SEMI-ANNUAL REPORT
(UNAUDITED)
FEBRUARY 29, 2000
VISTA CAPITAL ADVANTAGE (SM)
MUTUAL FUND VARIABLE ANNUITY TRUST
Vista Fund Distributors, Inc., distributor
This report must be accompanied or preceded by a current prospectus for Vista
Capital Advantage
<PAGE>
VISTA
CAPITAL ADVANTAGE
MANAGED BY CHASE MANHATTAN
April 10, 2000
Dear Vista Capital Advantage Contract Owner:
Enclosed is the February 29, 2000 Semi-Annual Report of the Mutual Fund
Variable Annuity Trust, whose portfolios serve as the underlying investments
for the Vista Capital Advantage variable annuity.
The table below shows the one year and since inception results, after the
deduction of all insurance and withdrawal fees, of the accounts in the Vista
Capital Advantage at February 29, 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 2/29/002(2)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
Portfolio (Contract Inception Date) One-Year Since Inception
- --------------------------------------------------------------------------
<S> <C> <C>
Growth and Income (3/13/95) -8.60% 12.98%
Capital Growth (3/13/95) 16.23% 14.94%
International Equity (3/13/95) 47.23% 13.57%
Asset Allocation (3/13/95) -5.78% 8.98%
U.S. Government Income (7/13/95) -6.70% 2.39%
Money Market (6/2/95)3 -2.76% 2.71%
7-day current yield as of 2/29/00; 3.81%
</TABLE>
First SunAmerica Life Insurance Company Policy Holders (New York)
Average Annual Total Return as of 2/29/002(2)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
Portfolio (Contract Inception Date) One-Year Since Inception
- --------------------------------------------------------------------------
<S> <C> <C>
Growth and Income (12/6/95) -8.61% 10.45%
Capital Growth (12/6/95) 16.19% 12.22%
International Equity (12/22/95) 47.17% 13.58%
Asset Allocation (12/22/95) -5.79% 7.38%
U.S. Government Income (12/22/95) -6.69% 2.06%
Money Market (12/22/93)(3) -2.69% 2.81%
7-day current yield as of 2/29/00; 3.87%
</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.
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
28-32 Notes to Financial Statements
</TABLE>
-----------------------------------
The financial information in this
report has been taken from the
books and records of the funds
without examination by independent
accountants, who express no
opinion thereto.
-----------------------------------
--------------------------------------------------------------------------
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
April 10, 2000
Dear Vista Capital Advantage Investor:
We are pleased to present this semi-annual report on the six portfolios
underlying the Vista Capital Advantage Variable Annuity for the six-month
period ended February 29, 2000. This report summarizes each portfolio's
performance in light of events in the financial markets and the economy.
U.S. Economy Continues to Expand
During the period, economic conditions were favorable, with consumer confidence
hovering near record levels and consumer spending showing little sign of
slowing from its torrid pace. Wage pressures and consumer prices remained in
check, though fears of higher inflation persisted.
Given this backdrop, the Federal Reserve raised short-term interest rates
twice: first in November and again in February. The November rate hike was the
third in 1999, offsetting the three rate cuts made by the Fed at the end of
1998 during the wake of the Asian financial crisis.
Technology Stocks Lead U.S. Market Higher
U.S equities recorded good investment results. Technology stocks led the
advance, thanks to their better-than-expected earnings. Technology companies
were hardly affected by concerns over higher short-term interest rates because
many of these businesses use their stock as currency to finance the growth of
their operations. The threat of higher inflation also had little impact on the
value of their share prices. The projected earnings growth rates of these
companies are so significant compared to most other sectors, that a modest
increase in prices is not expected to have a significant effect on their
near-term earnings capabilities.
European and Asian Stocks Advance
European and Asian markets posted good investment results, bolstered by
improving market and economic conditions. Early in the period, the Bank of
England surprised the market by raising interest rates to cool inflation fears
ignited by global economic expansion. Soon after, the Japanese government
announced a fiscal stimulus package for 2000 equal in size to 1998's
record-setting spending package. At the end of the period, the Japanese economy
was showing several encouraging signs, as evidenced by the meaningful increases
in machinery orders and industrial production.
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 produced a total return of (3.22%) for the
six-month period ended February 29, 2000.
Strategy
Favorable economic and market conditions and good stock selection contributed
favorably to the Portfolio's investment results. Performance was affected by
the fact that highly valued stocks posted exceptional returns compared to many
of the attractively-priced, value-oriented stocks represented in the Portfolio.
The Portfolio's investment in the technology sector proved beneficial to
shareholders, thanks to the strong run-up in the values of these securities.
Some of our better performing holdings in this group included General
Instrument, Motorola and Geradyne, a semi-conductor company.
The Portfolio's investment in the financial services sector was mixed, as many
banks and insurance companies came under pressure due to concerns over rising
interest rates. Morgan Stanley Dean Witter was among our better performing
financial holdings.
The Portfolio used the downturn in attractively-priced, fundamentally-sound
companies as an opportunity to add selectively to certain value-oriented
stocks. Although value stocks have underperformed growth stocks for several
years, they now offer compelling valuations for long-term investing.
Outlook
Our outlook for the Portfolio is positive, due to the strong money flows going
into equity funds as well as our positive forecast for corporate profits and
the Federal Reserve's commitment to keep inflation under control. However,
since investors are still unsure about the Fed's monetary policy for the rest
of 2000, markets may likely remain volatile.
In this environment, stock selection will remain an important factor in
delivering good investment results. As always, we will continue to focus our
research efforts on fundamentally-sound companies with superior earnings growth
potential selling at attractive prices.
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 $20,062 from inception on 3/1/95 through
2/29/00.*
Investment Results
- -----------------------------------------
Average Annual Total Return as of 2/29/00
<TABLE>
<S> <C>
One year -1.18%
Since Inception (3/1/95) 14.95%
</TABLE>
- -----------------------------------------
[Begin Bar Chart]
<TABLE>
<CAPTION>
Growth
and
Income S&P
Portfolio 500
<S> <C>
10000 10000
12768 13465.9
15543.9 16983.4
20488 22922.9
20301.7 27449.1
20061.8 30667.1
</TABLE>
[End Bar Chart]
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 produced a total return of 10.51% for the
six-month period ended February 29, 2000.
Strategy
The Capital Growth Portfolio performed well during the period, thanks to
outstanding stock selection, particularly among those sectors that
significantly outperformed the broader market. Good economic conditions,
punctuated by high consumer confidence and benign inflation, also added to the
Portfolio's relatively good investment results.
During the period, the Portfolio benefited from its exposure to so-called 'new
economy' stocks, many of which are in the telecommunications and media sectors.
Stocks in these groups increased in value thanks to strong corporate earnings
and a positive outlook for further earnings expansion.
Specifically, the Portfolio enjoyed good performance from Atmel, a
semiconductor company; Comverse Technology, which provides messaging technology
for telecom companies; and Intuit, the Internet software company.
The Portfolio's investment in the financial services sector was mixed, as many
banks and insurance companies came under pressure due to concerns over rising
interest rates. Morgan Stanley Dean Witter was among the better performing
financial stocks in the Portfolio.
Management's decision to reduce exposure to value-oriented sectors, most
notably basic materials and capital goods, contributed positively to investment
results, as stocks in these groups and other value sectors underperformed the
broader market.
Outlook
Due to the favorable economic environment and our positive outlook for
corporate profitability, we remain optimistic about the market. In addition, we
continue to be bullish on the growth potential of new economy stocks, despite
their strong performance over the past six months.
In light of this forecast, we intend to use any meaningful market downturn as
an opportunity to increase our exposure to companies with good long-term
earnings prospects that meet our strict criteria for investment. Continued
strength on the economic front, however, could lead to increased market
volatility in the coming months.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Capital Growth Portfolio at NAV (Net
Asset Value) would have grown to $21,870 from inception on 3/1/95 through
2/29/00.*
Investment Results
- ------------------------------------------
Average Annual Total Return as of 2/29/00
<TABLE>
<S> <C>
One year 23.94%
Since Inception (3/1/95) 16.95%
</TABLE>
- ------------------------------------------
[Begin Bar Chart]
<TABLE>
<CAPTION>
Capital
Growth Russell
Portfolio 2000
<S> <C>
10000 10000
13077.4 12865.8
16040.9 14488.5
20287.2 18828.8
17645.2 16164.2
21869.8 23614
</TABLE>
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 produced a total return of 38.62% for the
six-month period ended February 29, 2000.
Strategy
During the period, the Portfolio benefited from a favorable global economic
environment, a positive outlook for corporate profitability and an
overweighting in sectors that generated strong investment results. Renewed
investor enthusiasm ignited by diminishing worries over Y2K also helped
performance.
The Portfolio's exposure to some of the better performing technology,
telecommunications and Internet companies proved rewarding to shareholders, as
investors around the globe gravitated towards these sectors due to their strong
projected earnings growth potential.
The Portfolio's outstanding stock selection in Europe also contributed
positively to performance. The Portfolio benefited from its investment in
large, well-established companies and many of the smaller, lesser known 'new
economy' names.
During the period, the Portfolio did not make any significant bets on any one
country or region, opting to maintain a fairly neutral stance. However, due to
run-up in valuations within some of the southeast Asian markets, management
re-allocated some assets from the Pacific Rim to Latin America.
Outlook
Given the generally favorable global economic environment, we expect the
backdrop to remain positive for equities. Our outlook for many of the so-called
new economy sectors widely represented in the Portfolio is also positive, but
we intend to trim positions and move assets to other sectors should prices rise
too rapidly.
Specifically, we remain positive on the growth prospects of European markets.
While we believe the long-term forecast for Japan is positive, the country must
still overcome several internal economic uncertainties before we become more
optimistic about its potential.
As always, we will continue to focus on fundamentally sound, well-managed
companies with superior earnings growth potential compared to the market. We
also intend to use any significant downturn in the market as an opportunity to
establish new positions in these businesses.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the International Equity Portfolio at NAV
(Net Asset Value) would have grown to $20,415 from inception on 3/1/95 through
2/29/00.*
Investment Results
- -----------------------------------------
Average Annual Total Return as of 2/29/00
One year 55.45%
Since inception (3/1/95) 15.35%
- -----------------------------------------
[Begin Bar Chart]
<TABLE>
<CAPTION>
International
Equity MSCI
Portfolio EAFE
<S> <C>
10000 10000
11132.3 11720.2
11798.5 12133
12867.9 14049.7
13133.1 14786.9
20415.4 18597
</TABLE>
[End Bar Chart]
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 produced a total return of 0.90% for the
six-month period ended February 29, 2000.
Strategy
A generally good economic backdrop coupled with good exposure to several key
sectors enabled the Portfolio to generate good investment results during the
reporting period.
The Portfolio's investment in the technology sector proved beneficial to
shareholders, thanks to the strong run-up in the values of these securities.
Exposure to small- and medium-cap stocks also contributed favorably to
performance, as many secondary issues that had previously underperformed their
large-cap counterparts generated strong investment results. Many so-called 'new
economy' stocks were among the better performing secondary issues.
One sector that produced mixed investment results for the Portfolio was
financial services. Many banks and insurance companies came under pressure, as
investors grew concerned about higher interest rates and the Federal Reserve's
response to the threat of higher inflation.
The Portfolio's fixed-income securities continued to come under pressure as a
result of the uncertain interest-rate environment. However, management's
decision to maintain a lower-than-average duration proved beneficial to
shareholders during much of the period.
Outlook
Our outlook for the equity portion of the Portfolio is generally good. The
fundamentals underpinning the U.S. equity market appear strong. The economy
remains strong, inflation continues to be low and corporate earnings outlook is
bright, especially for stocks in the technology sector.
