by Industry, August 31, 2000
<TABLE>
<CAPTION>
Industry % of Investment Securities
<S> <C>
TELECOMMUNICATIONS 12.2%
TELECOMMUNICATIONS EQUIPMENT 9.3%
FINANCIAL SERVICES 9.1%
ELECTRONICS/ELECTRICAL EQUIPMENT 8.5%
PHARMACEUTICALS 8.0%
BANKING 7.6%
OIL & GAS 7.0%
RETAILING 3.7%
INSURANCE 3.3%
FOOD/BEVERAGE PRODUCTS 2.9%
SEMI-CONDUCTORS 2.8%
DIVERSIFIED 2.3%
COMPUTER SOFTWARE 2.0%
PRINTING & PUBLISHING 2.0%
OTHER (BELOW 2%) 19.3%
--------------------------------------------------------------------------------
TOTAL 100%
</TABLE>
See notes to financial statements.
<PAGE>
page 18
Asset Allocation Portfolio
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--98.5%
COMMON STOCK--59.7%
ADVERTISING--0.3%
375 OMNICOM GROUP .................................. $ 31,289
----------
AIRLINES--0.7%
2,900 SOUTHWEST AIRLINES, INC. ....................... 65,613
----------
AUTOMOTIVE--0.4%
675 FORD MOTOR CO. ................................. 16,327
275 GENERAL MOTORS CORP. ........................... 19,851
----------
36,178
----------
BANKING--0.8%
475 BANK OF AMERICA CORP. .......................... 25,442
975 BANK OF NEW YORK CO., INC. ..................... 51,127
----------
76,569
----------
BIOTECHNOLOGY--0.6%
675 AMGEN, INC.* ................................... 51,173
----------
COMPUTER NETWORKS--2.1%
2,800 CISCO SYSTEMS, INC.* ........................... 191,800
----------
COMPUTER SOFTWARE--2.8%
2,175 MICROSOFT CORP.* ............................... 151,842
1,125 ORACLE CORP.* .................................. 102,305
----------
254,147
----------
COMPUTERS/COMPUTER HARDWARE--5.3%
1,725 COMPAQ COMPUTER CORP. .......................... 58,758
1,450 DELL COMPUTER CORP.* ........................... 63,256
1,350 EMC CORP.* ..................................... 132,301
475 HEWLETT-PACKARD CO. ............................ 57,356
675 INTERNATIONAL BUSINESS MACHINES CORP. .......... 89,100
650 SUN MICROSYSTEMS, INC.* ........................ 82,509
----------
483,280
----------
CONSUMER PRODUCTS--1.8%
975 AVON PRODUCTS, INC. ............................ 38,207
975 COLGATE-PALMOLIVE CO. .......................... 49,664
675 GILLETTE CO. ................................... 20,250
900 PHILIP MORRIS COMPANIES, INC. .................. 26,663
475 PROCTER & GAMBLE CO. ........................... 29,361
----------
164,145
----------
DIVERSIFIED--3.5%
4,350 GENERAL ELECTRIC CO. ........................... 255,291
1,175 TYCO INTERNATIONAL LTD (BERMUDA) ............... 66,975
----------
322,266
----------
ELECTRONICS/ELECTRICAL EQUIPMENT--1.6%
575 SANMINA CORP.* ................................. 67,850
1,650 SOLECTRON CORP.* ............................... 74,766
----------
142,616
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
FINANCIAL SERVICES--6.2%
2,425 AMERICAN EXPRESS CO. ........................... $ 143,378
2,075 CHARLES SCHWAB CORP. ........................... 79,239
2,700 CITIGROUP, INC. ................................ 157,613
625 MERRILL LYNCH & CO., INC. ...................... 90,625
875 MORGAN STANLEY DEAN WITTER & CO. ............... 94,117
----------
564,972
----------
FOOD/BEVERAGE PRODUCTS--1.8%
475 ANHEUSER-BUSCH COMPANIES, INC. ................. 37,436
975 COCA-COLA CO. .................................. 51,309
1,750 PEPSICO, INC. .................................. 74,594
----------
163,339
----------
HEALTH CARE/HEALTH CARE SERVICES--1.4%
925 GUIDANT CORP.* ................................. 62,264
1,250 MEDTRONIC, INC. ................................ 64,063
----------
126,327
----------
INSURANCE--2.0%
2,025 AMERICAN INTERNATIONAL GROUP, INC. ............. 180,478
----------
INTERNET SERVICES/SOFTWARE--0.9%
875 AMERICA ONLINE, INC.* .......................... 51,297
250 YAHOO! INC.* ................................... 30,375
----------
81,672
----------
MACHINERY & ENGINEERING EQUIPMENT--0.3%
500 DOVER CORP. .................................... 24,438
----------
METALS/MINING--0.5%
1,450 ALCOA, INC. .................................... 48,213
----------
MULTI-MEDIA--1.6%
1,850 THE WALT DISNEY CO. ............................ 72,034
875 TIME WARNER, INC. .............................. 74,813
----------
146,847
----------
OIL & GAS--3.3%
625 BJ SERVICES CO.* ............................... 41,875
300 CHEVRON CORP. .................................. 25,350
2,045 EXXON MOBIL CORP. .............................. 166,922
1,075 ROYAL DUTCH PETROLEUM CO., N.Y. REGISTERED
SHARES (NETHERLANDS) ........................... 65,777
----------
299,924
----------
PHARMACEUTICALS--4.1%
600 AMERICAN HOME PRODUCTS CORP. ................... 32,513
875 BRISTOL-MYERS SQUIBB CO. ....................... 46,375
500 ELI LILLY & CO. ................................ 36,500
475 JOHNSON & JOHNSON .............................. 43,670
975 MERCK & CO., INC. .............................. 68,128
3,281 PFIZER, INC. ................................... 141,903
----------
369,089
----------
PIPELINES--0.6%
775 COLUMBIA ENERGY GROUP .......................... 54,395
----------
</TABLE>
See notes to financial statements.
