<PAGE>
DEAR SHAREHOLDER:
This report relates to the operations of the underlying investment portfolios of
the Perspective Advisors Variable Annuity for the year ended December 31, 1999.
The following Money Manager commentaries, graphs and tables provide you with
information regarding each Series' performance during the period.
JNL/JANUS AGGRESSIVE GROWTH SERIES
JANUS CAPITAL CORPORATION
[JANUS LOGO] WARREN B. LAMMERT
OBJECTIVE:
JNL/Janus Aggressive Growth Series seeks as its investment objective long-term
growth of capital by investing primarily in common stocks of issuers of any
size, including larger, well-established companies and smaller, emerging growth
companies.
MONEY MANAGER COMMENTARY:
The gap between technology stars and industrial laggards became more apparent
during 1999, especially in the fourth quarter, with technology stocks
registering dramatic gains while other sectors turned in mixed performances.
Notably, the tech sector's strength came despite a persistent rise in interest
rates that held many other, more traditional stocks in check.
The Series was extremely well positioned to benefit and outpaced our benchmark,
the S&P 500 Index, by a substantial margin. Continued growth in cellular
subscriber rates continued to support Texas Instruments, whose digital signal
processing chips power roughly 70% of the nearly 300 million cellular phones
sold worldwide this year. Another obvious beneficiary was handset manufacturer
Nokia, which controls a large and growing share of the handset and cellular
infrastructure markets. Both companies, as well as our other carefully selected
cellular stocks, are poised for even greater growth as wireless data emerges as
a visible driver for the shares in coming months.
Meanwhile, the premium paid by the market to companies that have established a
dominant position on the Web continued to widen, and our positions in companies
such as America Online gained as a result. Game software manufacturer Electronic
Arts, which recently signed an agreement to act as the sole provider of gaming
content to AOL, also traded higher.
While we were pleased with the Series' performance, there were some setbacks.
Large-cap pharmaceutical shares were pressured by a number of high-profile
pipeline disappointments, higher interest rates and uncertainty related to
Medicare reform, and our position in Schering-Plough gave ground as a result.
Looking ahead, while we view the successes we had in 1999 as a validation of our
investment process, there will no doubt be bumps in the road as we enter 2000.
We are confident, however, that our intensive, collaborative approach continues
to be the best way to navigate an increasingly uncertain market.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/JANUS AGGRESSIVE GROWTH SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/JANUS AGGRESSIVE GROWTH
SERIES S&P 500 INDEX
--------------------------- -------------
<S> <C> <C>
5/15/1995 10000.00 10000.00
6/30 10860.00 10356.00
9/30 12190.00 11179.00
12/31/1995 12409.00 11851.00
3/31 13578.00 12487.00
6/30 14022.00 13046.00
9/30 14601.00 13448.00
12/31/1996 14761.00 14568.00
3/31 14011.00 14958.00
6/30 15666.00 17567.00
9/30 17232.00 18882.00
12/31/1997 16631.00 19424.00
3/31 19595.00 22134.00
6/30 21621.00 22863.00
9/30 20202.00 20593.00
12/31/1998 26220.00 24975.00
3/31 32478.00 26220.00
6/30 34829.00 28068.00
9/30 35993.00 26315.00
12/31/1999 50980.00 30231.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.............................................94.43%
Since inception*...................................42.10%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
1
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $414,383) $ 639,821
Cash 4
Foreign currency 1,018
Receivables:
Dividends and interest 63
Forward currency contracts 2,037
Fund shares sold 990
Investment securities sold 11,941
--------------
TOTAL ASSETS 655,874
--------------
LIABILITIES
Payables:
Advisory fees 452
Administrative fees 51
Forward currency contracts 216
Fund shares redeemed 71
Investment securities purchased 538
--------------
TOTAL LIABILITIES 1,328
--------------
NET ASSETS $ 654,546
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 388,122
Accumulated net investment loss (474)
Accumulated net realized gain on
investments and foreign currency
related items 39,647
Net unrealized appreciation on:
Investments 225,438
Foreign currency related items 1,813
==============
$ 654,546
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 16,374
==============
NET ASSET VALUE PER SHARE $ 39.97
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 677
Interest 1,161
Security lending income 190
Foreign taxes withheld (16)
--------------
TOTAL INVESTMENT INCOME 2,012
--------------
EXPENSES
Advisory fees 3,015
Administrative fees 330
--------------
TOTAL EXPENSES 3,345
--------------
NET INVESTMENT LOSS (1,333)
--------------
REALIZED AND UNREALIZED GAINS Net realized gain on:
Investments 74,216
Foreign currency related items 435
Net change in unrealized appreciation on:
Investments 182,082
Foreign currency related items 1,792
--------------
NET REALIZED AND UNREALIZED GAINS 258,525
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 257,192
==============
See notes to the financial statements.
2
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
OPERATIONS
<S> <C> <C>
Net investment loss .......................................................... $ (1,333) $ (386)
Net realized gain (loss) on:
Investments ................................................................ 74,216 16,357
Foreign currency related items ............................................. 435 (201)
Net change in unrealized appreciation on:
Investments ................................................................ 182,082 37,523
Foreign currency related items ............................................. 1,792 30
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 257,192 53,323
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... -- (334)
From net realized gains on investment transactions ........................... (44,748) (5,486)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (44,748) (5,820)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 395,548 78,835
Reinvestment of distributions ................................................ 44,748 5,820
Cost of shares redeemed ...................................................... (160,036) (49,186)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 280,260 35,469
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 492,704 82,972
NET ASSETS BEGINNING OF PERIOD ................................................. 161,842 78,870
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 654,546 $ 161,842
============== ==============
ACCUMULATED NET INVESTMENT LOSS ................................................ $ (474) $ (272)
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 13,189 4,452
Reinvestment of distributions ............................................. 1,132 263
Shares redeemed ........................................................... (5,275) (2,814)
-------------- --------------
Net increase .............................................................. 9,046 1,901
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 512,220 $ 131,828
Proceeds from sales of securities ......................................... 299,891 118,721
</TABLE>
See notes to the finanicial statements.
3
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
----------- -------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ..................... $ 22.09 $ 14.53 $ 13.38 $ 13.13 $ 10.00
---------- ------------ ----------- ----------- -----------
Income from operations:
Net investment income (loss) ............................. (0.06) (0.06) 0.04 0.05 0.01
Net realized and unrealized gains on investments and
foreign currency related items ........................... 20.87 8.45 1.65 1.10 3.53
---------- ------------ ----------- ----------- -----------
Total income from operations ............................. 20.81 8.39 1.69 1.15 3.54
---------- ------------ ----------- ----------- -----------
Less distributions:
From net investment income ............................... -- (0.05) -- (0.05) --
From net realized gains on investment transactions ....... (2.93) (0.78) (0.54) (0.71) (0.41)
Return of capital ........................................ -- -- -- (0.14) --
---------- ------------ ----------- ----------- -----------
Total distributions ...................................... (2.93) (0.83) (0.54) (0.90) (0.41)
---------- ------------ ----------- ----------- -----------
Net increase ............................................. 17.88 7.56 1.15 0.25 3.13
---------- ------------ ----------- ----------- -----------
Net asset value, end of period ........................... $ 39.97 $ 22.09 $ 14.53 $ 13.38 $ 13.13
========== ============ =========== =========== ===========
Total Return (a) ......................................... 94.43 % 57.66 % 12.67 % 8.72 % 35.78 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................. $ 654,546 $ 161,842 $ 78,870 $ 29,555 $ 8,527
Ratio of expenses to average net assets (b) .............. 1.01 % 1.10 % 1.10 % 1.09 % 1.09 %
Ratio of net investment income (loss) to average net
assets (b) ............................................... (0.40)% (0.35)% 0.39 % 0.77 % 0.27 %
Portfolio turnover ....................................... 95.06 % 114.51 % 137.26 % 85.22 % 163.84 %
Ratio information assuming no expense reimbursement
or fees paid indirectly:
Ratio of expenses to average net assets (b) .............. n/a 1.10 % 1.17 % 1.40 % 2.77 %
Ratio of net investment income (loss) to average net
assets (b) ............................................... n/a (0.35)% 0.32 % 0.46 % (1.41)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
4
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 95.0%
ADVERTISING - 1.7%
Lamar Advertising Co. (a) 41,176 $ 2,494
TMP Worldwide Inc. (a) 56,790 8,064
-----------
10,558
BANKS - 1.4%
Fifth Third Bancorp 74,115 5,438
Firstar Corp. 158,379 3,346
-----------
8,784
BIOTECHNOLOGY - 1.1%
PE Corp. - PE Biosystems Group 56,795 6,833
COMMERCIAL SERVICES - 4.0%
Infospace.com Inc. (a) 5,930 1,269
Sapient Corp. (a) 92,815 13,081
USWeb Corp. (a) 195,345 8,681
Whittman-Hart Inc. (a) 48,410 2,596
-----------
25,627
COMPUTERS - 6.7%
ASM Lithography Holding NV (a) 79,715 9,068
Cisco Systems Inc. (a) 177,110 18,973
EMC Corp. (a) 138,465 15,127
-----------
43,168
DIVERSIFIED FINANCIAL SERVICES -
2.1%
American Express Co. 56,120 9,330
E*TRADE Group Inc. (a) 157,370 4,111
-----------
13,441
ELECTRONICS - 1.7%
Maxim Integrated Products Inc. (a) 52,975 2,500
Pittway Corp. 65,390 2,930
Vitesse Semiconductor Corp. (a) 104,430 5,476
-----------
10,906
ENTERTAINMENT - 0.2%
Liberty Digital Inc. (a) 19,745 1,466
HEALTHCARE - 2.6%
Medtronic Inc. 315,153 11,483
MiniMed Inc. (a) 67,275 4,928
-----------
16,411
HOME FURNISHINGS - 1.2%
SONY Corp. 24,900 7,371
MACHINERY - 2.2%
Mannesmann AG 58,003 13,925
MEDIA - 14.4%
AT&T- Liberty Media Group - Class
A (a) 642,125 36,440
Comcast Corp. 278,565 14,085
Cox Communications Inc. (a) 133,880 6,895
Infinity Broadcasting Corp. (a) 151,893 5,497
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Internet Capital Group Inc. (a) 15,390 $ 2,616
Time Warner Inc. 261,244 18,924
UnitedGlobalCom Inc. (a) 114,080 8,057
-----------
92,514
OIL & GAS PRODUCERS - 3.2%
Enron Corp. 463,630 20,574
PHARMACEUTICALS - 3.0%
Pfizer Inc. 48,545 1,574
Schering-Plough Corp. 414,430 17,484
-----------
19,058
RETAIL - 5.1%
Amazon.com Inc. (a) 302,600 23,035
eBay Inc. (a) 27,930 3,497
Rite Aid Corp. 565,070 6,322
-----------
32,854
SEMICONDUCTORS - 4.6%
Applied Materials Inc. (a) 94,890 12,022
Conexant Systems Inc. (a) 126,680 8,408
Texas Instruments Inc. 96,200 9,319
-----------
29,749
SOFTWARE - 11.4%
America Online Inc. (a) 80,620 6,082
Electronic Arts Inc. (a) 174,695 14,674
I2 Technologies Inc. (a) 82,945 16,174
Inktomi Corp. (a) 33,360 2,961
Microsoft Corp. (a) 103,305 12,061
Phone.com Inc. (a) 62,865 7,288
Software.com Inc. (a) 30,595 2,937
Veritas Software Corp. (a) 54,005 7,730
Vignette Corp. (a) 20,625 3,362
-----------
73,269
TELECOMMUNICATIONS - 28.4%
Cablevision Systems Corp. (a) 90,975 6,869
Doubleclick Inc. (a) 27,615 6,988
Echostar Communications Corp. (a) 20,070 1,957
Exodus Communications Inc. (a) 121,500 10,791
JDS Uniphase Corp. (a) 56,500 9,114
Level 3 Communications Inc. (a) 118,575 9,708
Nextel Communications Inc. (a) 26,455 2,729
Nokia Oyj 49,572 8,944
Nokia Oyj - ADR 375,992 71,438
NTL Inc. (a) 58,613 7,312
Sprint Corp. (PCS Group) (a) 65,385 6,702
Telefonica SA 251,186 6,244
Telefonica SA - ADR 5,545 437
Telefonos de Mexico SA - ADR 55,830 6,281
VeriSign Inc. (a) 57,855 11,047
Voicestream Wireless Corp. (a) 66,405 9,450
Winstar Communications Inc. (a) 73,690 5,518
-----------
181,529
-----------
Total Common Stocks
(cost $382,515) 608,037
-----------
See notes to the financial statements.
5
<PAGE>
JNL/JANUS AGGRESSIVE GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
CORPORATE BONDS - 0.2%
RETAIL - 0.2%
Amazon.com Inc., (Step-Up Bond),
10.00%, 05/01/2008 (b) $ 1,375,000 $ 892
-----------
Total Corporate Bonds
(cost $976) 892
-----------
SHORT TERM INVESTMENTS - 4.8%
DIVERSIFIED FINANCIAL SERVICES -
4.8%
CIT Group Holdings Inc., 4.50%,
01/03/2000 10,900,000 10,897
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Federal Home Loan Mortgage Corp.,
5.52%, 01/19/2000 $10,000,000 $ 9,972
Federal National Mortgage
Association,
5.52%, 01/20/2000 10,000,000 9,971
-----------
30,840
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
5.53% (c) 52,150 52
-----------
Total Short Term Investments
(cost $30,892) 30,892
-----------
TOTAL INVESTMENTS - 100%
(cost $414,383) $ 639,821
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Denotes deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(c) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
<PAGE>
Based on the cost of investments of $414,830 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $236,403, the gross
unrealized depreciation was $11,412 and the net unrealized appreciation on
investments was $224,991.
FORWARD CURRENCY CONTRACTS, OPEN AT DECEMBER 31, 1999 (IN 000'S):
CURRENCY SOLD AND CURRENCY CURRENCY UNREALIZED
SETTLEMENT DATE UNITS SOLD VALUE IN $ GAIN
U.S.
- --------------------------- ------------- -------------- --------------
Euro 04/07/00 19,700 $ 19,878 $ 1,078
Euro 04/14/00 8,300 8,379 74
Euro 06/09/00 23,000 23,313 668
============== ==============
$ 51,570 $ 1,820
============== ==============
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 1999:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
- -------------------------------------------------------- ------------------
Finland 12.6% $ 80,383
Germany 2.2% 13,925
Japan 1.1% 7,371
Mexico 1.0% 6,281
Netherlands 1.4% 9,068
Spain 1.0% 6,681
United States 80.7% 516,112
------------------- ------------------
TOTAL 100.0% $ 639,821
=================== ==================
See notes to the financial statements.
6
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
JANUS CAPITAL CORPORATION
[JANUS LOGO] JAMES P. GOFF
OBJECTIVE:
JNL/Janus Capital Growth Series is a non-diversified Series that seeks as its
investment objective long-term growth of capital by emphasizing investments in
common stocks of medium-sized companies. Although the Series expects to
emphasize such securities, it may also invest in smaller or larger companies.
MONEY MANAGER COMMENTARY:
Domestic equity markets were volatile in 1999 as investors weighed solid
earnings reports against lingering inflation fears and rising interest rates.
The Federal Reserve responded to the strength of the U.S. economy by raising
interest rates three times between June and November, while hinting that further
rate hikes might be necessary in the new year. Amid this backdrop, the Series
logged exceptional results, substantially outperforming its benchmark, the S&P
Midcap 400 Index.
We enjoyed broad-based gains across many of our holdings, particularly in our
technology, wireless service and telecommunications infrastructure positions.
Our positions in technological "enablers" that provide products or services to
the Internet industry were among the Series' clear standouts. For example,
VeriSign's technology enables secure browser-to-server transactions over the
Internet. The stock soared following two recently announced strategic
acquisitions, which will allow VeriSign to marry its existing technology with a
back-end credit card payment platform.
Thanks to higher-than-expected cellular subscription growth, our wireless
positions in Western Wireless, OmniPoint and VoiceStream also provided
outstanding returns. The potential for additional revenues from the introduction
of wireless data transmission also fueled investor optimism.
Additionally, our telecommunication infrastructure companies, including SDL and
E-Tek Dynamics, soared. Their products increase the fiber-optic bandwidth
capacity of telecommunication networks, which is in high demand as
telecommunication providers scramble to keep up with the Internet's
ever-increasing proliferation.
On the downside, our position in Apollo Group, which operates the University of
Phoenix, came under pressure. Although Wall Street downgraded the stock, we
maintained our position due to Apollo's strong long-term growth potential.
Looking ahead, we remain steadfastly focused on uncovering dynamic companies
with extraordinary growth potential. By visiting companies on their home turf
and looking for critical information that others have overlooked or just plain
missed, we remain confident that our "all-weather" companies can grow the bottom
line in any environment.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/JANUS CAPITAL GROWTH SERIES AND THE S&P MIDCAP 400 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/JANUS CAPITAL GROWTH SERIES S&P MIDCAP 400 INDEX
------------------------------- --------------------
<S> <C> <C>
5/15/1995 10000.00 10000.00
6/30 10910.00 10417.00
9/30 12480.00 11432.00
12/31/1995 13353.00 11593.00
3/31 14794.00 12306.00
6/30 15626.00 12661.00
9/30 16331.00 13034.00
12/31/1996 15600.00 12823.00
3/31 13820.00 12633.00
6/30 16344.00 14489.00
9/30 17596.00 16817.00
12/31/1997 17941.00 17994.00
3/31 20040.00 20012.00
6/30 21029.00 19546.00
9/30 17865.00 16720.00
12/31/1998 24249.00 21429.00
3/31 28495.00 20059.00
6/30 31712.00 22899.00
9/30 34180.00 20972.00
12/31/1999 54365.00 24576.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year................... 124.19%
Since inception*........ 44.09%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
7
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $314,951) $ 508,896
Cash 30
Foreign currency 153
Receivables:
Dividends and interest 1
Fund shares sold 428
Investment securities sold 21
Collateral for securities loaned 5,436
--------------
TOTAL ASSETS 514,965
--------------
LIABILITIES
Payables:
Advisory fees 347
Administrative fees 38
Fund shares redeemed 58
Return of collateral for securities loaned 5,436
--------------
TOTAL LIABILITIES 5,879
--------------
NET ASSETS $ 509,086
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 274,824
Accumulated net investment loss (150)
Accumulated net realized gain on
investments and foreign currency
related items 40,467
Net unrealized appreciation on investments 193,945
==============
$ 509,086
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 11,670
==============
NET ASSET VALUE PER SHARE $ 43.62
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 146
Interest 349
Security lending income 128
Foreign taxes withheld (1)
--------------
TOTAL INVESTMENT INCOME 622
--------------
EXPENSES
Advisory fees 2,065
Administrative fees 223
--------------
TOTAL EXPENSES 2,288
--------------
NET INVESTMENT LOSS (1,666)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments 68,596
Foreign currency related items (2)
Net change in unrealized appreciation
(depreciation) on:
Investments 165,791
Foreign currency related items (3)
--------------
NET REALIZED AND UNREALIZED GAINS 234,382
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 232,716
==============
See notes to the financial statements.
8
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss .......................................................... $ (1,666) $ (577)
Net realized gains (losses) on:
Investments ................................................................ 68,596 13,077
Foreign currency related items ............................................. (2) (275)
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ 165,791 15,365
Foreign currency related items ............................................. (3) 20
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 232,716 27,610
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... -- --
From net realized gains on investment transactions ........................... (30,899) (7,824)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (30,899) (7,824)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 239,269 37,270
Reinvestment of distributions ................................................ 30,899 7,824
Cost of shares redeemed ...................................................... (73,936) (27,592)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 196,232 17,502
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 398,049 37,288
NET ASSETS BEGINNING OF PERIOD ................................................. 111,037 73,749
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 509,086 $ 111,037
============== ==============
ACCUMULATED NET INVESTMENT LOSS ................................................ $ (150) $ (154)
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 8,203 2,082
Reinvestment of distributions ............................................. 714 377
Shares redeemed ........................................................... (2,603) (1,573)
-------------- --------------
Net increase .............................................................. 6,314 886
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 387,928 $ 113,677
Proceeds from sales of securities ......................................... 227,797 108,604
</TABLE>
See notes to the financial statements.
9
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- -------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period .................... $ 20.73 $ 16.50 $ 14.46 $ 13.86 $ 10.00
--------- ------------ ----------- ----------- ----------
Income from operations:
Net investment income (loss) ............................ (0.13) (0.12) (0.06) 0.06 --
Net realized and unrealized gains on investments and
foreign currency related items .......................... 25.85 5.92 2.23 0.70 4.70
--------- ------------ ----------- ----------- ----------
Total income from operations ............................ 25.72 5.80 2.17 0.76 4.70
--------- ------------ ----------- ----------- ----------
Less distributions:
From net investment income .............................. -- -- (0.02) -- --
From net realized gains on investment transactions ...... (2.83) (1.57) (0.04) (0.16) (0.84)
Return of capital ....................................... -- -- (0.07) -- --
--------- ------------ ----------- ----------- ----------
Total distributions ..................................... (2.83) (1.57) (0.13) (0.16) (0.84)
--------- ------------ ----------- ----------- ----------
Net increase ............................................ 22.89 4.23 2.04 0.60 3.86
--------- ------------ ----------- ----------- ----------
Net asset value, end of period .......................... $ 43.62 $ 20.73 $ 16.50 $ 14.46 $ 13.86
========= ============ =========== =========== ==========
Total Return (a) ........................................ 124.19 % 35.16 % 15.01 % 5.45 % 47.94 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................ $ 509,086 $ 111,037 $ 73,749 $ 36,946 $ 9,578
Ratio of expenses to average net assets (b) ............. 1.03 % 1.09 % 1.10 % 1.09 % 1.09 %
Ratio of net investment income (loss) to average net
assets (b) .............................................. (0.75)% (0.68)% (0.30)% 0.91 % (0.49)%
Portfolio turnover ...................................... 102.26 % 128.95 % 131.43 % 115.88 % 128.56 %
Ratio information assuming no expense reimbursement
or fees paid indirectly:
Ratio of expenses to average net assets (b) ............. n/a 1.09 % 1.11 % 1.27 % 2.08 %
Ratio of net investment income (loss) to average net
assets (b) .............................................. n/a (0.68)% (0.31)% 0.73 % (1.48)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
10
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
COMMON STOCKS - 98.2%
ADVERTISING - 4.0%
Lamar Advertising Co. (a) 114,870 $ 6,957
TMP Worldwide Inc. (a) 94,760 13,456
-------------
$20,413.00
COMMERCIAL SERVICES - 5.5%
Apollo Group Inc. (a) 436,537 8,758
Edison Schools Inc. (a) 10,835 171
Infospace.com Inc. (a) 6,810 1,457
Paychex Inc. 441,032 17,641
-------------
28,027
COMPUTERS - 1.6%
Brocade Communications Systems
Inc. (a) 16,920 2,995
Safeguard Scientifics Inc. (a) 28,240 4,577
Silicon Storage Technology Inc.
(a) 10,600 437
-------------
8,009
ELECTRICAL COMPONENTS & EQUIPMENT - 0.0%
Furukawa Electric Co. 2,000 30
ELECTRONICS - 6.8%
SDL Inc. (a) 93,765 20,441
Vitesse Semiconductor Corp. (a) 272,420 14,285
-------------
34,726
ENTERTAINMENT - 2.6%
Premier Parks Inc. (a) 172,310 4,976
SFX Entertainment Inc. (a) 224,612 8,128
-------------
13,104
HEALTHCARE - 1.5%
Healtheon/WebMD Corp. (a) 101,690 3,813
MiniMed Inc. (a) 52,280 3,830
-------------
7,643
HOME FURNISHINGS - 2.4%
Gemstar International Group 172,695 12,305
Ltd. (a)
MANUFACTURING - 2.6%
E-Tek Dynamics Inc. (a) 99,820 13,438
MEDIA - 11.1%
AMFM Inc. (a) 90,035 7,045
Citadel Communications Corp. (a) 85,260 5,531
Clear Channel Communications
Inc. (a) 50,508 4,508
Cox Radio Inc. (a) 14,770 1,473
Hispanic Broadcasting Corp. (a) 146,990 13,555
Internet Capital Group Inc. (a) 9,895 1,682
Metromedia Fiber Network Inc.
(a) 334,285 16,025
Radio One Inc. (a) 38,275 3,521
Univision Communications Inc.
(a) 31,565 3,226
-------------
56,566
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
PHARMACEUTICALS - 4.8%
King Pharmaceuticals Inc. (a)
(c) 84,840 $ 4,756
MedImmune Inc. (a) 67,168 11,141
Sepracor Inc. (a) 85,975 8,528
-------------
$24,425.00
RETAIL - 2.4%
Amazon.com Inc. (a) 45,190 3,440
eBay Inc. (a) 64,770 8,108
Freemarkets Inc. (a) 1,520 519
PizzaExpress Plc 24,180 286
-------------
12,353
SEMICONDUCTORS - 4.2%
Atmel Corp. (a) 38,610 1,141
Triquint Semiconductor Inc. (a) 90,565 10,075
Xilinx Inc. (a) 217,020 9,868
-------------
21,084
SOFTWARE - 8.6%
Liberate Technologies Inc. (a) 32,805 8,431
Phone.com Inc. (a) 21,020 2,437
Portal Software Inc. (a) 10,600 1,091
PSINet Inc. (a) 157,270 9,711
Software.com Inc. (a) 45,235 4,343
Va Linux Inc. (a) 7,120 1,471
Veritas Software Corp. (a) 77,827 11,139
Vignette Corp. (a) 25,590 4,171
Vitria Technology Inc. (a) 3,650 854
-------------
43,648
TELECOMMUNICATIONS - 40.1%
American Tower Corp. (a) 104,110 3,182
AT&T Canada Inc. (a) 180,285 7,256
Clarent Corp. (a) 18,935 1,472
Clearnet Communications Inc. (a) 170,645 5,866
Crown Castle International
Corp. (a) 435,730 13,998
Doubleclick Inc. (a) 57,850 14,640
Earthlink Network Inc. (a) 49,020 2,083
Entercom Communications Corp.
(a) 114,365 7,548
Exodus Communications Inc. (a) 185,610 16,485
Level 3 Communications Inc. (a) 101,765 8,332
McLeodUSA Inc. (a) 282,425 16,628
Microcell Telecommunications
Inc. (a) 85,177 2,800
Net2Phone Inc. (a) 76,040 3,493
Network Solutions Inc. (a) 35,195 7,657
NEXTLINK Communications Inc. (a) 103,270 8,578
NTL Inc. (a) 94,587 11,800
Omnipoint Corp. (a) 73,065 8,813
Powertel Inc. (a) 55,460 5,567
RF Micro Devices Inc. (a) 71,205 4,873
Rogers Cantel Mobile
Communications Inc. (a) 107,155 3,898
US Cellular Corp. (a) 61,505 6,208
VeriSign Inc. (a) 101,735 19,425
See notes to the financial statements.
11
<PAGE>
JNL/JANUS CAPITAL GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
-------------------------------------------------------------
Voicestream Wireless Corp. (a) 61,695 $ 8,780
Western Wireless Corp. (a) 221,875 14,810
-------------
$ 23,590.00
-------------
Total Common Stocks
(cost $306,018) 499,963
-------------
SHORT TERM INVESTMENTS - 1.8%
COMMERCIAL PAPER - 1.8%
Associates First Capital Corp.,
4.00%, 01/03/2000 $8,900,000 8,898
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
5.53% (b) 34,647 35
-------------
Total Short Term Investments
(cost $8,933) 8,933
-------------
TOTAL INVESTMENTS - 100%
(cost $314,951) $ 508,896
=============
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999. (c) All or a portion of this
security has been loaned.
Based on the cost of investments of $315,640 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $203,187, the gross
unrealized depreciation was $9,931 and the net unrealized appreciation on
investments was $193,256.
See notes to the financial statements.
12
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
JANUS CAPITAL CORPORATION
[JANUS LOGO] HELEN YOUNG HAYES
OBJECTIVE:
JNL/Janus Global Equities Series seeks as its investment objective long-term
growth of capital by investing primarily in common stocks of foreign and
domestic issuers of any size. This Series normally invests in issuers from at
least five different countries including the United States.