Our forecast for the Portfolio's fixed-income securities is bright longer-term.
The near-term strength of the economy may lead to additional upward pressure on
interest rates in the coming months, but we believe that the Federal Reserve
will be successful in slowing the economy and causing interest rates to trend
lower later this year.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Asset Allocation Portfolio at NAV (Net
Asset Value) would have grown to $16,938 from inception on 3/1/95 through
2/29/00.*
Investment Results
<TABLE>
<CAPTION>
- -----------------------------------------
Average Annual Total Return as of 2/29/00
<S> <C>
One year 1.75%
Since Inception (3/1/95) 11.12%
- -----------------------------------------
</TABLE>
[Begin Bar Chart]
<TABLE>
<CAPTION>
60% S&P
Asset 500/40%
Allocation Lehman Gov't
Portfolio Bond
<S> <C>
10000 10000
11935.4 12522.7
13557.3 14673.1
16358.1 18339.7
16646 21092.2
16937.5 22823.6
</TABLE>
[End Bar Chart in Tabular Form]
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 59 1/2 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 produced a total return of 1.98% for the
six-month period ended February 29, 2000.
Strategy
Market conditions put pressure on U.S. Government securities throughout much of
the period, but management employed certain strategies that helped lessen the
impact of this development.
Our decision to maintain a barbell strategy contributed positively to
performance. This strategy, which involves overweighting long-term bonds (those
with maturities over 10 years) and short-term bonds (those with maturities
between one and four years) was employed in anticipation of a flattening of the
yield curve.
Our duration strategy also helped results. Early in the period, we adopted a
below-average duration strategy due to the strong economic data. We extended
duration slightly toward the end of 1999, as investor concerns over the
potential impact of the Y2K phenomenon put downward pressure on intermediate-
and long-term interest rates.
Another strategy that boosted results was management's decision to increase the
Portfolio's exposure to mortgage-backed securities late in 1999 when net new
mortgage issuance was halved and mortgages sharply outperformed Treasuries.
As the period came to a close, fixed-income securities came under pressure as
investors became concerned over the continuing strength of the U.S. economy,
the ongoing threat of higher inflation and the possibility of additional
interest rates increases by the Federal Reserve.
Outlook
Since we expect the economy to remain robust in the coming months, we expect
the Federal Reserve to maintain its tightening monetary policy rates until
clear signs of slowing in the economy become apparent. In light of this
forecast, we intend to maintain a cautious investment strategy.
Any significant increase in interest rates, however, will be viewed as an
opportunity to increase the Portfolio's average duration and its income
producing potential. As always,
we will continue to maintain our emphasis on providing shareholders with an
attractive level of income from a
high-quality portfolio of securities.
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 $13,284 from inception on 3/1/95
through 2/29/00.*
Investment Results
- -----------------------------------------
Average Annual Total Return as of 2/29/00
<TABLE>
<S> <C>
One year 0.71%
Since Inception (3/1/95) 5.85%
</TABLE>
- -----------------------------------------
[Begin Bar Chart]
<TABLE>
<CAPTION>
60% S&P
Asset 500/40%
Allocation Lehman Gov't
Portfolio Bond
<S> <C>
10000 10000
11027.5 11020.5
11430.4 11556.5
12527 12529.4
13190.6 13306.6
13284.4 13563.6
</TABLE>
[End Chart in Tabular Form]
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 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 produced a total return of 2.51% for the six-month
period ended February 29, 2000.
Strategy
The Portfolio continued to provide investors with an attractive yield in an
environment punctuated by rising yields brought on by better-than-expected
economic data. These included strong consumer confidence data and the lowest
unemployment rate in a generation.
Throughout much of the period, management maintained a shorter-than-average
average-weighted duration in anticipation of rising interest rates. This
strategy helped performance as interest rates edged higher, save a brief period
of downward pressure at the end of 1999 when fears concerning Y2K began to
wane.
Outlook
Our outlook for the Money Market Portfolio remains favorable. We expect
interest rates to retreat in the coming months, as the impact of the Federal
Reserve rate hikes begin to slow the economy. Given this backdrop, investors
should continue to favor high quality, liquid investments, such as those in
your portfolio.
As always, we intend to use any meaningful increase in interest rates as an
opportunity to extend the Portfolio's 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.
<PAGE>
Growth and Income Portfolio page 11
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--95.5%
COMMON STOCK--95.5%
AEROSPACE--0.8%
3,400 BOEING CO. ....................................... $ 125,375
-----------
AUTOMOTIVE--3.5%
7,000 FORD MOTOR CO. ................................... 291,375
3,500 GENERAL MOTORS CORP. ............................. 266,219
-----------
557,594
-----------
BANKING--6.0%
3,200 BANK OF AMERICA CORP. ............................ 147,400
7,199 BANK OF NEW YORK CO., INC. ....................... 239,817
2,927 FIRSTAR CORP. .................................... 52,137
1,900 J.P. MORGAN & CO. ................................ 210,900
9,500 WELLS FARGO CO. .................................. 314,094
-----------
964,348
-----------
BROADCASTING/CABLE--2.9%
5,700 CBS CORP.* ....................................... 339,506
3,100 COMCAST CORP., CLASS A ........................... 131,750
-----------
471,256
-----------
CHEMICALS--4.3%
1,200 DOW CHEMICAL CO. ................................. 130,200
6,000 E.I. DUPONT DE NEMOURS CO. ....................... 303,000
6,614 MONSANTO CO. ..................................... 256,706
-----------
689,906
-----------
COMPUTER SOFTWARE--1.1%
2,800 COMPUTER ASSOCIATES INTERNATIONAL, INC. .......... 180,075
-----------
COMPUTERS/COMPUTER HARDWARE--3.7%
1,600 EMC CORP.* ....................................... 190,400
700 HEWLETT-PACKARD CO. .............................. 94,150
3,000 INTERNATIONAL BUSINESS MACHINES CORP. ............ 306,000
-----------
590,550
-----------
CONSUMER PRODUCTS--0.4%
3,100 PHILIP MORRIS COMPANIES, INC. .................... 62,194
-----------
DISTRIBUTION--0.5%
1,600 COSTCO WHOLESALE CORP.* .......................... 79,400
-----------
DIVERSIFIED--1.7%
1,300 GENERAL ELECTRIC CO. ............................. 171,844
2,500 TYCO INTERNATIONAL LTD (BERMUDA) ................. 94,844
-----------
266,688
-----------
FINANCIAL SERVICES--15.4%
2,800 AMERICAN EXPRESS CO. ............................. 375,725
13,300 CITIGROUP, INC. .................................. 687,443
4,000 FANNIE MAE ....................................... 212,000
7,500 FREDDIE MAC ...................................... 313,125
3,500 MERRILL LYNCH & CO., INC. ........................ 358,750
7,200 MORGAN STANLEY DEAN WITTER & CO. ................. 507,150
-----------
2,454,193
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
- -------------- -------------------------------------------------- --------------
<S> <C> <C>
FOOD/BEVERAGE PRODUCTS--2.1%
1,300 ANHEUSER-BUSCH COMPANIES, INC. ................... $ 83,363
5,600 PEPSICO, INC. .................................... 180,599
2,300 SYSCO CORP. ...................................... 75,469
-----------
339,431
-----------
INSURANCE--3.6%
6,500 AMERICAN INTERNATIONAL GROUP, INC. ............... 574,844
-----------
MACHINERY & ENGINEERING EQUIPMENT--3.1%
2,200 APPLIED MATERIALS, INC.* ......................... 402,463
2,500 DOVER CORP. ...................................... 96,406
-----------
498,869
-----------
MANUFACTURING--1.2%
3,900 HONEYWELL INTERNATIONAL, INC. .................... 187,688
-----------
METALS/MINING--0.7%
1,600 ALCOA, INC. ...................................... 109,600
-----------
MULTI-MEDIA--2.5%
7,100 THE WALT DISNEY CO. .............................. 237,850
2,800 VIACOM, INC., CLASS B* ........................... 156,100
-----------
393,950
-----------
OIL & GAS--11.7%
4,200 CHEVRON CORP. .................................... 313,687
3,500 ENRON CORP. ...................................... 241,500
8,408 EXXON MOBIL CORP. ................................ 633,227
3,500 HALLIBURTON CO. .................................. 133,656
7,400 ROYAL DUTCH PETROLEUM CO., N.Y. REGISTERED
SHARES (NETHERLANDS) ............................. 388,500
2,200 SCHLUMBERGER LTD ................................. 162,525
-----------
1,873,095
-----------
PAPER/FOREST PRODUCTS--2.2%
3,277 INTERNATIONAL PAPER CO. .......................... 120,635
3,000 WEYERHAEUSER CO. ................................. 153,937
2,300 WILLAMETTE INDUSTRIES ............................ 78,056
-----------
352,628
-----------
PHARMACEUTICALS--3.9%
6,000 ABBOTT LABORATORIES .............................. 196,500
4,000 AMERICAN HOME PRODUCTS CORP. ..................... 174,000
3,000 PHARMACIA & UPJOHN, INC. ......................... 142,875
3,200 SCHERING-PLOUGH CORP. ............................ 111,600
-----------
624,975
-----------
PRINTING & PUBLISHING--1.8%
6,700 NEW YORK TIMES CO., CLASS A ...................... 283,075
-----------
RESTAURANTS/FOOD SERVICES--0.9%
4,800 MCDONALD'S CORP. ................................. 151,500
-----------
RETAILING--1.1%
3,000 TARGET CORP. ..................................... 177,000
-----------
SEMI-CONDUCTORS--4.7%
3,100 ALTERA CORP.* .................................... 247,225
3,000 TEXAS INSTRUMENTS, INC. .......................... 499,500
-----------
746,725
-----------
</TABLE>
See notes to financial statements.
<PAGE>
page 12 Growth and Income Portfolio (continued)
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
TELECOMMUNICATIONS--10.5%
4,977 AT&T CORP. ...................................... $ 246,050
2,800 BELL ATLANTIC CORP. ............................. 137,025
7,700 BELLSOUTH CORP. ................................. 313,775
5,000 GTE CORP. ....................................... 295,000
7,500 MCI WORLDCOM, INC.* ............................. 334,688
4,400 SBC COMMUNICATIONS, INC. ........................ 167,200
3,000 SPRINT CORP., (FON GROUP) ....................... 183,000
-----------
1,676,738
-----------
TELECOMMUNICATIONS EQUIPMENT--3.8%
1,840 MOTOROLA, INC. .................................. 313,720
2,700 NORTEL NETWORKS CORP., (CANADA) ................. 301,050
-----------
614,770
-----------
UTILITIES--1.4%
2,800 DQE, INC. ....................................... 130,200
1,900 DUKE ENERGY CORP. ............................... 92,150
-----------
222,350
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $14,416,196) .............................. 15,268,817
-----------
Principal
Amount
---------
SHORT-TERM INVESTMENT--3.7%
REPURCHASE AGREEMENT--3.7%
$589,000 GREENWICH CAPITAL MARKETS, INC., 5.83%,
DUE 03/01/00, (DATED 02/29/00, PROCEEDS $589,095,
SECURED BY FHLMC, $616,603, 6.18%, DUE 04/15/29;
MARKET VALUE $603,269)
(COST $589,000) ................................. 589,000
-----------
TOTAL INVESTMENTS--99.2%
(COST $15,005,196) .............................. $15,857,817
===========
</TABLE>
See notes to financial statements.