<PAGE>
Asset Allocation Portfolio (continued) page 19
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
RETAILING--3.9%
700 ALBERTSON'S, INC. ........................ $ 15,050
975 BEST BUY CO., INC.* ...................... 60,206
1,200 HOME DEPOT, INC. ......................... 57,675
1,350 TARGET CORP. ............................. 31,388
2,700 WAL-MART STORES, INC. .................... 128,081
1,950 WALGREEN CO. ............................. 64,106
----------
356,506
----------
SEMI-CONDUCTORS--4.9%
1,750 ALTERA CORP.* ............................ 113,422
875 APPLIED MATERIALS, INC.* ................. 75,523
2,900 INTEL CORP. .............................. 217,137
575 TEXAS INSTRUMENTS, INC. .................. 38,489
----------
444,571
----------
TELECOMMUNICATIONS--2.7%
655 AT&T CORP. ............................... 20,633
975 BELLSOUTH CORP. .......................... 36,380
1,450 SBC COMMUNICATIONS, INC. ................. 60,537
875 SPRINT CORP. (FON GROUP) ................. 29,313
823 VERIZON COMMUNICATIONS ................... 35,903
1,825 WORLDCOM, INC.* .......................... 66,612
----------
249,378
----------
TELECOMMUNICATIONS EQUIPMENT--3.4%
2,500 ADC TELECOMMUNICATIONS, INC.* ............ 102,344
450 JDS UNIPHASE CORP.* ...................... 56,081
1,125 LUCENT TECHNOLOGIES, INC. ................ 47,039
1,275 NORTEL NETWORKS CORP., (CANADA) .......... 103,992
----------
309,456
----------
UTILITIES--2.2%
975 AES CORP.* ............................... 62,156
400 DUKE ENERGY CORP. ........................ 29,925
1,250 ENRON CORP. .............................. 106,094
----------
198,175
----------
TOTAL COMMON STOCK
(COST $4,542,690) ........................ 5,436,856
----------
Principal
Amount
(USD)
-----
U.S. TREASURY SECURITIES--11.1%
U.S. TREASURY NOTES & BONDS
$ 50,000 5.25%, 05/31/01 ......................... 49,578
75,000 5.25%, 11/15/28 ......................... 68,977
300,000 5.63%, 02/15/06 ......................... 294,608
50,000 6.00%, 07/31/02 ......................... 49,821
260,000 6.25%, 08/15/23 ......................... 270,847
147,000 6.38%, 03/31/01 ......................... 146,931
125,000 6.75%, 05/15/05 ......................... 128,868
----------
TOTAL U.S. TREASURY SECURITIES
(COST $993,958) .......................... 1,009,630
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
----- ------ -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES--4.5%
$ 204,740 FEDERAL HOME LOAN MORTGAGE CORP., 7.00%,
11/01/29 ............................................ $ 199,685
50,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION,
5.13%, 02/13/04 ..................................... 47,508
TENNESSEE VALLEY AUTHORITY,
125,000 5.38%, 11/13/08 .................................... 112,871
50,000 6.75%, 11/01/25 .................................... 49,071
----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(COST $411,050) ..................................... 409,135
----------
CORPORATE NOTES & BONDS--12.0%
AUTOMOTIVE--3.0%
100,000 DAIMLERCHRYSLER NORTH AMERICA HOLDINGS
CORP., MTN, 6.63%, 09/21/01 ......................... 99,358
150,000 FORD MOTOR CO., 7.45%, 07/16/31 ..................... 141,590
50,000 FORD MOTOR CREDIT CO., 5.80%, 01/12/09 .............. 40,757
----------
281,705
----------
COMPUTERS/COMPUTER HARDWARE--1.1%
100,000 INTERNATIONAL BUSINESS MACHINES CORP., 5.37%,
09/22/03 ............................................ 96,234
----------
FINANCIAL SERVICES--2.5%
50,000 GOLDMAN SACHS GROUP, INC., 6.65%, 05/15/09 .......... 47,105
85,000 INTERNATIONAL LEASE FINANCE CORP., MTN, 8.35%,
02/04/02 ............................................ 86,431
95,000 MERRILL LYNCH & CO., INC., SER. B, MTN, 5.71%,
01/15/02 ............................................ 93,180
----------
226,716
----------
INSURANCE--1.6%
100,000 ALLSTATE CORP., 7.20%, 12/01/09 ..................... 97,640
60,000 MBIA, INC., 6.63%, 10/01/28 ......................... 51,484
----------
149,124
----------
MACHINERY & ENGINEERING EQUIPMENT--1.1%
100,000 CATERPILLAR FINANCIAL SERVICES CORP., MTN,
5.89%, 06/17/02 ..................................... 97,903
----------
OIL & GAS--0.5%
50,000 CONOCO, INC., 5.90%, 04/15/04 ....................... 48,218
----------
PRINTING & PUBLISHING--0.3%
30,000 WASHINGTON POST CO., 5.50%, 02/15/09 ................ 26,659
----------
TELECOMMUNICATIONS--0.8%
75,000 AT&T CORP., 5.63%, 03/15/04 ......................... 70,827
----------
UTILITIES--1.1%
100,000 BALTIMORE GAS & ELECTRIC CO., SER. D, MTN,
6.90%, 02/01/05 ..................................... 99,067
----------
TOTAL CORPORATE NOTES & BONDS
(COST $1,125,193) ................................... 1,096,453
----------
RESIDENTIAL MORTGAGE BACKED SECURITIES--11.2%
78,296 FEDERAL HOME LOAN MORTGAGE CORP., GOLD POOL
E00532, 6.50%, 02/01/13 ............................. 76,363
</TABLE>
See notes to financial statements.
<PAGE>
page 20 Asset Allocation Portfolio (continued)
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
----- ------ -----
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION,
$ 38,887 POOL 313563, 10.50%, 03/01/18 ................. $ 41,742
203,914 POOL 323614, 6.50%, 02/01/14 .................. 198,879
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION,
118,439 POOL 423130, 8.50%, 10/15/29 ................... 121,289
125,404 POOL 461206, 6.50%, 01/15/28 ................... 120,388
294,185 POOL 487057, 6.50%, 03/15/29 ................... 282,418
114,401 POOL 513746, 7.00%, 08/15/29 ................... 112,256
69,387 POOL 518585, 6.50%, 11/15/29 ................... 66,611
----------
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES
(COST $1,024,041) .............................. 1,019,946
----------
TOTAL LONG-TERM INVESTMENTS
(COST $8,096,932) .............................. 8,972,020
----------
SHORT-TERM INVESTMENT--1.1%
REPURCHASE AGREEMENT--1.1%
101,000 GREENWICH CAPITAL MARKETS, INC., TRI PARTY,
6.64%, DUE 09/01/00, (DATED 08/31/00, PROCEEDS
$101,019, SECURED BY FNMA, $125,000, 6.00%, DUE
10/15/10; MARKET VALUE $104,925)
(COST $101,000) ................................ 101,000
----------
TOTAL INVESTMENTS--99.6%
(COST $8,197,932) .............................. $9,073,020
==========
</TABLE>
See notes to financial statements.
<PAGE>
page 21 U.S. Government Income Portfolio
Portfolio of Investments
August 31, 2000
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
----- ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--88.8%
U.S. TREASURY SECURITIES--56.0%
U.S. TREASURY NOTES & BONDS,
$ 700,000 5.63%, 05/15/08 ................................. $ 686,217
150,000 6.13%, 09/30/00 ................................. 149,931
500,000 6.50%, 05/31/01 ................................. 500,235
550,000 6.75%, 08/15/26 ................................. 612,392
675,000 8.50%, 02/15/20 ................................. 871,066
400,000 10.75%, 08/15/05 ................................ 478,812
----------
TOTAL U.S. TREASURY SECURITIES
(COST $3,331,191) ................................ 3,298,653
----------
U.S. GOVERNMENT AGENCY SECURITIES--22.4%
750,000 FEDERAL HOME LOAN BANK, 5.70%, 03/25/03 .......... 731,250
FEDERAL NATIONAL MORTGAGE ASSOCIATION,
469,000 5.13%, 02/13/04 ................................. 445,625
150,000 5.88%, 04/23/04 ................................. 144,047
----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(COST $1,352,445) ................................ 1,320,922
----------
MORTGAGE-BACKED PASS THROUGH SECURITY--10.4%
632,224 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION,
POOL 354779, 6.50%, 03/15/24
(COST $578,001) .................................. 609,895
----------
TOTAL LONG-TERM INVESTMENTS
(COST $5,261,637)................................. 5,229,470
----------
SHORT-TERM INVESTMENT--10.2%
REPURCHASE AGREEMENT--10.2%
599,000 GREENWICH CAPITAL MARKETS, INC., TRI PARTY,