MONEY MANAGER COMMENTARY:
Global markets gained ground in 1999, supported by an economic rebound in Japan
and an improved outlook for the Asian emerging markets. In turn, we identified a
number of new investment opportunities in these areas. Meanwhile,
stronger-than-anticipated economic growth drove up interest rates in the U.S.
and Europe, creating uncertainty in these markets.
The Series finished the year solidly ahead its benchmark, the MSCI World Index.
We owe these results to continued strength among a number of holdings,
especially companies capitalizing on technological changes driven by the global
transformation to an information-driven, networked economy. With data traffic
doubling every three to six months, there is a tremendous need for the
architecture and broadband capacity to transmit these signals. Cable companies
such as NTL and Telewest Communications in the United Kingdom and Rogers
Communications in Canada are major beneficiaries of this demand; all made strong
gains for the year. Also capitalizing on the growth in data transmissions were
two Canadian companies, Nortel Networks and JDS Uniphase, which are working to
increase the capacity and efficiency of broadband networks.
Japanese cellular operator and wireless data pioneer NTT DoCoMo again ranked
among the Series' top performers as the company's wildly successful "iMode"
service continued to win subscribers. Finland's Nokia also appreciated
substantially while other cellular stocks, including Mannesmann and China
Telecom, fared well. Despite these and other gains, however, there were
disappointments. We partially liquidated our position in Dutch publisher Wolters
Kluwer after its performance was hindered by rising expenses linked to its
Internet and online distribution initiatives. Because we remain confident in the
company's fundamental value, we maintained a reduced position in the stock.
Looking forward, we will continue to focus our efforts on finding the best
individual companies in the world, those capable of providing superior returns
over the long term.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/JANUS GLOBAL EQUITIES SERIES AND THE MSCI WORLD INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/JANUS GLOBAL EQUITIES SERIES MSCI WORLD INDEX
-------------------------------- ----------------
<S> <C> <C>
5/15/1995 10000 10000
6/30 10680 10026
9/30 12240 10543
12/31/1995 12926 10999
3/31 14151 11402
6/30 15736 11623
9/30 16065 11730
12/31/1996 16980 12221
3/31 17974 12269
6/30 19996 14130
9/30 21147 14548
12/31/1997 20227 14204
3/31 23698 16336
6/30 25631 16464
9/30 21292 14444
12/31/1998 25661 17440
3/31 27332 18010
6/30 28679 18817
9/30 29526 18485
12/31/1999 42232 21549
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 64.58%
Since inception*........ 36.45%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
13
<PAGE>
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $333,415) $ 587,332
Cash 9
Foreign currency 5,979
Receivables:
Dividends and interest 40
Forward currency contracts 2,647
Foreign taxes recoverable 109
Fund shares sold 474
Investment securities sold 2,757
--------------
TOTAL ASSETS 599,347
--------------
LIABILITIES
Payables:
Advisory fees 440
Administrative fees 47
Forward currency contracts 1,239
Fund shares redeemed 67
Investment securities purchased 313
--------------
TOTAL LIABILITIES 2,106
--------------
NET ASSETS $ 597,241
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 329,448
Accumulated net investment loss (800)
Accumulated net realized gain on
investments and foreign currency
related items 13,300
Net unrealized appreciation on:
Investments 253,917
Foreign currency related items 1,376
==============
$ 597,241
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 16,735
==============
NET ASSET VALUE PER SHARE $ 35.69
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 2,208
Interest 1,562
Securities lending 163
Foreign taxes withheld (214)
--------------
TOTAL INVESTMENT INCOME 3,719
--------------
EXPENSES
Advisory fees 3,349
Administrative fees 347
--------------
TOTAL EXPENSES 3,696
--------------
NET INVESTMENT INCOME 23
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments 27,633
Foreign currency related items (2,375)
Net change in unrealized appreciation on:
Investments 191,069
Foreign currency related items 2,200
--------------
NET REALIZED AND UNREALIZED GAINS 218,527
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 218,550
==============
See notes to the financial statements.
14
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 23 $ 256
Net realized gain (loss) on:
Investments ................................................................ 27,633 631
Foreign currency related items ............................................. (2,375) (2,531)
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ 191,069 45,927
Foreign currency related items ............................................. 2,200 (759)
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 218,550 43,524
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - (716)
From net realized gains on investment transactions ........................... (11,540) -
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (11,540) (716)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 524,284 83,519
Reinvestment of distributions ................................................ 11,540 716
Cost of shares redeemed ...................................................... (385,978) (37,708)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 149,846 46,527
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 356,856 89,335
NET ASSETS BEGINNING OF PERIOD ................................................. 240,385 151,050
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 597,241 $ 240,385
============== ==============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) ....................... $ (800) $ 435
============== ==============
(1)SHARE TRANSACTIONS:
Shares sold .................................................................. 19,630 4,095
Reinvestment of distributions ................................................ 325 32
Shares redeemed .............................................................. (14,090) (1,900)
-------------- --------------
Net increase ................................................................. 5,865 2,227
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ...................................................... $ 321,068 $ 177,259
Proceeds from sales of securities ............................................ 198,473 153,355
</TABLE>
See notes to the financial statements.
15
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- -------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ................... $ 22.11 $ 17.48 $ 15.20 $ 13.75 $ 10.00
--------- ------------ ------------ ---------- ----------
Income from operations:
Net investment income .................................. -- 0.04 0.07 0.03 0.10
Net realized and unrealized gains on investments and
foreign currency related items ......................... 14.27 4.66 2.84 2.72 4.02
--------- ------------ ------------ ---------- ----------
Total income from operations ........................... 14.27 4.70 2.91 2.75 4.12
--------- ------------ ------------ ---------- ----------
Less distributions:
From net investment income ............................. -- (0.07) -- (0.08) --
From net realized gains on investment transactions ..... (0.69) -- (0.63) (0.90) (0.37)
Return of capital ...................................... -- -- -- (0.32) --
--------- ------------ ------------ ---------- ----------
Total distributions .................................... (0.69) (0.07) (0.63) (1.30) (0.37)
--------- ------------ ------------ ---------- ----------
Net increase ........................................... 13.58 4.63 2.28 1.45 3.75
--------- ------------ ------------ ---------- ----------
Net asset value, end of period ......................... $ 35.69 $ 22.11 $ 17.48 $ 15.20 $ 13.75
========= ============ ============ ========== ==========
Total Return (a) ....................................... 64.58 % 26.87 % 19.12 % 19.99 % 41.51 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ............... $ 597,241 $ 240,385 $ 151,050 $ 48,638 $ 16,141
Ratio of expenses to average net assets (b) ............ 1.06 % 1.14 % 1.15 % 1.14 % 1.15 %
Ratio of net investment income to average net assets (b) 0.01 % 0.13 % 0.33 % 0.37 % 0.39 %
Portfolio turnover ..................................... 61.60 % 81.46 % 97.21 % 52.02 % 142.36 %
Ratio information assuming no expense reimbursement
or fees paid indirectly:
Ratio of expenses to average net assets (b) ............ n/a 1.30 % 1.37 % 1.63 % 2.25 %
Ratio of net investment income (loss) to average net
assets (b) ............................................. n/a (0.03)% 0.11 % (0.12)% (0.71)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
16
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 92.3%
APPAREL - 0.7%
Gucci Group NV 2,229 $ 256
Gucci Group NV - NY Shares 31,374 3,592
-----------
3,848
BANKS - 1.5%
Argentaria SA 45,052 1,054
Banco Bilbao Vizcaya SA 79,398 1,125
Bank of New York Co. Inc. 36,265 1,451
Firstar Corp. 3,940 83
Fuji Bank Ltd. 514,000 4,987
Julius Baer Holding AG - Class B 12 36
-----------
8,736
BEVERAGES - 0.1%
Kirin Brewery Co. Ltd. 75,000 788
BIOTECHNOLOGY - 0.7%
Genentech Inc. (a) 21,800 2,932
PE Corp.- PE Biosystems Group 10,825 1,302
-----------
4,234
COMMERCIAL SERVICES - 3.8%
Capita Group Plc 22,324 405
Celestica Inc. (a) 66,390 3,685
Celestica Inc. (a) 4,708 262
Hays Plc 219,051 3,481
Paychex Inc. 35,452 1,418
Securitas AB 273,189 4,925
TNT Post Group NV 143,472 4,091
USWeb Corp. (a) 9,395 417
Vivendi 37,544 3,374
Whittman-Hart Inc. (a) 7,385 396
-----------
22,454
COMPUTERS - 13.8%
3Com Corp. (a) 14,815 696
ASM Lithography Holding NV (a) 13,495 1,492
ASM Lithography Holding NV (a) 10,520 1,197
Atos SA (a) 17,538 2,894
Check Point Software Technologies
Ltd. (a) 16,780 3,335
Cisco Systems Inc. (a) 270,090 28,933
Comverse Technology Inc. (a) 28,495 4,125
Dell Computer Corp. (a) 104,245 5,316
Electronic Data Systems Corp. 52,385 3,507
EMC Corp. (a) 58,960 6,441
Equant NV (a) 6,384 721
Equant NV - NY Shares (a) 11,991 1,343
Fujitsu Ltd. 105,000 4,780
Getronics NV 105,411 8,369
International Business Machines
Corp. 18,635 2,013
Sun Microsystems Inc. (a) 70,080 5,427
Wm-Data AB 11,219 691
-----------
81,280
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 1.4%
American Express Co. 24,810 $ 4,125
Bipop-Carire SpA 38,284 3,371
Unicredito Italiano SpA 94,601 463
-----------
7,959
ELECTRICAL COMPONENTS & EQUIPMENT - 0.7%
Furukawa Electric Co. 9,000 136
NEC Corp. 175,000 4,163
-----------
4,299
ELECTRONICS - 1.8%
Koninklijke Philips Electronics
NV 40,869 5,531
Koninklijke Philips Electronics
NV - NY Shares 38,442 5,190
-----------
10,721
ENGINEERING & CONSTRUCTION - 0.4%
ABB Ltd. (a) 18,022 2,193
FOOD - 0.4%
Compass Group Plc 166,226 2,277
HEALTHCARE - 1.0%
Medtronic Inc. 101,805 3,710
Synthes-Stratec Inc. (a) (c) 4,783 2,133
-----------
5,843
HOME FURNISHINGS - 2.6%
SONY Corp. 50,500 14,949
INSURANCE - 0.3%
Tokio Marine & Fire Insurance
Co. Ltd. 153,000 1,786
MACHINERY - 3.3%
Mannesmann AG 80,706 19,375
MANUFACTURING - 1.3%
Tyco International Ltd. 190,738 7,415
MEDIA - 7.5%
AMFM Inc. (a) 18,050 1,413
AT&T - Liberty Media Group - Class
A (a) 99,985 5,674
Clear Channel Communications
Inc. (a) 27,015 2,411
Comcast Corp. 118,140 5,974
EM.TV & Merchandising AG 22,642 1,416
Grupo Televisa SA - GDR (a) 53,275 3,636
Time Warner Inc. 137,835 9,984
Viacom Inc. - Class B (a) 199,710 12,070
Walt Disney Co. 45,365 1,327
-----------
43,905
METALS & MINING - 0.7%
Assa Abloy AB - Class B 298,372 4,174
OIL & GAS PRODUCERS - 1.3%
Enron Corp. 52,425 2,326
See notes to the financial statements.
17
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Petroleo Brasileiro SA - ADR 55,920 $ 1,434
Total Fina SA 29,564 3,927
-----------
7,687
PHARMACEUTICALS - 2.7%
Pfizer Inc. 109,480 3,551
QLT PhotoTherapeutics Inc. 14,390 846
Schering-Plough Corp. 72,510 3,059
Sepracor Inc. (a) 10,930 1,084
Takeda Chemical Industries Ltd. 85,000 4,194
Warner-Lambert Co. 24,804 2,032
Yamanouchi Pharmaceutical Co.
Ltd. 29,000 1,011
-----------
15,777
RETAIL - 1.6%
Amazon.com Inc. (a) 26,200 1,994
Carrefour SA 21,455 3,938
Ito-Yokado Co. Ltd. 14,000 1,518
Staples Inc. (a) 85,180 1,767
-----------
9,217
SEMICONDUCTORS - 3.0%
Applied Materials Inc. (a) 24,150 3,060
Rohm Co. Ltd. 3,500 1,436
STMicroelectronics NV 23,975 3,672
STMicroelectronics NV - NY Shares 39,010 5,908
Texas Instruments Inc. 39,115 3,789
-----------
17,865
SOFTWARE - 7.0%
America Online Inc. (a) 69,815 5,267
BEA Systems Inc. (a) 27,530 1,925
Cap Gemini SA 17,619 4,451
I2 Technologies Inc. (a) 5,140 1,002
Logica Plc 169,291 4,357
Microsoft Corp. (a) 96,825 11,304
Phone.com Inc. (a) 7,650 887
Sema Group Plc 127,780 2,294
Softbank Corp. 7,000 6,688
Tietoenator Oyj 44,970 2,795
Veritas Software Corp. (a) 1,360 195
-----------
41,165
TELECOMMUNICATIONS - 34.7%
Amdocs Ltd. (a) 21,775 751
China Telecom Ltd. - ADR (a) 111,600 14,348
Colt Telecom Group Plc (a) 113,915 5,818
Energis Plc (a) 117,767 5,645
Ericsson LM - Class B 74,105 4,745
JDS Uniphase Corp. (a) 41,660 6,720
Korea Thrunet Company Ltd. (a) 7,450 506
KPNQwest NV 74,827 4,958
Le Groupe Videotron Ltee. 102,722 1,734
Lucent Technologies Inc. 33,565 2,511
Nextel Communications Inc. (a) 11,810 1,218
Nippon Telegraph & Telephone
Corp. 75 1,282
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Nokia Oyj 119,318 $ 21,529
Nokia Oyj - ADR 73,445 13,955
Nortel Networks Corp. 88,170 8,905
NTL Inc. (a) 26,462 3,301
NTT Data Corp. 131 3,008
NTT Mobile Communications Network
Inc. 989 37,973
RF Micro Devices Inc. (a) 17,140 1,173
Rogers Communications Inc. (a) 55,352 1,346
Rogers Communications Inc. (a) 22,215 550
Shaw Communications Inc. 8,306 273
Sonera Oyj 67,228 4,586
Sprint Corp. (PCS Group) (a) 30,245 3,100
Telecom Italia Mobile SpA 340,011 3,780
Telecomunicacoes Brasileiras SA
- ADR 49,205 6,323
Telefonaktiebolaget LM Ericsson
- ADR 58,932 3,871
Telefonica SA 567,986 14,120
Telefonica SA - ADR 8,358 659
Telefonos de Mexico SA - ADR 49,445 5,563
Telewest Communications Plc (a) 651,205 3,466
Thus Plc (a) 110,454 696
United Pan-Europe Communications
NV (a) 32,410 4,126
VeriSign Inc. (a) 2,005 383
VersaTel Telecom International
NV (a) 155,604 5,459
Vodafone AirTouch Plc 257,780 1,274
Vodafone AirTouch Plc - ADR 88,645 4,388
-----------
204,043
-----------
Total Common Stocks
(cost $292,054) 541,990
-----------
PREFERRED STOCKS - 1.9%
AUTO MANUFACTURERS - 0.5%
Porsche AG 1,207 3,291
DIVERSIFIED FINANCIAL SERVICES -
0.5%
Marschollek Lautenschlaeger und
Partner AG 9,119 2,742
MEDIA - 0.9%
UnitedGlobalCom Inc. 56,955 5,169
-----------
Total Preferred Stocks
(cost $7,221) 11,202
-----------
SHORT TERM INVESTMENTS - 5.8%
DIVERSIFIED FINANCIAL SERVICES -
5.8%
Associated Corp. of North
America,
4.00%, 01/03/2000 $22,200,000 22,195
Federal Home Loan Mortgage Corp.,
5.71%, 02/15/2000 10,000,000 9,929
Federal National Mortgage
Association,
5.66%, 01/20/2000 2,000,000 1,994
-----------
34,118
See notes to the financial statements.
18
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
5.53% (b) 22,466 $ 22
-----------
Total Short Term Investments
(cost $34,140) 34,140
-----------
TOTAL INVESTMENTS - 100%
(cost $333,415) $ 587,332
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as December 31, 1999.
(c) 144a security. Certain conditions for public sale may exist.
Based on the cost of investments of $333,711 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $257,635, the gross
unrealized depreciation was $4,014 and the net unrealized appreciation on
investments was $253,621.
FORWARD CURRENCY CONTRACTS, OPEN AT DECEMBER 31, 1999 (IN 000'S):
CURRENCY
UNITS
CURRENCY PURCHASED/SOLD PURCHASED CURRENCY UNREALIZED
AND SETTLEMENT DATE (SOLD) VALUE IN $ GAIN (LOSS)
U.S.
- ----------------------------- ------------- -------------- --------------
British Pound 04/07/00 1,600 $ 2,578 $ (78)
British Pound 04/07/00 (4,200) (6,768) 96
British Pound 04/14/00 600 967 (31)
British Pound 04/14/00 (600) (967) 24
British Pound 06/09/00 (3,500) (5,638) 36
Canadian Dollar 04/07/00 (1,600) (1,105) (9)
Canadian Dollar 05/18/00 (200) (138) (1)
Euro 01/31/00 (273) (274) 3
Euro 04/07/00 5,500 5,550 (178)
Euro 04/07/00 (28,500) (28,757) 798
Euro 04/14/00 (8,400) (8,480) 592
Euro 04/20/00 (3,050) (3,080) 237
Euro 06/02/00 (6,050) (6,129) 211
Euro 06/09/00 (7,700) (7,805) 100
Hong Kong Dollar05/05/00 3,000 386 1
Hong Kong Dollar05/05/00 (54,000) (6,942) (49)
Hong Kong Dollar05/12/00 (26,000) (3,342) (3)
Japanese Yen 03/06/00 127,000 1,254 42
Japanese Yen 03/06/00 (127,000) (1,254) (33)
Japanese Yen 03/16/00 343,000 3,391 114
Japanese Yen 03/16/00 (100,000) (989) 9
Japanese Yen 03/16/00 (343,000) (3,391) (74)
Japanese Yen 04/07/00 1,086,250 10,779 352
Japanese Yen 04/07/00 (1,586,250) (15,740) (486)
Japanese Yen 04/14/00 (400,000) (3,974) (98)
Japanese Yen 04/20/00 (300,000) (2,983) (62)
Japanese Yen 05/18/00 (273,750) (2,735) (72)
Japanese Yen 06/02/00 (230,000) (2,303) (64)
Swiss Franc 04/20/00 1,100 696 (2)
Swiss Franc 04/20/00 (1,380) (873) 14
Swiss Franc 06/02/00 (820) (522) 18
-------------- --------------
$ 88,588 $ 1,407
============== ==============
See notes to the financial statements.
19
<PAGE>
JNL/JANUS GLOBAL EQUITIES SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 1999:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
- -------------------------------------------------------- ------------------
Bermuda 1.3% $ 7,415
Brazil 1.3% 7,757
Canada 3.0% 17,600
Finland 7.3% 42,864
France 3.2% 18,583
Germany 4.6% 26,825
Hong Kong 2.4% 14,348
Israel 0.6% 3,335
Italy 1.3% 7,614
Japan 15.1% 88,701
Mexico 1.6% 9,199
Netherlands 9.5% 55,904
South Korea 0.1% 506
Spain 2.9% 16,957
Sweden 3.1% 18,405
Switzerland 0.7% 4,362
United Kingdom 5.8% 34,102
United States 36.2% 212,855
------------------- ------------------
TOTAL 100.0% $ 587,332
=================== ==================
See notes to the financial statements.
20
<PAGE>
JNL/ALGER GROWTH SERIES
FRED ALGER MANAGEMENT, INC.
DAVID D. ALGER
[FRED ALGER MANAGEMENT, INC. LOGO]
OBJECTIVE:
JNL/Alger Growth Series seeks as its investment objective long-term capital
appreciation by investing in a diversified, actively managed portfolio of equity
securities, primarily of companies with total market capitalization of $1
billion or greater.
MONEY MANAGER COMMENTARY:
1999 was yet another very good year for most equity investors. During the first
half of the year, large-cap stocks marched forward with nary a setback, while
their smaller counterparts struggled mightily. All of the major large-cap
indices continuously set new highs, and the Dow Jones Industrial Average closed
over 10,000 for the first time on March 29, 1999.
After a volatile April, May and June saw consolidation and profit taking in the
equity markets. An ongoing fear of rising interest rates was realized on June 30
when the Federal Reserve "took back" one of three previous interest rate cuts by
hiking the Fed Funds Rate to 5%. Nonetheless, the market shrugged off the rate
hike and took solace in the Fed's return to a "neutral bias."
The following few months were marked by extreme market volatility, an overall
downward trend, and ultimately, a dramatic rebound. The S&P 500 struggled to
find direction and failed to match its previous highs during August and
September, partially due to another rate hike. In October, mounting fears of
rising interest rates, an upward spike in the price of gold and a series of
dubious economic reports forced the yield on the long bond to 6.40%. The Dow
Jones dropped more than 1,000 points in less than a month, briefly dipping below
the 10,000 level on October 18th. As inflation jitters and interest rate fears
subsided with the release of benign economic data, however, the final two weeks
of October saw dramatic gains throughout both the bond and equity markets.
The market's strength continued throughout November and December. When the Fed
raised both the Fed Funds and the discount rate 1/4 of a point on November 16th,
the shift back to a "neutral" bias psychologically outweighed the actual rate
hike. While certain segments of the market struggled - most notably, value
stocks - most equity indices climbed steadily higher. The Fed's December 21st
inaction matched market expectations and allowed nearly all major market indices
to reach all-time highs during the final week of the year.
For the year ended December 31, 1999, the Series' total return was 33.80%, as
compared to 21.04% for the S&P 500. Fortunately, the Series was well positioned
to benefit from the strong performance of certain segments of the market.
Firstly, management's growth stock philosophy was of great benefit during a year
in which value severely underperformed growth. In addition, the Series was
heavily weighted in technology companies throughout the year, thus making the
Series extremely well positioned for the strong bull market.
We believe that the economy of 2000 is likely to resemble the economy of 1999,
but it will probably not be growing as rapidly. This is an inevitable by-product
of higher interest rates. Despite this, there are factors that should keep the
economy moving along at a decent rate: a) low unemployment; b) good wage gains;
and c) positive psychology. However, corporate earnings will probably not be as
strong in 2000 as they were in 1999. It would be logical to assume that the
market will rise less vigorously as well.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/ALGER GROWTH SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/ALGER GROWTH SERIES S&P 500 INDEX
----------------------- -------------
<S> <C> <C>
10/16/1995 10000 10000
12/31/1995 9840 10617
10380 11187
10430 11687
10760 12048
12/31/1996 11160 13051
11140 13401
13030 15737
14560 16916
12/31/1997 14084 17402
16161 19902
17625 20482
16327 18448
12/31/1998 20515 22374
22853 23653
23871 25467
22637 23888
12/31/1999 27448 27303
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 33.80%
Since inception*........ 27.08%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date October 16, 1995.
21
<PAGE>
JNL/ALGER GROWTH SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $309,844) $ 405,907
Cash 5,843
Receivables:
Dividends and interest 67
Fund shares sold 281
--------------
TOTAL ASSETS 412,098
--------------
LIABILITIES
Payables:
Advisory fees 313
Administrative fees 33
Fund shares redeemed 69
Investment securities purchased 11,044
--------------
TOTAL LIABILITIES 11,459
--------------
NET ASSETS $ 400,639
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 303,054
Undistributed net investment income -
Accumulated net realized gain on
investments 1,522
Net unrealized appreciation on investments 96,063
--------------
$ 400,639
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 17,491
==============
NET ASSET VALUE PER SHARE $ 22.91
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 1,017
Interest 1,200
Securities lending income 15
Foreign taxes withheld (5)
--------------
TOTAL INVESTMENT INCOME 2,227
--------------
EXPENSES
Advisory fees 2,554
Administrative fees 262
--------------
TOTAL EXPENSES 2,816
--------------
NET INVESTMENT LOSS (589)
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 30,528
Net change in unrealized appreciation on
investments 53,379
--------------
NET REALIZED AND UNREALIZED GAINS 83,907
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 83,318
==============
See notes to the financial statements.
22
<PAGE>
JNL/ALGER GROWTH SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss .......................................................... $ (589) $ (28)
Net realized gain on investments ............................................. 30,528 15,638
Net change in unrealized appreciation on investments ......................... 53,379 30,926
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 83,318 46,536
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - -
From net realized gains on investment transactions ........................... (38,424) (6,698)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (38,424) (6,698)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 212,363 71,371
Reinvestment of distributions ................................................ 38,424 6,698
Cost of shares redeemed ...................................................... (59,990) (38,836)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 190,797 39,233
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 235,691 79,071
NET ASSETS BEGINNING OF PERIOD ................................................. 164,948 85,877
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 400,639 $ 164,948
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ - $ -
============== ==============
(1)SHARE TRANSACTIONS:
Shares sold .................................................................. 9,903 4,446
Reinvestment of distributions ................................................ 1,684 354
Shares redeemed .............................................................. (2,802) (2,427)
-------------- --------------
Net increase ................................................................. 8,785 2,373
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ...................................................... $ 430,487 $ 150,810
Proceeds from sales of securities ............................................ 293,992 131,583
</TABLE>
See notes to the financial statements.