<PAGE>
Capital Growth Portfolio page 13
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--96.8%
COMMON STOCK--96.8%
ADVERTISING--0.9%
3,000 TRUE NORTH COMMUNICATIONS ............................. $ 111,000
-----------
APPAREL--0.9%
5,000 JONES APPAREL GROUP, INC.* ............................ 113,125
-----------
AUTOMOTIVE--0.6%
6,000 TOWER AUTOMOTIVE, INC.* ............................... 71,250
-----------
BANKING--4.6%
6,000 CULLEN/FROST BANKERS, INC. ............................ 129,000
3,000 SOUTHTRUST CORP. ...................................... 68,813
3,000 TCF FINANCIAL CORP. ................................... 59,438
5,700 ZIONS BANCORP. ........................................ 302,455
-----------
559,706
-----------
BIOTECHNOLOGY--3.4%
2,000 BIOGEN, INC.* ......................................... 215,875
4,000 CHIRON CORP.* ......................................... 200,000
-----------
415,875
-----------
BROADCASTING/CABLE--4.3%
6,000 AT&T CORP.--LIBERTY MEDIA GROUP, CLASS A* ............. 313,500
2,500 COMCAST CORP., CLASS A ................................ 106,250
5,000 USA NETWORKS, INC.* ................................... 112,188
-----------
531,938
-----------
BUSINESS SERVICES--5.1%
5,000 ACNIELSEN CORP.* ...................................... 84,688
3,500 AFFILIATED COMPUTER SERVICES, INC., CLASS A* .......... 110,249
2,000 ASM LITHOGRAPHY HOLDING NV (NETHERLANDS)* ............. 256,250
5,000 CONCORD EFS, INC.* .................................... 97,813
2,000 SYNOPSYS, INC.* ....................................... 79,875
-----------
628,875
-----------
CHEMICALS--2.1%
4,500 CYTEC INDUSTRIES, INC.* ............................... 109,125
1,100 MILLENNIUM CHEMICALS, INC. ............................ 15,400
7,000 WELLMAN, INC. ......................................... 130,375
-----------
254,900
-----------
COMPUTER SOFTWARE--7.9%
6,000 AMERICAN MANAGEMENT SYSTEMS* .......................... 190,874
1,700 COMPUTER ASSOCIATES INTERNATIONAL, INC. ............... 109,331
1,400 ELECTRONIC ARTS, INC.* ................................ 140,000
12,000 INFORMIX CORP.* ....................................... 192,000
2,000 INTUIT, INC.* ......................................... 105,000
1,300 RATIONAL SOFTWARE CORP.* .............................. 92,463
2,000 SYMANTEC CORP.* ....................................... 142,875
-----------
972,543
-----------
COMPUTERS/COMPUTER HARDWARE--1.1%
2,350 ELECTRONICS FOR IMAGING* .............................. 139,531
-----------
ELECTRONICS/ELECTRICAL EQUIPMENT--9.6%
1,550 AMPHENOL CORP., CLASS A* .............................. 123,903
4,500 MICROCHIP TECHNOLOGY, INC.* ........................... 280,968
5,000 PERKINELMER, INC. ..................................... 323,124
1,400 SANMINA CORP.* ........................................ 163,888
1,100 SYMBOL TECHNOLOGIES, INC. ............................. 104,638
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
ELECTRONICS/ELECTRICAL EQUIPMENT (cont'd)
4,000 VISHAY INTERTECHNOLOGY, INC.* ......................... $ 172,000
-----------
1,168,521
-----------
ENTERTAINMENT/LEISURE--1.9%
5,000 HARRAH'S ENTERTAINMENT, INC.* ......................... 95,625
12,000 PARK PLACE ENTERTAINMENT CORP.* ....................... 135,750
-----------
231,375
-----------
FINANCIAL SERVICES--1.2%
2,000 LEHMAN BROTHERS HOLDINGS, INC. ........................ 145,000
-----------
FOOD/BEVERAGE PRODUCTS--0.9%
6,000 U.S. FOODSERVICE* ..................................... 106,125
-----------
HEALTH CARE/HEALTH CARE SERVICES--1.5%
10,000 HEALTH MANAGEMENT ASSOCIATES, INC., CLASS A* .......... 107,500
1,300 STRYKER CORP. ......................................... 76,050
-----------
183,550
-----------
INSURANCE--3.4%
6,000 AXA FINANCIAL, INC. ................................... 179,624
3,000 RADIAN GROUP, INC. .................................... 104,063
5,000 RELIASTAR FINANCIAL CORP. ............................. 139,688
-----------
423,375
-----------
INTERNET SERVICES/SOFTWARE--0.9%
1,800 LYCOS, INC.* .......................................... 107,325
-----------
MACHINERY & ENGINEERING EQUIPMENT--1.6%
3,000 DOVER CORP. ........................................... 115,688
1,200 ZEBRA TECHNOLOGIES CORP., CLASS A* .................... 79,875
-----------
195,563
-----------
MANUFACTURING--1.1%
4,000 PENTAIR, INC. ......................................... 137,500
-----------
METALS/MINING--1.0%
9,000 FREEPORT-MCMORAN COPPER & GOLD, INC., CLASS B*. 123,750
-----------
OIL & GAS--7.8%
5,000 ANADARKO PETROLEUM CORP. .............................. 153,750
2,000 BJ SERVICES CO.* ...................................... 114,125
6,000 COOPER CAMERON CORP.* ................................. 331,499
7,000 GLOBAL MARINE, INC.* .................................. 157,063
5,000 TOSCO CORP. ........................................... 133,750
8,000 UNION PACIFIC RESOURCES GROUP ......................... 71,500
-----------
961,687
-----------
PAPER/FOREST PRODUCTS--1.2%
1,000 TEMPLE-INLAND, INC. ................................... 51,125
3,000 WILLAMETTE INDUSTRIES ................................. 101,813
-----------
152,938
-----------
PHARMACEUTICALS--5.2%
4,500 BIOVAIL CORP. INTERNATIONAL (CANADA)* ................. 297,000
2,900 FOREST LABORATORIES INC., CLASS A* .................... 198,106
3,000 KING PHARMACEUTICALS, INC.* ........................... 143,063
-----------
638,169
-----------
PIPELINES--2.3%
3,000 COLUMBIA ENERGY GROUP ................................. 177,000
3,000 EL PASO ENERGY CORP. .................................. 111,188
-----------
288,188
-----------
</TABLE>
See notes to financial statements.
<PAGE>
page 14 Capital Growth Portfolio (continued)
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
- ----------- -------------------------------------------- -------------
<S> <C> <C>
RESTAURANTS/FOOD SERVICES--1.4%
5,500 BRINKER INTERNATIONAL, INC.* ............... $ 119,625
4,000 DARDEN RESTAURANTS, INC. ................... 52,750
-----------
172,375
-----------
RETAILING--3.0%
6,000 BJ'S WHOLESALE CLUB, INC.* ................. 186,000
5,000 ETHAN ALLEN INTERIORS, INC. ................ 116,563
250 PAYLESS SHOESOURCE, INC.* .................. 9,875
5,000 TOYS R US, INC.* ........................... 61,875
-----------
374,313
-----------
SEMI-CONDUCTORS--12.0%
4,000 ALTERA CORP.* .............................. 319,000
10,000 ATMEL CORP.* ............................... 494,999
3,000 KLA-TENCOR CORP.* .......................... 233,813
4,000 VITESSE SEMICONDUCTOR CORP.* ............... 415,250
-----------
1,463,062
-----------
SHIPPING/TRANSPORTATION--0.8%
2,000 C.H. ROBINSON WORLDWIDE, INC. .............. 102,000
-----------
TELECOMMUNICATIONS--2.3%
1,400 NEXTLINK COMMUNICATIONS, CLASS A* .......... 154,263
2,000 U.S. CELLULAR CORP.* ....................... 133,875
-----------
288,138
-----------
TELECOMMUNICATIONS EQUIPMENT--1.6%
1,000 COMVERSE TECHNOLOGY, INC.* ................. 196,875
-----------
TOYS & GAMES--0.6%
5,000 HASBRO, INC. ............................... 78,750
-----------
UTILITIES--4.6%
4,000 AGL RESOURCES, INC. ........................ 68,250
4,150 ALLIANT ENERGY CORP. ....................... 116,719
2,700 AMERICAN WATER WORKS, INC. ................. 54,000
3,000 ENERGY EAST CORP. .......................... 63,000
4,000 MIDAMERICAN ENERGY HOLDINGS CO.* ........... 138,500
5,000 SCANA CORP. ................................ 119,062
-----------
559,531
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $9,934,016) .......................... 11,896,853
-----------
<CAPTION>
Principal
Amount
- -----------
<S> <C> <C>
SHORT-TERM INVESTMENT--2.3%
REPURCHASE AGREEMENT--2.3%
$280,000 GREENWICH CAPITAL MARKETS, INC., 5.83%
DUE 03/01/00, (DATED 02/29/00, PROCEEDS
$280,045, SECURED BY FHLMC, $296,429, 6.24%,
DUE 05/15/29; MARKET VALUE $289,813)
(COST $280,000).............................. 280,000
-------
TOTAL INVESTMENTS--99.1%
(COST $10,214,016) .......................... $12,176,853
===========
</TABLE>
See notes to financial statements.