6.64%, DUE 09/01/00, (DATED 08/31/00, PROCEEDS
$599,110, SECURED BY FHLMC, $645,000, 6.00%, DUE
11/15/22; MARKET VALUE $611,333)
(COST $599,000) .................................. 599,000
----------
TOTAL INVESTMENTS--99.0%
(COST $5,860,637) ................................ $5,828,470
==========
</TABLE>
Money Market Portfolio
Portfolio of Investments
August 31, 2000
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
----- ------ -----
<S> <C> <C>
U.S. TREASURY SECURITIES--9.0%
U.S. TREASURY BILLS,
$ 190,000 5.76%, 09/21/00 ...................................... $ 189,401
130,000 6.01%, 09/28/00 ...................................... 129,421
30,000 6.03%, 09/28/00 ...................................... 29,866
----------
TOTAL U.S. TREASURY SECURITIES
(COST $348,688) ....................................... 348,688
----------
COMMERCIAL PAPER--91.1%
AUTOMOTIVE--16.5%
115,000 AMERICAN HONDA FINANCE CORP., 6.55%, 10/10/00 ......... 114,190
195,000 DAIMLERCHRYSLER NORTH AMERICA CORP.,
(GERMANY), 6.57%, 09/20/00 ............................ 194,331
150,000 FORD MOTOR CREDIT CO., 6.56%, 10/18/00 ................ 148,727
185,000 GENERAL MOTORS ACCEPTANCE CORP., 6.57%,
09/12/00 .............................................. 184,633
----------
641,881
----------
BANKING--7.7%
100,000 ANZ, INC., 6.63%, 11/08/00 ............................ 98,763
200,000 BANCO DE GALICIA Y BUENOS AIRES SA DE CV,
(ARGENTINA), 6.63%, 09/22/00 .......................... 199,237
----------
298,000
----------
DIVERSIFIED--3.9%
150,000 GENERAL ELECTRIC CAPITAL CORP, 6.59%, 09/11/00 ........ 149,728
----------
FINANCIAL SERVICES--29.1%
150,000 CREGEM NORTH AMERICA, INC., 6.69%, 09/11/00 ........... 149,726
195,000 GOLDMAN SACHS GROUP LP, 6.74%, 02/15/01 ............... 189,102
194,000 HOMESIDE LENDING, INC., 6.55%, 10/11/00 ............... 192,599
200,000 KFW INTERNATIONAL FINANCE, INC., 6.65%, 09/27/00....... 199,053
150,000 MERRILL LYNCH & CO., INC., 6.58%, 09/15/00 ............ 149,619
140,000 SOCIETE GENERAL NORTH AMERICA, INC., 6.55%,
09/21/00 .............................................. 139,494
115,000 UBS FINANCE INC., (SWITZERLAND), 6.71%, 09/05/00 ...... 114,916
----------
1,134,509
----------
FOOD/BEVERAGE PRODUCTS--5.0%
195,000 HEINZ (H J) CO., 6.55%, 09/13/00 ...................... 194,578
----------
MANUFACTURING--5.1%
200,000 FORMOSA PLASTICS CORP. USA, 1998 USCP
PROGRAM, SER. II, 6.96%, 11/09/00 ..................... 197,420
----------
RETAILING--5.0%
197,000 ST. MICHAEL FINANCE LTD, (UNITED KINGDOM),
6.63%, 11/13/00 ....................................... 194,395
----------
TELECOMMUNICATIONS--9.7%
178,000 AT&T CORP., 6.63%, 11/15/00 ........................... 175,582
200,000 BELL ATLANTIC FINANCIAL SERVICES, INC., 6.56%,
09/12/00 .............................................. 199,604
----------
375,186
----------
</TABLE>
See notes to financial statements.
<PAGE>
page 22 Money Market Portfolio (continued)
Portfolio of Investments August 31, 2000
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
----- ------ -----
<S> <C> <C>
TELECOMMUNICATIONS EQUIPMENT--4.2%
$ 165,000 MOTOROLA CREDIT CORP., 6.58%, 09/15/00 .......... $ 164,582
----------
UTILITIES--4.9%
189,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE
CORP., 6.30%, 09/12/00 .......................... 188,648
----------
TOTAL COMMERCIAL PAPER
(COST $3,538,927) ............................... 3,538,927
----------
TOTAL INVESTMENTS--100.1%
(COST $3,887,615)+ .............................. $3,887,615
==========
</TABLE>
INDEX:
* = Non-income producing security.
# = Security may only be sold to qualified institutional buyers.
+ = The cost of securities is substantially the same for federal income
tax purposes.
ADR = American Depositary Receipt.
FHLMC = Federal Home Loan Mortgage Corporation.
FNMA = Federal National Mortgage Association.
MTN = Medium Term Note.
SER. = Series.
See notes to financial statements.
<PAGE>
Statement of Assets and Liabilities page 23
August 31, 2000
<TABLE>
<CAPTION>
Growth and Capital International
Income Growth Equity
Portfolio Portfolio Portfolio
--------- --------- ---------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value (Note 1) $16,262,592 $13,171,113 $7,845,519
Cash 90 568 41,751
Foreign Currency (Cost $65,180)(a) -- -- 60,175
Other assets 104 79 54
Receivables:
Investment securities sold 18,653 104,448 --
Portfolio shares sold -- 87 10,627
Dividends and interest 26,233 5,095 12,114
Variation margin -- -- 2,337
Expense reimbursement from VFD -- -- --
----------- ----------- ----------
TOTAL ASSETS 16,307,672 13,281,390 7,972,577
----------- ----------- ----------
LIABILITIES:
Payables:
Investment securities purchased 31,039 59,224 --
Portfolio shares redeemed 593 244 90
Accrued liabilities: (Note 2)
Investment advisory fees 1,362 -- --
Administration fees 2,724 -- --
Custodian fees 6,563 7,731 340
Other 42,786 37,211 11,847
----------- ----------- ----------
TOTAL LIABILITIES 85,067 104,410 12,277
----------- ----------- ----------
NET ASSETS:
Paid in capital 14,214,689 9,313,051 5,775,788
Accumulated undistributed (distributions in excess of) net
investment income 121,288 (1,127) (43,497)
Accumulated net realized gain (loss) on investments and futures
transactions (726,947) 866,720 1,398,559
Net unrealized appreciation (depreciation) of investments,
futures and assets and liabilities denominated in foreign
currencies 2,613,575 2,998,336 829,450
----------- ----------- ----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS $16,222,605 $13,176,980 $7,960,300
=========== =========== ==========
Shares of beneficial interest outstanding ($.001 par value;
unlimited number of shares authorized) 1,166,573 807,954 598,333
Net asset value, maximum offering price per share and
redemption price per share $ 13.91 $ 16.31 $ 13.30
=========== =========== ==========
Cost of investments $13,649,017 $10,172,777 $7,012,970
=========== =========== ==========
<CAPTION>
Asset U.S. Government Money
Allocation Income Market
Portfolio Portfolio Portfolio
--------- --------- ---------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value (Note 1) $9,073,020 $5,828,470 $3,887,615
Cash 644 80 3,529
Foreign Currency (Cost $65,180)(a) -- -- --
Other assets 59 39 26
Receivables:
Investment securities sold -- -- --
Portfolio shares sold -- -- --
Dividends and interest 46,559 56,400 --
Variation margin -- -- --
Expense reimbursement from VFD 15,959 19,457 19,817
---------- ---------- ----------
TOTAL ASSETS 9,136,241 5,904,446 3,910,987
---------- ---------- ----------
LIABILITIES:
Payables:
Investment securities purchased -- -- --
Portfolio shares redeemed 181 458 10,537
Accrued liabilities: (Note 2)
Investment advisory fees -- -- --
Administration fees -- -- --
Custodian fees 6,800 5,167 8,000
Other 17,151 14,293 9,014
---------- ---------- ----------
TOTAL LIABILITIES 24,132 19,918 27,551
---------- ---------- ----------
NET ASSETS:
Paid in capital 8,324,903 5,751,298 3,883,957
Accumulated undistributed (distributions in excess of) net
investment income 200,264 274,342 (58)
Accumulated net realized gain (loss) on investments and futures
transactions (288,146) (108,945) (463)
Net unrealized appreciation (depreciation) of investments,
futures and assets and liabilities denominated in foreign
currencies 875,088 (32,167) --
---------- ---------- ----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS $9,112,109 $5,884,528 $3,883,436
========== ========== ==========
Shares of beneficial interest outstanding ($.001 par value;
unlimited number of shares authorized) 805,617 623,328 3,883,926
Net asset value, maximum offering price per share and
redemption price per share $ 11.31 $ 9.44 $ 1.00
========== ========== ==========
Cost of investments $8,197,932 $5,860,637 $3,887,615
========== ========== ==========
</TABLE>
(a) Including foreign cash of $31,288 segregated for margin on futures
contracts.