24
<PAGE>
JNL/ALGER GROWTH SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, OCTOBER 16,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
---------------- -------------- ------------ ----------------- --------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ................... $ 18.95 $ 13.56 $ 11.16 $ 10.38 $ 10.00
--------- ------------ ----------- ----------- ----------
Income from operations:
Net investment income (loss) ........................... (0.03) -- (0.01) -- --
Net realized and unrealized gains on investments ....... 6.42 6.20 2.93 0.78 0.38
--------- ------------ ----------- ----------- ----------
Total income from operations ........................... 6.39 6.20 2.92 0.78 0.38
--------- ------------ ----------- ----------- ----------
Less distributions:
From net investment income ............................. -- -- -- -- --
From net realized gains on investment transactions ..... (2.43) (0.81) (0.52) -- --
--------- ------------ ----------- ----------- ----------
Total distributions .................................... (2.43) (0.81) (0.52) -- --
--------- ------------ ----------- ----------- ----------
Net increase ........................................... 3.96 5.39 2.40 0.78 0.38
--------- ------------ ----------- ----------- ----------
Net asset value, end of period ......................... $ 22.91 $ 18.95 $ 13.56 $ 11.16 $ 10.38
========= ============ =========== =========== ==========
Total Return (a) ....................................... $ 0.34 $ 0.46 26.20% 7.51% 3.80%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ............... $ 400,639 $ 164,948 $ 85,877 $ 38,252 $ 8,649
Ratio of expenses to average net assets (b) ............ 1.07 % 1.06 % 1.10 % 1.07 % 1.03 %
Ratio of net investment loss to average net assets (b) . (0.22)% (0.02)% (0.07)% (0.02)% (0.17)%
Portfolio turnover ..................................... 122.58 % 121.39 % 125.44 % 59.92 % 50.85 %
Ratio information assuming no expense reimbursement
or fees paid indirectly:
Ratio of expenses to average net assets (b) ............ n/a 1.06 % 1.10 % 1.19 % 1.89 %
Ratio of net investment loss to average net assets (b) . n/a (0.02)% (0.07)% (0.14)% (1.03)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
24
<PAGE>
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 89.9%
ADVERTISING - 0.7%
Omnicom Group Inc. 29,900 $ 2,990
AEROSPACE & DEFENSE - 3.6%
Honeywell International Inc. 117,700 6,790
United Technologies Corp. 119,200 7,748
-----------
14,538
BANKS - 2.2%
Bank of America Corp. 160,320 8,046
Firstar Corp. 41,820 883
-----------
8,929
BIOTECHNOLOGY - 3.6%
Amgen Inc. (a) 214,000 12,853
Biogen Inc. (a) 18,900 1,597
-----------
14,450
BUILDING MATERIALS - 0.3%
Masco Corp. 47,100 1,195
COMMERCIAL SERVICES - 2.5%
United Parcel Service Inc. 145,000 10,005
COMPUTERS - 6.2%
Cisco Systems Inc. (a) 129,550 13,878
Dell Computer Corp. (a) 219,700 11,205
-----------
25,083
DIVERSIFIED FINANCIAL SERVICES -
8.4%
American Express Co. 14,200 2,361
Citigroup Inc. 213,500 12,863
Household International Inc. 82,500 3,073
Merrill Lynch & Co. Inc. 22,300 1,862
Morgan Stanley Dean Witter & Co. 96,700 13,804
-----------
33,963
ELECTRONICS - 2.4%
Linear Technology Corp. 69,000 4,938
Teradyne Inc. (a) 73,600 4,858
-----------
9,796
INSURANCE - 2.4%
American International Group Inc. 89,731 9,702
LEISURE TIME - 1.7%
Carnival Corp. 56,700 2,711
Harley - Davidson Inc. 66,700 4,273
-----------
6,984
MAUFACTURING - 2.9%
Corning Inc. 92,600 11,940
MEDIA - 5.8%
AT&T - Liberty Media Group - Class
A (a) 108,700 6,169
Clear Channel Communications
Inc. (a) 31,000 2,767
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Comcast Corp. 82,000 $ 4,146
Cox Communications Inc. (a) 78,400 4,038
MediaOne Group Inc. (a) 82,000 6,299
-----------
23,419
OIL & GAS PRODUCERS - 2.8%
Haliburton Co. 279,950 11,268
PHARMACEUTICALS - 5.9%
Bristol-Myers Squibb Co. 112,550 7,224
Pfizer Inc. 152,900 4,960
Warner-Lambert Co. 144,900 11,873
-----------
24,057
RETAIL - 9.4%
Amazon.com Inc. (a) 48,400 3,684
Best Buy Co. Inc. (a) 58,300 2,926
Costco Wholesale Corp. (a) 34,000 3,102
eBay Inc. (a) 80,500 10,077
Home Depot Inc. 182,025 12,480
Wal-Mart Stores Inc. 87,100 6,021
-----------
38,290
SEMICONDUCTORS - 9.1%
Altera Corp. (a) 103,100 5,110
Applied Materials Inc. (a) 103,900 13,163
Intel Corp. 93,800 7,721
Motorola Inc. 63,700 9,380
Texas Instruments Inc. 18,100 1,753
-----------
37,127
SOFTWARE - 14.4%
America Online Inc. (a) 200,800 15,148
At Home Corp. (a) 121,886 5,226
IMS Health Inc 119,000 3,235
Intuit Inc. (a) 52,800 3,165
Microsoft Corp. (a) 151,500 17,688
Yahoo Inc. (a) 32,395 14,017
-----------
58,479
TELECOMMUNICATIONS - 4.5%
Echostar Communications Corp. (a) 33,400 3,256
MCI WorldCom Inc. (a) 85,200 4,521
Nokia Oyj - ADR 12,100 2,299
QUALCOMM Inc. (a) 20,000 3,525
Sprint Corp. (FON Group) 68,100 4,584
-----------
18,185
TRANSPORTATION - 1.1%
Kansas City Southern Industries 60,200 4,492
Inc.
-----------
Total Common Stocks
(cost $268,829) 364,892
-----------
See notes to the financial statements.
25
<PAGE>
JNL/ALGER GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 10.1%
BANKS - 1.9%
Toronto Dominion Holdings,
5.94%, 01/27/2000 $ 7,600,000 7,567
DIVERSIFIED FINANCIAL SERVICES -
3.5%
Forrestal Funding Master Trust,
5.50%, 01/24/2000 1,350,000 1,345
Merrill Lynch & Co. Inc.,
5.55%, 01/27/2000 7,000,000 6,972
Textron Financial Corp.,
6.90%, 01/14/2000 6,100,000 6,085
-----------
14,402
ELECTRIC - 1.8%
AES Hawaii Inc., 6.60%,
01/12/2000 7,500,000 7,485
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
INSURANCE - 2.0%
Standard Life Assurance Co.
Funding Inc., 6.45%, 01/12/2000 $ 8,000,000 $ 7,984
SAVINGS & LOANS - 0.4%
Household Finance Corp.,
5.05%, 01/07/2000 1,650,000 1,649
MONEY MARKET FUND - 0.5%
Dreyfus Cash Management Plus,
5.53% (b) 1,928,152 1,928
-----------
Total Short Term Investments
(cost $41,015) 41,015
-----------
TOTAL INVESTMENTS - 100%
(cost $309,844) $ 405,907
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $311,410 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $105,613, the gross
unrealized depreciation was $11,116 and the net unrealized appreciation on
investments was $94,497.
See notes to the financial statements.
26
<PAGE>
JNL/ALLIANCE GROWTH SERIES
ALLIANCE CAPITAL MANAGEMENT L.P.
[ALLIANCE CAPITAL LOGO] JAMES G. REILLY, SYED HASNAIN
OBJECTIVE:
JNL/Alliance Growth Series seeks as its investment objective long-term growth of
capital by investing primarily in common stocks or securities with common stock
characteristics which demonstrate the potential for appreciation.
MONEY MANAGER COMMENTARY:
We are pleased to report that for the year ending December 31, 1999, the Series
returned 28.23% as compared to 21.04% for the S&P 500 Index. The Series'
outperformance was driven by excellent stock selection across several industry
groups.
Technology, communication services and media stocks were among the best
performing during 1999. The continued revolution in information technology
propelled by the Internet and the proliferation of wireless technologies has
fueled robust growth for these companies. A strong year-end rally in
technology-related stocks was further driven by growing investor confidence that
there would be little negative impact from Year 2000 issues and increasing
enthusiasm for companies that are leveraged to the Internet. Retail stocks
generally posted solid returns for the year, as consumer spending remained
strong. Several cyclical stocks, particularly paper and non-ferrous metals
companies, realized strong gains during 1999. Cyclical stocks rallied due to the
expectation that a recovery in the troubled Asian economies and accelerating
global economic growth will lead to increased demand for basic materials and
commodities in 2000.
Financial and pharmaceutical stocks generally lagged the overall market in 1999.
Financials came under pressure as the year progressed. Investors worried that if
the Federal Reserve continues to increase interest rates to slow the economy and
forestall higher inflation, the earnings of financial companies would be
adversely impacted. Pharmaceutical stocks suffered losses in 1999 due to
investors' concerns about decelerating earnings growth, the relative sparseness
of new product launches in 2000-2001, and the potential reform of Medicare.
Looking ahead, we believe the U.S. will continue to be the engine for worldwide
economic growth. Years of restructuring and capital investment, including
massive investments in information technology systems, have positioned U.S.
companies to be highly efficient in manufacturing and distribution and
demonstrate technological leadership. Consequently, the rapid economic growth
experienced in the U.S. has come with little to no inflation. As long as
inflation is benign, the risk of significantly rising interest rates is low. We
expect world economic growth to accelerate in 2000, particularly in Europe and
Asia, where similar technology advances and global competition should keep
inflation contained. This environment is ideal for financial assets. We continue
to view the U.S. equity market as one of the most attractive investment
alternatives. Furthermore, the industry dominant, high growth companies in the
Series remain particularly attractive. On average, these companies are expected
to generate 20% earnings growth next year, which compares favorably to the
expected earnings growth for the average S&P 500 company of 9%. Technology,
communication services, financials, retail and pharmaceuticals continue to be
the areas of emphasis. In each sector, we will focus on companies with strong
earnings growth, exceptional management and market dominance.
We look forward to the year 2000 with an enormous sense of excitement regarding
the technological changes around us. We are eager to face the challenge of
trying to keep the Series optimally structured for success based on the marriage
of our fundamental analysis and price considerations--a management creed we have
successfully followed for the last two decades.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/ALLIANCE GROWTH SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/ALLIANCE GROWTH SERIES S&P 500 INDEX
-------------------------- -------------
<S> <C> <C>
3/02/1998 10000 10000
3/31 10410 10551
6/30 11280 10858
9/30 10060 9780
12/31/1998 13280 11861
3/31 14650 12453
6/30 15280 13330
9/30 14470 12498
12/31/1999 17029 14357
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 28.23%
Since inception*........ 33.64%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
27
<PAGE>
JNL/ALLIANCE GROWTH SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $15,337) $ 18,219
Cash 11
Receivables:
Dividends and interest 10
Fund shares sold 35
--------------
TOTAL ASSETS 18,275
--------------
LIABILITIES
Payables:
Advisory fees 11
Administrative fees 2
Fund shares redeemed 6
--------------
TOTAL LIABILITIES 19
--------------
NET ASSETS $ 18,256
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 15,128
Undistributed net investment income -
Accumulated net realized gain on
investments 246
Net unrealized appreciation on investments 2,882
--------------
$ 18,256
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 1,097
==============
NET ASSET VALUE PER SHARE $ 16.64
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 60
Interest 22
Foreign taxes withheld (1)
--------------
TOTAL INVESTMENT INCOME 81
--------------
EXPENSES
Advisory fees 78
Administrative fees 10
--------------
TOTAL EXPENSES 88
--------------
NET INVESTMENT LOSS (7)
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 701
Net change in unrealized appreciation on
investments 2,063
--------------
NET REALIZED AND UNREALIZED GAINS 2,764
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 2,757
==============
See notes to the financial statements.
28
<PAGE>
JNL/ALLIANCE GROWTH SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss .......................................................... $ (7) $ (2)
Net realized gain (loss) on investments ...................................... 701 (31)
Net change in unrealized appreciation on investments ......................... 2,063 818
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 2,757 785
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... - -
From net realized gains on investment transactions ........................... (415) -
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (415) -
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 14,632 5,288
Reinvestment of distributions ................................................ 415 -
Cost of shares redeemed ...................................................... (3,706) (1,500)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 11,341 3,788
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 13,683 4,573
NET ASSETS BEGINNING OF PERIOD ................................................. 4,573 -
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 18,256 $ 4,573
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ - $ -
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 973 498
Reinvestment of distributions ............................................. 25 -
Shares redeemed ........................................................... (245) (154)
-------------- --------------
Net increase .............................................................. 753 344
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 15,528 $ 6,938
Proceeds from sales of securities ......................................... 5,099 3,150
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
29
<PAGE>
JNL/ALLIANCE GROWTH SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- --------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ..................................... $ 13.28 $ 10.00
--------------- --------------
INCOME FROM OPERATIONS:
Net investment income loss ............................................. (0.01) (0.01)
Net realized and unrealized gains on investments ....................... 3.76 3.29
--------------- --------------
Total income from operations ........................................... 3.75 3.28
--------------- --------------
LESS DISTRIBUTIONS:
From net investment income ............................................. -- --
From net realized gains on investment transactions ..................... (0.39) --
--------------- --------------
Total distributions .................................................... (0.39) --
--------------- --------------
Net increase ........................................................... 3.36 3.28
--------------- --------------
NET ASSET VALUE, END OF PERIOD ........................................... $ 16.64 $ 13.28
=============== ==============
TOTAL RETURN (A) ......................................................... 28.23 % 32.80 %
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ............................... $ 18,256 $ 4,573
Ratio of expenses to average net assets (b) ............................ 0.875 % 0.925 %
Ratio of net investment loss to average net assets (b) ................. (0.07)% (0.08)%
Portfolio turnover ..................................................... 51.15 % 136.69 %
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) ............................ n/a 2.13 %
Ratio of net investment loss to average net assets (b) ................. n/a (1.28)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
30
<PAGE>
JNL/ALLIANCE GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 97.5%
AEROSPACE & DEFENSE - 3.9%
Honeywell International Inc. 4,500 $ 260
United Technologies Corp. 6,900 449
-----------
709
AIRLINES - 0.9%
Continental Airlines Inc. (a) 3,200 142
UAL Corp. (a) 200 16
-----------
158
AUTO MANUFACTURERS - 1.0%
Ford Motor Co. 3,400 182
BANKS - 1.8%
Bank of America Corp. 3,200 161
Chase Manhattan Corp. 1,700 132
U.S. Bancorp 1,400 33
-----------
326
BUILDING MATERIALS - 1.3%
Macso Corp. 9,700 246
COMPUTERS - 10.9%
Cisco Systems Inc. (a) 4,400 471
Dell Computer Corp. (a) 20,200 1,030
EMC Corp. (a) 2,500 273
International Business Machines
Corp. 900 97
Sun Microsystems Inc. (a) 1,400 108
-----------
1,979
COSMETICS & PERSONAL CARE - 0.2%
Colgate-Palmolive Co. 600 39
DIVERSIFIED FINANCIAL SERVICES -
17.5%
Associates First Capital Corp. 23,000 631
CIT Group Inc. 9,600 203
Citigroup Inc. 9,100 506
Fannie Mae 1,100 69
Freddie Mac 5,600 264
Goldman Sachs Group Inc. 1,900 179
Household International Inc. 2,400 89
MBNA Corp. 15,100 411
Merrill Lynch & Co. Inc. 2,100 175
Morgan Stanley Dean Witter & Co. 4,600 657
-----------
3,184
ELECTRONICS - 1.0%
Solectron Corp. (a) 2,000 190
FOOD - 1.2%
Kroger Co. (a) 11,700 221
HEALTHCARE - 0.9%
Medtronic Inc. 4,400 160
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
INSURANCE - 1.9%
American International Group Inc. 3,300 $ 357
MANUFACTURING - 3.7%
General Electric Co. 200 31
Tyco International Ltd. 16,600 645
-----------
676
MEDIA - 8.2%
AMFM Inc. (a) 600 47
AT&T - Liberty Media Group -
Class A (a) 7,400 420
Clear Channel Communications
Inc. (a) 2,000 179
Gannett Co. Inc. 800 65
MediaOne Group Inc. (a) 7,600 584
Time Warner Inc. 2,800 203
-----------
1,498
PHARMACEUTICALS - 8.2%
Bristol-Myers Squibb Co. 6,600 424
Pfizer Inc. 8,900 289
Schering-Plough Corp. 13,200 557
Warner-Lambert Co. 2,700 221
-----------
1,491
RETAIL - 13.1%
Costco Cos. Inc. (a) 3,500 319
Gap Inc. 9,700 446
Home Depot Inc. 8,700 596
Kohl's Corp. (a) 2,600 188
Lowe's Cos. Inc. 8,100 484
Wal-Mart Stores Inc. 2,400 166
Walgreen Co. 6,200 181
-----------
2,380
SEMICONDUCTORS - 5.1%
Applied Materials Inc. (a) 2,000 253
Intel Corp. 8,200 675
-----------
928
SOFTWARE - 6.0%
America Online Inc. (a) 2,900 219
IMS Health Inc. 1,300 35
Microsoft Corp. (a) 6,200 724
Oracle Corp. (a) 1,000 112
-----------
1,090
TELECOMMUNICATIONS - 9.2%
Lucent Technologies Inc. 1,200 90
MCI WorldCom Inc. 3,300 175
Nokia Oyj - ADR 4,800 912
Sprint Corp. (FON Group) 4,700 316
Vodafone AirTouch Plc - ADR 3,700 183
-----------
1,676
See notes to the financial statements.
31
<PAGE>
JNL/ALLIANCE GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
TOBACCO - 1.5%
Philip Morris Cos. Inc 12,000 $ 278
-----------
Total Common Stocks
(cost $14,886) 17,768
-----------
SHORT TERM INVESTMENT - 2.5%
MONEY MARKET FUND - 2.5%
Dreyfus Cash Management Plus,
5.53% (b) 450,646 451
-----------
Total Short Term Investment
(cost $451) 451
-----------
TOTAL INVESTMENTS -- 100%
(cost $15,337) $ 18,219
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $15,368 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $3,679, the gross
unrealized depreciation was $828 and the net unrealized appreciation on
investments was $2,851.
See notes to the financial statements.
32
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
EAGLE ASSET MANAGEMENT, INC.
TEAM MANAGEMENT
[EAGLE ASSET MANAGEMENT INC. LOGO]
OBJECTIVE:
JNL/Eagle Core Equity Series seeks as its investment objective long-term capital
appreciation and, secondarily, current income by investing primarily in a
diversified portfolio of common stocks which is believed to offer above-average
potential for long-term growth. To achieve this, the sub-adviser uses three
different investment strategies. The Series' assets are allocated 40% to the
"Growth Strategy", 40% to the "Value Strategy" and 20% to the "Income Strategy".
The Growth Strategy emphasizes securities of blue chip companies with growing
earnings that are industry leaders and have market capitalizations in excess of
$5 billion. The Value Strategy emphasizes securities of companies with market
capitalizations in excess of $1 billion and that are financially sound but whose
stock trades at a discount to its estimated intrinsic value. The Income Strategy
emphasizes securities of companies with market capitalizations in excess of $1
billion that provide a stable or rising income stream.
MONEY MANAGER COMMENTARY:
1999 was characterized by an extremely narrow market, propelled by a "growth at
any price" investing mentality and zealous investor interest primarily in large
cap technology and Internet stocks. The average stock in the S&P 500 Index did
not enjoy nearly the success of the technology and Internet stocks as the S&P
500 Index was up over 20% for the year, while the average stock that comprised
that Index gained barely 1% for the year and was down by over 25% from its 1999
peak. Interest rates also played a key role in last year's equity market
activity. While corporate earnings were generally good, the relentless rise in
interest rates resulted in a significant decline in the price-to-earnings ratios
of most non-technology and non-Internet companies.
Despite the narrowness of the market, we are pleased to report that the Series
had a very good overall year in 1999, returning 23.55% which surpassed the
21.04% return of its benchmark, the S&P 500 Index. The Series continues to
perform as designed by providing investors with solid performance, portfolio
diversification and less volatility than would be achieved in a single style
portfolio.
In the first quarter of the year, we saw investors continue to show a preference
for large cap growth stocks and rapidly-growing Internet companies.
Consequently, the larger indices experienced positive returns, driven by only a
few select stocks. The Growth strategy benefited from these trends because of
its relative over-weighting in large cap technology and telecom stocks. Whereas,
the Value and Equity Income strategies did not perform as well in this
environment, because their disciplines preclude them from holding much in the
way of high p/e technology or Internet stocks.
The second quarter was quite another story, however, as the worldwide economic
rebound experienced in the beginning of the quarter led to fears of rising
inflation and interest rates. Growth stocks, which had performed so well in the
first quarter, were hit hard and fast and corrected more than 10 percent in the
space of three weeks in April. During this roll over in market leadership, both
the Value and Equity Income strategies experienced a resurgence as investors
sought out slower growth stocks not as likely to be negatively impacted by a
higher interest rate environment.
During the second half of the year, we saw the tides turn again as a relatively
small number of large cap technology and Internet stocks reasserted their market
leadership position. We believe investors continue to favor technology and
Internet stocks despite their increasing valuations primarily because such
stocks continue to show very positive growth trends as they benefit from the on
going build out of the Internet and the wireless telecom infrastructure. Another
significant factor is that many other sectors experienced difficulties of one
form or another during the second half of the year. Financial services stocks,
for instance, struggled with the negative effects of rising interest rates.
Healthcare stocks, and pharmaceuticals in particular, began to experience
difficulties as concerns over the Medicare reimbursement issue began to surface.
Energy stocks also did not perform as well as expected, due to unseasonably warm
temperatures.
The performance of each of the component strategies of the Series was directly
attributable to each strategies' technology weighting. Nevertheless, the Series
performed nicely in a very narrow market. The diversification achieved by using
three different strategies served Series investors well with gains in the Growth
strategy more than compensating for any shortfalls in the other two portfolios.
While we expect some short-term volatility in the first half of next year, we
believe 2000 will be another good year for the U.S. equity markets and for
Series investors.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/EAGLE CORE EQUITY SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/EAGLE CORE EQUITY SERIES S&P 500 INDEX
---------------------------- -------------
<S> <C> <C>
9/16/1996 10000 10000
12/31/1996 10647 10892
3/31 10808 11184
6/30 12642 13134
9/30 13695 14118
12/31/1997 14091 14523
3/31 15629 16610
6/30 15577 17094
9/30 13866 15396
12/31/1998 16422 18673
3/31 17020 19604
6/30 18393 20985
9/30 17227 19675
12/31/1999 20288 22602
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 23.55%
Since inception*........ 23.96%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date September 16, 1996.
33
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $86,026) $ 95,786
Cash 135
Receivables:
Dividends and interest 115
Fund shares sold 119
Investment securities sold 1,630
--------------
TOTAL ASSETS 97,785
--------------
LIABILITIES
Payables:
Advisory fees 67
Administrative fees 8
Fund shares redeemed 11
Investment securities purchased 2,370
--------------
TOTAL LIABILITIES 2,456
--------------
NET ASSETS $ 95,329
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 80,796
Undistributed net investment income 72
Accumulated net realized gain on
investments 4,701
Net unrealized appreciation on investments 9,760
--------------
$ 95,329
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 5,161
==============
NET ASSET VALUE PER SHARE $ 18.47
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 936
Interest 277
Security lending income 11
Foreign taxes withheld (7)
--------------
TOTAL INVESTMENT INCOME 1,217
--------------
EXPENSES
Advisory fees 553
Administrative fees 62
--------------
TOTAL EXPENSES 615
--------------
NET INVESTMENT INCOME 602
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 10,754
Net change in unrealized appreciation
(depreciation) on:
Investments 3,781
Options written (3)
--------------
NET REALIZED AND UNREALIZED GAINS 14,532
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 15,134
==============
See notes to the financial statements.
34
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 602 $ 241
Net realized gain (loss) on:
Investments ................................................................ 10,754 (870)
Options written ............................................................ - (7)
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ 3,781 4,476
Options written ............................................................ (3) 3
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 15,134 3,843
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (551) (220)
From net realized gains on investment transactions ........................... (5,169) (44)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (5,720) (264)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 63,703 28,178
Reinvestment of distributions ................................................ 5,720 264
Cost of shares redeemed ...................................................... (20,677) (6,748)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 48,746 21,694
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 58,160 25,273
NET ASSETS BEGINNING OF PERIOD ................................................. 37,169 11,896
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 95,329 $ 37,169
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 72 $ 21
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 3,705 1,919
Reinvestment of distributions ............................................. 311 17
Shares redeemed ........................................................... (1,192) (464)
-------------- --------------
Net increase .............................................................. 2,824 1,472
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 108,410 $ 34,612
Proceeds from sales of securities ......................................... 70,902 14,117
</TABLE>
See notes to the financial statements.
35
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
SEPTEMBER 16,
1996* TO
YEAR ENDED DECEMBER 31, DECEMBER 31,
1999 1998 1997 1996
----------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ........................... $ 15.91 $ 13.75 $ 10.62 $ 10.00
----------- ----------- ----------- ----------
Income from operations:
Net investment income .......................................... 0.11 0.10 0.08 0.03
Net realized and unrealized gains on investments and
options written ................................................ 3.63 2.17 3.35 0.62
----------- ----------- ----------- ----------
Total income from operations ................................... 3.74 2.27 3.43 0.65
----------- ----------- ----------- ----------
Less distributions:
From net investment income ..................................... (0.11) (0.09) (0.08) (0.03)
From net realized gains on investment transactions ............. (1.07) (0.02) (0.22) --
----------- ----------- ----------- ----------
Total distributions ............................................ (1.18) (0.11) (0.30) (0.03)
----------- ----------- ----------- ----------
Net increase ................................................... 2.56 2.16 3.13 0.62
----------- ----------- ----------- ----------
Net asset value, end of period ................................. $ 18.47 $ 15.91 $ 13.75 $ 10.62
=========== =========== =========== ==========
Total Return (a) ............................................... 23.55 % 16.54 % 32.35 % 6.47 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ....................... $ 95,329 $ 37,169 $ 11,896 $ 1,954
Ratio of expenses to average net assets (b) .................... 0.99 % 1.05 % 1.05 % 1.05 %
Ratio of income to average net assets (b) ...................... 0.97 % 1.07 % 1.00 % 1.10 %
Portfolio turnover ............................................. 124.71 % 67.04 % 51.48 % 1.36 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) .................... n/a 1.17 % 1.54 % 4.57 %
Ratio of net investment income (loss) to average net
assets (b) ..................................................... n/a 0.95 % 0.51 % (2.42)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
36
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 89.1%
ADVERTISING - 1.9%
Omnicom Group Inc. 17,800 $ 1,780
AEROSPACE & DEFENSE - 1.2%
Honeywell International Inc. 14,438 833
Raytheon Co. - Class B 12,000 319
-----------
1,152
AUTO MANUFACTURERS - 1.5%
Ford Motor Co. 10,000 534
General Motors Corp. 12,000 872
-----------
1,406
BANKS - 4.8%
Bank of America Corp. 25,000 1,255
CCB Financial Corp. 17,000 741
Chase Manhattan Corp. 13,200 1,025
First Union Corp. 15,600 512
Fleet Boston Financial Corp. 16,000 557
Mellon Financial Corp. 14,000 477
-----------
4,567
BEVERAGES - 0.2%
PepsiCo Inc. 5,800 204
CHEMICALS - 1.4%
E.I. du Pont de Nemours & Co. 5,252 346
Praxair Inc. 19,600 986
-----------
1,332
COMMERCIAL SERVICES - 2.0%
Convergys Corp. (a) 54,500 1,676
Whittman-Hart Inc. (a) 5,100 273
-----------
1,949
COMPUTERS - 7.7%
Cisco Systems Inc. (a) 19,850 2,126
Compaq Computer Corp. 40,000 1,083
Dell Computer Corp. (a) 34,800 1,775
Electronic Data Systems Corp. 19,000 1,272
International Business Machines 10,000 1,080
Corp.
-----------
7,336
DIVERSIFIED FINANCIAL SERVICES -
4.6%
American Express Co. 4,350 723
Citigroup Inc. 12,100 672
Freddie Mac 33,350 1,570
Lehman Brothers Holdings Inc. 9,500 805
SLM Holding Corp. 15,000 634
-----------
4,404
ELECTRIC - 0.4%
Sierra Pacific Resources 21,000 363
ELECTRICAL COMPONENTS & EQUIPMENT -
1.0%
Interlink Electronics Inc. (a) 16,850 990
ELECTRONICS - 0.4%
Koninklijke Philips Electronics
NV - NY Shares 3,020 408
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
FOOD - 1.4%
ConAgra Inc. 11,000 $ 248
H. J. Heinz Co. 12,500 498
Sysco Corp. 14,000 554
-----------
1,300
FOREST PRODUCTS & PAPER - 0.9%
International Paper Co. 15,000 846
HEALTHCARE - 2.7%
Bausch & Lomb Inc. 10,300 705
Columbia/HCA Healthcare Corp. 34,000 997
Guidant Corp. (a) 12,500 587
Medtronic Inc. 8,700 317
-----------
2,606
HOME FURNISHINGS - 0.5%
Newell Rubbermaid Inc. 18,000 522
HOUSEHOLD PRODUCTS - 1.0%
Clorox Co. 8,500 428
Fortune Brands Inc. 16,300 539
-----------
967
INSURANCE - 3.8%
Aetna Inc. 15,000 837
Allstate Corp. 18,400 441
American International Group Inc. 16,875 1,825
Marsh & McLennan Cos. Inc. 2,400 230
Safeco Corp. 14,000 348
-----------
3,681
MANUFACTURING - 5.5%
E-Tek Dynamics Inc. (a) 4,300 579
Eaton Corp. 12,300 893
General Electric Co. 13,300 2,058
Harsco Corp. 17,000 540
Illinois Tool Works Inc. 3,000 203
Minnesota Mining & Manufacturing Co. 8,000 783
Pall Corp. 12,000 259
-----------
5,315
MEDIA - 3.2%
AT&T - Liberty Media Group - Class
A (a) 14,400 817
MediaOne Group Inc. (a) 10,000 768
Time Warner Inc. 7,550 547
Viacom Inc. - Class A (a) 15,000 907
-----------
3,039
OIL & GAS PRODUCERS - 7.6%
Atlantic Richfield Co. 6,500 562
BP Amoco Plc - ADR 21,000 1,246
Burlington Resources Inc. 20,000 661
Conoco Inc. - Class B 16,056 399
El Paso Energy Corp. 25,400 986
Exxon Mobil Corp. 16,701 1,346
Transocean Sedco Forex Inc. 17,000 573
UGI Corp. 22,000 450
USX - Marathon Group Inc. 21,300 526
Williams Cos. Inc. 18,000 550
-----------
7,299
See notes to the financial statements.