<PAGE>
International Equity Portfolio page 15
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
------ ----- -----
<S> <C> <C>
LONG-TERM INVESTMENTS--96.1%
COMMON STOCK--95.2%
AUSTRALIA--0.6%
3,100 FOSTER'S BREWING GROUP LTD ..................... $ 8,163
3,400 LANG CORP., LTD* ............................... 16,511
2,000 NEWS CORP., LTD ................................ 29,217
-----------
53,891
-----------
BRAZIL--3.4%
12,100 CENTRAIS ELETRICAS BRASILEIRAS SA, ADR ......... 104,285
1,470 TELECOMUNICACOES BRASILEIRAS SA, ADR,
PREFERRED ...................................... 216,458
-----------
320,743
-----------
FINLAND--5.5%
440 COMPTEL PLC* ................................... 53,512
1,188 NOKIA OYJ ...................................... 237,174
2,917 SONERA OYJ ..................................... 225,345
-----------
516,031
-----------
FRANCE--9.9%
330 ALCATEL SA ..................................... 77,403
1,450 AVENTIS ........................................ 74,118
365 AXA ............................................ 45,939
98 BOUYGUES SA .................................... 81,757
2,606 CNP ASSURANCES ................................. 67,358
710 CREDIT COMMERCIAL DE FRANCE .................... 81,007
370 FRANCE TELECOM SA .............................. 59,772
60 HAVAS ADVERTISING .............................. 32,406
1,250 LAGARDERE S.C.A. ............................... 117,783
230 PINAULT-PRINTEMPS-REDOUTE SA ................... 46,383
1,007 TOTAL FINA SA, CLASS B ......................... 133,540
2,300 USINOR SA ...................................... 33,606
660 VIVENDI ........................................ 77,657
-----------
928,729
-----------
GERMANY--9.3%
300 CE CONSUMER ELECTRONIC AG ...................... 69,440
1,600 COMMERZBANK AG ................................. 57,913
2,760 DEUTSCHE TELEKOM AG ............................ 229,188
1,400 EM TV & MERCHANDISING* ......................... 139,074
230 EPCOS AG* ...................................... 31,721
30 INTERSHOP COMMUNICATION AG* .................... 15,335
1,474 KAMPS AG* ...................................... 112,306
300 MARSCHOLLEK LAUTENSCHLAEGER UND PARTNER AG...... 153,348
344 SIEMENS AG ..................................... 61,178
-----------
869,503
-----------
HUNGARY--0.2%
640 UPROAR LTD.* ................................... 20,986
-----------
IRELAND--0.6%
3,650 BANK OF IRELAND ................................ 21,350
6,515 GREEN PROPERTY PLC ............................. 33,946
-----------
55,296
-----------
ITALY--4.9%
5,000 AUTOGRILL SPA .................................. 51,497
3,000 BANCA FIDEURAM SPA ............................. 49,583
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
- -------------- ------------------------------------------------ -------------
<S> <C> <C>
ITALY (cont'd)
29,000 SEAT-PAGINE GIALLE SPA ......................... $ 124,686
5,700 TELECOM ITALIA MOBILE SPA ...................... 78,332
8,400 TELECOM ITALIA SPA ............................. 147,891
10 TISCALI SPA* ................................... 9,172
-----------
461,161
-----------
JAPAN--22.0%
1,000 AISIN SEIKI CO., LTD ........................... 13,598
2,000 ASAHI BANK LTD ................................. 8,465
3,000 BANK OF TOKYO-MITSUBISHI LTD ................... 36,724
200 C TWO-NETWORK CO., LTD ......................... 37,135
4,000 DAI-ICHI KANGYO BANK LTD ....................... 31,674
3,000 DAIWA SECURITIES GROUP, INC. ................... 47,647
3 EAST JAPAN RAILWAY CO. ......................... 13,543
300 FANUC LTD ...................................... 29,216
100 FAST RETAILING CO., LTD ........................ 28,443
6,000 FUJIKURA LTD ................................... 23,592
1,000 FUJISAWA PHARMACEUTICAL CO. .................... 32,857
2,000 FUJITSU LTD .................................... 66,442
100 FUJITSU SUPPORT & SERVICE, INC. ................ 64,167
2,000 HITACHI LTD. ................................... 27,287
1,000 HITACHI MAXELL ................................. 25,166
1,000 HOYA CORP. ..................................... 81,642
1,000 INDUSTRIAL BANK OF JAPAN LTD ................... 7,818
3 JAPAN TOBACCO, INC. ............................ 21,434
3,000 KANEKA CORP. ................................... 32,683
1,000 KAO CORP. ...................................... 26,532
2,000 KIKKOMAN CORP. ................................. 11,687
300 KONAMI CO., LTD ................................ 52,835
200 MABUCHI MOTOR CO., LTD ......................... 24,684
3,000 MITSUBISHI CORP. ............................... 22,144
2,000 MITSUBISHI ESTATE CO., LTD ..................... 17,512
2,000 NEC CORP. ...................................... 44,689
300 NINTENDO CO., LTD .............................. 67,443
13,000 NIPPON STEEL CORP. ............................. 27,451
21,000 NIPPON SUISAN KAISHA LTD ....................... 31,537
5 NIPPON TELEGRAPH & TELEPHONE CORP. ............. 69,173
1,000 NITTO DENKO CORP. .............................. 38,955
2 NTT DATA CORP. ................................. 36,225
5 NTT MOBILE COMMUNICATIONS NETWORK, INC. ........ 201,601
2,000 OMRON CORP. .................................... 55,156
300 ORIX CORP. ..................................... 51,880
6,000 OSAKA GAS CO. .................................. 11,250
2,000 RICOH CORP., LTD ............................... 35,879
3,000 SHARP CORP. .................................... 62,801
100 SOFTBANK CORP. ................................. 145,627
200 SONY CORP. ..................................... 59,161
2,000 SUMITOMO BANK* ................................. 23,610
4,000 SUMITOMO CHEMICAL CO., LTD ..................... 15,109
4,000 SUMITOMO TRUST & BANKING ....................... 22,609
1,000 SUZUKI MOTOR CORP. ............................. 16,174
1,000 TAIYO YUDEN CO., LTD ........................... 53,245
1,000 TAKEDA CHEMICAL INDUSTRIES ..................... 56,430
5,000 TORAY INDUSTRIES, INC. ......................... 15,928
</TABLE>
See notes to financial statements.
<PAGE>
page 16 International Equity Portfolio (continued)
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
JAPAN (cont'd)
5,000 TOSHIBA CORP. ..................................... $ 40,821
2,000 TOYOTA MOTOR CORP. ................................ 79,912
6,000 UBE INDUSTRIES LTD ................................ 8,465
-----------
2,056,058
-----------
MEXICO--0.8%
10,000 ALFA SA, CLASS A* ................................. 35,238
500 CORPORACION GEO SA, ADR* .......................... 4,933
500 CORPORACION GEO SA, SER. B, ADR* .................. 4,934
25,000 GRUPO ELEKTRA SA .................................. 30,166
-----------
75,271
-----------
NETHERLANDS--3.9%
2,450 FORTIS (NL) NV .................................... 61,625
307 KONINKLIJKE PHILIPS ELECTRONICS NV ................ 56,923
585 UNITED PAN-EUROPE COMMUNICATIONS NV* .............. 115,464
1,900 VNU NV ............................................ 131,295
-----------
365,307
-----------
PORTUGAL--0.4%
1,600 BANCO ESPIRITO SANTO SA ........................... 41,618
-----------
SINGAPORE--0.0%
2,500 DBS LAND LTD ...................................... 3,307
-----------
SPAIN--5.4%
5,930 AMADEUS GLOBAL TRAVEL DISTRIBUTION SA,
CLASS A* .......................................... 85,559
1,600 BANKINTER SA ...................................... 101,152
3,630 CONTINENTE SA ..................................... 61,442
1,142 FOMENTO DE CONSTRUCCIONES Y CONTRATAS SA .......... 19,990
140 JAZZTEL PLC, ADR* ................................. 16,485
1,985 PROSEGUR COMPANIA DE SEGURIDAD SA ................. 21,059
6,245 TELEFONICA SA* .................................... 179,786
150 TERRA NETWORKS SA* ................................ 19,530
-----------
505,003
-----------
SWEDEN--4.5%
60 FRAMTIDSFABRIKEN AB* .............................. 14,125
1,450 HENNES & MAURITZ AB, CLASS B ...................... 47,970
1,900 SKANDIA FORSAKRINGS AB ............................ 77,948
2,890 TELEFONAKTIEBOLAGET LM ERICSSON, CLASS B .......... 277,088
-----------
417,131
-----------
SWITZERLAND--4.8%
710 ABB LTD* .......................................... 75,659
480 CHARLES VOEGELE HOLDING AG* ....................... 79,245
30 COMPAGNIE FINANCIERE RICHEMONT, CLASS A ........... 69,340
170 DISTEFORA HOLDING AG* ............................. 91,853
70 NOVARTIS AG ....................................... 89,260
30 PUBLIGROUPE SA .................................... 31,608
100 SIA ABRASIVES HOLDING AG* ......................... 14,979
-----------
451,944
-----------
THAILAND--0.0%
1,900 ELECTRICITY GENERATING PUBLIC CO., LTD ............ 1,707
200 PTT EXPLORATION & PRODUCTION PUBLIC CO., LTD,
FOREIGN SHARES .................................... 960
-----------
2,667
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
UNITED KINGDOM--17.9%
2,650 ASTRAZENECA PLC ................................... $ 86,153
3,574 BARCLAYS PLC ...................................... 86,115
15,104 BP AMOCO PLC ...................................... 116,261
3,771 BRITISH AEROSPACE PLC ............................. 18,666
6,556 BRITISH TELECOM PLC ............................... 114,489
3,800 CABLE & WIRELESS PLC .............................. 78,900
2,150 DIXONS GROUP PLC .................................. 46,169
3,994 EXCHANGE HOLDINGS PLC* ............................ 11,036
550 FILTRONIC PLC ..................................... 19,388
3,129 GLAXO WELLCOME PLC ................................ 74,997
6,450 HANSON PLC ........................................ 41,399
3,300 LAPORTE PLC ....................................... 24,646
52,800 LAPORTE PLC, CLASS B .............................. 834
14,880 LEGAL & GENERAL GROUP PLC ......................... 36,299
4,395 MARCONI ELECTRONIC SYSTEMS PLC .................... 54,787
3,710 NXT PLC* .......................................... 120,087
1,100 POWDERJECT PHARMACEUTICALS PLC* ................... 11,767
300 PSION PLC ......................................... 25,162
5,200 SEMA GROUP PLC .................................... 111,335
17,250 SHELL TRANSPORT & TRADING CO., PLC ................ 118,617
4,750 SMITHKLINE BEECHAM PLC ............................ 53,213
67,311 VODAFONE AIRTOUCH PLC ............................. 377,562
2,581 WPP GROUP PLC ..................................... 49,779
-----------
1,677,661
-----------
UNITED STATES--1.1%
250 OPENTV CORP.* ..................................... 46,250
260 VIA NET.WORKS, INC.* .............................. 15,346
670 VIATEL, INC.* ..................................... 37,729
-----------
99,325
-----------
TOTAL COMMON STOCK
(COST $6,555,033) ................................. 8,921,632
-----------
PREFERRED STOCK--0.9%
AUSTRALIA--0.0%
283 LANG CORP., LTD ................................... 1,411
-----------
GERMANY--0.9%
95 SAP AG ............................................ 79,070
-----------
TOTAL PREFERRED STOCK
(COST $65,262) .................................... 80,481
-----------
REDEEMABLE UNSECURED LOAN STOCK--0.0%
MALAYSIA--0.0%
4,000 SUNWAY BUILDING TECHNOLOGY*
(COST $1,284) ..................................... 968
-----------
</TABLE>
<TABLE>
<CAPTION>
Units
-----
<S> <C> <C>
WARRANTS--0.0%
AUSTRALIA--0.0%
141 LANG CORP., LTD, EXPIRES 12/30/04 .......... 122
----------
GERMANY--0.0%
11 MUENCHENER RUECKVERSICHERUNGS-
GESELLSCHAFT AG, EXPIRES 06/03/02 .......... 753
----------
TOTAL WARRANTS
(COST $0) ................................... 875
----------
</TABLE>
See notes to financial statements.
<PAGE>
International Equity Portfolio (continued) page 17
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount
(DEM) Issuer Value
--------- ------ -----
<S> <C> <C>
CONVERTIBLE CORPORATE BOND--0.0%
GERMANY--0.0%
1,310 DAIMLERCHRYSLER AG, 5.75%, 06/14/02
(COST $769) ....................... $ 637
-----------
TOTAL INVESTMENTS--96.1%
(COST $6,622,348) ................. $ 9,004,593
===========
</TABLE>
<TABLE>
<CAPTION>
Original Notional
Number Notional Value at Unrealized
of Expiration Value 02/29/00 Appreciation
Contracts Description Date (USD) (USD) (USD)
--------- ----------- ---------- -------- --------- ------------
<S> <C> <C> <C> <C> <C>
LONG FUTURES OUTSTANDING
2 ALL ORDINARIES
STOCK PRICE INDEX Mar. 2000 $96,479 $96,510 $31
</TABLE>
Summary of Investments by Industry, Feruary 29, 2000
<TABLE>
<CAPTION>
Industry % of Investment Securities
<S> <C>
TELECOMMUNICATIONS 30.2%
ELECTRONICS/ELECTRICAL EQUIPMENT 8.6%
FINANCIAL SERVICES 5.6%
PHARMACEUTICALS 5.3%
BANKING 4.7%
OIL & GAS 4.1%
RETAILING 3.8%
INTERNET SERVICES/SOFTWARE 3.5%
COMPUTER SOFTWARE 2.8%
COMPUTERS/COMPUTER HARDWARE 2.2%
FOOD/BEVERAGE PRODUCTS 2.2%
INSURANCE 2.1%
CONSTRUCTION 2.0%
OTHER (BELOW 2%) 22.9%
- ------------------------------------------
TOTAL 100%
</TABLE>
See notes to financial statements.