See notes to financial statements.
<PAGE>
page 24 Statement of Operations
For the year ended August 31, 2000
<TABLE>
<CAPTION>
Growth and Capital
Income Growth
Portfolio Portfolio
--------- ---------
<S> <C> <C>
INVESTMENT INCOME: (Note 1B)
Interest $ 45,451 $ 50,963
Dividends 230,384 85,641
Foreign taxes withheld -- (75)
---------- ----------
TOTAL INVESTMENT INCOME 275,835 136,529
---------- ----------
EXPENSES: (Note 2)
Investment advisory fees 101,837 74,061
Administration fees 33,946 24,687
Accounting fees -- --
Custodian fees 51,848 53,029
Printing and postage 4,583 9,355
Professional fees 20,542 24,414
Transfer agent fees 16,856 18,065
Trustees' fees 843 1,134
Other 1,952 3,644
---------- ----------
TOTAL EXPENSES 232,407 208,389
---------- ----------
Less amounts waived (Note 2D) 79,079 96,183
Less expenses assumed by VFD (Note 2D) -- --
Less earnings credits (Note 2E) 478 1,114
---------- ----------
NET EXPENSES 152,850 111,092
---------- ----------
NET INVESTMENT INCOME (LOSS) 122,985 25,437
---------- ----------
NET REALIZED GAIN (LOSS) ON:
Investment transactions (412,544) 2,259,981
Futures transactions -- --
Foreign currency transactions -- --
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 1,901,066 766,596
Futures -- --
Foreign currency contracts and foreign currency translations -- --
---------- ----------
Net realized and unrealized gain 1,488,522 3,026,577
---------- ----------
Net increase in net assets from operations $1,611,507 $3,052,014
========== ==========
<CAPTION>
International Asset U.S. Government Money
Equity Allocation Income Market
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME: (Note 1B)
Interest $ 5,592 $ 261,717 $ 379,683 $239,917
Dividends 86,544 45,710 -- --
Foreign taxes withheld (12,948) (6) -- --
---------- ------------- ----------- --------
TOTAL INVESTMENT INCOME 79,188 307,421 379,683 239,917
---------- ------------ ----------- --------
EXPENSES: (Note 2)
Investment advisory fees 66,950 50,176 29,248 10,038
Administration fees 16,737 18,246 11,699 8,031
Accounting fees 64,585 -- -- --
Custodian fees 22,625 79,740 59,898 42,805
Printing and postage 6,631 3,597 2,932 2,119
Professional fees 23,004 22,410 21,371 20,161
Transfer agent fees 16,737 20,626 17,058 16,914
Trustees' fees 419 456 292 201
Other 1,043 2,319 2,829 432
---------- ------------ ----------- --------
TOTAL EXPENSES 218,731 197,570 145,327 100,701
---------- ------------ ----------- --------
Less amounts waived (Note 2D) 83,687 68,422 40,947 18,069
Less expenses assumed by VFD (Note 2D) 42,984 50,428 56,641 60,181
Less earnings credits (Note 2E) 3 1,163 926 365
---------- ------------ ----------- --------
NET EXPENSES 92,057 77,557 46,813 22,086
---------- ------------ ----------- --------
NET INVESTMENT INCOME (LOSS) (12,869) 229,864 332,870 217,831
---------- ------------ ----------- --------
NET REALIZED GAIN (LOSS) ON:
Investment transactions 1,446,805 (274,916) (108,945) 8
Futures transactions 5,626 8,942 -- --
Foreign currency transactions (21,663) -- -- --
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 1,281 847,815 211,485 --
Futures 9,977 (10,624) -- --
Foreign currency contracts and foreign currency translations (36,415) -- -- --
---------- ------------ ----------- --------
Net realized and unrealized gain 1,405,611 571,217 102,540 8
---------- ------------ ----------- --------
Net increase in net assets from operations $1,392,742 $ 801,081 $ 435,410 $217,839
========== ============ =========== ========
</TABLE>
See notes to financial statements.
<PAGE>
Statement of Changes in Net Assets page 25
For the year ended August 31,
<TABLE>
<CAPTION>
Growth and Income Capital Growth
Portfolio Portfolio
------------------------------- -------------------------------
2000 1999 2000 1999
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income $ 122,985 $ 106,946 $ 25,437 $ 74,035
Net realized gain (loss) on
investments, futures and foreign
currency transactions (412,544) (273,794) 2,259,981 (326,396)
Change in net unrealized appreciation/
depreciation on investments, futures
and foreign currency translations 1,901,066 3,731,059 766,596 3,485,901
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS 1,611,507 3,564,211 3,052,014 3,233,540
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income (47,277) (141,313) (77,220) (91,620)
Net realized gain on investment
transactions -- (3,026,944) (779,834) (1,211,368)
------------ ------------ ------------ ------------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS (47,277) (3,168,257) (857,054) (1,302,988)
------------ ------------ ------------ ------------
INCREASE (DECREASE) FROM CAPITAL
SHARE TRANSACTIONS:
Proceeds from shares issued 903,541 2,745,113 1,036,385 1,764,277
Dividends reinvested 47,277 3,168,265 857,054 1,302,988
Cost of shares redeemed (5,445,780) (4,525,706) (3,560,063) (3,444,937)
------------ ------------ ------------ ------------
INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS (4,494,962) 1,387,672 (1,666,624) (377,672)
------------ ------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS (2,930,732) 1,783,626 528,336 1,552,880
NET ASSETS:
Beginning of period 19,153,337 17,369,711 12,648,644 11,095,764
------------ ------------ ------------ ------------
End of period $ 16,222,605 $ 19,153,337 $ 13,176,980 $ 12,648,644
============ ============ ============ ============
Share Transactions:
Issued 69,980 206,744 73,130 138,153
Reinvested 3,746 10,795 66,541 103,819
Redeemed (423,222) (106,283) (251,852) (268,589)
------------ ------------ ------------ ------------
Change in shares (349,496) 111,256 (112,181) (26,617)
============ ============ ============ ============
<CAPTION>
International Equity Asset Allocation
Portfolio Portfolio
------------------------------- -------------------------------
2000 1999 2000 1999
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income $ (12,869) $ 2,343 $ 229,864 $ 227,541
Net realized gain (loss) on
investments, futures and foreign
currency transactions 1,430,768 35,296 (265,974) 57,995
Change in net unrealized appreciation/
depreciation on investments, futures
and foreign currency translations (25,157) 1,446,775 837,191 648,382
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS 1,392,742 1,484,414 801,081 933,918
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income -- (65,684) (250,511) (150,706)
Net realized gain on investment
transactions (242,807) (309,348) (67,251) (783,916)
------------- ------------- ------------- -------------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS (242,807) (375,032) (317,762) (934,622)
------------- ------------- ------------- -------------
INCREASE (DECREASE) FROM CAPITAL
SHARE TRANSACTIONS:
Proceeds from shares issued 837,144 540,673 315,535 1,873,665
Dividends reinvested 242,807 375,032 317,762 934,622
Cost of shares redeemed (1,606,148) (1,006,352) (1,328,360) (1,296,518)
------------- ------------- ------------- -------------
INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS (526,197) (90,647) (695,063) 1,511,769
------------- ------------- ------------- -------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 623,738 1,018,735 (211,744) 1,511,065
NET ASSETS:
Beginning of period 7,336,562 6,317,827 9,323,853 7,812,788
------------- ------------- ------------- -------------
End of period $ 7,960,300 $ 7,336,562 $ 9,112,109 $ 9,323,853
============= ============= ============= =============
Share Transactions:
Issued 59,891 52,457 29,366 168,082
Reinvested 17,788 37,761 30,292 84,851
Redeemed (125,252) (100,131) (123,821) (117,135)
------------- ------------- ------------- -------------
Change in shares (47,573) (9,913) (64,163) 135,798
============= ============= ============= =============
<CAPTION>
U.S. Government
Income Money Market
Portfolio Portfolio
------------------------------- -------------------------------
2000 1999 2000 1999