37
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
PHARMACEUTICALS - 6.0%
American Home Products Corp. 15,900 $ 627
Bristol-Myers Squibb Co. 16,500 1,059
Eli Lilly & Co. 7,400 492
Johnson & Johnson 4,700 438
Merck & Co. Inc. 15,050 1,009
Pfizer Inc. 21,100 684
Pharmacia & Upjohn Inc. 15,900 716
Schering-Plough Corp. 13,700 578
Warner-Lambert Co. 1,600 131
-----------
5,734
REAL ESTATE - 1.0%
Boston Properties Inc. 5,500 171
Center Trust Inc. 13,500 131
Nationwide Health Properties Inc. 12,000 165
ProLogis Trust 8,000 154
Public Storage Inc. 6,500 147
Sun Communities Inc. 4,900 158
-----------
926
RETAIL - 4.6%
Federated Department Stores Inc. (a) 15,200 768
Home Depot Inc. 16,200 1,111
Intimate Brands Inc. 11,200 483
Kohl's Corp. (a) 3,350 242
Wal-Mart Stores Inc. 25,650 1,773
-----------
4,377
SAVINGS AND LOANS - 1.1%
Charter One Financial Inc. 26,000 497
Washington Mutual Inc. 20,000 520
-----------
1,017
SEMICONDUCTORS - 2.7%
Caliper Technologies Corp. (a) 2,200 147
Intel Corp. 7,300 601
MEMC Electronics Materials Inc. (a) 31,500 386
Microchip Technology Inc. (a) 6,550 448
Motorola Inc. 1,100 162
National Semiconductor Corp. (a) 19,750 845
-----------
2,589
SOFTWARE - 7.5%
America Online Inc. (a) 10,600 800
Cadence Design Systems Inc. (a) 83,500 2,004
Digital Impact Inc. (a) 2,100 105
E.piphany Inc. (a) 800 178
eSPEED Inc. (a) 2,150 76
Intertrust Technologies Corp. (a) 1,850 218
Marimba Inc. (a) 15,700 723
Metasolv Software Inc. (a) 800 65
Microsoft Corp. (a) 19,250 2,247
Oracle Corp. (a) 1,700 191
Phone.com Inc. (a) 3,000 348
Va Linux Inc. (a) 150 31
Yahoo Inc. (a) 450 195
-----------
7,181
TELECOMMUNICATIONS - 11.7%
Alltel Corp. 6,700 554
Aspect Communications Corp. (a) 2,900 113
AT&T Corp. 8,000 406
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
BellSouth Corp. 14,400 $ 674
Broadwing Inc. 38,600 1,423
El Sitio Inc. (a) 2,000 74
GTE Corp. 8,000 565
JDS Uniphase Corp. (a) 9,600 1,549
LSI Logic Corp. (a) 15,650 1,056
Lucent Technologies Inc. 2,500 187
MCI WorldCom Inc. (a) 12,000 637
Nortel Networks Corp. 8,950 904
SBC Communications Inc. 30,500 1,487
Sycamore Networks Inc. (a) 4,650 1,432
TeleCorp PCS Inc. (a) 2,800 107
-----------
11,168
TOBACCO - 0.4%
Philip Morris Cos. Inc. 4,000 93
UST Inc. 13,500 340
-----------
433
WATER - 0.4%
American Water Works Inc. 20,000 424
-----------
Total Common Stocks
(cost $75,460) 85,315
-----------
CORPORATE BONDS - 0.6%
AUTO PARTS & EQUIPMENT - 0.2%
Magna International Inc.,
5.00%, 10/15/2005 $ 200,000 192
COMMERCIAL SERVICES - 0.2%
Interim Services Inc., 4.50%,
06/01/2005 135,000 119
HEALTHCARE - 0.1%
Alpharma Inc., 3.00%, 06/01/2006
(c) 100,000 107
HOUSEHOLD PRODUCTS - 0.1%
Charming Shoppes Inc., 7.50%,
07/15/2006 150,000 153
-----------
Total Corporate Bonds
(cost $570) 571
-----------
PREFERRED STOCKS - 1.8%
BANKS - 0.1%
Jefferson-Pilot "NB" ACES 800 67
COMMERCIAL SERVICES - 0.2%
Carriage Services Capital Trust (c) 3,300 84
Hercules Trust II 200 150
-----------
234
COSMETICS & PERSONAL CARE - 0.4%
Estee Lauder Companies Inc. -
TRACES II 3,700 351
DIVERSIFIED FINANCIAL SERVICES -
0.5%
Sovereign Bancorp Capital Trust II 3,200 157
Wendy's International Inc. 8,000 383
-----------
540
See notes to the financial statements.
38
<PAGE>
JNL/EAGLE CORE EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
ELECTRIC - 0.3%
Reliant Energy 2,400 $ 289
FOOD - 0.3%
Ralston Purina Co. 7,000 256
-----------
Total Preferred Stocks
(cost $1,833) 1,737
-----------
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 8.5%
MONEY MARKET FUNDS - 8.5%
Dreyfus Cash Management Plus,
5.53% (b) 4,718,414 $ 4,719
Dreyfus Government Cash
Management, 5.08% (b) 3,444,194 3,444
-----------
Total Short Term Investments
(cost $8,163) 8,163
-----------
TOTAL INVESTMENTS - 100%
(cost $86,026) $ 95,786
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
(c) 144a security. Certain conditions for public sale may exist.
ACES - Automatic common exchange securities.
TRACES - Trust automatic common exchange securities.
Based on the cost of investments of $86,410 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $14,323, the gross
unrealized depreciation was $4,947 and the net unrealized appreciation on
investments was $9,376.
SUMMARY OF WRITTEN CALL OPTIONS FOR THE YEAR ENDED DECEMBER 31, 1999:
Number Premium
of (000's)
Contracts
---------- -----------
Options outstanding at December 31, 1998 ............ 36 $ 10
Options expired during the period ................... (36) (10)
---------- -----------
Options outstanding at December 31, 1999 ............ -- $ --
========== ===========
See notes to the financial statements.
39
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
EAGLE ASSET MANAGEMENT, INC.
BERT L. BOKSEN
[EAGLE ASSET MANAGEMENT INC. LOGO]
OBJECTIVE:
JNL/Eagle SmallCap Equity Series seeks long-term capital appreciation by
investing primarily in equity securities of smaller companies which are believed
to offer potential for rapid growth.
MONEY MANAGER COMMENTARY:
1999 was characterized by an extremely narrow market, propelled by a "growth at
any price" investing mentality and zealous investor interest primarily in
technology, telecom and Internet stocks. The S&P 500 Index was up over 20% for
the year, while the average stock that comprised that Index gained barely 1% for
the year and was down by over 25% from its 1999 peak. Interest rates also played
a key role in last year's equity market activity. While corporate earnings were
generally good, the relentless rise in interest rates resulted in a significant
decline in the price-to-earnings ratios of most non-technology companies.
For the year, the Series returned 19.27%, while the Russell 2000 Index returned
21.35%.
During the first quarter of 1999, we saw investors respond to 1998's strong
fourth quarter either by jumping into "stable" large cap growth stocks or
Internet companies. Consequently, the larger indices experienced a quarter of
positive returns, driven only by a few select stocks.
The second quarter, however, brought a dramatic rebound for the small cap
market, as investors scooped up fast growing small cap stocks at historically
low relative prices. In addition, many companies also recognized the compelling
valuations of small cap stocks as evidenced by the large number of announced
share repurchases and corporate acquisitions among smaller companies. These
factors helped make the second quarter the strongest quarter for the Series
since its inception in September of 1996.
Unfortunately, in the third quarter of 1999, the tides turned and small cap
stocks again fell out of favor as investor's preference for the Internet and
large cap growth stocks returned. We would see this narrowing of interest in the
market also pervade the fourth quarter.
Although the Series had a strong fourth quarter returning 18.63%, it would have
fared even better had investors not been using a "growth at any price" investing
mentality. Our "growth at a reasonable price" investment discipline requires
that we only invest in companies that actually make money. This limited some of
the upside potential performance of the Series for the fourth quarter and the
year as a whole as momentum investing has taken hold and many of the best
performing small cap stocks for the quarter and the year were those that had
little or no earnings. For the quarter, small cap technology stocks gained 64.7%
and small cap Internet companies rose 110.7% as the small cap technology sector
posted its best quarter ever, capping off its best year ever since the inception
of the Russell 2000 Index in 1979.
Toward the end of the year, we began to see some broadening in the small cap
market and, while technology and Internet stocks are still leading the market,
the balance of small cap stocks were, for the most part, no longer declining. A
continued broadening of the small cap market would be very positive for our
investment style.
We expect share repurchase activity to continue throughout the year 2000 as long
as small cap stocks remain historically cheap on a comparative basis. Similarly,
we expect many of these same under appreciated small cap companies to be
acquired by larger companies looking for ways to add to their top line revenue
growth. During the first quarter of 2000, we intend to reduce our exposure to
consumer stocks, with an eye toward increasing our healthcare exposure. The
Series currently trades at about 17.6 times trailing earnings with a 20 percent
forecasted earnings growth rate. It is this compelling relative valuation which
gives us confidence that the Series is well positioned to capitalize on the long
overdue resurgence in the small cap market that we believe will finally occur in
the year 2000.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/EAGLE SMALLCAP EQUITY SERIES AND THE RUSSELL 2000 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/EAGLE SMALLCAP EQUITY SERIES RUSSELL 2000 INDEX
-------------------------------- ------------------
<S> <C> <C>
9/16/1996 10000 10000
12/31/1996 11540 10639
11340 10091
13490 11722
16120 13462
12/31/1997 14730 13004
17140 14346
15970 13520
12150 10784
12/31/1998 14904 12557
13134 11874
16996 13717
14985 12848
12/31/1999 17776 15238
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 19.27%
Since inception*........ 19.09%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date September 16, 1996.
40
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $51,267) $ 61,325
Cash 124
Receivables:
Dividends and interest 24
Fund shares sold 88
--------------
TOTAL ASSETS 61,561
--------------
LIABILITIES
Payables:
Advisory fees 46
Administrative fees 5
Fund shares redeemed 6
--------------
TOTAL LIABILITIES 57
--------------
NET ASSETS $ 61,504
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 52,254
Undistributed net investment income -
Accumulated net realized loss on
investments (808)
Net unrealized appreciation on investments 10,058
==============
$ 61,504
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 3,624
==============
NET ASSET VALUE PER SHARE $ 16.97
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 146
Interest 148
Securities lending income 18
--------------
TOTAL INVESTMENT INCOME 312
--------------
EXPENSES
Advisory fees 424
Administrative fees 44
--------------
TOTAL EXPENSES 468
--------------
NET INVESTMENT LOSS (156)
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 1,543
Net change in unrealized appreciation
on investments 8,269
--------------
NET REALIZED AND UNREALIZED GAINS 9,812
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 9,656
==============
See notes to the financial statements.
41
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss .......................................................... $ (156) $ (98)
Net realized gain (loss) on investments ...................................... 1,543 (66)
Net change in unrealized appreciation on investments ......................... 8,269 353
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 9,656 189
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... -- --
From net realized gains on investment transactions ........................... (2,409) (197)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (2,409) (197)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 42,116 31,146
Reinvestment of distributions ................................................ 2,409 197
Cost of shares redeemed ...................................................... (25,221) (9,875)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 19,304 21,468
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 26,551 21,460
NET ASSETS BEGINNING OF PERIOD ................................................. 34,953 13,493
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 61,504 $ 34,953
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ -- $ --
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 2,762 2,110
Reinvestment of distributions ............................................. 144 13
Shares redeemed ........................................................... (1,641) (681)
-------------- --------------
Net increase .............................................................. 1,265 1,442
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 41,952 $ 31,520
Proceeds from sales of securities ......................................... 25,958 11,177
</TABLE>
See notes to the financial statements.
42
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
SEPTEMBER 16,
1996* TO
YEAR ENDED DECEMBER 31, DECEMBER 31,
1999 1998 1997 1996
----------------- ----------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ............................ $ 14.82 $ 14.73 $ 11.54 $ 10.00
---------- ----------- ----------- ----------
Income from operations:
Net investment loss ............................................. (0.04) (0.06) (0.07) (0.01)
Net realized and unrealized gains on investments ................ 2.88 0.23 3.26 1.55
---------- ----------- ----------- ----------
Total income from operations .................................... 2.84 0.17 3.19 1.54
---------- ----------- ----------- ----------
Less distributions:
From net investment income ...................................... -- -- -- --
From net realized gains on investment transactions .............. (0.69) (0.08) -- --
---------- ----------- ----------- ----------
Total distributions ............................................. (0.69) (0.08) -- --
---------- ----------- ----------- ----------
Net increase .................................................... 2.15 0.09 3.19 1.54
---------- ----------- ----------- ----------
Net asset value, end of period .................................. $ 16.97 $ 14.82 $ 14.73 $ 11.54
========== =========== =========== ==========
Total Return (a) ................................................ 19.27 % 1.18 % 27.64 % 15.40 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ........................ $ 61,504 $ 34,953 $ 13,493 $ 1,944
Ratio of expenses to average net assets (b) ..................... 1.05 % 1.10 % 1.10 % 1.10 %
Ratio of net investment loss to average net assets (b) .......... (0.35)% (0.42)% (0.54)% (0.26)%
Portfolio turnover .............................................. 61.69 % 51.90 % 60.78 % 28.01 %
Ratio information assuming no expense reimbursement:
Ratio of expenses to average net assets (b) ..................... n/a 1.17 % 1.51 % 4.77 %
Ratio of net investment loss to average net assets (b) .......... n/a (0.49)% (0.95)% (3.93)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
43
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 97.3%
ADVERTISING - 2.5%
Catalina Marketing Corp. (a) 13,500 $ 1,563
BIOTECHNOLOGY - 1.9%
Collateral Therapeutics Inc. (a) 60,000 1,148
COMMERCIAL SERVICES - 12.2%
CDI Corp. (a) 30,000 724
Interim Services Inc. (a) 50,000 1,238
Iron Mountain Inc. (a) 50,000 1,966
MPW Industrial Services Group 30,000 238
Inc. (a)
Quebecor Printing Inc. 41,860 931
RCM Technologies Inc. (a) 32,500 561
Steiner Leisure Ltd. (a) 40,000 667
Strayer Education Inc. 39,750 785
Wackenhut Corp. 35,000 361
-----------
7,471
COMPUTERS - 5.9%
Bell & Howell Co. (a) 30,000 954
Sykes Enterprises Inc. (a) 60,000 2,633
-----------
3,587
DIVERSIFIED FINANCIAL SERVICES -
4.6%
Dain Rauscher Corp. 40,250 1,872
Southwest Securities Group Inc. 34,375 941
-----------
2,813
ELECTRICAL COMPONENTS & EQUIPMENT - 6.1%
Artesyn Technologies Inc. (a) 80,000 1,680
C-COR.net Corp. (a) 7,000 536
Interlink Electronics Inc. (a) 15,000 881
Universal Electronics Inc. (a) 13,500 621
-----------
3,718
ELECTRONICS - 11.5%
Ampex Corp. (a) 169,200 920
Coherent Inc. (a) 50,000 1,338
Gentex Corp. (a) 27,000 749
OYO Geospace Corp. (a) 25,000 256
Pioneer-Standard Electronics Inc. 40,000 578
Sawtek Inc. (a) 48,000 3,195
-----------
7,036
ENTERTAINMENT - 1.3%
World Wrestling Federation
Entertainment Inc. (a) 46,500 802
ENVIRONMENTAL CONTROL - 1.0%
IMCO Recycling Inc. 50,000 631
HEALTHCARE - 0.4%
Horizon Health Corp. (a) 35,000 249
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.8%
Windmere-Durable Holdings Inc.(a) 66,000 $ 1,122
LODGING - 0.2%
Lodgian Inc. (a) 22,000 110
MANUFACTURING - 0.4%
Lasersight Inc. (a) 25,000 250
MEDIA - 2.4%
Mail-Well Inc. (a) 61,000 824
Radio Unica Corp. (a) 22,500 649
-----------
1,473
OIL & GAS PRODUCERS - 1.8%
Chieftain International Inc. (a) 20,000 345
Patterson Energy Inc. (a) 60,000 780
-----------
1,125
PHARMACEUTICALS - 0.7%
Bergen Brunswig Corp. 55,000 457
REAL ESTATE - 0.5%
Meristar Hospitality Corp. 21,000 336
RETAIL - 8.7%
Cash America International Inc. 45,000 439
Genesco Inc. (a) 55,000 715
Guitar Center Inc. (a) 74,000 745
Hughes Supply Inc. 40,000 862
Micro Warehouse Inc. (a) 67,000 1,239
Musicland Stores Corp. (a) 50,000 422
Outback Steakhouse Inc. (a) 20,000 519
Sunglass Hut International Inc.(a) 32,500 366
-----------
5,307
SAVINGS & LOANS - 0.9%
Commercial Federal Corp. 30,000 534
SEMICONDUCTORS - 3.2%
Burr-Brown Corp. (a) 54,750 1,978
SOFTWARE - 22.6%
Avid Technology Inc. (a) 60,000 780
BSQUARE Corp. (a) 30,000 1,258
Complete Business Solutions Inc.(a) 20,000 502
Concur Technologies Inc. (a) 10,000 290
Datastream Systems Inc. (a) 110,000 2,702
GRIC Communications Inc. (a) 20,400 518
INSpire Insurance Solutions Inc.(a) 90,000 413
Medical Manager Corp. (a) 31,561 2,659
Omega Research Inc. (a) 70,000 420
Pervasive Software Inc. (a) 41,000 694
Transaction Systems Architects
Inc. (a) 50,000 1,400
Wind River Systems Inc. (a) 53,000 1,948
XPedior Inc. (a) 9,900 285
-----------
13,869
See notes to the financial statements.
44
<PAGE>
JNL/EAGLE SMALLCAP EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
TELECOMMUNICATIONS - 6.7%
EMS Technologies Inc. (a) 91,700 $ 1,077
Genesys Telecomm Labs Inc. (a) 25,000 1,350
Paradyne Networks Corp. (a) 40,000 1,090
Splitrock Services Inc. (a) 30,000 596
-----------
$4,113
-----------
Total Common Stocks
(cost $49,634) 59,692
-----------
SHORT TERM INVESTMENT - 2.7%
MONEY MARKET FUND - 2.7%
Dreyfus Cash Management Plus,
5.53% (b) 1,632,863 1,633
-----------
Total Short Term Investment
(cost $1,633) 1,633
-----------
TOTAL INVESTMENTS - 100%
(cost $51,267) $ 61,325
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $51,339 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $16,623, the gross
unrealized depreciation was $6,637 and the net unrealized appreciation on
investments was $9,986.
See notes to the financial statements.
45
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING
MARKETS SERIES
J.P. MORGAN INVESTMENT MANAGEMENT INC.
[JP MORGAN LOGO] TEAM MANAGEMENT
OBJECTIVE:
JNL/J.P. Morgan International & Emerging Markets Series seeks as its investment
objective to provide high total return by investing in a portfolio of equity
securities of foreign companies in developed and, to lesser extent, developing
markets.
MONEY MANAGER COMMENTARY:
Equity markets ended 1999 significantly higher, with the last quarter being
particularly strong. Much of the year's strength is attributable to the
technology and telecommunications sector, which drove performance in most of the
world's markets. As a consequence, performance tended to be very narrow with
most markets lacking breadth. Encouragingly, the international (non-U.S.)
markets outperformed the U.S. The Series' benchmark, the MSCI All Country World
(ex U.S.) Index, returned 29.68%. For the year, the Series return of 38.02%
significantly outperformed the benchmark.
The Series emphasizes stock selection as the primary source of added value.
Stocks are selected on a bottom-up basis, with the aim of investing in the most
attractively priced stocks in each sector. Positive performers included
Mannesmann AG, which saw its price rise significantly following a hostile bid
for Vodafone and Softbank, which is predominantly an internet holding company.
With an impressive portfolio of unlisted and listed Internet holdings, including
shares of Yahoo, E*Trade and other internet companies worldwide, Softbank looks
well positioned to benefit from the expected take-off of e-commerce in Japan.
We believe that there will be continued global growth for the Year 2000,
combined with moderate inflation expectations, bodes well for the outlook for
international markets.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES AND THE
MSCI ALL COUNTRY WORLD (EX U.S.) INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/J.P. MORGAN INTERNATIONAL & MSCI ALL COUNTY WORLD (EX U.S.)
EMERGING MARKETS SERIES INDEX
------------------------------- -------------------------------
<S> <C> <C>
3/02/1998 10000 10000
3/31 10490 10322
6/30 10230 10092
9/30 8140 8525
12/31/1998 9876 10211
3/31 10278 10432
6/30 11022 10927
9/30 11656 11237
12/31/1999 13631 13242
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 38.02%
Since inception*........ 18.38%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
46
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $6,128) $ 7,625
Cash 1
Foreign currency 143
Receivables:
Dividends and interest 6
Forward currency contracts 13
Foreign taxes recoverable 7
--------------
TOTAL ASSETS 7,795
--------------
LIABILITIES
Payables:
Advisory fees 6
Administrative fees 1
Forward currency contracts 11
--------------
TOTAL LIABILITIES 18
--------------
NET ASSETS $ 7,777
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 6,048
Undistributed net investment income 12
Accumulated net realized gain on
investments and foreign currency
related items 199
Net unrealized appreciation (depreciation)
on:
Investments 1,497
Futures contracts 22
Foreign currency related items (1)
--------------
$ 7,777
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 591
==============
NET ASSET VALUE PER SHARE $ 13.15
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 103
Interest 6
Foreign taxes withheld (14)
--------------
TOTAL INVESTMENT INCOME 95
--------------
EXPENSES
Advisory fees 58
Administrative fees 6
--------------
TOTAL EXPENSES 64
--------------
NET INVESTMENT INCOME 31
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on:
Investments 459
Futures contracts 47
Foreign currency related items 104
Net change in unrealized appreciation
(depreciation) on:
Investments 1,410
Futures contracts 22
Foreign currency related items (26)
--------------
NET REALIZED AND UNREALIZED GAINS 2,016
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 2,047
==============
See notes to the financial statements.
47
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ................................................ $ 31 $ 37
Net realized gain (loss) on:
Investments ........................................................ 459 (196)
Futures contracts .................................................. 47 --
Foreign currency related items ..................................... 104 (12)
Net change in unrealized appreciation (depreciation) on:
Investments ........................................................ 1,410 87
Futures contracts .................................................. 22 --
Foreign currency related items ..................................... (26) 25
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .................. 2,047 (59)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ........................................... (118) (28)
From net realized gains on investment transactions ................... (113) --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS .................................... (231) (28)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ..................................... 1,868 5,080
Reinvestment of distributions ........................................ 231 28
Cost of shares redeemed .............................................. (1,135) (24)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ..................... 964 5,084
--------------- ---------------
NET INCREASE IN NET ASSETS ............................................. 2,780 4,997
NET ASSETS AT BEGINNING OF PERIOD ...................................... 4,997 --
--------------- ---------------
NET ASSETS END OF PERIOD ............................................... $ 7,777 $ 4,997
=============== ===============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) ............... $ 12 $ (3)
=============== ===============
(1)SHARE TRANSACTIONS:
Shares sold ............................................................... 165 509
Reinvestment of distributions ............................................. 17 3
Shares redeemed ........................................................... (100) (3)
-------------- --------------
Net increase .............................................................. 82 509
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 4,860 $ 12,827
Proceeds from sales of securities ......................................... 3,728 8,112
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
48
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- -----------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 9.82 $ 10.00
--------------- -----------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.06 0.08
Net realized and unrealized gains (losses) on investments, futures contracts
and foreign currency related items ......................................... 3.67 (0.20)
--------------- -----------------
Total income (loss) from operations .......................................... 3.73 (0.12)
--------------- -----------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.21) (0.06)
From net realized gains on investment transactions ........................... (0.19) --
--------------- -----------------
Total distributions .......................................................... (0.40) (0.06)
--------------- -----------------
Net increase (decrease) ...................................................... 3.33 (0.18)
--------------- -----------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 13.15 $ 9.82
=============== =================
TOTAL RETURN (A) ............................................................... 38.02 % (1.24)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 7,777 $ 4,997
Ratio of expenses to average net assets (b) .................................. 1.075 % 1.125 %
Ratio of net investment income to average net assets (b) ..................... 0.53 % 0.62 %
Portfolio turnover ........................................................... 66.82 % 231.88 %
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................. n/a 2.64 %
Ratio of net investment loss to average net assets (b) ....................... n/a (0.90)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
48
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 94.7%
AIRLINES - 0.7%
British Airways Plc 7,900 $ 51
AUTO MANUFACTURERS - 1.3%
Honda Motor Co. Ltd. 1,000 37
Suzuki Motor Co. Ltd. 2,000 29
Volkswagen AG 600 34
-----------
100
BANKS - 13.3%
Banco Bilbao Vizcaya SA 2,500 35
Banco Pinto & Sotto Mayor SA 1,812 39
Banco Santander Central Hispano SA 6,700 75
Bank Austria AG 700 39
Banque Nationale de Paris 1,602 147
DBS Group Holdings Ltd. 5,440 89
Entrium Direct Bankers AG (a) 500 8
ForeningsSparbanken AB 2,000 29
Fuji Bank Ltd. 8,000 78
H&CB - GDR (a) 900 28
ING Groep NV 1,281 77
Lloyds TSB Group Plc 1,900 24
Mitsui Trust & Banking Co. Ltd. 18,000 41
National Australia Bank Ltd. 2,800 77
Overseas Union Bank Ltd. 10,392 61
Royal Bank of Canada 750 33
Sparebanken NOR 1,620 38
UBS AG 280 75
Woolwich Plc 4,019 22
-----------
1,015
BEVERAGES - 0.6%
Anglian Water Plc 2,400 22
Asahi Breweries Ltd. 2,000 22
-----------
44
BUILDING MATERIALS - 1.0%
Taiheiyo Cement Corp. 13,000 25
Tostem Corp. 3,000 54
-----------
79
CHEMICALS - 3.3%
Akzo Nobel NV 800 40
BASF AG 450 23
Celanese AG (a) 140 3
Daicel Chemical Industries Ltd. 13,000 36
Mitsubishi Chemical Corp. 21,000 74
Rhodia SA 3,203 72
-----------
248
COMMERCIAL SERVICES - 0.8%
Vedior NV 1,108 11
Vivendi 519 47
-----------
58
COMPUTERS - 2.4%
Fujitsu Ltd. 4,000 182
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COSMETICS & PERSONAL CARE - 1.3%
Christian Dior SA 400 $ 99
DIVERSIFIED FINANCIAL SERVICES - 1.3%
Guoco Group Ltd. 6,000 18
ICICI Ltd. - ADR (a) 2,121 31
ICICI Ltd. - ADR (a) 279 4
Unicredito Italiano SpA 9,000 44
-----------
97
ELECTRIC - 2.6%
Enersis SA - ADR 1,400 33
First Philippine Holdings Corp. 28,800 25
Hongkong Electric Holdings Ltd. 33,900 106
Huaneng Power International Inc. 28,000 7
Huaneng Power International Inc.
- ADR 2,200 23
-----------
194
ELECTRICAL COMPONENTS & EQUIPMENT - 0.2%
National Power Plc 3,000 17
ELECTRONICS - 2.5%
Koninklijke Philips Electronics NV 1,384 187
ENGINEERING & CONSTRUCTION - 3.5%
ABB Ltd. (a) 593 72
ACS SA 1,500 35
Compagnie de Saint-Gobain 171 32
Suez Lyonnaise des Eaux 820 131
-----------
270
FOOD - 3.4%
Bary Callebaut AG 100 15
Greencore Group Plc 4,700 14
Groupe Danone 132 31
Laurus NV 2,792 50
Nestle SA 45 82
PIC International Group Plc (a) 14,000 9
Tate & Lyle Plc 9,000 58
-----------
259
FOREST PRODUCTS & PAPER - 1.3%
Fletcher Challenge Paper 21,800 15
Stora Enso Oyj 5,038 86
-----------
101
HOLDINGS COMPANIES - DIVERSIFIED -
0.5%
South African Breweries Plc 3,534 36
HOME FURNISHINGS - 2.3%
SONY Corp. 600 178
HOUSEHOLD PRODUCTS - 0.5%
Unilever Plc 5,625 41
INSURANCE - 4.6%
Allied Zurich Plc 7,950 94
AXA 140 19
Bayerische Vita SpA 1,300 10
Norwich Union Plc 4,400 33
See notes to the financial statements.