<PAGE>
page 18 Asset Allocation Portfolio
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--98.8%
COMMON STOCK--56.0%
ADVERTISING--0.5%
500 OMNICOM GROUP ....................................... $ 47,094
-----------
AIRLINES--0.6%
3,000 SOUTHWEST AIRLINES, INC. ............................ 55,313
-----------
AUTOMOTIVE--0.8%
800 FORD MOTOR CO. ...................................... 33,300
500 GENERAL MOTORS CORP. ................................ 38,031
-----------
71,331
-----------
BANKING--0.6%
500 BANK OF AMERICA CORP. ............................... 23,031
1,000 BANK OF NEW YORK CO., INC. .......................... 33,313
-----------
56,344
-----------
BIOTECHNOLOGY--0.5%
700 AMGEN, INC.* ........................................ 47,731
-----------
BROADCASTING/CABLE--1.3%
1,000 AT&T CORP.--LIBERTY MEDIA GROUP, CLASS A* ........... 52,250
500 CLEAR CHANNEL COMMUNICATIONS, INC.* ................. 33,313
800 COMCAST CORP., CLASS A .............................. 34,000
-----------
119,563
-----------
CHEMICALS--0.3%
500 E.I. DUPONT DE NEMOURS CO. .......................... 25,250
-----------
COMPUTER NETWORKS--2.2%
1,500 CISCO SYSTEMS, INC.* ................................ 198,281
-----------
COMPUTER SOFTWARE--3.7%
2,350 MICROSOFT CORP.* .................................... 210,030
1,050 ORACLE CORP.* ....................................... 77,963
550 SYMANTEC CORP.* ..................................... 39,291
-----------
327,284
-----------
COMPUTERS/COMPUTER HARDWARE--4.5%
1,500 DELL COMPUTER CORP.* ................................ 61,219
800 EMC CORP.* .......................................... 95,199
500 HEWLETT-PACKARD CO. ................................. 67,250
800 INTERNATIONAL BUSINESS MACHINES CORP. ............... 81,600
250 LEXMARK INTERNATIONAL GROUP INC., CLASS A* .......... 29,812
675 SUN MICROSYSTEMS, INC.* ............................. 64,294
-----------
399,374
-----------
CONSUMER PRODUCTS--0.5%
500 PROCTER & GAMBLE CO. ................................ 44,000
-----------
DIVERSIFIED--2.8%
1,500 GENERAL ELECTRIC CO. ................................ 198,282
1,500 TYCO INTERNATIONAL LTD (BERMUDA) .................... 56,906
-----------
255,188
-----------
ELECTRONICS/ELECTRICAL EQUIPMENT--1.1%
300 SANMINA CORP.* ...................................... 35,119
1,000 SOLECTRON CORP.* .................................... 65,500
-----------
100,619
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Issuer Value
- ---------------- ----------------------------------------------------- --------------
<S> <C> <C>
FINANCIAL SERVICES--4.3%
500 AMERICAN EXPRESS CO. ................................ $ 67,094
1,500 CHARLES SCHWAB CORP. ................................ 62,719
2,400 CITIGROUP, INC. ..................................... 124,049
650 MERRILL LYNCH & CO., INC. ........................... 66,625
900 MORGAN STANLEY DEAN WITTER & CO. .................... 63,394
-----------
383,881
-----------
FOOD/BEVERAGE PRODUCTS--1.4%
500 ANHEUSER-BUSCH COMPANIES, INC. ...................... 32,063
1,000 COCA-COLA CO. ....................................... 48,437
1,400 PEPSICO, INC. ....................................... 45,150
-----------
125,650
-----------
HEALTH CARE/HEALTH CARE SERVICES--2.0%
1,000 COLGATE-PALMOLIVE CO. ............................... 52,188
950 GUIDANT CORP.* ...................................... 64,006
1,300 MEDTRONIC, INC. ..................................... 62,969
-----------
179,163
-----------
INSURANCE--1.5%
1,500 AMERICAN INTERNATIONAL GROUP, INC. .................. 132,656
-----------
INTERNET SERVICES/SOFTWARE--0.7%
1,000 AMERICA ONLINE, INC.* ............................... 59,000
-----------
MACHINERY & ENGINEERING EQUIPMENT--1.0%
500 APPLIED MATERIALS, INC.* ............................ 91,469
-----------
MANUFACTURING--0.5%
1,000 HONEYWELL INTERNATIONAL, INC. ....................... 48,125
-----------
METALS/MINING--0.7%
900 ALCOA, INC. ......................................... 61,650
-----------
MULTI-MEDIA--1.0%
1,000 TIME WARNER, INC. ................................... 85,500
-----------
OIL & GAS--4.4%
650 BJ SERVICES CO.* .................................... 37,091
300 CHEVRON CORP. ....................................... 22,406
2,000 ENRON CORP. ......................................... 138,000
2,320 EXXON MOBIL CORP. ................................... 174,725
500 ROYAL DUTCH PETROLEUM CO., N.Y. REGISTERED
SHARES (NETHERLANDS) ................................ 26,250
-----------
398,472
-----------
PHARMACEUTICALS--2.9%
1,000 BRISTOL-MYERS SQUIBB CO. ............................ 56,813
500 JOHNSON & JOHNSON ................................... 35,875
1,000 MERCK & CO., INC. ................................... 61,563
2,050 PFIZER, INC. ........................................ 65,856
500 WARNER-LAMBERT CO. .................................. 42,781
-----------
262,888
-----------
PIPELINES--0.5%
800 COLUMBIA ENERGY GROUP ............................... 47,200
-----------
</TABLE>
See notes to financial statements.
<PAGE>
Asset Allocation Portfolio (continued) page 19
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
RETAILING--5.5%
1,000 BEST BUY CO., INC.* ...................... $ 54,375
1,500 GAP, INC. ................................ 72,469
1,750 HOME DEPOT, INC. ......................... 101,171
1,000 TARGET CORP. ............................. 59,000
3,000 WAL-MART STORES, INC. .................... 146,062
2,000 WALGREEN CO. ............................. 51,625
-----------
484,702
-----------
SEMI-CONDUCTORS--3.0%
600 ALTERA CORP.* ............................ 47,850
1,500 INTEL CORP. .............................. 169,500
300 TEXAS INSTRUMENTS, INC. .................. 49,950
-----------
267,300
-----------
TELECOMMUNICATIONS--3.6%
1,580 AT&T CORP. ............................... 78,112
1,000 BELLSOUTH CORP. .......................... 40,750
700 GTE CORP. ................................ 41,300
1,050 MCI WORLDCOM, INC.* ...................... 46,856
1,500 SBC COMMUNICATIONS, INC. ................. 57,000
1,000 SPRINT CORP. (FON GROUP) ................. 61,000
-----------
325,018
-----------
TELECOMMUNICATIONS EQUIPMENT--3.1%
800 ADC TELECOMMUNICATIONS, INC.* ............ 35,900
1,650 LUCENT TECHNOLOGIES, INC. ................ 98,175
500 MOTOROLA, INC. ........................... 85,250
500 NORTEL NETWORKS CORP., (CANADA) .......... 55,750
-----------
275,075
-----------
UTILITIES--0.5%
500 AES CORP.* ............................... 41,906
-----------
TOTAL COMMON STOCK
(COST $4,738,177) ........................ 5,017,027
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
(USD)
-------
<S> <C> <C>
U.S. TREASURY SECURITIES--15.5%
U.S. TREASURY NOTES & BONDS,
$ 50,000 5.25%, 05/31/01 ....................... 49,305
75,000 5.25%, 11/15/28 ....................... 64,700
50,000 5.63%, 02/15/06 ....................... 47,461
50,000 6.00%, 07/31/02 ....................... 49,399
410,000 6.25%, 08/15/23 ....................... 403,529
720,000 6.38%, 03/31/01 ....................... 719,661
50,000 8.75%, 08/15/00 ....................... 50,578
-------
TOTAL U.S. TREASURY SECURITIES
(COST $1,382,216) ..................... 1,384,633
---------
U.S. GOVERNMENT AGENCY SECURITIES--7.3%
FEDERAL HOME LOAN MORTGAGE CORP.,
135,000 6.63%, 09/15/09 ...................... 129,346
208,671 7.00%, 11/01/29 ...................... 200,128
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
--------- ------ -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES (cont'd)
FEDERAL NATIONAL MORTGAGE ASSOCIATION,
$ 50,000 5.13%, 02/13/04 ......................................... $ 46,625
180,000 6.63%, 09/15/09 ......................................... 172,503
125,000 TENNESSEE VALLEY AUTHORITY, 5.38%, 11/13/08 .............. 109,903
----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(COST $678,185) .......................................... 658,505
----------
CORPORATE NOTES & BONDS--15.1%
AUTOMOTIVE--4.2%
100,000 DAIMLERCHRYSLER NORTH AMERICA HOLDINGS
CORP., MTN, 6.63%, 09/21/01 .............................. 99,081
150,000 FORD MOTOR CO., 7.45%, 07/16/31 .......................... 143,893
50,000 FORD MOTOR CREDIT CO., 5.80%, 01/12/09 ................... 43,468
100,000 GENERAL MOTORS ACCEPTANCE CORP., 5.85%,
01/14/09 ................................................. 87,503
----------
373,945
----------
COMPUTERS/COMPUTER HARDWARE--1.1%
100,000 IBM CREDIT CORP., MTN, 6.35%, 08/30/01 ................... 98,844
----------
DIVERSIFIED--1.3%
100,000 GENERAL ELECTRIC CAPITAL CORP., 9.18%, 12/30/08 .......... 112,420
----------
FINANCIAL SERVICES--2.7%
20,000 AMERICAN GENERAL FINANCE CORP., MTN, 6.04%,
07/02/01 ................................................. 19,720
50,000 GOLDMAN SACHS GROUP, INC., 6.65%, 05/15/09 ............... 45,600
85,000 INTERNATIONAL LEASE FINANCE CORP., MTN, 8.35%,
02/04/02 ................................................. 86,497
95,000 MERRILL LYNCH & CO., INC., MTN, 5.71%, 01/15/02 .......... 92,479
----------
244,296
----------
INSURANCE--1.6%
100,000 ALLSTATE CORP., 7.20%, 12/01/09 .......................... 97,407
60,000 MBIA, INC., 6.63%, 10/01/28 .............................. 50,210
----------
147,617
----------
MACHINERY & ENGINEERING EQUIPMENT--1.5%
100,000 CATERPILLAR FINANCIAL SERVICES CORP., MTN,
5.89%, 06/17/02 .......................................... 97,039
40,000 CATERPILLAR, INC., 6.63%, 07/15/28 ....................... 34,333
----------
131,372
----------
OIL & GAS--0.5%
50,000 CONOCO, INC., 5.90%, 04/15/04 ............................ 47,240
----------
PRINTING & PUBLISHING--0.3%
30,000 WASHINGTON POST CO., 5.50%, 02/15/09 ..................... 25,982
----------
RETAILING--1.1%
100,000 SAFEWAY, INC., 7.25%, 09/15/04 ........................... 98,401
----------
TELECOMMUNICATIONS--0.8%
75,000 AT&T CORP., 5.63%, 03/15/04 .............................. 70,247
----------
TOTAL CORPORATE NOTES & BONDS
(COST $1,395,663) ........................................ $1,350,364
----------
</TABLE>
See notes to financial statements.
<PAGE>
page 20 Asset Allocation Portfolio (continued)
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
--------- ------ -----
<S> <C> <C>
MORTGAGE-BACKED PASS THROUGH SECURITIES--4.9%
FEDERAL NATIONAL MORTGAGE ASSOCIATION,
$ 43,405 POOL 313563, 10.50%, 03/01/18 ................. $ 47,053
219,810 POOL 323614, 6.50%, 02/01/14 .................. 211,429
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION,
119,443 POOL 513746, 7.00%, 08/15/29 .................. 114,441
69,800 POOL 518585, 6.50%, 11/15/29 .................. 65,023
----------
TOTAL MORTGAGE-BACKED PASS THROUGH
SECURITIES (COST $453,690) ..................... 437,946
----------
TOTAL LONG-TERM INVESTMENTS
(COST $8,647,931) .............................. 8,848,475
----------
SHORT-TERM INVESTMENT--0.9%
REPURCHASE AGREEMENT--0.9%
82,000 GREENWICH CAPITAL MARKETS, INC., 5.83%,
DUE 03/01/00, (DATED 02/29/00, PROCEEDS $82,013,
SECURED BY FHLMC, $90,119, 6.24%, DUE 04/15/29;
MARKET VALUE $88,170)
(COST $82,000) ................................. 82,000
----------
TOTAL INVESTMENTS--99.7%
(COST $8,729,931) .............................. $8,930,475
==========
</TABLE>
See notes to financial statements.