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income $ 332,870 $ 357,431 $ 217,831 $ 176,767
Net realized gain (loss) on
investments, futures and foreign
currency transactions (108,945) 111,284 8 216
Change in net unrealized appreciation/
depreciation on investments, futures
and foreign currency translations 211,485 (547,700) -- --
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS 435,410 (78,985) 217,839 176,983
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income (352,501) (341,109) (217,633) (177,389)
Net realized gain on investment
transactions (106,053) -- -- (316)
------------- ------------- ------------- -------------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS (458,554) (341,109) (217,633) (177,705)
------------- ------------- ------------- -------------
INCREASE (DECREASE) FROM CAPITAL
SHARE TRANSACTIONS:
Proceeds from shares issued 382,727 1,813,167 1,206,210 3,209,679
Dividends reinvested 458,554 341,107 217,633 178,002
Cost of shares redeemed (1,366,829) (1,882,389) (1,531,722) (2,674,958)
------------- ------------- ------------- -------------
INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS (525,548) 271,885 (107,879) 712,723
------------- ------------- ------------- -------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS (548,692) (148,209) (107,673) 712,001
NET ASSETS:
Beginning of period 6,433,220 6,581,429 3,991,109 3,279,108
------------- ------------- ------------- -------------
End of period $ 5,884,528 $ 6,433,220 $ 3,883,436 $ 3,991,109
============= ============= ============= =============
Share Transactions:
Issued 41,193 181,506 1,206,210 3,209,679
Reinvested 51,363 34,700 217,633 178,002
Redeemed (145,749) (189,910) (1,531,722) (2,674,958)
------------- ------------- ------------- -------------
Change in shares (53,193) 26,296 (107,879) 712,723
============= ============= ============= =============
</TABLE>
See notes to financial statements.
<PAGE>
page 26 Financial Highlights
<TABLE>
<CAPTION>
Growth and Income Portfolio
------------------------------------------------------------
Year Ended August 31,
2000 1999 1998 1997 1996
----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 12.63 $ 12.36 $ 15.16 $ 12.74 $ 11.48
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.11 0.06 0.09 0.15 0.29
Net gains or losses on investments
(both realized and unrealized) 1.21 2.58 (0.71) 3.99 1.52
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS 1.32 2.64 (0.62) 4.14 1.81
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.04 0.09 0.13 0.15 0.30
Distributions from capital gains -- 2.28 2.05 1.57 0.25
------- ------- ------- ------- -------
TOTAL DISTRIBUTIONS 0.04 2.37 2.18 1.72 0.55
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 13.91 $ 12.63 $ 12.36 $ 15.16 $ 12.74
======= ======= ======= ======= =======
TOTAL RETURN 10.44% 21.23% (5.45%) 35.53% 16.24%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $16,223 $19,153 $17,370 $15,002 $ 8,081
Ratios to Average Net Assets:
Expenses 0.90% 0.90% 0.90% 0.90% 0.90%
Net investment income 0.73% 0.54% 0.78% 1.18% 1.71%
Expenses without waivers,
reimbursements and earnings credits 1.37% 1.33% 1.70% 1.70% 1.98%
Net investment income without
waivers, reimbursements and earnings credits 0.26% 0.11% (0.02%) 0.38% 0.63%
Portfolio Turnover Rate 65% 114% 170% 89% 129%
<CAPTION>
Capital Growth Portfolio
-------------------------------------------------------------
Year Ended August 31,
2000 1999 1998 1997 1996
----------- ----------- ------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 13.75 $ 11.72 $ 15.52 $ 13.84 $ 11.90
------- ------- --------- ------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.07 0.10 0.09 0.16
Net gains or losses on investments
(both realized and unrealized) 3.54 3.37 (2.37) 3.42 2.14
------- ------- --------- ------- --------
TOTAL FROM INVESTMENT OPERATIONS 3.57 3.44 (2.27) 3.51 2.30
------- ------- --------- ------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.09 0.09 0.09 0.10 0.14
Distributions from capital gains 0.92 1.32 1.44 1.73 0.22
------- ------- --------- ------- --------
TOTAL DISTRIBUTIONS 1.01 1.41 1.53 1.83 0.36
------- ------- --------- ------- --------
NET ASSET VALUE, END OF PERIOD $ 16.31 $ 13.75 $ 11.72 $ 15.52 $ 13.84
======= ======= ========= ======= ========
TOTAL RETURN 27.92% 30.59% (16.38%) 27.27% 19.66%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $13,177 $12,649 $ 11,096 $12,373 $ 7,910
Ratios to Average Net Assets:
Expenses 0.90% 0.90% 0.90% 0.90% 0.90%
Net investment income 0.21% 0.59% 0.72% 0.64% 0.97%
Expenses without waivers,
reimbursements and earnings credits 1.69% 1.70% 1.70% 1.70% 1.97%
Net investment income without
waivers, reimbursements and earnings credits (0.58%) (0.21%) (0.08%) (0.16%) (0.10%)
Portfolio Turnover Rate 128% 27% 71% 54% 107%
</TABLE>
<TABLE>
<CAPTION>
International Equity Portfolio
-----------------------------------------------------------------
Year Ended August 31,
2000 1999 1998 1997 1996
----------- ------------ ---------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 11.36 $ 9.63 $ 10.45 $ 10.59 $ 10.89
-------- -------- --------- ------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (0.03) -- 0.02 (b) 0.19 0.22
Net gains or losses on investments
(both realized and unrealized) 2.38 2.32 (0.28) 0.65 0.03
-------- -------- --------- ------- --------
TOTAL FROM INVESTMENT OPERATIONS 2.35 2.32 (0.26) 0.84 0.25
-------- -------- --------- ------- --------
LESS DISTRIBUTIONS:
Dividends from net investment income -- 0.10 0.18 0.13 0.25
Distributions from capital gains 0.41 0.49 0.38 0.85 0.30
-------- -------- --------- ------- --------
TOTAL DISTRIBUTIONS 0.41 0.59 0.56 0.98 0.55
-------- -------- --------- ------- --------
NET ASSET VALUE, END OF PERIOD $ 13.30 $ 11.36 $ 9.63 $ 10.45 $ 10.59
======== ======== ========= ======= ========
TOTAL RETURN 20.58% 25.03% (2.46%) 8.27% 2.42%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $ 7,960 $ 7,337 $ 6,318 $ 5,421 $ 3,901
Ratios to Average Net Assets:
Expenses 1.10% 1.10% 1.10% 1.11% 1.10%
Net investment income (0.15%) 0.04% 0.19% 1.96% 0.82%
Expenses without waivers,
reimbursements and earnings credits 2.62% 3.24% 3.05% 2.99% 4.22%
Net investment income without
waivers, reimbursements and earnings credits (1.67%) (2.10%) (1.76%) 0.08% (2.30%)
Portfolio Turnover Rate 102% 170% 157% 158% 200%
<CAPTION>
Asset Allocation Portfolio
-----------------------------------------------------------
Year Ended August 31,
2000 1999 1998 1997 1996
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 10.72 $ 10.64 $ 11.57 $ 11.15 $ 11.04
------- ------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.29 0.24 0.28 0.33 0.66
Net gains or losses on investments
(both realized and unrealized) 0.68 1.04 (0.25) 1.94 0.49
------- ------- -------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS 0.97 1.28 0.03 2.27 1.15
------- ------- -------- ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.30 0.18 0.30 0.30 0.67
Distributions from capital gains 0.08 1.02 0.66 1.55 0.37
------- ------- -------- ------- -------
TOTAL DISTRIBUTIONS 0.38 1.20 0.96 1.85 1.04
------- ------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 11.31 $ 10.72 $ 10.64 $ 11.57 $ 11.15
======= ======= ======== ======= =======
TOTAL RETURN 9.31% 11.88% (0.04%) 22.61% 10.90%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $ 9,112 $ 9,324 $ 7,813 $ 6,282 $ 4,033
Ratios to Average Net Assets:
Expenses 0.85% 0.85% 0.85% 0.85% 0.85%
Net investment income 2.52% 2.48% 2.81% 3.28% 3.18%
Expenses without waivers,
reimbursements and earnings credits 2.16% 1.90% 1.91% 2.03% 2.33%
Net investment income without
waivers, reimbursements and earnings credits 1.21% 1.43% 1.75% 2.10% 1.71%
Portfolio Turnover Rate 145% 112% 162% 122% 155%
</TABLE>
(b) Net investment income per share has been calculated based on average shares
outstanding during the period.