50
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Royal & Sun Alliance Insurance
Group Plc 8,245 $ 63
Sampo Insurance Co. Ltd. - Class A 900 31
Swiss Re 50 102
-----------
352
IRON & STEEL - 1.0%
Acerinox SA 1,100 44
Nisshin Steel Co. Ltd. 28,000 31
-----------
75
MACHINERY - 1.4%
Mannesmann AG 450 108
MANUFACTURING - 2.2%
Mitsubishi Corp. 11,000 85
Stinnes AG (a) 700 15
Toppan Forms Co. Ltd. 700 19
Veba AG 1,060 51
-----------
170
MEDIA - 4.7%
ABS-CBN Broadcasting Corp. - ADR
(a) 27,500 34
Grupo Televisa SA - GDR (a) 1,400 96
Mediaset SpA 3,000 46
News Corp. Ltd. 10,700 104
Wolters Kluwer NV 2,400 81
-----------
361
METALS & MINING - 1.7%
North Ltd. 55,900 131
OIL & GAS PRODUCERS - 6.0%
Coflexip SA 600 43
Shell Transport & Trading Co. 9,400 78
Surgutneftegaz - ADR 5,200 74
Total Fina SA 1,520 202
Total Fina SA - Class B 430 58
-----------
455
PHARMACEUTICALS - 6.7%
Aventis SA 1,050 61
Glaxo Wellcome Plc 2,400 68
Merck KGaA 600 19
Roche Holding AG 8 94
Schering AG 1,085 131
Takeda Chemical Industries Ltd. 1,396 68
Yamanouchi Pharmaceutical Co. Ltd. 2,000 70
-----------
511
REAL ESTATE - 0.5%
Consorico Ara SA (a) 22,500 37
RETAIL - 3.4%
Carrefour SA 420 77
Ito-Yakado Co. Ltd. 1,000 108
Tesco Plc 11,300 34
Vendex KBB NV 1,570 42
-----------
261
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SEMICONDUCTORS - 4.9%
Chartered Semiconductor
Manufacturing - ADR (a) 800 $ 58
Rohm Co. Ltd. 500 205
STMicroelectronics NV 731 112
-----------
375
SOFTWARE - 4.0%
Softbank Corp. 300 287
WWL Internet AG (a) 636 19
-----------
306
TELECOMMUNICATIONS - 7.8%
Cable and Wireless Plc 6,500 110
Compania Anonima Nacional
Telefonos de Venezuela - ADR 1,200 29
Eircom Plc 2,900 13
Embratel Participacoes SA - ADR 5,700 155
Indra Sistemas SA 1,818 34
Portugal Telecom SA 4,000 44
Swisscom AG 270 109
Telecom Italia SpA 17,200 104
-----------
598
TOBACCO - 0.3%
British American Tobacco Plc 3,800 21
TRANSPORTATION - 2.7%
Neptune Orient Lines Ltd. 40,000 54
Nippon Yusen Kabushiki Kaisha 13,000 53
Railtrack Group Plc - ADR 2,100 35
Stolt-Nielsen SA 1,500 26
West Japan Railway Co. 11 39
-----------
207
-----------
Total Common Stocks
(cost $5,822) 7,224
-----------
PREFERRED STOCKS - 1.0%
AUTO MANUFACTURERS - 0.2%
Volkswagen AG 370 12
MEDIA - 0.8%
News Corp. Ltd. 7,300 62
-----------
Total Preferred Stocks
(cost $31) 74
-----------
CORPORATE BONDS - 2.3%
ELECTRIC - 0.9%
Huaneng Power International Plc,
1.75%, 05/21/2004 $ 65,000 66
TELECOMMUNICATIONS - 1.4%
Telefonica Europe BV,
2.00%, 07/15/2002 44,000 111
-----------
Total Corporate Bonds
(cost $125) 177
-----------
See notes to the financial statements.
51
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 2.0%
MONEY MARKET FUND - 1.3%
Dreyfus Cash Management Plus,
5.53% (b) 100,304 $ 100
U.S. TREASURY SECURITY - 0.7%
U.S. Treasury Bill, 4.975%,
03/02/2000 (c) $ 50,000 50
-----------
Total Short Term Investments
(cost $150) 150
-----------
TOTAL INVESTMENTS - 100%
(cost $6,128) $ 7,625
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
(c) Security has been pledged to cover margin requirements for open futures
contracts.
Based on the cost of investments of $6,167 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $1,827, the gross
unrealized depreciation was $369 and the net unrealized appreciation on
investments was $1,458.
FORWARD CURRENCY CONTRACTS, OPEN AT DECEMBER 31, 1999 (IN THOUSANDS):
CURRENCY
UNITS
CURRENCY PURCHASED/SOLD PURCHASED CURRENCY UNREALIZED
AND SETTLEMENT DATE (SOLD) VALUE IN $ GAIN (LOSS)
U.S.
- --------------------------- ------------- -------------- --------------
Australian Dollar 03/14/00 (174) $ (114) $ (2)
British Pound 03/14/00 325 523 (4)
Canadian Dollar 03/14/00 380 263 5
Danish Krone 03/14/00 209 28 (1)
Euro 03/14/00 135 136 (1)
Euro 03/14/00 (294) (297) 7
Hong Kong Dollar 03/14/00 198 26 --
Japanese Yen 03/14/00 18,198 180 --
Japanese Yen 03/14/00 (10,000) (98) (1)
Norwegian Krone 03/14/00 (221) (28) --
Swedish Krona 03/14/00 658 77 (2)
Swiss Franc 03/14/00 (86) (54) 1
Singapore Dollar 03/14/00 (124) (75) --
South African
Rand 03/14/00 137 22 --
============== ==============
$ 589 $ 2
============== ==============
See notes to the financial statements.
52
<PAGE>
JNL/J.P. MORGAN INTERNATIONAL & EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SCHEDULE OF FUTURES CONTRACTS
DECEMBER 31, 1999
CONTRACTS UNREALIZED
APPRECIATION
(000'S)
($100,000
PER CONTRACT)
--------------
1 CAC 40 Index Future
Expiration January 2000 $ 5
2 FTSE 100 Index Future
Expiration March 2000 8
1 TOPIX Index Future
Expiration March 2000 9
--------------
$ 22
==============
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 1999:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
- -------------------------------------------------------- ------------------
Australia 4.9% $ 375
Austria 0.5% 39
Brazil 2.0% 155
Canada 0.4% 33
Chile 0.4% 33
China 1.3% 96
Finland 1.5% 118
France 13.4% 1,018
Germany 5.5% 421
Hong Kong 1.6% 124
India 0.5% 35
Ireland 0.4% 27
Italy 2.7% 205
Japan 22.6% 1,720
Mexico 1.7% 133
Netherlands 9.3% 711
New Zealand 0.2% 15
Norway 0.5% 38
Philippines 0.8% 59
Portugal 1.1% 82
Russia 1.0% 74
Singapore 3.4% 262
South Korea 0.4% 28
Spain 2.9% 224
Sweden 1.3% 101
Switzerland 6.3% 477
United Kingdom 10.7% 816
United States 2.3% 176
Venezuela 0.4% 30
------------------- ------------------
TOTAL 100.0% $7,625
=================== ==================
See notes to the financial statements.
53
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500
INDEX SERIES
J.P. MORGAN INVESTMENT MANAGEMENT INC.
[JP MORGAN LOGO] TEAM MANAGEMENT
OBJECTIVE:
JNL/J.P. Morgan Enhanced S&P 500 Index Series seeks as its investment objective
to provide high total return by investing in a portfolio of equity securities of
foreign companies in developed and, to lesser extent, developing markets.
MONEY MANAGER COMMENTARY:
The Series returned 6.85% for the period from inception on May 16, 1999 through
December 31, 1999 as compared to 10.82% for its benchmark, the S&P 500 Index.
The U.S. stock market ended the year posting record highs as the Dow Jones
Industrial Average climbed to a record 11,497, ending the year up 27%. The S&P
500 Index climbed to a record 1,469 for the year, ending 21% higher. The Nasdaq
Composite Index closed at 4,069, ending nearly 86% higher, the largest one-year
gain ever for a U.S. stock index.
The third and fourth quarters were difficult ones for Series. In the second half
of the year, the equity market reverted back to a very narrow group of
outperforming stocks as investors sought out the companies with positive
earnings and price momentum.
During the latter half of the year, investors tended to focus on short-term
earnings, projecting them forward indefinitely, which was a challenge to the
performance of the Series. The investment strategy employed by the Series
focuses on normalized earnings and intermediate growth rates, thus it tends not
to perform as well in a market environment that we experienced during the latter
part of the year. In addition, the Series is well diversified and its risk
controls are robust, during times of extreme internal market divergence, even
the modest exposures to common risk factors such as price momentum can result in
out of scale performance results.
Finally, our analysts depend on accurate financial data from the companies that
they cover to set their earnings forecasts. Companies that look attractive to
our analysts are overweighted in the Series and in some instances, less than
candid disclosures by company management followed by divergent reported earnings
resulted in a sharp correction in stock prices. In particular, underperformance
in the second half of the year was led by Waste Management, which was
overweighted and detracted from relative performance due to the accounting
issues discussed above. Strong relative performance in the technology sector
added to performance but was more than offset by challenges from the services
sector (primarily due to an overweight in Service Corp.) and insurance (an
underweight in AIG and an overweight in UnumProvident was pressed by the
market's momentum buying in AIG). Additionally, difficulty with American Home
Products and diet pill litigation also hurt the Series' performance.
We remain confident in our investment process and risk controls, and expect that
the historically wide spread between the most and least attractive companies in
our research universe suggests opportunities ahead.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES AND THE
S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/J.P. MORGAN ENHANCED S&P
500 INDEX SERIES S&P 500 INDEX
---------------------------- -------------
<S> <C> <C>
5/16/1999 10000 10000
5/31 9770 9723
6/30 10240 10263
7/31 9910 9943
8/31 9840 9893
9/30 9570 9622
10/31 10080 10231
11/30 10240 10439
12/31/1999 10685 11054
</TABLE>
TOTAL RETURN FOR THE PERIOD
FROM MAY 16, 1999* TO
DECEMBER 31, 1999.......................... 6.85%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Commencement of operations.
54
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $5,062) $ 5,338
Receivables:
Dividends and interest 6
Investment securities sold 9
--------------
TOTAL ASSETS 5,353
--------------
LIABILITIES
Cash overdraft 8
Payable:
Advisory fees 4
--------------
TOTAL LIABILITIES 12
--------------
NET ASSETS $ 5,341
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 5,053
Undistributed net investment income --
Accumulated net realized gain on 12
investments
Net unrealized appreciation on investments 276
--------------
$ 5,341
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 505
==============
NET ASSET VALUE PER SHARE $ 10.58
==============
Statement of Operations
For the Period Ended December 31, 1999*
INVESTMENT INCOME
Dividends $ 43
Interest 2
--------------
TOTAL INVESTMENT INCOME 45
--------------
EXPENSES
Advisory fees 25
Administrative fees 3
--------------
TOTAL EXPENSES 28
--------------
NET INVESTMENT INCOME 17
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 48
Net change in unrealized appreciation
on investments 276
--------------
NET REALIZED AND UNREALIZED GAINS 324
--------------
NET INCREASE IN NET ASSETS FROM $ 341
==============
- ------------------------------------------------------------
* For period beginning May 16, 1999 (commencement of operations).
See notes to the financial statements.
55
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
Statement of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MAY 16,
1999* TO
DECEMBER 31,
1999
---------------
<S> <C>
OPERATIONS
Net investment income ........................................................ $ 17
Net realized gain on investments ............................................. 48
Net change in unrealized appreciation on investments ......................... 276
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 341
---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (17)
From net realized gains on investment transactions ........................... (36)
---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (53)
---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 5,000
Reinvestment of distributions ................................................ 53
Cost of shares redeemed ...................................................... --
---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 5,053
---------------
NET INCREASE IN NET ASSETS ..................................................... 5,341
NET ASSETS BEGINNING OF PERIOD ................................................. -
---------------
NET ASSETS END OF PERIOD ....................................................... $ 5,341
===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ --
===============
(1)SHARE TRANSACTIONs:
SHARES ISSUED ............................................................... 500
REINVESTMENT OF DISTRIBUTIONS ............................................... 5
SHARES REDEEMED ............................................................. --
----------------
NET INCREASE ................................................................ 505
================
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM SECURITIES):
PURCHASES OF SECURITIES ...................................................... $ 6,533
PROCEEDS FROM SALES OF SECURITIES ............................................ 1,530
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
56
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MAY 16,
1999* TO
DECEMBER 31,
1999
---------------
<S> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ......................................... $ 10.00
---------------
INCOME FROM OPERATIONS:
Net investment income ...................................................... 0.03
Net realized and unrealized gains on investments ........................... 0.65
---------------
Total income from operations ............................................... 0.68
---------------
LESS DISTRIBUTIONS:
From net investment income ................................................. (0.03)
From net realized gain on investment transactions .......................... (0.07)
---------------
Total distributions ........................................................ (0.10)
---------------
Net increase ............................................................... 0.58
---------------
NET ASSET VALUE, END OF PERIOD ............................................... $ 10.58
===============
TOTAL RETURN (A) ............................................................. 6.85%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................... $ 5,341
Ratio of expenses to average net assets (b) ................................ 0.90%
Ratio of net investment income to average net assets (b) ................... 0.56%
Portfolio turnover ......................................................... 34.39%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
57
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
COMMON STOCKS - 99.8%
AEROSPACE & DEFENSE - 1.2%
Boeing Co. 70 $ 3
Honeywell International Inc. 600 35
Lockheed Martin Corp. 700 15
Raytheon Co. - Class A 400 10
Raytheon Co. - Class B 100 3
------------
66
AGRICULTURE - 0.1%
IMC Global Inc. 200 3
AIRLINES - 0.2%
AMR Corp. (a) 120 8
Southwest Airlines Co. 330 5
------------
13
APPAREL - 0.1%
Jones Apparel Group Inc. (a) 100 3
Nordstrom Inc. 170 4
------------
7
AUTO MANUFACTURERS - 1.1%
Ford Motor Co. 1,030 55
PACCAR Inc. 80 4
------------
59
AUTO PARTS & EQUIPMENT - 0.4%
Dana Corp. 200 6
Delphi Automotive Systems Corp. 600 9
Goodyear Tire & Rubber Co. 200 6
Lear Corp. (a) 60 2
------------
23
BANKS - 5.4%
AmSouth Bancorporation 300 6
Associated Banc-Corp. 50 2
Bank of America Corp. 1,500 75
Bank One Corp. 1,000 32
Comerica Inc. 100 5
Compass Bancshares Inc. 100 2
First Tennessee National Corp. 100 3
First Union Corp. 1,000 33
Firstar Corp. 800 17
FirstMerit Corp. 100 2
Fleet Boston Financial Corp. 612 21
Hibernia Corp. 120 1
Huntington Bancshares Inc. 200 5
KeyCorp 400 9
M&T Bank Corp. 10 4
Mercantile Bankshares Corp. 50 2
National City Corp. 500 12
North Fork Bancorporation Inc. 100 2
Paine Webber Group Inc. 100 4
Peoples Heritage Financial Group Inc. 70 1
PNC Bank Corp. 320 14
Regions Financial Corp. 200 5
Southtrust Corp. 150 6
Summit Bancorp 120 4
TCF Financial Corp. 60 1
<PAGE>
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
U.S. Bancorp 700 $ 17
Union Planters Corp. 100 4
------------
289
BEVERAGES - 0.6%
Coca-Cola Co. 400 23
PepsiCo Inc. 300 11
------------
34
BIOTECHNOLOGY - 1.1%
Genzyme Corp. General Division (a) 270 12
Monsanto Co. 1,000 36
PE Corp-PE Biosystems Group 100 12
------------
60
CHEMICALS - 1.3%
Air Products & Chemicals Inc. 500 17
Lyondell Chemical Co. 200 3
Rohm & Haas Co. 480 20
Solutia Inc. 200 3
Union Carbide Corp. 400 27
------------
70
COMMERCIAL SERVICES - 1.0%
Cendant Corp. (a) 1,750 46
Equifax Inc. 270 6
Service Corp. International 490 3
------------
55
COMPUTERS - 9.3%
3Com Corp. (a) 240 11
Cisco Systems Inc. (a) 2,100 225
Electronic Data Systems Corp. 320 21
EMC Corp. (a) 780 85
International Business Machines Corp. 260 28
Quantum Corp. - DLT & Storage
Systems (a) 120 2
Sun Microsystems Inc. (a) 1,540 119
Symbol Technologies Inc. 105 7
------------
498
COSMETICS & PERSONAL CARE - 2.8%
Gillette Co. 1,000 41
Procter & Gamble Co. 970 106
------------
147
DIVERSIFIED FINANCIAL SERVICES - 3.9%
Associated First Capital Corp. 630 17
Bear Stearns Cos. Inc. 105 4
CIT Group Inc. 200 4
Citigroup Inc. 400 22
Countrywide Credit Industries Inc. 100 3
Fannie Mae 700 44
Finova Group Inc. 50 2
Franklin Resources Inc. 200 6
Freddie Mac 700 33
Goldman Sachs Group Inc. 290 27
Household International Inc. 400 15
Merrill Lynch & Co. Inc. 310 26
TD Waterhouse Group Inc. (a) 300 5
------------
208
See notes to the financial statements.
58
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
ELECTRIC - 2.1%
Allegheny Energy Inc. 140 $ 4
Carolina Power & Light Co. 300 9
Central & South West Corp. 600 12
Cinergy Corp. 150 4
CMS Energy Corp. 110 3
Dominion Resources Inc. 300 12
DTE Energy Co. 100 3
Entergy Corp. 240 6
FPL Group Inc. 200 9
GPU Inc. 100 3
NiSource Inc. 120 2
Northern States Power Co. 370 7
PG&E Corp. 400 8
Pinnacle West Capital Corp. 90 3
PP&L Resources Inc. 170 4
Reliant Energy Inc. 280 6
Teco Energy Inc. 150 3
Texas Utilities Co. 300 11
Wisconsin Energy Corp. 130 2
------------
111
ELECTRICAL COMPONENTS & EQUIPMENT - 0.2%
Emerson Electric Co. 200 11
Hubbell Inc. - Class B 60 2
------------
13
ENTERTAINMENT - 0.1%
Mirage Resorts Inc. (a) 350 5
ENVIRONMENTAL CONTROL - 0.3%
Waste Management Inc. 1,000 17
FOOD - 2.3%
Albertson's Inc. 132 4
Bestfoods 100 5
General Mills Inc. 300 11
H.J. Heinz Co. 300 12
Hershey Foods Corp. 100 5
Kroger Co. (a) 900 17
Nabisco Holdings Corp. 20 1
Safeway Inc. (a) 540 19
Sara Lee Corp. 860 19
Unilever NV - NY Shares 500 27
------------
120
FOREST PRODUCTS & PAPER - 0.4%
Bowater Inc. 50 3
Fort James Corp. 270 7
International Paper Co. 220 12
------------
22
HAND & MACHINE TOOLS - 0.1%
W.W. Grainger Inc. 100 5
HEALTHCARE - 1.0%
Becton, Dickinson & Co. 200 5
Boston Scientific Corp. (a) 100 2
Columbia/HCA Healthcare Corp. 440 13
HEALTHSOUTH Corp. (a) 440 2
Humana Inc. (a) 170 1
<PAGE>
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
Medtronic Inc. 400 $ 15
Tenet Healthcare Corp. (a) 320 8
Wellpoint Health Networks Inc. (a) 70 5
------------
51
HOLDING COMPANIES-DIVERSIFIED - 0.8%
Seagram Co. Ltd. 930 42
HOME BUILDERS - 0.0%
USG Corp. 50 2
HOME FURNISHINGS - 0.1%
Herman Miller Inc. 100 2
Leggett & Platt Inc. 200 4
------------
6
HOUSEHOLD PRODUCTS - 0.2%
Clorox Co. 200 10
INSURANCE - 3.3%
Aetna Inc. 150 8
Allstate Corp. 1,400 34
AMBAC Financial Group Inc. 100 5
American International Group Inc. 200 22
AON Corp. 420 17
AXA Financial Inc. 220 7
Cigna Corp. 200 16
Hartford Financial Services Group 400 19
Inc.
MBIA Inc. 200 11
Mercury General Corp. 70 2
Safeco Corp. 200 5
St. Paul Cos. Inc. 400 13
Travelers Property Casualty Corp. 80 3
UnumProvident Corp. 400 13
------------
175
IRON & STEEL - 0.1%
Allegheny Technologies Inc. 140 3
LEISURE TIME - 0.3%
Hasbro Inc. 200 4
Mandalay Resort Group (a) 200 4
Mattel Inc. 500 7
------------
15
LODGING - 0.2%
Hilton Hotels Corp. 470 5
Starwood Hotels & Resorts Worldwide 320 7
Inc.
------------
12
MACHINERY - 0.6%
Caterpillar Inc. 100 5
Cooper Cameron Corp. (a) 40 2
Deere & Co. 350 15
Ingersoll-Rand Co. 200 11
------------
33
MANUFACTURING - 6.0%
Cooper Industries Inc. 100 4
Eastman Kodak Co. 500 33
Eaton Corp. 100 7
See notes to the financial statements.
59
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
General Electric Co. 1,400 $ 217
ITT Industries Inc. 110 4
Temple-Inland Inc. 50 3
Tyco International Ltd. 1,300 51
------------
319
MEDIA - 3.8%
AT&T - Liberty Media Group - Class A 1,000 57
Comcast Corp. 370 19
Gannett Co. Inc. 400 33
Knight Ridder Inc. 150 9
MediaOne Group Inc. (a) 950 73
New York Times Co. 120 6
Times Mirror Co. 120 8
------------
205
METALS & MINING - 0.9%
Alcoa Inc. 300 25
Freeport-McMoran Copper & Gold Inc.(a) 290 6
Reynolds Metals Co. 200 15
------------
46
OFFICE & BUSINESS EQUIPMENT - 0.5%
Lexmark International Group Inc. (a) 100 9
Xerox Corp. 740 17
------------
26
OIL & GAS PRODUCERS - 5.9%
Chevron Corp. 320 28
Columbia Energy Group 90 6
Conoco Inc. - Class A 130 3
Conoco Inc. - Class B 200 5
Ensco International Inc. 90 2
Exxon Mobil Corp. 2,202 177
Global Marine Inc. (a) 120 2
Phillips Petroleum Co. 170 8
R & B Falcon Corp. (a) 100 1
Royal Dutch Petroleum Co. - NY Shares 1,200 72
Smith International Inc. (a) 30 1
Tosco Corp. 100 3
Ultramar Diamond Shamrock Corp. 50 1
Union Pacific Resources Group Inc. 200 3
------------
312
PACKAGING & CONTAINERS - 0.1%
Smurfit-Stone Container Corp. (a) 270 7
PHARMACEUTICALS - 7.2%
Abbott Laboratories 610 22
American Home Products Corp. 1,470 58
Bristol-Myers Squibb Co. 1,600 103
Eli Lilly & Co. 910 60
Forest Laboratories Inc. (a) 400 25
Johnson & Johnson 100 9
Merck & Co. Inc. 400 27
Pfizer Inc. 500 16
Warner-Lambert Co. 730 60
Watson Pharmaceutical Inc. (a) 110 4
------------
384
<PAGE>
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
RETAIL - 6.1%
Abercrombie & Fitch Co. - Class A 140 $ 4
Dayton-Hudson Corp. 500 37
Federated Department Stores Inc. (a) 270 14
Gap Inc. 900 41
Genuine Parts Co. 200 5
Home Depot Inc. 750 51
J.C. Penny Co. 320 6
K Mart Corp. (a) 610 6
May Department Stores Co. 420 14
McDonald's Corp. 100 4
Sears, Roebuck & Co. 100 3
TJX Companies Inc. 400 8
Wal-Mart Stores Inc. 1,900 131
------------
324
SAVINGS & LOANS - 0.6%
Astoria Financial Corp. 50 1
Charter One Financial Inc. 200 4
Dime Bancorp Inc. 200 3
Golden West Financial Corp. 150 5
Greenpoint Financial Corp. 100 2
Sovereign Bancorp Inc. 120 1
Washington Mutual Inc. 600 16
------------
32
SEMICONDUCTORS - 6.6%
Applied Materials Inc. (a) 270 34
Intel Corp. 2,200 181
Motorola Inc. 420 62
National Semiconductor Corp. (a) 120 5
Texas Instruments Inc. 720 70
------------
352
SOFTWARE - 9.9%
Adobe Systems Inc. 100 7
America Online Inc. (a) 1,400 106
Automatic Data Processing Inc. 420 23
BMC Software Inc. (a) 200 16
First Data Corp. 300 15
Microsoft Corp. (a) 2,870 335
Novell Inc. (a) 200 8
Oracle Corp. (a) 100 11
Seagate Technology Inc. (a) 170 8
------------
529
TELECOMMUNICATIONS - 10.0%
AT&T Corp. 600 30
Bell Atlantic Corp. 500 31
Exodus Communications Inc. (a) 80 7
Global Crossing Ltd. (a) 500 25
GTE Corp. 700 49
Level 3 Communications Inc. (a) 250 20
Lucent Technologies Inc. 2,020 151
MCI WorldCom Inc. (a) 2,085 111
SBC Communications Inc. 2,271 111
------------
535
TOBACCO - 1.1%
Philip Morris Cos. Inc. 2,400 56
See notes to the financial statements.
<PAGE>
JNL/J.P. MORGAN ENHANCED S&P 500 INDEX SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
TRANSPORTATION - 0.5%
Burlington Northern Santa Fe Corp. 320 $ 8
CNF Transportation Inc. 30 1
CSX Corp. 150 5
Norfolk Southern Corp. 240 5
Union Pacific Corp. 170 7
------------
26
------------
Total Common Stocks
(cost $5,051) 5,327
------------
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ---------------------------------------------------------------
SHORT TERM INVESTMENT - 0.2%
MONEY MARKET FUND - 0.2%
Dreyfus Cash Management Plus, 10,642 $ 11
------------
Total Short Term Investment
(cost $11) 11
------------
TOTAL INVESTMENTS - 100%
(cost $5,062) $ 5,338
============
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $5,064 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $830, the gross
unrealized depreciation was $556 and the net unrealized appreciation on
investments was $274.
See notes to the financial statements.
61
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
PACIFIC INVESTMENT MANAGEMENT COMPANY
WILLIAM H. GROSS
[PACIFIC INVESTMENT MANAGEMENT COMPANY LOGO]
OBJECTIVE:
JNL/PIMCO Total Return Bond Series seeks as its investment objective to realize
maximum total return, consistent with preservation of capital and prudent
investment management through investment in a diversified portfolio of fixed
income securities of varying maturities. The average portfolio duration will
normally vary within a three- to six-year time frame based on the sub-adviser's
forecast for interest rates.
MONEY MANAGER COMMENTARY:
Interest rates moved higher in the fourth quarter, capping the worst year in the
bond market since 1994, as investors anticipated that more Federal Reserve
tightening would be needed to prevent the economy from overheating. U.S.
interest rates rose as much as 180 basis points for some maturities. This
increase came as robust economic expansion in the U.S. and accelerating growth
in Europe and Asia boosted demand for capital worldwide and caused inflation to
rise from lows reached in the previous year.
The Federal Reserve raised the federal funds rate by 25 basis points to 5.5% on
November 16, the third such increase this year. The central bank has now taken
back all three of its rate cuts from last year, when market participants were
preoccupied with the threat of global deflation and reduced liquidity in
financial markets. The Fed left rates unchanged in December because of market
uncertainties surrounding Y2K. Still, investors remained concerned that the
combination of rapid growth and a dwindling pool of workers would increase wage
pressures and force the Fed to tighten further in 2000.
An upward revision of third quarter growth to 5.7%, the fastest pace in almost a
year, as well as surging consumer confidence heading into the holiday season did
nothing to ease those concerns. Even so, there were signs that higher interest
rates had begun to moderate the expansion. Investment in new housing fell and
mortgage refinancings continued to decline as mortgage rates hovered near 8%.