<PAGE>
Government Income Portfolio page 21
Portfolio of Investments
February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
--------- ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--97.3%
U.S. TREASURY SECURITIES--46.0%
U.S. TREASURY NOTES & BONDS,
$ 400,000 5.63%, 05/15/08 .............................. $ 375,124
150,000 6.13%, 09/30/00 .............................. 149,976
550,000 6.75%, 08/15/26 .............................. 578,963
675,000 8.50%, 02/15/20 .............................. 828,353
585,000 10.75%, 08/15/05 ............................. 690,025
----------
TOTAL U.S. TREASURY SECURITIES
(COST $2,835,449) ............................. 2,622,441
----------
U.S. GOVERNMENT AGENCY SECURITIES--40.3%
750,000 FEDERAL HOME LOAN BANK, 5.70%, 03/25/03 ....... 723,165
FEDERAL NATIONAL MORTGAGE ASSOCIATION,
469,000 5.13%, 02/13/04 .............................. 437,343
150,000 5.88%, 04/23/04 .............................. 142,688
1,000,000 STUDENT LOAN MARKETING ASSOCIATION, MTN,
5.57%, 03/17/00 .............................. 999,475
----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(COST $2,350,129) ............................. 2,302,671
----------
MORTGAGE-BACKED PASS THROUGH SECURITY--11.0%
668,459 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION,......
POOL 354779, 6.50%, 03/15/24
(COST $610,674) ............................... 629,187
----------
TOTAL INVESTMENTS--97.3%
(COST $5,796,252).............................. $5,554,299
==========
</TABLE>
Money Market Portfolio
Portfolio of Investments
February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
--------- ------ -----
<S> <C> <C>
U.S. TREASURY SECURITIES--5.5%
U.S. TREASURY BILLS,
$ 79,000 5.28%, 04/06/00 ..................................... $ 78,588
150,000 5.55%, 05/18/00 ..................................... 148,222
----------
TOTAL U.S. TREASURY SECURITIES
(COST $226,810) ...................................... 226,810
----------
U.S. GOVERNMENT AGENCY SECURITIES--14.2%
100,000 FEDERAL FARM CREDIT BANK, 5.78%, 04/14/00 ............ 99,301
100,000 FEDERAL HOME LOAN BANK, DN, 5.60%, 03/03/00 .......... 99,969
FEDERAL HOME LOAN MORTGAGE CORP.,
65,000 DN, 5.66%, 03/09/00 ................................. 64,918
160,000 DN, 5.82%, 04/13/00 ................................. 158,901
165,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION, DN,
6.13%, 08/17/00 ...................................... 160,392
----------
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(COST $583,481) ...................................... 583,481
----------
COMMERCIAL PAPER--61.8%
AUTOMOTIVE--4.8%
200,000 DAIMLERCHRYSLER NORTH AMERICA CORP.,
(GERMANY), 5.94%, 05/08/00 ........................... 197,786
----------
BANKING--4.8%
200,000 SWEDBANK (SWEDEN), 5.91%, 04/19/00 ................... 198,408
----------
DIVERSIFIED--2.5%
105,000 GENERAL ELECTRIC CAPITAL CORP., 5.98%, 04/20/00 ...... 104,140
----------
FINANCIAL SERVICES--33.0%
140,000 BIL NORTH AMERICA, INC., 5.81%, 03/15/00 ............. 139,685
192,000 CREGEM NORTH AMERICA, INC., 5.87%, 04/19/00 .......... 190,482
190,000 GOLDMAN SACHS GROUP LP, 6.00%, 05/12/00 .............. 187,754
200,000 INTERNATIONAL LEASE FINANCE CORP., 5.88%,
04/17/00 ............................................. 198,479
172,000 J.P. MORGAN & CO., 5.87%, 04/12/00 ................... 170,832
190,000 KFW INTERNATIONAL FINANCE, INC., 5.93%, 03/28/00...... 189,171
105,000 NATIONWIDE BUILDING SOCIETY, (UNITED
KINGDOM), 5.98%, 05/15/00 ............................ 103,712
172,000 SALOMON SMITH BARNEY HOLDINGS, INC., 5.93%,
03/14/00 ............................................. 171,638
----------
1,351,753
----------
FOOD/BEVERAGE PRODUCTS--4.6%
190,000 HEINZ (H J) CO., 5.72%, 03/07/00 ..................... 189,820
----------
INSURANCE--4.8%
200,000 ING AMERICA INSURANCE HOLDINGS, INC.,
(NETHERLANDS), 5.99%, 05/15/00 ....................... 197,542
----------
TELECOMMUNICATIONS--2.9%
120,000 BRITISH TELECOMMUNICATIONS PLC, (UNITED
KINGDOM), 5.93%, 04/25/00 ............................ 118,928
----------
UTILITIES--4.4%
180,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE
CORP., 5.99%, 03/13/00 ............................... 179,646
----------
TOTAL COMMERCIAL PAPER $2,538,023
(COST $2,538,023) .................................... -----------
</TABLE>
See notes to financial statements.
<PAGE>
page 22 Money Market Portfolio (continued)
Portfolio of Investments February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount
(USD) Issuer Value
---------- ------ -----
<S> <C> <C>
CERTIFICATES OF DEPOSIT--18.3%
$ 190,000 BANQUE NATIONALE DE PARIS, (FRANCE), (YANKEE),
5.92%, 03/29/00 .............................. $ 189,133
100,000 CANADIAN IMPERIAL BANK OF COMMERCE,
(CANADA), (YANKEE), 5.27%, 03/03/00 .......... 100,000
125,000 DEUTSCHE BANK AG, (FRANCE), (YANKEE), 5.33%,
03/09/00 ..................................... 125,002
150,000 NATIONAL WESTMINSTER BANK PLC, (UNITED
KINGDOM), (YANKEE), 5.20%, 05/10/00 .......... 149,813
190,000 SVENSKA HANDELSBANKEN, INC., (SWEDEN),
(YANKEE), 5.95%, 03/27/00 .................... 189,189
-----------
TOTAL CERTIFICATES OF DEPOSIT
(COST $753,137) .............................. 753,137
-----------
TOTAL INVESTMENTS--99.8%
(COST $4,101,451)............................. $4,101,451
==========
</TABLE>
INDEX:
* = Non-income producing security.
ADR = American Depositary Receipt.
FHLMC = Federal Home Loan Mortgage Corporation.
MTN = Medium Term Notes.
See notes to financial statements.
<PAGE>
Statement of Assets and Liabilities page 23
February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Growth and Capital International
Income Growth Equity
Portfolio Portfolio Portfolio
-------------- -------------- ---------------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value (Note 1) $ 15,857,817 $12,176,853 $9,004,593
Cash 105 685 165,260
Foreign Currency (Cost $279,891)(a) -- -- 273,852
Other assets 171 112 62
Receivables:
Investment securities sold 166,568 229,602 58,407
Portfolio shares sold 26,842 4,158 --
Dividends and interest -- 6,690 13,442
Variation margin -- -- 62
------------ ----------- ----------
TOTAL ASSETS 16,051,503 12,418,100 9,515,678
------------ ----------- ----------
LIABILITIES:
Payables:
Investment securities purchased -- 83,627 101,197
Portfolio shares redeemed 4,575 202 --
Accrued liabilities: (Note 2)
Investment advisory fees 1,954 -- --
Administration fees 2,606 476 --
Custodian fees 9,862 10,743 4,296
Other 48,766 39,929 38,968
------------ ----------- ----------
TOTAL LIABILITIES 67,763 134,977 144,461
------------ ----------- ----------
NET ASSETS:
Paid in capital 16,131,995 10,277,963 6,124,412
Accumulated undistributed (distributions in excess of) net
investment income 65,588 (57,207) (128,289)
Accumulated net realized gain (loss) on investments and futures
transactions (1,066,464) 99,530 997,072
Net unrealized appreciation (depreciation) of investments,
futures and assets and liabilities denominated in foreign
currencies 852,621 1,962,837 2,378,022
------------ ----------- ----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS $ 15,983,740 $12,283,123 $9,371,217
============ =========== ==========
Shares of beneficial interest outstanding ($.001 par value;
unlimited number of shares authorized) 1,311,325 872,113 612,959
Net asset value, maximum offering price per share and
redemption price per share $ 12.19 $ 14.09 $ 15.29
============ =========== ==========
Cost of investments $ 15,005,196 $10,214,016 $6,622,348
============ =========== ==========
<CAPTION>
Asset U.S. Government Money
Allocation Income Market
Portfolio Portfolio Portfolio
-------------- ----------------- -------------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value (Note 1) $8,930,475 $5,554,299 $4,101,451
Cash 846 82,017 4,259
Foreign Currency (Cost $279,891)(a) -- -- --
Other assets 82 56 33
Receivables:
Investment securities sold -- -- --
Portfolio shares sold -- -- --
Dividends and interest 71,942 87,225 18,386
Variation margin -- -- --
---------- ---------- ----------
TOTAL ASSETS 9,003,345 5,723,597 4,124,129
---------- ---------- ----------
LIABILITIES:
Payables:
Investment securities purchased 23,950 -- --
Portfolio shares redeemed 160 214 83
Accrued liabilities: (Note 2)
Investment advisory fees -- -- --
Administration fees -- -- --
Custodian fees 10,152 6,646 6,526
Other 9,932 5,754 6,032
---------- ---------- ----------
TOTAL LIABILITIES 44,194 12,614 12,641
---------- ---------- ----------
NET ASSETS:
Paid in capital 8,894,085 5,894,751 4,112,104
Accumulated undistributed (distributions in excess of) net
investment income 92,483 110,225 (145)
Accumulated net realized gain (loss) on investments and futures
transactions (227,961) (52,040) (471)
Net unrealized appreciation (depreciation) of investments,
futures and assets and liabilities denominated in foreign
currencies 200,544 (241,953) --
---------- ---------- ----------
NET ASSETS APPLICABLE TO INVESTORS' BENEFICIAL
INTERESTS $8,959,151 $5,710,983 $4,111,488
========== ========== ==========
Shares of beneficial interest outstanding ($.001 par value;
unlimited number of shares authorized) 858,175 639,277 4,112,090
Net asset value, maximum offering price per share and
redemption price per share $ 10.44 $ 8.93 $ 1.00
========== ========== ==========
Cost of investments $8,729,931 $5,796,252 $4,101,451
========== ========== ==========
</TABLE>
(a) Including foreign cash of $32,159 segregated for margin on futures
contracts.
See notes to financial statements.