See notes to financial statements.
<PAGE>
Financial Highlights (continued) page 27
<TABLE>
<CAPTION>
U.S. Government Income Portfolio++
--------------------------------------------------------
Year Ended August 31,
2000 1999 1998 1997 1996
---------- ----------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 9.51 $ 10.12 $ 9.40 $ 9.53 $ 10.69
------ -------- ------- ------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.59 0.52 0.39 0.52 1.17
Net gains or losses on investments
(both realized and unrealized) 0.10 (0.62) 0.64 0.22 (0.86)
------ -------- ------- ------ --------
TOTAL FROM INVESTMENT OPERATIONS 0.69 (0.10) 1.03 0.74 0.31
------ -------- ------- ------ --------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.58 0.51 0.31 0.54 1.13
Distributions from capital gains 0.18 -- -- 0.33 0.34
------ -------- ------- ------ --------
TOTAL DISTRIBUTIONS 0.76 0.51 0.31 0.87 1.47
------ -------- ------- ------ --------
NET ASSET VALUE, END OF PERIOD $ 9.44 $ 9.51 $ 10.12 $ 9.40 $ 9.53
====== ======== ======= ====== ========
TOTAL RETURN 7.80% (1.15%) 11.12% 8.11% 2.62%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $5,885 $ 6,433 $ 6,581 $3,801 $ 2,994
Ratios to Average Net Assets:
Expenses 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income 5.70% 5.35% 5.40% 5.91% 6.06%
Expenses without waivers,
reimbursements and earnings credits 2.49% 1.97% 1.99% 1.50% 1.79%
Net investment income without
waivers, reimbursements and earnings credits 4.01% 4.18% 4.21% 5.21% 5.07%
Portfolio Turnover Rate 37% 31% 14% 40% 83%
<CAPTION>
Money Market Portfolio
------------------------------------------------------
Year Ended August 31,
2000 1999 1998 1997 1996
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05 0.05 0.05 0.05 0.05
Net gains or losses on investments
(both realized and unrealized) -- -- -- -- --
------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS 0.05 0.05 0.05 0.05 0.05
------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.05 0.05 .05 0.05 0.05
Distributions from capital gains -- -- -- -- --
------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS 0.05 0.05 0.05 0.05 0.05
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00
====== ====== ====== ====== ======
TOTAL RETURN 5.57% 4.66% 5.04% 4.93% 5.15%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $3,883 $3,991 $3,279 $4,854 $2,950
Ratios to Average Net Assets:
Expenses 0.55% 0.55% 0.55% 0.55% 0.55%
Net investment income 5.43% 4.54% 4.94% 4.84% 5.10%
Expenses without waivers,
reimbursements and earnings credits 2.51% 2.28% 2.24% 1.46% 1.74%
Net investment income without
waivers, reimbursements and earnings credits 3.47% 2.81% 3.25% 3.93% 3.91%
Portfolio Turnover Rate -- -- -- -- --
</TABLE>
++ On 12/27/96, the Portfolio changed its name from U.S. Treasury Income
Portfolio to U.S. Government Income Portfolio.
See notes to financial statements.
<PAGE>
page 28
Notes to Financial Statements
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES--Mutual Fund Variable
Annuity Trust (the "Trust") was organized on April 14, 1994 as a
Massachusetts business trust, and is registered under the Investment
Company Act of 1940 (the "1940 Act"), as amended, as an open-end
management investment company. The Trust was established to provide a
funding medium for variable annuity contracts issued by life insurance
companies. Shares of the Trust are issued only to insurance company
separate accounts in connection with variable annuity contracts. The
Trust issues six separate series of shares (the "Portfolio(s)"), each of
which represents a separately managed portfolio of securities with its
own investment objectives. The Portfolios are the Growth and Income
Portfolio ("GIP"), Capital Growth Portfolio ("CGP"), International Equity
Portfolio ("IEP"), Asset Allocation Portfolio ("AAP"), U.S. Government
Income Portfolio ("USGIP") and Money Market Portfolio ("MMP").
THE FOLLOWING IS A SUMMARY
OF SIGNIFICANT ACCOUNTING POLICIES
FOLLOWED BY THE PORTFOLIOS:
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
A. Valuation of Investments--Equity securities and options are valued at
the last sale price on the exchange on which they are primarily traded,
including the NASDAQ National Market. Securities for which sale prices
are not available and other over-the-counter securities are valued at
the last quoted bid price.
Except for MMP, bonds and other fixed income securities (other than
short-term obligations), including listed issues, are valued on the
basis of valuations furnished by a pricing service. In making such
valuations, the pricing service utilizes both dealer-supplied
valuations and electronic data processing techniques that take into
account appropriate factors such as institutional-sized trading in
similar groups of securities, yield, quality, coupon rate, maturity,
type of issue, trading characteristics and other market data, without
exclusive reliance upon quoted prices. Short-term obligations are
valued at amortized cost if acquired with fewer than 61 days to
maturity, or at value, based on quoted exchange or over-the-counter
prices, until the 61st day prior to maturity and thereafter by
amortizing the value on the 61st day to par at maturity.
Money market instruments held by MMP are valued at amortized cost,
which approximates market value. The Trust's use of amortized cost is
subject to the Trust's compliance with certain conditions as specified
under Rule 2a-7 of the 1940 Act.
Portfolio securities for which there are no such quotations or
valuations are valued at fair value as determined in good faith by or
at the direction of the Trustees.
B. Security Transactions and Investment Income-- Investment transactions
are accounted for on the trade date (the date the order to buy or sell
is executed). Securities gains and losses are calculated on the
identified cost basis. Interest income is accrued as earned. Dividend
income is recorded on the ex-dividend date.
Purchases of to be announced (TBA), when-issued or delayed delivery
securities may be settled a month or more after the trade date;
interest income is not accrued until settlement date. Each Fund
segregates assets with a current value at least equal to the amount of
its TBA, when-issued and delayed delivery purchase commitments.
C. Repurchase agreements--It is the Portfolios' policy that all repurchase
agreements are fully collateralized by U.S. Treasury and Government
Agency securities. All collateral is held by the Portfolio's custodian
bank, sub-custodian or a bank with which the custodian bank has entered
into a sub-custodian agreement or is segregated in the Federal Reserve
Book Entry System. If the seller of a repurchase agreement defaults and
the value of the collateral declines, or if the seller enters into an
insolvency proceeding, realization of the collateral by the Portfolio
may be delayed or limited.