Moreover, actual inflation remained relatively subdued, held in check by
productivity gains and intense price competition in industries such as autos and
apparel.
For the year, the Series returned -0.26% and slightly outperformed the Lehman
Brothers Aggregate Bond Index. Our cautious stance on interest rates helped
limit the negative absolute impact of rising interest rates while boosting
returns relative to the Index. The Series' concentration in intermediate
maturities was a negative during the year as intermediate yields rose most.
Overweighting the mortgage sector added significantly to performance as yield
premiums narrowed in the face of declining market volatility. Our defensive
posture on investment grade corporate bonds hindered returns as
better-than-expected corporate profits mitigated concern about rising default
rates. The Series' limited allocation to non-investment grade credits helped to
boost performance as this sector benefited from the strong economy and slower
new issuance. A small allocation to emerging market credits performed well, as
more balanced worldwide economic growth and higher commodity prices improved
prospects for exports in many countries.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/PIMCO TOTAL RETURN BOND SERIES AND THE
LEHMAN BROTHERS AGGREGATE BOND INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/PIMCO TOTAL RETURN BOND LEHMAN BROTHERS AGGREGATE BOND
SERIES INDEX
--------------------------- ------------------------------
<S> <C> <C>
3/02/1998 10000 10000
3/31 9940 9918
6/30 10330 10148
9/30 10650 10577
12/31/1998 10569 10613
3/31 10601 10560
6/30 10434 10468
9/30 10538 10539
12/31/1999 10542 10526
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year................ - 0.26%
Since inception*...... 2.92%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
62
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $11,942) $ 11,642
Receivables:
Interest 118
Forward currency contracts 316
Fund shares sold 1
---------------
TOTAL ASSETS 12,077
---------------
LIABILITIES
Payables:
Advisory fees 6
Forward currency contracts 312
Investment securities purchased 2,295
Options written, at value
(premiums received $10) 13
---------------
TOTAL LIABILITIES 2,626
---------------
NET ASSETS $ 9,451
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 9,916
Accumulated net investment loss (5)
Accumulated net realized loss on
investments (155)
Net unrealized appreciation (depreciation) on:
Investments (300)
Foreign currency related items 4
Futures contracts (6)
Options written (3)
---------------
$ 9,451
===============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 981
===============
NET ASSET VALUE PER SHARE $ 9.64
===============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Interest $ 530
---------------
EXPENSES
Advisory fees 60
Administrative fees 8
---------------
TOTAL EXPENSES 68
---------------
NET INVESTMENT INCOME 462
---------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments (63)
Foreign currency related items (3)
Futures contracts (93)
Options written 2
Net change in unrealized appreciation
(depreciation) on:
Investments (324)
Foreign currency related items 4
Futures contracts 6
Options written (3)
---------------
NET REALIZED AND UNREALIZED LOSSES (474)
---------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS $ (12)
===============
See notes to the financial statements.
63
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 462 $ 181
Net realized gain (loss) on:
Investments ................................................................ (63) 36
Foreign currency related items ............................................. (3) --
Futures contracts .......................................................... (93) 18
Options written ............................................................ 2 --
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ (324) 24
Foreign currency related items ............................................. 4 --
Futures contracts .......................................................... 6 (12)
Options written ............................................................ (3) --
--------------- ---------------
NET INCREASE (DECREASE) NET ASSETS FROM OPERATIONS ............................. (12) 247
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (463) (183)
From net realized gains on investment transactions ........................... -- (55)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (463) (238)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 6,970 7,324
Reinvestment of distributions ................................................ 463 238
Cost of shares redeemed ...................................................... (3,640) (1,438)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 3,793 6,124
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 3,318 6,133
NET ASSETS BEGINNING OF PERIOD ................................................. 6,133 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 9,451 $ 6,133
=============== ===============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) ....................... $ (5) $ --
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 690 716
Reinvestment of distributions ............................................. 48 23
Shares redeemed ........................................................... (360) (136)
-------------- --------------
Net increase .............................................................. 378 603
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 13,209 $ 10,147
Proceeds from sales of securities ......................................... 6,908 6,287
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
64
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.16 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.49 0.31
Net realized and unrealized gains (losses) on investments, futures contracts,
options written and foreign currency related items ......................... (0.52) 0.26
--------------- ---------------
Total income (loss) from operations .......................................... (0.03) 0.57
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.49) (0.31)
From net realized gains on investment transactions ........................... -- (0.10)
--------------- ---------------
Total distributions .......................................................... (0.49) (0.41)
--------------- ---------------
Net increase (decrease) ...................................................... (0.52) 0.16
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 9.64 $ 10.16
=============== ===============
TOTAL RETURN (A) (0.26)% 5.70 %
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 9,451 $ 6,133
Ratio of expenses to average net assets (b) .................................. 0.80 % 0.85 %
Ratio of net investment income to average net assets (b) ..................... 5.41 % 4.95 %
Portfolio turnover ........................................................... 91.12 % 269.16 %
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................. n/a 1.57 %
Ratio of net investment income to average net assets (b) ..................... n/a 4.23 %
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
65
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
CORPORATE BONDS - 62.8%
AEROSPACE & DEFENSE - 2.6%
Lockheed Martin Corp.,
6.85%, 05/15/2001 (e) $ 300,000 $ 297
AUTO MANUFACTURERS - 10.3%
DiamlerChrysler North American
Holdings Inc., 6.90%,
09/01/2004 (e) 500,000 495
Ford Credit Auto Owner Trust,
5.73%, 11/15/2000 12,892 13
Ford Motor Credit Co.,
6.70%, 07/16/2004 (e) 500,000 490
General Motors Acceptance Corp.,
6.34%, 04/29/2002 200,000 200
-----------
1,198
BANKS - 7.6%
Bank of America Corp.,
6.20%, 08/15/2003 200,000 194
Bank One Corp., 8.25%, 06/15/2002 200,000 205
Banque Cent de Tunisie,
7.50%, 08/06/2009 (c) 300,000 294
PNC Bank NA, 6.525%, 08/15/2002 200,000 199
-----------
892
CHEMICALS - 1.8%
Dow Chemical Co., 8.04%,
07/02/2005 200,000 205
COMMERCIAL SERVICES - 2.1%
Cox Enterprises Inc.,
6.625%, 06/14/2002 (c) (e) 250,000 246
DIVERSIFIED FINANCIAL SERVICES -
19.0%
Caterpillar Financial Services
Corp., 6.875%, 08/01/2004 (e 400,000 393
Goldman Sachs Group LP,
7.80%, 07/15/2002 (c) 115,000 117
Green Tree Financial Corp.,
7.86%, 04/01/2031 (e) 300,000 295
Lehman Brothers Holdings Plc,
6.42%, 09/03/2002 200,000 198
Merrill Lynch & Co. Inc.,
6.63%, 01/11/2002 (e) 250,000 252
Morgan Stanley Capital I,
6.59%, 10/03/2030 280,889 272
Parker Hannifin Employee Stock
Ownership Trust, 6.34%,
07/15/2008 (c) 235,034 219
Residential Funding Mortgage
Securities I, 6.75%,
06/25/2028 (e) 300,000 267
Sears Roebuck Acceptance Corp.,
7.03%, 06/04/2003 200,000 196
-----------
2,209
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
ELECTRIC - 1.1%
Niagara Mohawk Power Corp.,
9.50%, 06/01/2000 $ 125,000 $ 126
INSURANCE - 3.4%
Allstate Corp., 6.75%, 06/15/2003 200,000 197
SAFECO Corp., 7.02%, 09/18/2002 200,000 199
-----------
396
MANUFACTURING - 2.5%
GE Capital Mortgage Services
Inc., 6.00%, 07/25/2029 (e) 300,000 292
OIL & GAS PRODUCERS - 2.1%
Nabors Industries Inc., 6.80%,
04/15/2004 (e) 250,000 241
SAVINGS & LOANS - 7.0%
Advanta Mortgage Loan Trust
6.81%, 05/25/2014 267,315 266
6.88%, 08/25/2029 285,830 287
Countrywide Home Loans Inc.,
6.25%, 08/25/2014 293,966 268
-----------
821
TELECOMMUNICATIONS - 2.5%
US West Communications Inc.,
5.65%, 11/01/2004 (e) 315,000 291
TOBACCO - 0.8%
Philip Morris Cos. Inc.,
6.15%, 03/15/2000 100,000 99
-----------
Total Corporate Bonds
(cost $7,497) 7,313
-----------
GOVERNMENT SECURITIES - 34.7%
SOVEREIGN - 2.4%
United Mexican States,
6.9025%, 12/31/2019 (e) 300,000 280
U.S. GOVERNMENT AGENCIES - 30.0%
FHA - St. Regis Nursing Home
7.50%, 03/01/2032 (e) 80,742 79
7.50%, 03/01/2032 (d) 119,258 116
Federal Home Loan Mortgage Corp.,
7.00%, 05/15/2023 (e) 1,266,619 1,179
Government National Mortgage
Association
6.375%, 02/20/2027 183,760 186
7.00%, TBA (d) 2,000,000 1,930
-----------
3,490
See notes to the financial statements.
66
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
U.S. TREASURY SECURITIES - 2.3%
U.S. Treasury Inflation Index
Note, 3.625%, 07/15/2002 (d) $ 210,156 $ 208
U.S. Treasury Note,
5.50%, 02/29/2000 (b) 60,000 60
-----------
268
-----------
Total Government Securities
(cost $4,154) 4,038
-----------
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 2.5%
MONEY MARKET FUND - 2.3%
Dreyfus Cash Management Plus,
5.53% (a) 273,285 $ 273
U.S. TREASURY SECURITIES - 0.2%
U.S. Treasury Bill
4.68%, 02/10/2000 (b) $ 10,000 9
4.82%, 02/17/2000 (b) 10,000 9
-----------
18
-----------
Total Short Term Investments
(cost $291) 291
-----------
TOTAL INVESTMENTS - 100%
(cost $11,942)
$ 11,642
===========
- --------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1999.
(b) Security has been pledged to cover margin requirements for open futures
contracts.
(c) 144a security. Certain conditions for public sale may exist.
(d) Investment purchased on a when-issued or delayed-delivery basis.
(e) Security pledged as collateral for investment purchased on a when-issued
basis.
Based on the cost of investments of $11,942 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $34, the gross
unrealized depreciation was $334 and the net unrealized depreciation on
investments was $300.
FORWARD CURRENCY CONTRACT, OPEN AT DECEMBER 31, 1999 (IN 000'S):
CURRENCY SOLD AND CURRENCY CURRENCY UNREALIZED
SETTLEMENT DATE UNITS SOLD VALUE IN GAIN
$U.S.
------------------- ------------- ------------- -------------
Euro 3/14/2000 (311) $ (312) $ 4
See notes to the financial statements.
68
<PAGE>
JNL/PIMCO TOTAL RETURN BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SCHEDULE OF OPTIONS WRITTEN
DECEMBER 31, 1999
CONTRACTS MARKET
($100,000 VALUE
PER CONTRACT) (000'S)
-------------
7 Eurodollar Future Put Option
Expiration December 2000, Exercise price $93.50 $ (10)
5 U.S. Treasury Bond Future Call Option
Expiration February 2000, Exercise price $98 (1)
5 U.S. Treasury Bond Future Put Option
Expiration February 2000, Exercise price $88 (2)
-------------
$ (13)
=============
SCHEDULE OF FUTURES CONTRACTS
DECEMBER 31, 1999
CONTRACTS UNREALIZED
DEPRECIATION
(000'S)
($100,000
PER CONTRACT)
-------------
4 Eurodollar Futures
Expiration September 2000 $ (5)
1 Eurodollar Futures
Expiration December 2000 (1)
-------------
$ (6)
=============
SUMMARY OF WRITTEN OPTIONS FOR THE YEAR ENDED DECEMBER 31, 1999:
NUMBER OF PREMIUM
CONTRACTS (000'S)
--------------- ---------------
Options outstanding at December 31, 1998 -- $ --
Options written during the period 33 17
Options exercised during the period (1) (1)
Options expired during the period (15) (6)
--------------- ---------------
Options outstanding at December 31, 1999 17 $ 10
=============== ===============
See notes to the financial statements.
68
<PAGE>
JNL/PUTNAM GROWTH SERIES
PUTNAM INVESTMENT MANAGEMENT, INC.
[PUTNAM INVESTMENTS LOGO] C. BETH COTNER
OBJECTIVE:
JNL/Putnam Growth Series seeks as its investment objective long-term growth of
capital by investing primarily in the common stocks of domestic,
large-capitalization companies believed to have the opportunity for capital
growth.
MONEY MANAGER COMMENTARY:
For the year, the Series returned 29.41%, outperforming the S&P 500 Index, which
returned 21.04%. Large-capitalization growth stocks continued to lead the
markets during this period. Strong stock selection was responsible for the
Series' outperformance. The Series' best-performing stocks were in the
technology, consumer staples, and communications services sectors. Technology,
the clear market leader for 1999, was the prime contributor to the Series'
outperformance.
1999 was marked by rapid, widespread market rotation. In the first three months,
large-cap growth stocks set records. They continued to lead the markets during
this period and growth outperformed value. Following second-quarter broadening
and significant sector rotation, third-quarter markets again narrowed with
large-cap growth stocks in the lead. In the final quarter, equity markets hit
new heights but continued to narrow, with a select number of large-cap growth
stocks continuing their reign. Technology stocks clearly led the market's surge.
Overall, performance was hampered by weak stock performance in healthcare and
financial services and from the strong performance of the energy, basic
industry, and capital goods sectors, areas in which the Series was underweight.
These sectors are composed of economically sensitive, cyclical stocks, but lack
the type of growth stocks that meet our large-cap growth investment criteria.
Looking ahead, we believe that, though U.S. economic growth may slow in 2000, it
will remain relatively robust. Markets already are watching nervously for signs
of inflation, which will be a major influence on stock prices. Rising inflation
could also result in soaring healthcare premiums, increasing commodity prices,
rising foreign demand, and the ongoing enlargement of the U.S. trade deficit. We
also expect to see further Fed rate hikes if strong economic growth translates
into inflation.
We believe that high-quality growth companies will continue to benefit from
persistent demand and visible earnings growth, particularly within the
technology, consumer staples, and conglomerate sectors.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/PUTNAM GROWTH SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/PUTNAM GROWTH SERIES S&P 500 INDEX
------------------------ -------------
<S> <C> <C>
5/15/1995 10000 10000
6/30 10540 10356
9/30 12080 11179
12/31/1995 12734 11851
3/31 13769 12487
6/30 15356 13046
9/30 15521 13448
12/31/1996 16148 14568
3/31 15887 14958
6/30 17614 17567
9/30 19057 18882
12/31/1997 19682 19424
3/31 22891 22134
6/30 24142 22863
9/30 21246 20593
12/31/1998 26556 24975
3/31 27960 26220
6/30 29051 28068
9/30 27589 26315
12/31/1999 34365 30231
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 29.41%
Since inception*........ 30.51%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995. Prior to May 1, 1997, the JNL/Putnam Growth
Series was the JNL/Phoenix Investment Counsel Growth Series and was
sub-advised by Phoenix Investment Counsel, Inc.
69
<PAGE>
JNL/PUTNAM GROWTH SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $340,811) $ 456,069
Cash 254
Receivables:
Dividends and interest 168
Fund shares sold 332
Investment securities sold 1,688
--------------
TOTAL ASSETS 458,511
--------------
LIABILITIES
Payables:
Advisory fees 308
Administrative fees 36
Fund shares redeemed 43
Investment securities purchased 3,731
--------------
TOTAL LIABILITIES 4,118
--------------
NET ASSETS $ 454,393
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 329,729
Accumulated net investment loss (1)
Accumulated net realized gain on
investments 9,407
Net unrealized appreciation on investments 115,258
==============
$ 454,393
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 15,974
==============
NET ASSET VALUE PER SHARE $ 28.45
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 1,653
Interest 531
Securities lending income 20
Foreign taxes withheld (2)
--------------
TOTAL INVESTMENT INCOME 2,202
--------------
EXPENSES
Advisory fees 2,533
Administrative fees 291
--------------
TOTAL EXPENSES 2,824
--------------
NET INVESTMENT LOSS (622)
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 27,454
Net change in unrealized appreciation
on investments 65,202
--------------
NET REALIZED AND UNREALIZED GAINS 92,656
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 92,034
==============
See notes to the financial statements.
70
<PAGE>
JNL/PUTNAM GROWTH SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment loss $ (622) $ (86)
Net realized gain on investments 27,454 228
Net change in unrealized appreciation on investments 65,202 39,483
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS 92,034 39,625
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income -- (85)
From net realized gains on investment transactions (17,617) (263)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (17,617) (348)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 241,774 87,353
Reinvestment of distributions ................................................ 17,617 348
Cost of shares redeemed ...................................................... (61,512) (28,493)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 197,879 59,208
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 272,296 98,485
NET ASSETS BEGINNING OF PERIOD ................................................. 182,097 83,612
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 454,393 $ 182,097
=============== ===============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) ....................... $ (1) $ --
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 9,871 4,483
Reinvestment of distributions ............................................. 624 15
Shares redeemed ........................................................... (2,481) (1,461)
-------------- --------------
Net increase .............................................................. 8,014 3,037
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 389,306 $ 139,626
Proceeds from sales of securities ......................................... 211,000 86,669
</TABLE>
See notes to the financial statements.
71
<PAGE>
JNL/PUTNAM GROWTH SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- --------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ..................... $ 22.88 $ 16.99 $ 14.21 $ 12.50 $ 10.00
--------- ----------- ----------- -------- --------
Income from operations:
Net investment income (loss) ............................. (0.04) (0.01) 0.04 0.04 0.01
Net realized and unrealized gains on investments ......... 6.76 5.94 3.07 2.12 3.66
--------- ----------- ----------- -------- --------
Total income from operations ............................. 6.72 5.93 3.11 2.16 3.67
--------- ----------- ----------- -------- --------
Less distributions:
From net investment income ............................... -- (0.01) (0.02) (0.05) --
From net realized gains on investment transactions ....... (1.15) (0.03) (0.31) (0.40) (1.17)
--------- ----------- ----------- -------- --------
Total distributions ...................................... (1.15) (0.04) (0.33) (0.45) (1.17)
--------- ----------- ----------- -------- --------
Net increase ............................................. 5.57 5.89 2.78 1.71 2.50
--------- ----------- ----------- -------- --------
Net asset value, end of period ........................... $ 28.45 $ 22.88 $ 16.99 $ 14.21 $ 12.50
========= =========== =========== ======== ========
Total Return (a) ......................................... 29.41 % 34.93 % 21.88 % 17.28 % 37.69 %
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ................. $ 454,393 $ 182,097 $ 83,612 $ 22,804 $ 2,518
Ratio of expenses to average net assets (b) (c) .......... 0.97 % 1.01 % 1.13 % 1.04 % 0.95 %
Ratio of net investment income (loss) to average net
assets (b) (0.21)% (0.07)% 0.31 % 0.94 % 0.28 %
Portfolio turnover ....................................... 74.67 % 70.55 % 194.81 % 184.33 % 255.03 %
Ratio information assuming no expense reimbursement
or fees paid indirectly:
Ratio of expenses to average net assets (b) .............. n/a 1.01 % 1.13 % 1.27 % 5.38 %
Ratio of net investment income (loss) to average net
assets (b) ............................................... n/a (0.07)% 0.31 % 0.71 % (4.15)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
(c) For the year ended December 31, 1997, the ratio of expenses to average net
assets excluding non-operating expenses was 1.05%.
See notes to the financial statements.
72
<PAGE>
JNL/PUTNAM GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- -------------------------------------------------------------
COMMON STOCKS - 97.5%
ADVERTISING - 1.7%
Interpublic Group of Cos. Inc. 100,000 $ 5,769
Omnicom Group Inc. 22,000 2,200
-----------
7,969
AEROSPACE & DEFENSE - 0.9%
United Technologies Corp. 61,000 3,965
BANKS - 3.1%
Comerica Inc. 11,100 518
Fifth Third Bancorp 56,400 4,138
Firstar Corp. 191,900 4,054
Northern Trust Corp. 21,800 1,155
Wells Fargo Co. 66,100 2,673
Zions Bancorporation 25,600 1,515
-----------
14,053
BEVERAGES - 0.4%
Anheuser-Busch Cos. Inc. 29,200 2,070
BIOTECHNOLOGY - 1.9%
Amgen Inc. (a) 79,300 4,763
Biogen Inc. (a) 23,600 1,994
Genentech Inc. (a) 13,000 1,749
-----------
8,506
CHEMICALS - 0.7%
Praxair Inc. 60,600 3,019
COMPUTERS - 8.2%
Apple Computer Inc. (a) 39,100 4,020
Cisco Systems Inc. (a) 107,000 11,462
Comverse Technology Inc. (a) 15,200 2,200
Dell Computer Corp. (a) 91,400 4,661
Electronic Data Systems Corp. 32,700 2,189
EMC Corp. (a) 50,500 5,517
Sun Microsystems Inc. (a) 93,400 7,233
-----------
37,282
COSMETICS & PERSONAL CARE - 2.4%
Colgate-Palmolive Co. 67,500 4,388
Estee Lauder Cos. Inc. 76,200 3,843
Kimberly-Clark Corp. 45,400 2,962
-----------
11,193
DIVERSIFIED FINANCIAL SERVICES - 4.7%
American Express Co. 34,600 5,752
Capital One Financial Corp. 45,200 2,178
Citigroup Inc. 177,100 9,840
Providian Financial Corp. 38,800 3,533
-----------
21,303
ELECTRONICS - 1.2%
Solectron Corp. (a) 57,700 5,489
FOOD - 0.4%
Sysco Corp. 50,100 1,982
<PAGE>
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- -------------------------------------------------------------
FOREST PRODUCTS & PAPER - 0.4%
Weyerhaeuser Co. 28,200 $ 2,025
HEALTHCARE - 0.7%
Allergan Inc. 31,800 1,582
Bausch & Lomb Inc. 23,000 1,574
-----------
3,156
HOLDING COMPANIES - DIVERSIFIED -
0.4%
First Security Corp. 73,600 1,879
INSURANCE - 2.8%
American General Corp. 42,800 3,247
American International Group Inc. 76,900 8,314
Lincoln National Corp. 26,000 1,040
-----------
12,601
LEISURE TIME - 0.3%
Carnival Corp. 26,000 1,401
MACHINERY - 0.2%
Rockwell International Corp. 20,200 967
MANUFACTURING - 6.9%
Corning Inc. 19,400 2,501
General Electric Co. 120,800 18,694
Tyco International Ltd. 259,200 10,076
-----------
31,271
MEDIA - 8.6%
AT&T - Liberty Media Group - Class
A (a) 180,900 10,266
CBS Corp. (a) 77,500 4,955
Clear Channel Communications Inc.(a) 69,900 6,239
Comcast Corp. 76,200 3,853
Time Warner Inc. 80,000 5,795
Viacom Inc. - Class B (a) 133,100 8,044
-----------
39,152
OFFICE & BUSINESS EQUIPMENT - 0.4%
Lexmark International Group Inc. (a) 18,200 1,647
OIL & GAS PRODUCERS - 4.7%
Burlington Resources Inc. 46,000 1,521
Conoco Inc. - Class A 148,100 3,665
Enron Corp. 131,000 5,813
Exxon Mobil Corp. 80,100 6,453
Royal Dutch Petroleum Co. - NY
Shares 67,000 4,049
-----------
21,501
PACKAGING & CONTAINERS - 0.5%
Avery Dennison Corp. 10,900 794
Sealed Air Corp. (a) 28,500 1,477
-----------
2,271
PHARMACEUTICALS - 5.9%
Bristol-Myers Squibb Co. 68,100 4,371
Immunex Corp. (a) 18,900 2,069
Johnson & Johnson 70,900 6,603
Schering-Plough Corp. 161,300 6,805
Warner-Lambert Co. 85,500 7,006
-----------
26,854
See notes to the financial statements.
73
<PAGE>
JNL/PUTNAM GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- -------------------------------------------------------------
RETAIL - 9.1%
Amazon.com Inc. (a) 18,700 $ 1,424
Costco Wholesale Corp. 9,200 840
CVS Corp. 61,700 2,464
Dayton Hudson Corp. 62,000 4,553
Home Depot Inc. 187,050 12,825
Tandy Corp. 82,600 4,063
TJX Cos. Inc. 177,900 3,636
Wal-Mart Stores Inc. 169,500 11,717
-----------
41,522
SEMICONDUCTORS - 6.3%
Applied Materials Inc. (a) 36,300 4,599
Intel Corp. 70,400 5,795
Motorola Inc. 81,400 11,986
Texas Instruments Inc. 35,200 3,410
Xilinx Inc. (a) 63,400 2,883
-----------
28,673
SOFTWARE - 11.1%
America Online Inc. (a) 121,300 9,151
BMC Software Inc. (a) 56,700 4,532
Microsoft Corp. (a) 194,000 22,650
Oracle Corp. (a) 59,900 6,713
Veritas Software Corp. (a) 16,950 2,426
Yahoo Inc. (a) 11,951 5,171
-----------
50,643
TELECOMMUNICATIONS - 13.6%
Alltel Corp. 54,300 4,490
JDS Uniphase Corp. (a) 29,400 4,743
Lucent Technologies Inc. 116,700 8,731
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- -------------------------------------------------------------
MCI WorldCom Inc. (a) 43,200 $ 2,292
Nextel Communications Inc. (a) 42,900 4,424
Nokia Oyj - ADR 40,700 7,733
Omnipoint Corp. (a) 14,600 1,761
QUALCOMM Inc. (a) 41,800 7,367
SBC Communications Inc. 86,700 4,227
Sprint Corp. (FON Group) 147,700 9,942
Sprint Corp. (PCS Group) (a) 35,300 3,618
Tellabs Inc. (a) 14,200 911
Voicestream Wireless Corp. (a) 13,200 1,879
-----------
62,118
-----------
Total Common Stocks
(cost $329,254) 444,512
-----------
SHORT TERM INVESTMENTS - 2.5%
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
5.53% (b) 851 1
REPURCHASE AGREEMENT - 2.5%
Repurchase agreement with J.P. Morgan
& Co.,
2.50% (Collateralized by $9,449,000
U.S. Treasury Bond, 8.875%, due
02/15/2019, market value
$11,866,172), acquired on
12/31/1999, due 01/03/2000 $11,556,000 11,556
-----------
Total Short Term Investments
(cost $11,557) 11,557
-----------
TOTAL INVESTMENTS - 100%
(cost $340,811) $ 456,069
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $341,029 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $124,802, the gross
unrealized depreciation was $9,762 and the net unrealized appreciation on
investments was $115,040.
See notes to the financial statements.
74
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
PUTNAM INVESTMENT MANAGEMENT, INC.
[PUTNAM INVESTMENTS LOGO] ANTHONY I. KREISEL
OBJECTIVE:
JNL/Putnam Value Equity Series seeks as its investment objective capital growth,
with income as a secondary objective by investing primarily in common stocks
which the sub-adviser believes to be undervalued relative to underlying asset
value or earnings potential at the time of purchase.
MONEY MANAGER COMMENTARY:
For the year, the Series returned -1.04%, underperforming the S&P 500 Index,
which returned 21.04%. 1999 was marked by extreme style divergence between
growth-oriented and value-oriented securities. For the full year, large-cap
growth stocks led large-cap value stocks by a wide margin, although value stocks
strongly led growth in the second quarter. The year began with many market
participants expecting a return to normalcy after the strong showing of growth
stocks in 1998 and several years of historically high returns in the market
generally. However, what followed over the next four quarters was far from a
normal environment. In the first three months, growth stocks continued their
rout over value issues. This reversed in the second quarter to favor value, only
to revert to a growth-driven environment for the balance of the year.
As growth equities, which dominate the S&P 500, have been in favor over the past
four years, it has been very difficult for value managers, such as ourselves, to
generate positive market-relative performance. In keeping with our value
orientation, the Series was more conservatively postured, relative to the
benchmark, based on traditional valuation measures. Given this period of extreme
style divergence, this positioning proved detrimental to the Series' relative
performance. For example, the seven stocks most responsible for our under
performance relative to the S&P 500 Index were issues not held in the Series
because of their strong growth orientation.