<PAGE>
page 24 Statement of Operations
For the six months ended February 29, 2000 (unaudited)
<TABLE>
<CAPTION>
Growth and Capital International
Income Growth Equity
Portfolio Portfolio Portfolio
------------- ------------- ---------------
<S> <C> <C> <C>
INVESTMENT INCOME: (Note 1B)
Interest $ 24,748 $ 27,964 $ 1,118
Dividends 120,275 46,036 26,642
Foreign taxes withheld (17) (75) (2,613
---------- ---------- ----------
TOTAL INVESTMENT INCOME 145,006 73,925 25,147
---------- ---------- ----------
EXPENSES: (Note 2)
Investment advisory fees 52,934 36,325 31,846
Administration fees 17,645 12,108 7,962
Accounting fees -- -- 35,813
Custodian fees 26,769 18,769 9,955
Printing and postage 3,382 4,851 7,733
Professional fees 7,872 15,343 13,770
Transfer agent fees 8,822 12,109 7,962
Trustees' fees 441 505 199
Other 350 3,021 684
---------- ---------- ----------
TOTAL EXPENSES 118,215 103,03 115,924
---------- ---------- ----------
Less amounts waived (Note 2D) 39,701 47,955 39,808
Less earnings credits (Note 2E) 302 606 3
Less expenses assumed by VFD (Note 2D) -- -- 32,324
---------- ---------- ----------
NET EXPENSES 78,212 54,470 43,789
---------- ---------- ----------
NET INVESTMENT INCOME (LOSS) 66,794 19,455 (18,642)
---------- ---------- ----------
NET REALIZED GAIN (LOSS) ON:
Investment transactions (751,503) 1,442,726 1,135,406
Futures transactions -- -- 4,441
Foreign currency transactions -- -- (16,103)
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 140,112 (268,903) 1,550,977
Futures -- -- 7,689
Foreign currency contracts and foreign currency translation -- -- (35,251)
---------- ---------- ----------
Net realized and unrealized gain (loss) (611,391) 1,173,823 2,647,159
---------- ---------- ----------
Net increase (decrease) in net assets from operations $ (544,597) $1,193,278 $2,628,517
========== ========== ==========
<CAPTION>
Asset U.S. Government Money
Allocation Income Market
Portfolio Portfolio Portfolio
-------------- -------------- ----------
<S> <C> <C> <C>
INVESTMENT INCOME: (Note 1B)
Interest $ 134,321 $ 191,814 $111,455
Dividends 26,204 -- --
Foreign taxes withheld (3) -- --
------------- ---------- --------
TOTAL INVESTMENT INCOME 160,522 191,814 111,455
---------- --------- --------
EXPENSES: (Note 2)
Investment advisory fees 25,128 14,824 4,963
Administration fees 9,137 5,929 3,971
Accounting fees -- -- --
Custodian fees 38,041 32,876 18,344
Printing and postage 42 47 89
Professional fees 9,966 8,018 8,360
Transfer agent fees 10,514 8,307 4,878
Trustees' fees 228 148 99
Other 687 471 2,300
---------- --------- -------
TOTAL EXPENSES 93,743 70,620 43,004
---------- --------- -------
Less amounts waived (Note 2D) 34,265 20,753 8,934
Less earnings credits (Note 2E) 895 336 152
Less expenses assumed by VFD (Note 2D) 19,747 25,787 22,998
---------- -------- -------
NET EXPENSES 38,836 23,744 10,920
---------- -------- -------
NET INVESTMENT INCOME (LOSS) 121,686 168,070 100,535
---------- --------- --------
NET REALIZED GAIN (LOSS) ON:
Investment transactions (214,442) (51,396) 26
Futures transactions 8,942 -- --
Foreign currency transactions -- -- --
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 162,647 1,699 --
Futures -- -- --
Foreign currency contracts and foreign currency translation -- -- --
------------ --------- --------
Net realized and unrealized gain (loss) (42,853) (49,697) 26
------------ --------- ---------
Net increase (decrease) in net assets from operations $ 78,833 $ 118,373 $100,561
============ ========= =========
</TABLE>
See notes to financial statements.
<PAGE>
Statement of Changes in Net Assets page 25
For the periods indicated (unaudited)
<TABLE>
<CAPTION>
Growth and Income Capital Growth
Portfolio Portfolio
------------------------------- -------------------------------
09/01/99 Year 09/01/99 Year
through Ended through Ended
02/29/00 08/31/99 02/29/00 08/31/99
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) $ 66,794 $ 106,946 $ 19,455 $ 74,035
Net realized gain (loss) on
investments, futures and foreign
currency transactions (751,503) (273,794) 1,442,726 (326,396)
Change in net unrealized appreciation/
depreciation on investments, futures
and foreign currency translations 140,112 3,731,059 (268,903) 3,485,901
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS (544,597) 3,564,211 1,193,278 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 605,681 2,745,113 621,180 1,764,277
Dividends reinvested 47,277 3,168,265 857,050 1,302,988
Cost of shares redeemed (3,230,681) (4,525,706) (2,179,975) (3,444,937)
------------ ------------ ------------ ------------
INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS (2,577,723) 1,387,672 (701,745) (377,672)
------------ ------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS (3,169,597) 1,783,626 (365,521) 1,552,880
NET ASSETS:
Beginning of period 19,153,337 17,369,711 12,648,644 11,095,764
------------ ------------ ------------ ------------
End of period $ 15,983,740 $ 19,153,337 $ 12,283,123 $ 12,648,644
============ ============ ============ ============
Share Transactions:
Issued 47,652 206,744 45,043 138,153
Reinvested 3,746 10,795 66,541 103,819
Redeemed (256,142) (106,283) (159,606) (268,589)
------------ ------------ ------------ ------------
Change in shares (204,744) 111,256 (48,022) (26,617)
============ ============ ============ ============
<CAPTION>
U.S. Government
International Equity Asset Allocation Income
Portfolio Portfolio Portfolio
------------------------------- ------------------------------ ---------------
09/01/99 Year 09/01/99 Year 09/01/99
through Ended through Ended through
02/29/00 08/31/99 02/29/00 08/31/99 02/29/00
--------------- --------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) $ (18,642) $ 2,343 $ 121,686 $ 227,541 $ 168,070
Net realized gain (loss) on
investments, futures and foreign
currency transactions 1,123,744 35,296 (205,500) 57,995 (51,396)
Change in net unrealized appreciation/
depreciation on investments, futures
and foreign currency translations 1,523,415 1,446,775 162,647 648,382 1,699
------------- ------------- ---------- ------------- -------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS 2,628,517 1,484,414 78,833 933,918 118,373
------------- ------------- ---------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income -- (65,684) (250,511) (150,706) (352,501)
Net realized gain on investment
transactions (242,807) (309,348) (67,251) (783,916) (106,053)
------------- ------------- ---------- ------------- -------------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS (242,807) (375,032) (317,762) (934,622) (458,554)
------------- ------------- ---------- ------------- -------------
INCREASE (DECREASE) FROM CAPITAL
SHARE TRANSACTIONS:
Proceeds from shares issued 545,947 540,673 190,102 1,873,665 236,640
Dividends reinvested 242,805 375,032 317,761 934,622 458,551
Cost of shares redeemed (1,139,807) (1,006,352) (633,636) (1,296,518) (1,077,247)
------------- ------------- ---------- ------------- -------------
INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS (351,055) (90,647) (125,773) 1,511,769 (382,056)
------------- ------------- ---------- ------------- -------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 2,034,655 1,018,735 (364,702) 1,511,065 (722,237)
NET ASSETS:
Beginning of period 7,336,562 6,317,827 9,323,853 7,812,788 6,433,220
------------- ------------- ---------- ------------- -------------
End of period $ 9,371,217 $ 7,336,562 $8,959,151 $ 9,323,853 $ 5,710,983
============= ============= ========== ============= =============
Share Transactions:
Issued 40,198 52,457 17,957 168,082 25,503
Reinvested 17,788 37,761 30,292 84,851 51,363
Redeemed (90,933) (100,131) (59,854) (117,135) (114,110)
------------- ------------- ---------- ------------- -------------
Change in shares (32,947) (9,913) (11,605) 135,798 (37,244)
============= ============= ========== ============= =============
<CAPTION>
U.S. Government
Income Money Market
Portfolio Portfolio
--------------- ------------
Year 09/01/99 Year
Ended through Ended
08/31/99 02/29/00 08/31/99
--------------- -------------- ---------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS:
Net investment income (loss) $ 357,431 $ 100,535 $ 176,767
Net realized gain (loss) on
investments, futures and foreign
currency transactions 111,284 26 216
Change in net unrealized appreciation/
depreciation on investments, futures
and foreign currency translations (547,700) -- --
------------- ---------- -------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS (78,985) 100,561 176,983
------------- ---------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income (341,109) (100,467) (177,389)
Net realized gain on investment
transactions -- -- (316)
------------- ---------- -------------
TOTAL DISTRIBUTIONS TO
SHAREHOLDERS (341,109) (100,467) (177,705)
------------- ---------- -------------
INCREASE (DECREASE) FROM CAPITAL
SHARE TRANSACTIONS:
Proceeds from shares issued 1,813,167 865,905 3,209,679
Dividends reinvested 341,107 100,467 178,002
Cost of shares redeemed (1,882,389) (846,087) (2,674,958)
------------- ---------- -------------
INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 271,885 120,285 712,723
------------- ---------- -------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS (148,209) 120,379 712,001
NET ASSETS:
Beginning of period 6,581,429 3,991,109 3,279,108
------------- ---------- -------------
End of period $ 6,433,220 $4,111,488 $ 3,991,109
============= ========== =============
Share Transactions:
Issued 181,506 865,905 3,209,679
Reinvested 34,700 100,467 178,002
Redeemed (189,910) (846,087) (2,674,958)
------------- ---------- -------------
Change in shares 26,296 120,285 712,723
============= ========== =============
</TABLE>
See notes to financial statements.