D. Futures Contracts--When a Portfolio enters into a futures contract, it
makes an initial margin deposit in a segregated account, either in cash
or liquid securities. Thereafter, the futures contract is marked to
market and the Portfolio makes (or receives) additional cash payments
daily to (or from) the broker. Changes in the value of the contract are
recorded as unrealized appreciation/depreciation until the contract is
closed or settled.
The Portfolios may enter into futures contracts only on exchanges or
boards of trade. The exchange or board of trade acts as the
counterparty to each futures transaction; therefore, the Portfolio's
credit risk is limited to failure of the exchange or board of trade.
<PAGE>
Notes to Financial Statements (continued) page 29
IEP may invest a portion of its liquid assets in index futures
contracts to control the asset mix of the Portfolio in the most
efficient manner. This allows the fund manager to more fully
participate in the market, adjusting country exposures while incurring
minimal transaction costs. Long index futures contracts are used to
gain exposure to equities when the fund manager anticipates that this
will be more efficient than buying stocks directly. The use of long
futures contracts subjects the Portfolio to risk of loss up to the
amount of the value of the contract. Short index futures contracts are
used for hedging purposes (to reduce the exposure to equities). The use
of short futures contracts subjects the Portfolio to unlimited risk of
loss.
AAP may invest in interest rate futures contracts as a hedge against
rate risk or to change the duration of the fixed income components of
the Portfolio.
As of August 31, 2000, the Portfolios had outstanding futures contracts
as described on their respective Portfolio of Investments.
E. Foreign Currency Translations--The books and records of the Portfolios
are maintained in U.S. dollars. Foreign currency amounts are translated
into U.S. dollars at the official exchange rates, or at the mean of the
current bid and asked prices of such currencies against the U.S. dollar
last quoted by a major bank on the following basis:
(1) Market value of investment securities, other assets and
liabilities: at the closing rate of exchange at the balance sheet date.
(2) Purchases and sales of investment securities and income and
expenses: at the rates of exchange prevailing on the respective dates
of such transactions.
Reported realized foreign exchange gains or losses arise from
disposition of foreign currency, currency gains or losses realized
between the trade and settlement dates on securities transactions, and
the difference between the amounts of dividends, interest, and foreign
withholding taxes recorded on the Portfolios' books on the transaction
date and the U.S. dollar equivalent of the amounts actually received or
paid. Unrealized foreign exchange gains and losses arise from changes
(due to the changes in the exchange rate) in the value of foreign
currency and other assets and liabilities denominated in foreign
currencies which are held at period end.
F. Forward Foreign Currency Exchange Contracts-- A forward foreign
currency contract is an obligation to purchase or sell a specific
currency for an agreed price at a future date. Each day the forward
contract is open, changes in the value of the contract are recognized
as unrealized gains or losses by "marking to market." When the forward
contract is closed, or the delivery of the currency is made or taken,
the Portfolio records a realized gain or loss equal to the difference
between the proceeds from (or cost of) the closing transaction and the
Portfolio's basis in the contract. The Portfolios are subject to off
balance sheet risk to the extent of the value of the contract for
purchases of currency and in an unlimited amount for sales of currency.
G. Federal Income Tax Status--It is each Portfolio's policy to comply with
the requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute all of its taxable income to its
shareholders. Accordingly, no federal income tax provision is required.
H. Dividends and Distributions to Shareholders--The Portfolios record
dividends and distributions to their shareholders on the ex-dividend
date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined in accordance with
federal income tax regulations which may differ from generally accepted
accounting principles. These differences are either considered
temporary or permanent in nature. To the extent these differences are
permanent in nature, such amounts are reclassified within the capital
accounts based on their federal tax-basis treatment.
The reclassifications for CGP relate primarily to the character for tax
purposes of current year distributions. The reclassifications for IEP
relate primarily to the character for tax purposes of net operating
losses and current year distributions. The following accounts were
increased or decreased as shown below:
<TABLE>
<CAPTION>
CGP IEP
--- ---
<S> <C> <C>
Paid in capital $ (33) $ (173,482)
Accumulated undistributed
(distributions in excess of)
net investment income 50,098 79,019
Accumulated net realized
gain (loss) on investments
and futures transactions (50,065) 94,463
</TABLE>
Dividends and distributions which exceed net investment income and net
realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net
<PAGE>
page 30 Notes to Financial Statements (continued)
investment income or distributions in excess of net realized capital
gains. To the extent they exceed net investment income and net realized
capital gains for tax purposes, they are reported as distributions of
paid-in-capital.
I. Expenses--Direct expenses of a Portfolio are charged to the respective
Portfolio. General Trust expenses are allocated on the basis of
relative net assets or on another reasonable basis.
2. FEES AND OTHER TRANSACTIONS
WITH AFFILIATES
A. Investment Advisory Fees--The Chase Manhattan Bank ("Chase"), a direct
wholly-owned subsidiary of the Chase Manhattan Corporation, is the
Portfolios' investment advisor (the "Advisor") and custodian (the
"Custodian"). The Advisor manages the assets of the Portfolios pursuant
to an Advisory Agreement and, for such services, is paid an annual fee
computed daily and paid monthly based on an annual rate equal to 0.80%
of the International Equity Portfolio's, 0.60% of the Capital Growth
and Growth and Income Portfolios', 0.55% of the Asset Allocation
Portfolio's, 0.50% of the U.S. Government Income Portfolio's and 0.25%
of the Money Market Portfolio's average daily net assets. The Advisor
voluntarily waived fees as shown in 2.D.
Chase Asset Management, Inc. ("CAM"), a registered investment advisor,
is the sub-investment advisor to each Portfolio pursuant to a Sub-
Investment Advisory Agreement between CAM and Chase. CAM is a
wholly-owned subsidiary of Chase and is entitled to receive a fee,
payable by Chase from its advisory fee, at an annual rate equal to
0.30% of the Growth and Income and Capital Growth Portfolios', 0.25% of
the Asset Allocation and U.S. Government Income Portfolios' and 0.10%
of the Money Market Portfolio's average daily net assets.
Chase Asset Management (London) Limited (CAM London), a registered
investment advisor, is the sub-investment advisor to the International
Equity Portfolio pursuant to a Sub-Investment Advisory Agreement
between CAM London and Chase. CAM London is a wholly-owned subsidiary
of Chase and is entitled to receive a fee, payable by Chase from its
advisory fee, at an annual rate equal to 0.40% of the average daily net
assets of the International Equity Portfolio.
B. Administration Fee--Pursuant to an Administration Agreement, Chase (the
"Administrator") provides certain administration services to the
Portfolios. For these services, the Administrator receives from each
Portfolio a fee computed at an annual rate equal to 0.05% of the
respective Portfolio's average daily net assets. The Administrator
voluntarily waived fees as shown in 2.D.
C. Sub-Administration Fees--Pursuant to a Sub-Administration Agreement,
Vista Fund Distributors, Inc. ("VFD" or the "Sub-Administrator"), an
indirect wholly-owned subsidiary of The BISYS Group Inc., provides
certain sub-administration services to the Portfolios, including
providing officers, clerical staff and office space for an annual fee
of 0.15% of the average daily net assets of each Portfolio. The
Sub-Administrator voluntarily waived fees as shown in 2.D.