We believe that though U.S. economic growth may slow in 2000, it will remain
relatively robust. The Fed has brought the fed funds rate back to 5.50%, in
effect removing the stimulus of the three rate cuts of late 1998. The
possibility of further Fed action in the new year to moderate economic growth
and market speculation is seen as very likely at this point.
We continue to believe, especially given today's extended valuations, that a
value-oriented approach will provide investors with the most attractive
combination of risk and return in the domestic equity markets over the coming
years.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/PUTNAM VALUE EQUITY SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/PUTNAM VALUE EQUITY SERIES S&P 500 INDEX
------------------------------ -------------
<S> <C> <C>
5/15/1995 10000 10000
6/30 10340 10356
9/30 11380 11179
12/31/1995 12262 11851
3/31 13114 12487
6/30 13617 13046
9/30 13905 13448
12/31/1996 15244 14568
3/31 15581 14958
6/30 17358 17567
9/30 18619 18882
12/31/1997 18571 19424
3/31 20602 22134
6/30 20127 22863
9/30 17908 20593
12/31/1998 20888 24975
3/31 21656 26220
6/30 23144 28068
9/30 20430 26315
12/31/1999 20671 30231
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. -1.04%
Since inception*........ 16.96%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995. Prior to May 1, 1997, the JNL/Putnam Value Equity
Series was PPM America/JNL Value Equity Series and was sub-advised by PPM
America, Inc.
75
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $332,622) $ 319,256
Receivables:
Dividends and interest 508
Foreign taxes recoverable 4
Fund shares sold 137
--------------
TOTAL ASSETS 319,905
--------------
LIABILITIES
Payables:
Advisory fees 234
Administrative fees 27
Fund shares redeemed 133
Investment securities purchased 57
--------------
TOTAL LIABILITIES 451
--------------
NET ASSETS $ 319,454
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 336,067
Undistributed net investment income --
Accumulated net realized loss on
investments (3,247)
Net unrealized depreciation on investments (13,366)
==============
$ 319,454
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 19,041
==============
NET ASSET VALUE PER SHARE $ 16.78
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 5,216
Interest 648
Securities lending income 13
Foreign taxes withheld (16)
--------------
TOTAL INVESTMENT INCOME 5,861
--------------
EXPENSES
Advisory fees 2,370
Administrative fees 270
--------------
TOTAL EXPENSES 2,640
--------------
NET INVESTMENT INCOME 3,221
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments 13,355
Net change in unrealized depreciation
on investments (27,252)
--------------
NET REALIZED AND UNREALIZED LOSSES (13,897)
--------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS $ (10,676)
==============
See notes to the financial statements.
76
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 3,221 $ 1,667
Net realized gain on investments ............................................. 13,355 7,451
Net change in unrealized appreciation (depreciation) on investments .......... (27,252) 8,168
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... (10,676) 17,286
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (3,456) (1,675)
From net realized gains on investment transactions ........................... (18,948) (5,357)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (22,404) (7,032)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 188,014 99,834
Reinvestment of distributions ................................................ 22,404 7,032
Cost of shares redeemed ...................................................... (53,820) (29,749)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 156,598 77,117
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 123,518 87,371
NET ASSETS BEGINNING OF PERIOD ................................................. 195,936 108,565
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 319,454 $ 195,936
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ -- $ --
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 9,827 5,600
Reinvestment of distributions ............................................. 1,340 385
Shares redeemed ........................................................... (2,868) (1,697)
--------------- --------------
Net increase .............................................................. 8,299 4,288
=============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 315,325 $ 188,646
Proceeds from sales of securities ......................................... 185,067 116,612
</TABLE>
See notes to the financial statements.
77
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- --------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
Selected Per Share Data
Net asset value, beginning of period ................... $ 18.24 $ 16.82 $ 14.50 $ 12.77 $ 10.00
Income from operations:
Net investment income .................................. 0.19 0.16 0.13 0.10 0.23
Net realized and unrealized gains (losses)
on investments ....................................... (0.38) 1.94 3.03 1.97 2.86
Total income (loss) from operations .................... (0.19) 2.10 3.16 2.07 3.09
Less distributions:
From net investment income ............................. (0.20) (0.16) (0.13) (0.15) (0.17)
From net realized gains on investment transactions ..... (1.07) (0.52) (0.71) (0.19) (0.15)
Total distributions .................................... (1.27) (0.68) (0.84) (0.34) (0.32)
Net increase (decrease) ................................ (1.46) 1.42 2.32 1.73 2.77
Net asset value, end of period ......................... $ 16.78 $ 18.24 $ 16.82 $ 14.50 $ 12.77
Total Return (a) ....................................... (1.04)% 12.48 % 21.82% 16.25% 31.14%
Ratios and Supplemental Data:
Net assets, end of period (in thousands) ............... $ 319,454 $ 195,936 $ 108,565 $ 17,761 $ 3,365
Ratio of expenses to average net assets (b) ............ 0.98 % 1.01 % 1.03 % 0.85 % 0.87 %
Ratio of net investment income to average
net assets (b) ....................................... 1.19 % 1.06 % 1.43 % 2.29 % 2.33 %
Portfolio turnover ..................................... 72.23 % 77.80 % 112.54 % 13.71 % 30.12 %
Ratio information assuming no expense reimbursement
or fees paid indirectly:
Ratio of expenses to average net assets (b) ............ n/a 1.01 % 1.09 % 1.53 % 2.28 %
Ratio of net investment income to average
net assets (b) ....................................... n/a 1.06 % 1.37 % 1.61 % 0.91 %
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
78
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 95.8%
AEROSPACE & DEFENSE - 2.8%
Boeing Co. 97,900 $ 4,069
Honeywell International Inc. 21,490 1,240
Northrop Grumman Corp. 18,420 996
Raytheon Co. - Class A 38,255 949
United Technologies Corp. 27,095 1,761
-----------
9,015
AIRLINES - 1.5%
Delta Air Lines Inc. 31,715 1,580
Southwest Airlines Co. 207,060 3,352
-----------
4,932
AUTO MANUFACTURERS - 1.7%
Ford Motor Co. 44,065 2,355
General Motors Corp. 40,375 2,935
-----------
5,290
AUTO PARTS & EQUIPMENT - 1.1%
Lear Corp. (a) 38,650 1,237
TRW Inc. 43,520 2,260
-----------
3,497
BANKS - 7.7%
Bank of America Corp. 68,211 3,423
Bank One Corp. 97,058 3,112
Comerica Inc. 38,450 1,795
First Union Corp. 63,575 2,086
Fleet Financial Group Inc. 86,824 3,023
J.P. Morgan & Co. 20,735 2,626
National City Corp. 92,005 2,179
PNC Bank Corp. 59,326 2,640
U.S. Bancorp 46,410 1,105
Wells Fargo Co. 65,675 2,656
-----------
24,645
BEVERAGES - 1.4%
Pepsi Bottling Group Inc. 115,910 1,920
PepsiCo Inc. 76,455 2,695
-----------
4,615
BIOTECHNOLOGY - 0.9%
Monsanto Co. 83,590 2,978
CHEMICALS - 1.7%
Dow Chemical Co. 21,945 2,932
E.I. du Pont de Nemours & Co. 35,825 2,360
-----------
5,292
COMMERCIAL SERVICES - 0.5%
Service Corp. International 210,145 1,458
COMPUTERS - 6.0%
Compaq Computer Corp. 49,670 1,344
Electronic Data Systems Corp. 55,920 3,743
Hewlett-Packard Co. 52,280 5,957
International Business Machines
Corp. 50,075 5,408
NCR Corp. (a) 70,190 2,658
-----------
19,110
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COSMETICS & PERSONAL CARE - 1.1%
Kimberly-Clark Corp. 54,730 $ 3,571
DIVERSIFIED FINANCIAL SERVICES -
3.9%
Associates First Capital Corp. 64,060 1,758
Citigroup Inc. 83,400 4,634
Fannie Mae 41,050 2,563
Lehman Brothers Holdings Inc. 18,585 1,574
Merrill Lynch & Co. Inc. 23,805 1,988
-----------
12,517
ELECTRIC - 4.5%
Cinergy Corp. 70,185 1,693
Consolidated Edison Inc. 55,690 1,921
Dominion Resources Inc. 51,195 2,009
Duke Energy Corp. 48,405 2,426
Edison International 85,130 2,229
Entergy Corp. 89,015 2,292
Texas Utilities Co. 53,645 1,908
-----------
14,478
ELECTRICAL COMPONENTS & EQUIPMENT -
0.5%
Emerson Electric Co. 27,570 1,582
ELECTRONICS - 1.0%
Parker-Hannifin Corp. 59,480 3,052
ENVIRONMENTAL CONTROL - 0.7%
Waste Management Inc. 131,720 2,264
FOOD - 2.6%
General Mills Inc. 37,025 1,324
H.J. Heinz Co. 43,570 1,735
Kellogg Co. 64,110 1,975
Quaker Oats Co. 12,345 810
Sara Lee Corp. 108,880 2,402
-----------
8,246
FOREST PRODUCTS & PAPER - 2.4%
Boise Cascade Corp. 118,790 4,811
Weyerhaeuser Co. 37,420 2,687
-----------
7,498
HAND & MACHINE TOOLS - 0.5%
W.W. Grainger Inc. 35,620 1,703
HEALTHCARE - 2.6%
Bausch & Lomb Inc. 12,455 852
Baxter International Inc. 43,790 2,751
Mallinckrodt Inc. 64,670 2,057
Tenet Healthcare Corp. (a) 110,705 2,602
-----------
8,262
HOLDING COMPANIES - DIVERSIFIED -
0.6%
Seagram Co. Ltd. 43,435 1,952
HOME FURNISHINGS - 1.1%
Newell Rubbermaid Inc. 55,480 1,609
Whirlpool Corp. 31,000 2,017
-----------
3,626
See notes to the financial statements.
79
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
HOUSEHOLD PRODUCTS - 0.5%
Clorox Co. 32,945 $ 1,660
INSURANCE - 4.9%
ACE Ltd. 25,395 424
Aetna Inc. 8,880 496
Allstate Corp. 49,350 1,184
American General Corp. 32,755 2,485
AON Corp. 31,365 1,255
CIGNA Corp. 34,220 2,757
Jefferson-Pilot Corp. 24,405 1,666
Lincoln National Corp. 50,270 2,011
ReliaStar Financial Corp. 51,485 2,018
Travelers Property Casualty 37,990 1,301
Corp.
-----------
15,597
LEISURE TIME - 0.6%
Hasbro Inc. 94,997 1,811
MACHINERY - 1.2%
Deere & Co. 30,260 1,312
Rockwell International Corp. 49,265 2,359
-----------
3,671
MANUFACTURING - 4.0%
Cooper Industries Inc. 41,700 1,686
Eastman Kodak Co. 39,085 2,589
Eaton Corp. 24,545 1,783
Illinois Tool Works Inc. 32,990 2,229
Minnesota Mining & Manufacturing Co. 21,340 2,089
PPG Industries Inc. 22,550 1,410
Tyco International Ltd. 26,100 1,015
-----------
12,801
MEDIA - 2.2%
McGraw-Hill Cos. Inc. 29,350 1,809
Times Mirror Co. 40,780 2,732
Walt Disney Co. 89,040 2,604
-----------
7,145
METALS & MINING - 1.0%
Alcoa Inc. 37,295 3,095
OFFICE & BUSINESS EQUIPMENT - 0.4%
Xerox Corp. 59,615 1,353
OIL & GAS PRODUCERS - 9.7%
Atlantic Richfield Co. 28,120 2,432
Chevron Corp. 26,480 2,294
Conoco Inc. - Class A 53,850 1,333
El Paso Energy Corp. 52,745 2,047
Exxon Mobil Corp. 105,432 8,494
Halliburton Co. 35,535 1,430
Occidental Petroleum Corp. 106,805 2,310
Royal Dutch Petroleum Co. - NY
Shares 58,975 3,564
Schlumberger Ltd. 35,220 1,981
Texaco Inc. 19,230 1,044
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Tosco Corp. 64,640 $ 1,757
Transocean Sedco Forex Inc. 6,833 230
Williams Cos. Inc. 62,205 1,901
-----------
30,817
PACKAGING & CONTAINERS - 1.6%
Owens-Illinois Inc. (a) 112,165 2,811
Smurfit-Stone Container Corp. (a) 90,325 2,213
-----------
5,024
PHARMACEUTICALS - 5.6%
Abbott Laboratories 90,370 3,282
American Home Products Corp. 102,065 4,025
Bristol-Myers Squibb Co. 54,370 3,490
Merck & Co. Inc. 58,545 3,926
Pharmacia & Upjohn Inc. 72,950 3,283
-----------
18,006
RETAIL - 2.9%
Federated Department Stores Inc.(a) 91,095 4,606
K Mart Corp. (a) 150,745 1,517
Rite Aid Corp. 133,745 1,496
Saks Inc. (a) 94,900 1,477
-----------
9,096
SAVINGS & LOANS - 1.3%
Charter One Financial Inc. 136,770 2,615
Washington Mutual Inc. 60,655 1,577
-----------
4,192
SEMICONDUCTORS - 1.0%
Motorola Inc. 22,675 3,339
SOFTWARE - 0.4%
Seagate Technology Inc. (a) 27,815 1,295
TELECOMMUNICATIONS - 9.8%
Alltel Corp. 37,235 3,079
AT&T Corp. 102,345 5,194
Bell Atlantic Corp. 78,060 4,806
BellSouth Corp. 87,760 4,108
GTE Corp. 64,115 4,524
SBC Communications Inc. 171,043 8,339
Sprint Corp. (FON Group) 16,525 1,112
-----------
31,162
TOBACCO - 0.3%
Philip Morris Cos. Inc. 47,325 1,097
TRANSPORTATION - 1.6%
Burlington Northern Santa Fe
Corp. 89,984 2,182
CSX Corp. 44,065 1,383
FDX Corp. (a) 36,400 1,490
-----------
5,055
-----------
Total Common Stocks
(cost $319,165) 305,799
-----------
See notes to the financial statements.
80
<PAGE>
JNL/PUTNAM VALUE EQUITY SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 4.2%
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
5.53% (b) 537 $ 1
REPURCHASE AGREEMENT - 4.2%
Repurchase agreement with J.P.
Morgan
& Co., 2.50% (Collateralized by
$11,002,000 U.S. Treasury Bond,
8.875%, due 02/15/2019, market
value $13,754,307) acquired on
12/31/1999, due 01/03/2000 $ 13,456,000 13,456
-----------
Total Short Term Investments
(cost $13,457) 13,457
-----------
TOTAL INVESTMENTS - 100%
(cost $332,622) $ 319,256
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $334,523 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $22,818, the gross
unrealized depreciation was $38,085 and the net unrealized depreciation on
investments was $15,267.
See notes to the financial statements.
81
<PAGE>
GOLDMAN SACHS/JNL GROWTH & INCOME SERIES
GOLDMAN SACHS ASSET MANAGEMENT
EILEEN ROMINGER, KARMA WILSON
[GOLDMAN SACHS LOGO]
OBJECTIVE:
Goldman Sachs/JNL Growth & Income Series seeks as its investment objective
long-term growth of capital and growth of income through investments in equity
securities that are considered to have favorable prospects for capital
appreciation and/or dividend paying ability.
MONEY MANAGER COMMENTARY:
For the year, the S&P 500 Index rose 21.04%. Interest rate concerns dissipated
and Y2K-related liquidity fears proved unsubstantiated as the marketplace evaded
any actual trading volume declines or grand-scale increases in cash levels. For
the year as a whole, restrained inflation, solid growth in corporate profits and
gains by a few lead sectors drove U.S. indexes to record levels. These gains,
while substantial, were primarily driven by a narrow band of technology and
telecommunications stocks; in the broader market, more stocks fell than rose.
The Series participated in some of the tremendous gains of the technology
sector, although our slight underweight position in technology stocks vs. the
S&P 500 Index hurt us on a relative basis. In particular, our underweight
positions in electrical equipment, wireless and information services stocks hurt
the Series, as these industry groups all rose more than 35% in the fourth
quarter alone. We were also set back by the substantial underperformance of
value-oriented stocks; the S&P 500/Barra Value Index underperformed the S&P
500/Barra Growth Index by 15 percentage points during the year.
We took steps throughout the latter part of 1999 to upgrade the quality of
stocks in the Series and to review our portfolio construction relative to the
S&P 500 Index. As a result, our exposures relative to the S&P 500 Index reflect
a value tilt rather than a deep value bias, and we believe that the Series is
appropriately constructed relative to the S&P 500 Index.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
GOLDMAN SACHS/JNL GROWTH & INCOME SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
GOLDMAN SACHS/JNL GROWTH &
INCOME SERIES S&P 500 INDEX
-------------------------- -------------
<S> <C> <C>
3/02/1998 10000 10000
3/31 10270 10551
6/30 9740 10858
9/30 8440 9780
12/31/1998 9069 11861
3/31 9200 12453
6/30 9976 13330
9/30 8787 12498
12/31/1999 9521 14357
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 4.98%
Since inception*........ -2.64%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
82
<PAGE>
GOLDMAN SACHS/JNL GROWTH & INCOME SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $7,092) $ 7,590
Receivables:
Dividends and interest 8
Initial margin 100
Fund shares sold 2
Variation margin 1
--------------
TOTAL ASSETS 7,701
--------------
LIABILITIES
Payables:
Advisory fees 6
Administrative fees 1
Investment securities purchased 17
--------------
TOTAL LIABILITIES 24
--------------
NET ASSETS $ 7,677
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 7,825
Undistributed net investment income --
Accumulated net realized loss on
investments, futures contracts,
and options written (660)
Net unrealized appreciation on:
Investments 498
Futures contracts 14
==============
$ 7,677
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 820
==============
NET ASSET VALUE PER SHARE $ 9.36
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 105
Interest 31
Foreign taxes withheld (1)
--------------
TOTAL INVESTMENT INCOME 135
--------------
EXPENSES
Advisory fees 57
Administrative fees 6
--------------
TOTAL EXPENSES 63
--------------
NET INVESTMENT INCOME 72
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments (164)
Futures contracts 30
Options written 4
Net change in unrealized appreciation on:
Investments 411
Future contracts 14
--------------
NET REALIZED AND UNREALIZED GAINS 295
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 367
==============
See notes to the financial statements.
83
<PAGE>
GOLDMAN SACHS/JNL GROWTH & INCOME SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 72 $ 27
Net realized gain (loss) on:
Investments ................................................................ (164) (510)
Futures contracts .......................................................... 30 (19)
Options written ............................................................ 4 --
Net change in unrealized appreciation on:
Investments ................................................................ 411 87
Futures contracts .......................................................... 14 --
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... 367 (415)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (72) (33)
From net realized gains on investments ....................................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (72) (33)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 6,241 7,095
Reinvestment of distribution ................................................. 72 33
Cost of shares redeemed ...................................................... (3,242) (2,369)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 3,071 4,759
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 3,366 4,311
NET ASSETS BEGINNING OF PERIOD ................................................. 4,311 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 7,677 $ 4,311
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ -- $ --
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 668 752
Reinvestment of distributions ............................................. 8 4
Shares redeemed ........................................................... (335) (277)
-------------- --------------
Net increase .............................................................. 341 479
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 9,134 $ 7,530
Proceeds from sales of securities ......................................... 6,514 2,911
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
84
<PAGE>
GOLDMAN SACHS/JNL GROWTH & INCOME SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 9.00 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.09 0.07
Net realized and unrealized gains (losses) on investments,
futures contracts, and options written ..................................... 0.36 (1.00)
--------------- ---------------
Total income (loss) from operations .......................................... 0.45 (0.93)
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.09) (0.07)
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
Total distributions .......................................................... (0.09) (0.07)
--------------- ---------------
Net increase (decrease) ...................................................... 0.36 (1.00)
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $9.36 $9.00
=============== ===============
TOTAL RETURN (A) ............................................................... 4.98% (9.31)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 7,677 $ 4,311
Ratio of expenses to average net assets (b) .................................. 1.025% 1.075%
Ratio of net investment income to average net assets (b) ..................... 1.17% 1.01%
Portfolio turnover ........................................................... 120.54% 129.99%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................. n/a 2.16%
Ratio of net investment loss to average net assets (b) ....................... n/a (0.08)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
85
<PAGE>
GOLDMAN SACHS/JNL GROWTH & INCOME SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 91.4%
AEROSPACE & DEFENSE - 0.2%
Raytheon Co. - Class A 600 $ 15
AIRLINES - 0.5%
Southwest Airlines Co. 2,500 40
AUTO MANUFACTURERS - 0.6%
Ford Motor Co. 900 48
BANKS - 4.5%
Bank of America Corp. 2,300 115
Chase Manhattan Corp. 700 54
First Union Corp. 600 20
Mellon Financial Corp. 1,400 48
National City Corp. 1,500 36
Wells Fargo Co. 1,600 65
-----------
338
BEVERAGES - 1.8%
Anheuser-Busch Cos. Inc. 500 35
Coca-Cola Co. 1,000 58
PepsiCo Inc. 1,200 42
-----------
135
CHEMICALS - 0.9%
Dow Chemical Co. 200 27
E.I. du Pont de Nemours & Co. 600 40
-----------
67
COMPUTERS - 7.8%
Cisco Systems Inc. (a) 1,400 150
Compaq Computer Corp. 1,700 46
Dell Computer Corp. (a) 1,000 51
Electronic Data Systems Corp. 500 33
EMC Corp. (a) 400 44
Hewlett-Packard Co. 500 57
International Business Machines 1,500 162
Corp.
Sun Microsystems Inc. (a) 600 46
-----------
589
COSMETICS & PERSONAL CARE - 1.6%
Gillette Co. 1,100 45
Proctor & Gamble Co. 700 77
-----------
122
DIVERSIFIED FINANCIAL SERVICES -
4.4%
Citigroup Inc. 2,200 122
Fannie Mae 1,100 69
Freddie Mac 1,900 89
Morgan Stanley Dean Witter & Co. 400 57
-----------
337
ELECTRIC - 3.3%
Entergy Corp. 3,200 82
FPL Group Inc. 1,500 64
PG&E Corp. 1,600 33
Unicom Corp. 2,200 74
-----------
253
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
ELECTRICAL COMPONENTS & EQUIPMENT -
0.7%
Emerson Electric Co. 900 $ 52
ENVIRONMENTAL CONTROL - 0.5%
Waste Management Inc. 2,300 40
FOOD - 3.5%
Archer-Daniels-Midland Co. 4,285 52
ConAgra Inc. 2,100 47
H.J. Heinz Co. 600 24
Kroger Co. (a) 3,800 72
Safeway Inc. (a) 1,400 50
Unilever NV - NY Shares 400 22
-----------
267
FOREST PRODUCTS & PAPER - 1.0%
International Paper Co. 1,300 73
HEALTHCARE - 1.9%
Baxter International Inc. 900 57
Becton, Dickinson & Co. 2,000 53
Columbia/HCA Healthcare Corp. 1,100 32
-----------
142
HOLDING COMPANIES - DIVERSIFIED - 0.4%
Seagram Co. Ltd. 700 31
INSURANCE - 3.5%
American International Group Inc. 900 97
Hartford Financial Services 1,400 66
Group Inc.
XL Capital Ltd. 2,000 104
-----------
267
MACHINERY - 0.4%
Ingersoll-Rand Co. 500 28
MANUFACTURING - 5.0%
Eastman Kodak Co. 400 26
General Electric Co. 1,600 248
Minnesota Mining & Manufacturing
Co. 700 69
Textron Inc. 500 38
-----------
381
MEDIA - 4.1%
CBS Corp. (a) 1,400 89
Clear Channel Communications 300 27
Inc. (a)
MediaOne Group Inc. (a) 600 46
New York Times Co. 1,000 49
Time Warner Inc. 700 51
Walt Disney Co. 1,600 47
-----------
309
METALS & MINING - 0.4%
Alcoa Inc. 400 33
OIL & GAS PRODUCERS - 6.1%
Exxon Mobil Corp. 2,564 207
Occidental Petroleum Corp. 1,800 39
Royal Dutch Petroleum Co. - NY
Shares 2,500 151
Texaco Inc. 500 27
USX-Marathon Group Inc. 1,500 37
-----------
461
See notes to the financial statements.
86
<PAGE>
GOLDMAN SACHS/JNL GROWTH & INCOME SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
PHARMACEUTICALS - 6.1%
Bristol-Meyers Squibb Co. 800 $ 51
Eli Lilly & Co. 700 47
Johnson & Johnson 500 47
Merck & Co. Inc. 1,200 80
Pfizer Inc. 1,400 45
Pharmacia & Upjohn Inc. 1,400 63
Schering-Plough Corp. 1,200 51
Warner-Lambert Co. 1,000 82
-----------
466
RETAIL - 6.4%
CVS Corp. 1,100 44
Federated Department Stores Inc.(a) 1,700 86
Gap Inc. 700 32
Home Depot Inc. 900 62
May Department Stores Co. 2,300 74
Tricon Global Restaurants Inc.(a) 900 35
Wal-Mart Stores Inc. 2,200 152
-----------
485
SEMICONDUCTORS - 4.0%
Intel Corp. 2,200 181
Motorola Inc. 500 74
Texas Instruments Inc. 500 48
-----------
303
SOFTWARE - 8.1%
America Online Inc. (a) 1,000 75
Automatic Data Processing Inc. 500 27
Computer Associates
International Inc. 1,700 119
Microsoft Corp. (a) 2,900 339
Oracle Corp. (a) 500 56
-----------
616
TELECOMMUNICATIONS - 12.3%
Alltel Corp. 200 17
AT&T Corp. 1,480 75
Bell Atlantic Corp. 1,200 74
BellSouth Corp. 1,900 89
GTE Corp. 1,300 92
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Lucent Technologies Inc. 1,700 $ 127
MCI WorldCom Inc. (a) 1,650 88
Nortel Networks Corp. 1,000 101
SBC Communications Inc. 2,074 101
Sprint Corp. (FON Group) 1,400 94
Sprint Corp. (PCS Group) (a) 300 31
US West Inc. 600 43
-----------
932
TOBACCO - 0.5%
Philip Morris Cos. Inc. 1,600 37
TRANSPORTATION - 0.9%
Burlington Northern Santa Fe
Corp. 2,800 68
-----------
Total Common Stocks
(cost $6,437) 6,935
-----------
SHORT TERM INVESTMENTS - 8.6%
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
5.53% (b) 980 1
REPURCHASE AGREEMENT - 8.6%
Repurchase agreement with Boston
Safe Deposit & Trust, 3.50%
(Collateralized by $707,685
Federal Home Loan Mortgage Corp.,
6.00%, due 12/01/2018, market
value $693,809) acquired
on 12/31/1999, due 01/03/2000 $ 654,000 654
-----------
Total Short Term Investments
(cost $655) 655
-----------
TOTAL INVESTMENTS - 100%
(cost $7,092) $ 7,590
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $7,188 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $838, the gross
unrealized depreciation was $436 and the net unrealized appreciation on
investments was $402.
SCHEDULE OF FUTURES CONTRACTS
DECEMBER 31, 1999
CONTRACTS UNREALIZED
($100,000 APPRECIATION
PER CONTRACT) (000'S)
- ---------------- -------------
1 S&P 500 Futures
Expiration March 2000 $ 14
See notes to the financial statements.
87
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
LAZARD ASSET MANAGEMENT
HERBERT W. GULLQUIST
[LAZARD ASSET MANAGEMENT LOGO] EILEEN ALEXANDERSON
OBJECTIVE:
Lazard/JNL Small Cap Value Series is a non-diversified Series that seeks as its
investment objective capital appreciation by investing primarily in equity
securities of companies with market capitalizations under $1 billion that are
believed by the sub-adviser to be inexpensively priced relative to the return on
equity.
MONEY MANAGER COMMENTARY:
In a long-awaited broadening of the market, the Russell 2000 Index outperformed
the S&P 500 Index in the fourth quarter of 1999 to deliver returns in-line with
the S&P 500 Index for the year. However, a narrow group of technology and
telecommunications stocks have been the driving force behind the performance of
the Russell 2000 Index, accounting for 95% of the index's return. Investors
focused almost exclusively on companies they felt were poised to benefit from
the convergence of computing and telecommunications. The dominance of technology
and telecommunications led to the unprecedented outperformance of the growth
style, with growth rising 43% while value fell 1.5%.