<PAGE>
page 26 Financial Highlights (unaudited)
<TABLE>
<CAPTION>
Growth and Income Portfolio
-------------------------------------------------------------
09/01/99
through Year Ended August 31,
02/29/00 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 0.06 0.06 0.09 0.15 0.29
Net gains or losses on investments
(both realized and unrealized) (0.46) 2.58 (0.71) 3.99 1.52
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS (0.40) 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 $ 12.19 $ 12.63 $ 12.36 $ 15.16 $ 12.74
======= ======= ======= ======= =======
TOTAL RETURN (3.22%) 21.23% (5.45%) 35.53% 16.24%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $15,984 $19,153 $17,370 $15,002 $ 8,081
Ratios to Average Net Assets:#
Expenses 0.89% 0.90% 0.90% 0.90% 0.90%
Net investment income 0.76% 0.54% 0.78% 1.18% 1.71%
Expenses without waivers,
assumption of expenses and earnings credits 1.34% 1.33% 1.70% 1.70% 1.98%
Net investment income without
waivers, assumption of expenses and earnings credits 0.31% 0.11% (0.02%) 0.38% 0.63%
Portfolio Turnover Rate 55% 114% 170% 89% 129%
<CAPTION>
Growth and
Income
Portfolio
-----------
03/01/95*
through
08/31/95
-----------
<S> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.11
Net gains or losses on investments
(both realized and unrealized) 1.37
-------
TOTAL FROM INVESTMENT OPERATIONS 1.48
-------
LESS DISTRIBUTIONS:
Dividends from net investment income --
Distributions from capital gains --
--------
TOTAL DISTRIBUTIONS --
--------
NET ASSET VALUE, END OF PERIOD $ 11.48
========
TOTAL RETURN 14.80%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $ 6,247
Ratios to Average Net Assets:#
Expenses 0.90%
Net investment income 2.14%
Expenses without waivers,
assumption of expenses and earnings credits 1.80%
Net investment income without
waivers, assumption of expenses and earnings credits 1.24%
Portfolio Turnover Rate 32%
<CAPTION>
Capital Growth Portfolio
------------------------------------------------------------------------
09/01/99 03/01/95*
through Year Ended August 31, through
02/29/00 1999 1998 1997 1996 08/31/95
----------- ----------- ------------- ----------- ----------- ----------
<S> <C> <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 $ 10.00
------- ------- --------- ------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.07 0.10 0.09 0.16 0.06
Net gains or losses on investments
(both realized and unrealized) 1.32 3.37 (2.37) 3.42 2.14 1.84
------- ------- --------- ------- -------- -------
TOTAL FROM INVESTMENT OPERATIONS 1.35 3.44 (2.27) 3.51 2.30 1.90
------- ------- --------- ------- -------- -------
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 $ 14.09 $ 13.75 $ 11.72 $ 15.52 $ 13.84 $ 11.90
======= ======= ========= ======= ======== ========
TOTAL RETURN 10.51% 30.59% (16.38%) 27.27% 19.66% 19.00%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $12,283 $12,649 $ 11,096 $12,373 $ 7,910 $ 6,329
Ratios to Average Net Assets:#
Expenses 0.90% 0.90% 0.90% 0.90% 0.90% 0.90%
Net investment income 0.32% 0.59% 0.72% 0.64% 0.97% 1.04%
Expenses without waivers,
assumption of expenses and earnings credits 1.70% 1.70% 1.70% 1.70% 1.97% 1.80%
Net investment income without
waivers, assumption of expenses and earnings credits (0.48%) (0.21%) (0.08%) (0.16%) (0.10%) 0.14%
Portfolio Turnover Rate 84% 27% 71% 54% 107% 28%
</TABLE>
<TABLE>
<CAPTION>
International Equity Portfolio
------------------------------------------------------------------
Year Ended August 31,
09/01/99
through
02/29/00 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 (0.04) -- 0.02 (b) 0.19 0.22
Net gains or losses on investments
(both realized and unrealized) 4.38 2.32 (0.28) 0.65 0.03
-------- -------- --------- ------- --------
TOTAL FROM INVESTMENT OPERATIONS 4.34 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 $ 15.29 $ 11.36 $ 9.63 $ 10.45 $ 10.59
======== ======== ========= ======= ========
TOTAL RETURN 38.62% 25.03% (2.46%) 8.27% 2.42%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $ 9,371 $ 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 (0.47%) 0.04% 0.19% 1.96% 0.82%
Expenses without waivers,
assumption of expenses and earnings credits 2.91% 3.24% 3.05% 2.99% 4.22%
Net investment income without
waivers, assumption of expenses and earnings credits (2.28%) (2.10%) (1.76%) 0.08% (2.30%)
Portfolio Turnover Rate 56% 170% 157% 158% 200%
<CAPTION>
International
Equity
Portfolio
-----------
03/01/95*
through
08/31/95
-----------
<S> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10
Net gains or losses on investments
(both realized and unrealized) 0.79
-------
TOTAL FROM INVESTMENT OPERATIONS 0.89
-------
LESS DISTRIBUTIONS:
Dividends from net investment income --
Distributions from capital gains --
-------
TOTAL DISTRIBUTIONS --
-------
NET ASSET VALUE, END OF PERIOD $ 10.89
=======
TOTAL RETURN 8.90%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $ 5,482
Ratios to Average Net Assets:#
Expenses 1.09%
Net investment income 1.92%
Expenses without waivers,
assumption of expenses and earnings credits 2.90%
Net investment income without
waivers, assumption of expenses and earnings credits 0.11%
Portfolio Turnover Rate 75%
<CAPTION>
Asset Allocation Portfolio
---------------------------------------------------------------------
Year Ended August 31,
09/01/99 03/01/95*
through through
02/29/00 1999 1998 1997 1996 08/31/95
---------- ----------- ----------- ----------- ----------- ----------
<S> <C> <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 $ 10.00
------- ------- -------- ------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.15 0.24 0.28 0.33 0.66 0.21
Net gains or losses on investments
(both realized and unrealized) (0.05) 1.04 (0.25) 1.94 0.49 0.83
-------- ------- -------- ------- -------- -------
TOTAL FROM INVESTMENT OPERATIONS 0.10 1.28 0.03 2.27 1.15 1.04
-------- ------- -------- ------- -------- -------
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 $ 10.44 $ 10.72 $ 10.64 $ 11.57 $ 11.15 $ 11.04
======== ======= ======== ======= ======== ========
TOTAL RETURN 0.90% 11.88% (0.04%) 22.61% 10.90% 10.40%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $ 8,959 $ 9,324 $ 7,813 $ 6,282 $ 4,033 $ 5,546
Ratios to Average Net Assets:#
Expenses 0.85% 0.85% 0.85% 0.85% 0.85% 0.85%
Net investment income 2.67% 2.48% 2.81% 3.28% 3.18% 3.86%
Expenses without waivers,
assumption of expenses and earnings credits 2.06% 1.90% 1.91% 2.03% 2.33% 1.65%
Net investment income without
waivers, assumption of expenses and earnings credits 1.46% 1.43% 1.75% 2.10% 1.71% 3.06%
Portfolio Turnover Rate 113% 112% 162% 122% 155% 45%
</TABLE>
* Commencement of operations.
# Short periods have been annualized.
b Net investment income per share has been calculated based on average shares
outstanding during the period.
See notes to financial statements.
<PAGE>
page 27
Financial Highlights (unaudited) (continued)
<TABLE>
<CAPTION>
U.S. Government Income Portfolio++
--------------------------------------------------------------------
Year Ended August 31,
09/01/99 03/01/95*
through through
02/29/00 1999 1998 1997 1996 08/31/95
---------- ----------- ---------- ---------- ----------- -----------
<S> <C> <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 $ 10.00
------ -------- ------- ------ ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.32 0.52 0.39 0.52 1.17 0.32
Net gains or losses on investments
(both realized and unrealized) (0.14) (0.62) 0.64 0.22 (0.86) 0.37
------- -------- ------- ------ ------- -------
TOTAL FROM INVESTMENT OPERATIONS 0.18 (0.10) 1.03 0.74 0.31 0.69
------- -------- ------- ------ ------- -------
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 $ 8.93 $ 9.51 $ 10.12 $ 9.40 $ 9.53 $ 10.69
======= ======== ======= ====== ======== ========
TOTAL RETURN 1.98% (1.15%) 11.12% 8.11% 2.62% 6.90%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $ 5,711 $ 6,433 $ 6,581 $3,801 $ 2,994 $ 5,390
Ratios to Average Net Assets:#
Expenses 0.80% 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income 5.68% 5.35% 5.40% 5.91% 6.06% 6.19%
Expenses without waivers,
assumption of expenses and earnings credits 2.38% 1.97% 1.99% 1.50% 1.79% 1.62%
Net investment income without
waivers, assumption of expenses and earnings credits 4.10% 4.18% 4.21% 5.21% 5.07% 5.37%
Portfolio Turnover Rate 14% 31% 14% 40% 83% 46%
<CAPTION>
Money Market Portfolio
-----------------------------------------------------------------
Year Ended August 31,
09/01/99 03/01/95*
through through
02/29/00 1999 1998 1997 1996 08/31/95
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <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 $ 1.00
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.05 0.05 0.05 0.05 0.03
Net gains or losses on investments
(both realized and unrealized) -- -- -- -- -- --
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS 0.03 0.05 0.05 0.05 0.05 0.03
------ ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.03 0.05 .05 0.05 0.05 0.03
Distributions from capital gains -- -- -- -- -- --
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS 0.03 0.05 0.05 0.05 0.05 0.03
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ====== ====== ====== ====== ======
TOTAL RETURN 2.51% 4.66% 5.04% 4.93% 5.15% 2.79%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (000 omitted) $4,111 $3,991 $3,279 $4,854 $2,950 $5,422
Ratios to Average Net Assets:#
Expenses 0.55% 0.55% 0.55% 0.55% 0.55% 0.55%
Net investment income 5.07% 4.54% 4.94% 4.84% 5.10% 5.46%
Expenses without waivers,
assumption of expenses and earnings credits 2.17% 2.28% 2.24% 1.46% 1.74% 1.21%
Net investment income without
waivers, assumption of expenses and earnings credits 3.45% 2.81% 3.25% 3.93% 3.91% 4.80%
Portfolio Turnover Rate -- -- -- -- -- --
</TABLE>
* Commencement of operations.
# Short periods have been annualized.
++ 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 (unaudited)
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 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 (unaudited) (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 February 29, 2000, the Portfolios had outstanding futures
contracts as described on the 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.
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 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
<PAGE>
page 30 Notes to Financial Statements (unaudited) (continued)
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 some or all its 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 some or all of its 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 some or all of its fees as shown
in 2.D.
D. Assumption of Expenses--For the six months ended February 29, 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 $39,701 $36,325 $31,846 $25,128 $14,824 $ 4,963
Administration -- 11,630 7,962 9,137 5,929 3,971
------- ------- ------- ------- ------- -------
$39,701 $47,955 $39,808 $34,265 $20,753 $ 8,934
======= ======= ======= ======= ======= =======
The Sub-Administrator voluntarily assumed certain expenses of the funds:
Assumed
Expenses -- -- $32,324 $19,747 $25,787 $22,998
======= ======= ======= ======= ======= =======
</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 six
months ended February 29, 2000, included in Trustees Fees in the
Statement of Operations, and accrued pension liability included in
other 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 $166 $1,372
Capital Growth Portfolio 112 1,050
International Equity Portfolio 68 541
Asset Allocation Portfolio 82 647
U.S. Government Income
Portfolio 53 450
Money Market Portfolio 34 334
</TABLE>
<PAGE>
Notes to Financial Statements (unaudited) (continued) page 31
3. INVESTMENT TRANSACTIONS--For the six months ended February 29, 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) $ 9,170,880 $9,937,585 $4,419,400 $6,137,651 $ --
Sales (excluding
U.S. Government) 11,755,953 9,268,454 5,326,096 5,659,881 --
Purchases of
U.S. Government -- -- -- 3,675,248 795,949
Sales of
U.S. Government -- -- -- 4,285,088 1,268,782
</TABLE>
4. FEDERAL INCOME TAX MATTERS--For Federal income tax purposes, the cost and
unrealized appreciation/(depreciation) in value of the investment
securities at February 29, 2000 are as follows:
<TABLE>
<CAPTION>
GIP CGP IEP AAP USGIP
-------------- -------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Aggregate cost $ 15,005,196 $ 10,214,016 $6,622,348 $8,729,931 $5,796,252
------------ ------------ ---------- ---------- ----------
Gross unrealized
appreciation 2,302,206 2,985,007 2,783,191 706,969 22,123
Gross unrealized
depreciation (1,449,585) (1,022,170) (400,946) (506,425) (264,076)
------------ ------------ ---------- ---------- ----------
Net unrealized
appreciation/
(depreciation) $ 852,621 $ 1,962,837 $2,382,245 $ 200,544 $ (241,953)
============ ============ ========== ========== ==========
</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 54,395 $ 35,836 $ 33,480 $(2,356)
British Pound Sterling 82,724 132,208 130,617 (1,591)
EURO 110,325 108,566 106,403 (2,163)
Greek Drachma 60,000 215 173 (42)
Hong Kong Dollar 1,284 165 165 --
Indonesian Rupiah 894,077 58 120 62
Japanese Yen 16,865 164 153 (11)
Malaysian Ringgit 1,835 432 483 51
Mexican Peso 93 9 10 1
Philippine Peso 22,439 535 548 13
Singapore Dollar 67 41 39 (2)
Swedish Krona 567 67 65 (2)
Swiss Franc 580 364 348 (16)
Thai Baht 47,560 1,231 1,248 17
------- -------- -------- ---------
$279,891 $273,852 $(6,039)
======== ======== =========
</TABLE>
6. CONCENTRATION OF SHAREHOLDERS
At February 29, 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 February 29, 2000, MMP invested 56.1% of its 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 22.0% and 17.9% 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 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 February 29, 2000, nor at any time
during the six months then ended.