D. Assumption of Expenses--For the year ended August 31, 2000, the
Portfolios' vendors voluntarily waived expenses as follows:
<TABLE>
<CAPTION>
GIP CGP IEP AAP USGIP MMP
--- --- --- --- ----- ---
<S> <C> <C> <C> <C> <C> <C>
Advisory $79,079 $74,061 $66,950 $50,176 $29,248 $10,038
Administration -- 22,122 16,737 18,246 11,699 8,031
The Sub-Administrator voluntarily reimbursed certain expenses of the
portfolios:
Assumed
Expenses -- -- $42,984 $50,428 $56,641 $60,181
</TABLE>
E. Other--Chase provides portfolio custody and fund accounting services
for all of the Portfolios, with the exception of the IEP for which it
provides only custody services. Compensation for such services from
Chase is presented in the Statement of Operations as Custodian fees.
Custodian fees are subject to reduction by credits earned by each Fund,
based on cash balances held by Chase as custodian. Such earnings
credits are presented separately in the Statement of Operations. The
Funds could have invested the cash balances utilized in connection with
the earnings credit arrangements in income producing assets if they had
not entered into such arrangements.
The Trust has adopted an unfunded noncontributory defined benefit
pension plan covering all independent trustees of the Trust who will
have served as an independent trustee for at least five years at the
time of retirement. Benefits under this plan are based on compensation
and years of service. Pension expenses for the year ended August 31,
2000, included in Trustees Fees in the Statement of Operations, and
accrued pension liability included in other
<PAGE>
Notes to Financial Statements (continued) page 31
accrued liabilities in the Statement of Assets and Liabilities were as follows:
<TABLE>
<CAPTION>
Accrued
Pension Pension
Expenses Liability
Portfolio: ---------- ----------
<S> <C> <C>
Growth and Income Portfolio $322 $1,461
Capital Growth Portfolio 222 1,127
International Equity Portfolio 147 612
Asset Allocation Portfolio 165 706
U.S. Government Income
Portfolio 100 481
Money Market Portfolio 68 361
</TABLE>
3. INVESTMENT TRANSACTIONS--For the year ended August 31, 2000, the cost of
purchases and proceeds from sales of investments (excluding short-term
investments) were as follows:
<TABLE>
<CAPTION>
GIP CGP IEP AAP USGIP
--- --- --- --- -----
<S> <C> <C> <C> <C> <C>
Purchases
(excluding U.S.
Government) $10,551,330 $14,672,294 $8,278,404 $7,094,051 $ --
Sales (excluding
U.S. Government) 13,759,039 15,095,657 9,221,894 6,896,685 --
Purchases of
U.S. Government -- -- -- 5,608,791 2,057,773
Sales of
U.S. Government -- -- -- 6,214,485 2,959,031
</TABLE>
4. FEDERAL INCOME TAX MATTERS--For Federal income tax purposes, the cost and
unrealized appreciation/(depreciation) in value of the investment
securities at August 31, 2000, are as follows:
<TABLE>
<CAPTION>
GIP CGP IEP AAP USGIP
--- --- --- --- -----
<S> <C> <C> <C> <C> <C>
Aggregate cost $ 13,649,194 $10,190,693 $7,029,771 $8,198,203 $5,870,032
------------ ----------- ---------- ---------- ----------
Gross unrealized
appreciation $ 3,720,542 $ 3,338,287 $1,318,142 $1,294,158 $ 43,059
Gross unrealized
depreciation (1,107,144) (357,867) (502,394) (419,341) (84,621)
------------ ----------- ---------- ---------- ----------
Net unrealized
appreciation/
(depreciation) $ 2,613,398 $ 2,980,420 $ 815,748 $ 874,817 $ (41,562)
============ =========== ========== ========== ==========
</TABLE>
At August 31, 2000, the following Portfolios had capital loss carryovers
which will be available to offset capital gains. To the extent that any
net capital loss carryovers are used to offset future capital gains, it is
probable that the gains so offset will not be distributed to shareholders.
<TABLE>
<CAPTION>
Expiration
Portfolio Amount Date
--------- ------ ----
<S> <C> <C>
GIP $224,525 Aug. 31, 2007
502,245 Aug. 31, 2008
--------
726,770
AAP 67,791 Aug. 31, 2008
USGIP 49,658 Aug. 31, 2008
MMP 405 Aug. 31, 2008
</TABLE>
5. FOREIGN CASH POSITIONS--International Equity Portfolio
<TABLE>
<CAPTION>
Net
Delivery Market Unrealized
Value (Local Value Gain (Loss)
Currency Currency) Cost (USD) (USD) (USD)
-------- --------- ---------- ----- -----
<S> <C> <C> <C> <C>
Australian Dollar 58,955 $38,261 $33,997 $(4,264)
British Pound Sterling 454 679 659 (20)
EURO 12,499 11,737 11,093 (644)
Greek Drachma 60,000 215 158 (57)
Hong Kong Dollar 1,284 165 165 --
Indonesian Rupiah 894,077 58 107 49
Japanese Yen 389,310 3,569 3,648 79
Malaysian Ringgit 1,835 432 483 51
Mexican Nuevo Peso 93 10 10 --
Philippine Peso 22,439 536 498 (38)
Singapore Dollar 6,183 3,593 3,592 (1)
South African Rand 87 14 13 (1)
Swedish Krona 387 44 41 (3)
Swiss Franc 2,671 1,604 1,532 (72)
Thai Baht 170,805 4,263 4,179 (84)
------- ------- ---------
$65,180 $60,175 $(5,005)
======= ======= =========
</TABLE>
6. CONCENTRATION OF SHAREHOLDERS
At August 31, 2000, all shares outstanding for each Portfolio are owned
either directly or indirectly by a single insurance company.
7. CONCENTRATION OF CREDIT RISK
As of August 31, 2000, MMP and GIP invested 36.8% and 33.1%, respectively,
of their net assets in securities issued by institutions in the financial
services industry including banks, broker dealers and insurance companies.
General economic conditions, as well as exposure to credit losses arising
from possible financial difficulties of borrowers, play an important role
in the operation of the financial services industry.
IEP invested 24.3% and 23.1% of its net assets in Japan and the United
Kingdom, respectively. The issuers' abilities to meet their obligations
may be affected by economic or political developments in a specific
country or region.
8. BANK BORROWINGS
IEP may borrow money for temporary or emergency purposes. Any borrowings
representing more than 5% of IEP's total assets must be repaid before IEP
may make additional investments. IEP has entered into an agreement,
enabling it to participate with other Chase Vista Funds in an unsecured
line of credit with a syndicate of banks, which permits borrowings up to
$350 million, collectively. Interest is charged to IEP based on its
borrowings at an annual rate equal to the sum of the
<PAGE>
page 32 Notes to Financial Statements (continued)
Federal Funds Rate plus 0.50%. IEP also pays a commitment fee of 0.10% per
annum on the average daily amount of the available commitment, which is
allocated on a pro-rata basis to IEP. The commitment fee is included in
Other expenses on the Statement of Operations. Borrowings are payable on
demand.
IEP had no borrowings outstanding at August 31, 2000, nor at any time
during the year then ended.
9. SUBSEQUENT EVENTS
Effective September 5, 2000, CAM changed its name to Chase Fleming Asset
Management (USA) Inc.
Effective September 5, 2000, CAM London changed its name to Chase Fleming
Asset Management (London) Limited.
<PAGE>
Report of Independent Accountants page 33
To the Trustees and Shareholders of
Mutual Fund Variable Annuity Trust
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Growth and Income
Portfolio, Capital Growth Portfolio, International Equity Portfolio, Asset
Allocation Portfolio, U.S. Government Income Portfolio and Money Market
Portfolio (separate portfolios constituting Mutual Fund Variable Annuity Trust,
hereafter referred to as the "Trust") at August 31, 2000, the results of each
of their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the financial
highlights for each of the five years in the period then ended, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at August 31, 2000 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
October 11, 2000
<PAGE>
A-7036-CRT
(c)The Chase Manhattan Corporation, 2000. All Rights Reserved. October, 2000
F-7036(CMB)
VCA-2-1000