The Series' low weight in technology and telecommunications significantly
detracted from returns during 1999. While these groups are clearly benefiting
from powerful secular trends, valuations have reached unprecedented heights. The
Series underperformed the Russell 2000 Index for 1999; however, it outperformed
the value component of the Index for the year. We continue to seek out stocks in
these sectors that offer an attractive trade-off between valuation and financial
productivity.
Amid the current technology euphoria, many investors capitulated on all other
sectors, providing opportunities for the astute investor. The attractiveness of
small value stocks was accurately reflected in the increase in stock purchases
by corporate insiders, stock repurchase activity by corporations and takeover
activity by strategic buyers, many of which are outside the U.S. The Series was
particularly impacted by merger activity as many of the holdings were acquired
during 1999. Most of these acquisitions involved foreign buyers seeking to
expand their business or gain access to technology. For example, Philips
Electronics, a Dutch concern, acquired VLSI Technology while World Color Press,
one of the largest U.S. publishers of both print and digital information, was
acquired by Quebecor Printing Inc., a Montreal-based company. We expect this
merger and acquisition trend to continue and intensify in 2000, as private
buyers take advantage of the compelling valuations in the sector.
We believe that the wisest strategy for the new era is one that shuns neither
technology nor traditional sectors, but which finds the relative value within
each sector based on thorough, continuing analyses of individual companies and
an understanding of the global market in which they compete.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
LAZARD/JNL SMALL CAP VALUE SERIES AND THE RUSSELL 2000 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
LAZARD/JNL SMALL CAP VALUE
SERIES RUSSELL 2000 INDEX
-------------------------- ------------------
<S> <C> <C>
3/02/1998 10000 10000
3/31 10350 10420
6/30 9640 9821
9/30 7480 7833
12/31/1998 8708 9121
3/31 7937 8625
6/30 9539 9964
9/30 8788 9333
12/31/1999 8879 11068
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 1.96%
Since inception*........ - 6.27%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
88
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $6,604) $ 6,289
Cash 7
Receivables:
Dividends and interest 9
Fund shares sold 15
--------------
TOTAL ASSETS 6,320
--------------
LIABILITIES
Payables:
Advisory fees 5
Administrative fees 1
Fund shares redeemed 1
--------------
TOTAL LIABILITIES 7
--------------
NET ASSETS $ 6,313
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 6,846
Undistributed net investment income 5
Accumulated net realized loss on
investments (223)
Net unrealized depreciation on investments (315)
==============
$ 6,313
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 714
==============
NET ASSET VALUE PER SHARE
$ 8.84
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 75
Interest 10
--------------
TOTAL INVESTMENT INCOME 85
--------------
EXPENSES
Advisory fees 57
Administrative fees 5
--------------
TOTAL EXPENSES 62
--------------
NET INVESTMENT INCOME 23
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized loss on investments (83)
Net change in unrealized depreciation
on investments 181
--------------
NET REALIZED AND UNREALIZED GAINS 98
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 121
==============
See notes to the financial statements.
89
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) ................................................. $ 23 $ (2)
Net realized loss on investments ............................................. (83) (140)
Net change in unrealized appreciation (depreciation) on investments .......... 181 (496)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... 121 (638)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (20) --
From net realized gains on investment transactions ........................... -- --
Return of capital ............................................................ -- (4)
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (20) (4)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 2,516 5,555
Reinvestment of distributions ................................................ 20 4
Cost of shares redeemed ...................................................... (1,128) (113)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 1,408 5,446
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 1,509 4,804
NET ASSETS BEGINNING OF PERIOD ................................................. 4,804 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 6,313 $ 4,804
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 5 $ 2
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 286 565
Reinvestment of distributions ............................................. 2 1
Shares redeemed ........................................................... (126) (14)
--------------- --------------
Net increase .............................................................. 162 552
=============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 4,000 $ 6,734
Proceeds from sales of securities ......................................... 2,808 1,332
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
90
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 8.70 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income (loss) ................................................. 0.03 (0.01)
Net realized and unrealized gain (loss) on investments ....................... 0.14 (1.28)
--------------- ---------------
Total income (loss) from operations .......................................... 0.17 (1.29)
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.03) --
From net realized gains on investment transactions ........................... -- --
Return of capital ............................................................ -- (0.01)
--------------- ---------------
Total distributions .......................................................... (0.03) (0.01)
--------------- ---------------
Net increase (decrease) ...................................................... 0.14 (1.30)
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 8.84 $ 8.70
=============== ===============
TOTAL RETURN (A) ............................................................... 1.96% (12.92)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 6,313 $ 4,804
Ratio of expenses to average net assets (b) .................................. 1.15% 1.20%
Ratio of net investment income (loss) to average net assets (b) .............. 0.43% (0.04)%
Portfolio turnover ........................................................... 53.35% 40.15%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................. n/a 1.89%
Ratio of net investment loss to average net assets (b) ....................... n/a (0.73)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
91
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ----------------------------------------------------------------
COMMON STOCKS - 96.3%
ADVERTISING - 0.6%
R.H. Donnelley Corp. 2,000 $ 38
AEROSPACE & DEFENSE - 1.4%
AAR Corp. 2,700 49
Cordant Technologies Inc. 1,100 36
-----------
85
APPAREL - 1.1%
Men's Wearhouse Inc. (a) 1,800 53
Nautica Enterprises Inc. (a) 1,700 19
-----------
72
AUTO PARTS & EQUIPMENT - 3.2%
Borg-Warner Automotive Inc. 1,600 65
Dura Automotive Systems Inc. (a) 1,000 17
Pennzoil-Quaker State Co. 6,000 61
Tower Automotive Inc. (a) 3,600 56
-----------
199
BANKS - 3.4%
Banta Corp. 2,800 63
Chittenden Corp. 1,100 33
Hudson United Bancorp 2,505 64
Southwest Bancorp of Texas Inc. (a) 2,800 55
-----------
215
BEVERAGES - 0.7%
Whitman Corp. 3,400 46
BUILDING MATERIALS - 1.9%
Apogee Enterprises Inc. 4,500 23
Hussmann International Inc. 2,600 39
Martin Marietta Materials Inc. 1,400 57
-----------
119
CHEMICALS - 2.4%
A. Schulman Inc. 1,900 31
Ferro Corp. 2,800 62
H.B. Fuller Co. 1,100 61
-----------
154
COAL - 0.3%
Consol Energy Inc. 2,000 20
COMMERCIAL SERVICES - 7.5%
ACNielsen Corp. (a) 3,000 74
American Management Systems Inc. (a) 1,800 56
Aviation Sales Co. (a) 1,000 17
CDI Corp. (a) 1,600 39
Gartner Group Inc. 1,300 20
Houghton Mifflin Co. 1,100 46
Interim Services Inc. (a) 2,200 55
Pittston Brink's Group 1,900 42
Polaroid Corp. 2,300 43
Standard Register Co. 1,300 25
United Stationers Inc. (a) 1,900 54
-----------
471
<PAGE>
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ----------------------------------------------------------------
COMPUTERS - 4.6%
Anixter International Inc. (a) 3,800 $ 78
Bell & Howell Co. (a) 2,600 83
Electronics for Imaging Inc. (a) 700 41
InaCom Corp. (a) 4,400 32
Quantum Corp.-Hard Disk Drive Group (a) 8,200 57
-----------
291
ELECTRIC - 1.3%
Avista Corp. 2,700 42
Sierra Pacific Resources 2,304 40
-----------
82
ELECTRICAL COMPONENTS & EQUIPMENT - 1.5%
Belden Inc. 1,600 34
Mentor Graphics Corp. (a) 4,500 59
-----------
93
ELECTRONICS - 6.5%
Credence Systems Corp. (a) 400 35
Kemet Corp. (a) 1,400 63
Oak Industries Inc. (a) 1,000 106
Sensormatic Electronics Corp. (a) 2,600 45
Tectronix Inc. 2,700 105
Watts Industries Inc. 3,700 55
-----------
409
ENGINEERING & CONSTRUCTION - 1.1%
Coflexip SA - ADR 900 34
Dycom Industries Inc. (a) 300 14
Granite Construction Inc. 1,200 22
-----------
70
ENTERTAINMENT - 0.6%
Imax Corp. (a) 1,300 36
FOOD - 5.9%
American Italian Pasta Co. (a) 3,300 101
Aurora Foods Inc. (a) 2,700 25
Flowers Industries Inc. 4,000 64
Great Atlantic & Pacific Tea Co. Inc. 2,600 72
Lance Inc. 1,600 16
Ralcorp Holdings Inc. (a) 3,300 66
Ruddick Corp. 1,600 25
-----------
369
FOREST PRODUCTS & PAPER - 1.9%
Chesapeake Corp. 1,900 58
Wausau-Mosinee Paper Corp. 5,200 61
-----------
119
HAND & MACHINE TOOLS - 1.8%
Applied Power Inc. 1,500 55
Regal Beloit Corp. 2,900 60
-----------
115
HEALTHCARE - 4.3%
Apria Healthcare Group Inc. (a) 3,700 66
Invacare Corp. 3,300 66
Sierra Health Services Inc. (a) 250 2
Sunrise Medical Inc. (a) 3,000 19
See notes to the financial statements.
92
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ----------------------------------------------------------------
Varian Medical Systems Inc. (a) 2,400 $ 72
West Pharmaceutical Services Inc. 1,500 46
-----------
271
HOME BUILDERS - 1.9%
Kaufman & Broad Home Corp. 2,000 48
Toll Brothers Inc. (a) 3,700 69
-----------
117
HOME FURNISHINGS - 5.1%
Bassett Furniture Industries Inc. 2,100 34
Dorel Industries Inc. - Class B (a) 2,600 43
Ethan Allen Interiors Inc. 1,700 54
Furniture Brands International Inc.(a) 3,400 75
Harman International Industries Inc. 2,000 112
-----------
318
INSURANCE - 5.9%
Arthur J. Gallagher & Co. 1,300 84
E.W. Blanch Holdings Inc. 900 55
Enhance Financial Services Group Inc. 3,200 52
Everest Reinsurance Holdings Inc. 2,400 54
HCC Insurance Holdings Inc. 1,600 21
Radian Group Inc. 1,426 68
RenaissanceRE Holdings Ltd. 900 37
-----------
371
LEISURE TIME - 0.7%
Polaris Industries Inc. 1,200 43
LODGING - 0.7%
Prime Hospitality Corp. (a) 5,100 45
MACHINERY - 1.6%
Briggs & Stratton Corp. 400 22
JLG Industries Inc. 4,900 78
-----------
100
MANUFACTURING - 3.2%
Circor International Inc. (a) 1,850 19
Crane Co. 1,950 39
Federal Signal Corp. 3,000 48
Mark IV Industries Inc. 2,000 35
Roper Industries Inc. 1,600 61
-----------
202
MEDIA - 2.7%
Bowne & Co. Inc. 5,400 73
Mail-Well Inc. (a) 3,500 47
Pulitzer Inc. 1,300 53
-----------
173
OFFICE & BUSINESS EQUIPMENT - 1.1%
Dentsply International Inc. 1,900 45
Interface Inc. 4,300 25
-----------
70
OIL & GAS PRODUCERS - 3.1%
Barrett Resources Corp. (a) 2,300 68
Devon Energy Corp. 1,800 59
Helmerich & Payne Inc. 3,000 65
-----------
192
<PAGE>
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ----------------------------------------------------------------
PACKAGING & CONTAINERS - 0.6%
American National Can Group Inc. 2,800 $ 36
PHARMACEUTICALS - 0.9%
AmeriSource Health Corp. (a) 2,800 42
Perrigo Co. (a) 1,500 12
-----------
54
REAL ESTATE - 5.7%
Catellus Development Corp. (a) 4,900 63
Chateau Communities Inc. 1,800 47
Chelsea GCA Realty Inc. 600 18
FelCor Lodging Trust Inc. 3,400 59
Glenborough Realty Trust Inc. 3,100 41
JDN Realty Corp. 2,300 37
Kilroy Realty Corp. 2,100 46
Mack-Cali Realty Corp. 1,800 47
-----------
358
RETAIL - 5.5%
Borders Group Inc. (a) 4,700 75
Casey's General Stores Inc. 3,100 32
CompUSA Inc. (a) 5,600 29
Hughes Supply Inc. 2,000 43
Lone Star Steakhouse & Saloon Inc.(a) 2,200 20
Pier 1 Imports Inc. 5,200 33
Ryan's Family Steak Houses Inc. (a) 1,700 14
Talbots Inc. 800 36
Venator Group Inc. (a) 6,700 47
WET Seal Inc. (a) 1,300 16
-----------
345
SAVINGS & LOANS - 1.8%
Astoria Financial Corp. 1,935 59
Staten Island Bancorp Inc. 3,100 56
-----------
115
SEMICONDUCTORS - 0.5%
Lam Research Corp. (a) 300 33
SOFTWARE - 0.6%
Acxiom Corp. (a) 1,700 41
STORAGE & WAREHOUSING - 0.6%
Storage Technology Corp. (a) 2,000 37
TELECOMMUNICATIONS - 0.6%
Allen Telecom Inc. (a) 3,300 38
TRANSPORTATION - 1.5%
CNF Transportation Inc. 2,000 69
Pittston BAX Group 2,400 25
-----------
94
-----------
Total Common Stocks
(cost $6,371) 6,056
-----------
See notes to the financial statements.
93
<PAGE>
LAZARD/JNL SMALL CAP VALUE SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES MARKET
OR VALUE
PRINCIPAL (000'S)
AMOUNT
- ----------------------------------------------------------------
SHORT TERM INVESTMENT - 3.7%
MONEY MARKET FUND - 3.7%
Dreyfus Cash Management Plus, 5.53%(b) 233,018 $ 233
-----------
Total Short Term Investment
(cost $233) 233
-----------
TOTAL INVESTMENTS - 100%
(cost $6,604) $ 6,289
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $6,614 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $679, the gross
unrealized depreciation was $1,004 and the net unrealized depreciation on
investments was $325.
See notes to the financial statements.
94
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
LAZARD ASSET MANAGEMENT
HERBERT W. GULLQUIST
[LAZARD ASSET MANAGEMENT LOGO] EILEEN ALEXANDERSON
OBJECTIVE:
Lazard/JNL Mid Cap Value Series is a non-diversified Series that seeks as its
investment objective capital appreciation by investing primarily in equity
securities of companies with market capitalizations in the range of companies
represented in the Russell Midcap Index that the sub-adviser considers
inexpensively priced relative to the return on total capital or equity.
MONEY MANAGER COMMENTARY:
Investors' excitement over the potential of the "new economy", characterized by
the convergence of technology and telecommunications, ignited a powerful rally
in those stocks perceived to be leading this revolution. The technology and
telecommunications sectors within mid-cap each rose well over 100% in 1999
while, outside of these favored groups, mid caps actually declined. The strong
performance of technology, which is well represented in growth indices, led to
the Russell Midcap Growth Index outperforming its value counterpart by the
widest margin ever, rising over 50%, while the value index actually declined.
After five consecutive years of buoyant equity markets, investors have displayed
a high tolerance for risk, avoiding profitable companies in established
industries in favor of the promise of innovative companies in new industries. In
fact, stocks in the Russell Midcap Index that have lost money during the past
year were up a startling 163% on average in 1999, well ahead of the returns of
profitable companies.
The Series' low weight in technology and telecommunications significantly
detracted from returns during 1999. In addition, while our holdings in these
groups performed quite well, they could not keep pace with the spectacular gains
of the more speculative stocks in these sectors. Technology and
telecommunications are clearly benefiting from powerful secular trends, but
valuations have reached unprecedented heights. The Series underperformed the
Russell Midcap Index for 1999; however, it outperformed the value component of
the Index for the year. We continue to seek stocks in these sectors that offer
an attractive trade-off between valuation and financial productivity. Market
weakness during the summer gave us the opportunity to commit capital to
technology, while maintaining our valuation discipline, for which we were
rewarded during the fourth quarter rally.
Investors' myopic focus on technology and telecommunications has also created
opportunities among traditional companies. After all, it is the traditional
companies that are responsible for much of the demand for information technology
as they seek to improve their operations by incorporating the Internet and other
technologies into their businesses. Yet the potential improvement in efficiency
and profitability at traditional companies is clearly not incorporated into
their valuations. We believe that the wisest strategy for the new era is one
that shuns neither technology nor traditional sectors, but which finds the
relative value within each sector based on thorough analysis of individual
companies and an understanding of the global market in which they compete.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
LAZARD/JNL MID CAP VALUE SERIES AND THE RUSSELL MIDCAP INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
LAZARD/JNL MID CAP VALUE SERIES RUSSELL MIDCAP INDEX
------------------------------- --------------------
<S> <C> <C>
3/02/1998 10000 10000
3/31 10420 10461
6/30 9670 10261
9/30 7890 8695
12/31/1998 9236 10264
3/31 9025 10177
6/30 10108 11245
9/30 8794 10237
12/31/1999 9676 11955
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year................ 4.77%
Since inception*...... -1.78%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
95
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $6,464) $ 6,390
Cash 1
Receivables:
Dividends and interest 6
Foreign taxes recoverable 1
Fund shares sold 3
--------------
TOTAL ASSETS 6,401
--------------
LIABILITIES
Payables:
Advisory fees 5
Administrative fees 1
Fund shares redeemed 1
--------------
TOTAL LIABILITIES 7
--------------
NET ASSETS $ 6,394
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 6,433
Undistributed net investment income --
Accumulated net realized gain on
investments 35
Net unrealized depreciation on investments (74)
==============
$ 6,394
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 664
==============
NET ASSET VALUE PER SHARE $ 9.63
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 60
Interest 12
--------------
TOTAL INVESTMENT INCOME 72
--------------
EXPENSES
Advisory fees 53
Administrative fees 6
--------------
TOTAL EXPENSES 59
--------------
NET INVESTMENT INCOME 13
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments 341
Net change in unrealized depreciation
on investments (24)
--------------
NET REALIZED AND UNREALIZED GAINS 317
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 330
==============
See notes to the financial statements.
96
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 13 $ 13
Net realized gain (loss) on investments ...................................... 341 (306)
Net change in unrealized depreciation on investments ......................... (24) (50)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... 330 (343)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (13) (13)
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (13) (13)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 6,698 5,976
Reinvestment of distributions ................................................ 13 13
Cost of shares redeemed ...................................................... (5,365) (902)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 1,346 5,087
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 1,663 4,731
NET ASSETS BEGINNING OF PERIOD ................................................. 4,731 -
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 6,394 $ 4,731
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ -- $ --
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 729 618
Reinvestment of distributions ............................................. 1 1
Shares redeemed ........................................................... (580) (105)
--------------- --------------
Net increase .............................................................. 150 514
=============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 7,355 $ 7,089
Proceeds from sales of securities ......................................... 6,170 2,167
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
97
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 9.21 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.02 0.03
Net realized and unrealized gains (losses) on investments .................... 0.42 (0.79)
--------------- ---------------
Total income (loss) from operations .......................................... 0.44 (0.76)
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.02) (0.03)
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
Total distributions .......................................................... (0.02) (0.03)
--------------- ---------------
Net increase (decrease) ...................................................... 0.42 (0.79)
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 9.63 $ 9.21
=============== ===============
TOTAL RETURN (A) ............................................................... 4.77 % (7.64)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 6,394 $ 4,731
Ratio of expenses to average net assets (b) .................................. 1.075 % 1.125 %
Ratio of net investment income to average net assets (b) ..................... 0.25 % 0.34 %
Portfolio turnover ........................................................... 118.56 % 70.72 %
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................. n/a 1.85 %
Ratio of net investment loss to average net assets (b) ....................... n/a (0.38)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
98
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 95.0%
ADVERTISING - 1.4%
Young & Rubicam Inc. 1,300 $ 92
AUTO PARTS & EQUIPMENT - 1.9%
Borg-Warner Automotive Inc. 3,000 122
BANKS - 5.6%
Comerica Inc. 1,500 70
Hibernia Corp. 6,000 64
North Fork Bancorporation Inc. 5,550 97
SouthTrust Corp. 3,300 125
-----------
356
BEVERAGES - 1.9%
Whitman Corp. 9,200 124
CHEMICALS - 1.8%
Eastman Chemical Co. 2,400 115
COMPUTERS - 10.0%
3Com Corp. (a) 3,700 174
Apple Computer Inc. (a) 300 31
Ceridian Corp. (a) 5,900 127
Electronics for Imaging Inc. (a) 1,300 76
NCR Corp. (a) 2,700 102
Quantum Corp. - DLT &
Storage Systems (a) 8,400 127
-----------
637
COSMETICS & PERSONAL CARE - 1.3%
Avon Products Inc. 2,600 86
DIVERSIFIED FINANCIAL SERVICES -
5.1%
Capital One Financial Corp. 2,600 125
CIT Group Inc. 3,800 80
Franklin Resources Inc. 3,700 119
-----------
324
ELECTRIC - 8.9%
CMS Energy Corp. 3,600 112
Entergy Corp. 4,100 106
Midamerican Energy Holdings Co. 3,600 121
Niagara Mohawk Holdings Inc. (a) 9,000 125
NiSource Inc. 5,700 102
-----------
566
ELECTRONICS - 1.6%
Kemet Corp. (a) 2,200 99
ENVIRONMENTAL CONTROL - 2.4%
Republic Services Inc. (a) 10,700 154
FOOD - 3.8%
Adolph Coors Co. - Class B 2,500 131
Ralston Purina Group 4,100 114
-----------
245
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
FOREST PRODUCTS & PAPER - 2.0%
Bowater Inc. 2,300 $ 125
HAND & MACHINE TOOLS - 2.3%
Black & Decker Corp. 2,800 146
HEALTHCARE - 1.7%
Biomet Inc. 2,700 108
HOME FURNISHINGS - 2.4%
Ethan Allen Interiors Inc. 2,100 67
Maytag Corp. 1,800 86
-----------
153
HOUSEHOLD PRODUCTS - 1.9%
Dial Corp. 5,100 124
INSURANCE - 5.5%
Ace Ltd. 5,500 92
AMBAC Financial Group Inc. 2,500 131
Everest Reinsurance Holdings 3,800 85
Inc.
Hartford Life Inc. 1,000 44
-----------
352
MACHINERY - 2.8%
Cooper Cameron Corp. (a) 1,900 93
Ingersoll-Rand Co. 1,600 88
-----------
181
MANUFACTURING - 3.7%
General Dynamics Corp. 2,600 137
PPG Industries Inc. 1,600 100
-----------
237
MEDIA - 1.0%
New York Times Co. 1,300 64
OFFICE & BUSINESS EQUIPMENT - 2.0%
Harris Corp. 4,700 125
OIL & GAS PRODUCERS - 3.6%
Devon Energy Corp. 3,700 122
EOG Resources Inc. 6,200 109
-----------
231
PHARMACEUTICALS - 1.2%
Watson Pharmaceuticals Inc. (a) 2,200 79
RETAIL - 8.3%
Borders Group Inc. (a) 9,300 149
Consolidated Stores Corp. (a) 2,900 47
Saks Inc. (a) 6,900 107
Tricon Global Restaurants Inc. (a) 3,000 116
Venator Group Inc. (a) 15,900 111
-----------
530
See notes to the financial statements.
99
<PAGE>
LAZARD/JNL MID CAP VALUE SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SOFTWARE - 3.8%
IMS Health Inc. 4,700 $ 128
Seagate Technology Inc. (a) 2,500 116
-----------
244
STORAGE & WAREHOUSING - 2.0%
Storage Technology Corp. (a) 6,900 127
TELECOMMUNICATIONS - 3.2%
Broadwing Inc. 2,000 74
LSI Logic Corp. (a) 1,100 74
Tritel Inc. (a) 1,700 54
-----------
202
TRANSPORTATION - 1.9%
CNF Transportation Inc. 3,500 121
-----------
Total Common Stocks
(cost $6,143) 6,069
-----------
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 5.0%
MONEY MARKET FUNDS - 5.0%
Dreyfus Cash Management Plus,
5.53 % (b) 312,390 $ 312
Dreyfus Government Cash
Management, 5.08% (b) 8,434 9
-----------
Total Short Term Investments
(cost $321) 321
-----------
TOTAL INVESTMENTS - 100%
(cost $6,464) $ 6,390
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
quoted yield as of December 31, 1999.
Based on the cost of investments of $6,465 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $594, the gross
unrealized depreciation was $669 and the net unrealized depreciation on
investments was $75.
See notes to the financial statements.
100
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
PPM AMERICA, INC.
TEAM MANAGEMENT
[PPM AMERICA LOGO]
OBJECTIVE:
PPM America/JNL Balanced Series seeks as its investment objective reasonable
income, long-term capital growth and preservation of capital. It is intended
that this Series will invest in common stocks and fixed income securities, with
emphasis on income-producing securities which appear to have some potential for
capital enhancement.
MONEY MANAGER COMMENTARY:
The U.S. equity market rose to unprecedented valuation levels in 1999 with the
S&P 500 Stock Index producing its fifth consecutive 20%+ annual return. This
represents the best cumulative 5-year return in recorded market history since
1926. The market in 1999, however, was quite narrow. It was driven primarily by
the technology sector and the stocks of a relative handful of very large
companies. The overall stock market ignored a rising interest rate environment.
The rate rise caused the U.S. fixed income market to post negative returns for
the year. The Federal Reserve repeatedly raised short-term rates to prevent
inflation as the economy continued to show strong growth and as commodity prices
rose. With rising short-term rates, investors demanded higher yields at all
maturities.
The market's euphoria over technology stocks has led many investors to ignore
valuation principles and fundamentals. With the technology sector now
representing approximately 25% of the S&P 500, we believe that the risk/reward
relationship of the overall market is unfavorable. As a result, we believe that
a fairly even allocation between equity and fixed income securities is prudent.
The stock selection philosophy that guides the management of the equity
component of the Series is value-oriented. We are committed to investing in
attractively priced stocks of companies with solid fundamentals. The equity
portion of the Series' assets has a lower-than-market price/earnings ratio
(compared to the S&P 500 Index) and a higher-than-market dividend yield. The
equity component is overweighted in stocks of basic material, auto, financial
and transportation companies. It is significantly underweighted in technology
and healthcare stocks. The fixed income portion of the Series is managed with a
duration-neutral, relative value framework. With an interest rate risk profile
similar to the overall bond market, the fixed income portion of the Series was
overweighted (at year-end) in corporate bonds and mortgage-backed securities.
The Series was underweighted in U.S. Government securities, asset-backed
securities, and commercial mortgage-backed securities.
The Series produced a return of -0.11% for 1999. This compares to 21.04% for the
S&P 500 Index and -0.82% for the Lehman Brothers Aggregate Bond Index.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
PPM AMERICA/JNL BALANCED SERIES, THE S&P 500 INDEX AND THE
LEHMAN BROTHERS AGGREGATE BOND INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
PPM AMERICA/JNL LEHMAN BROTHERS AGGREGATE
BALANCED SERIES S&P 500 INDEX BOND INDEX
--------------- ------------- -------------------------
<S> <C> <C> <C>
5/15/1995 10000 10000 10000
6/30 10210 10356 10210
9/30 10840 11179 10469
12/31/1995 11545 11851 10915
3/31 11660 12487 10722
6/30 11983 13046 10404
9/30 12265 13448 10778
12/31/1996 12792 14568 11102
3/31 12739 14958 11010
6/30 13984 17567 11415
9/30 14810 18882 11796
12/31/1997 15150 19424 12143
3/31 16391 22134 12333
6/30 16345 22863 12619
9/30 15440 20593 13152
12/31/1998 16674 24975 13197
3/31 16563 26220 13132
6/30 17627 28068 13016
9/30 16612 26315 13105
12/31/1999 16657 30231 13088
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. - 0.11%
Since inception*........ 11.64%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995. Prior to May 1, 1997, the PPM America/JNL
Balanced Series was the JNL/Phoenix Investment Counsel Balanced Series and was
sub-advised by Phoenix Investment Counsel, Inc.
101
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $147,485) $ 142,092
Receivables:
Dividends and interest 1,130
Fund shares sold 86
--------------
TOTAL ASSETS 143,308
--------------
LIABILITIES
Cash overdraft 178
Payables:
Advisory fees 86
Administrative fees 12
Fund shares redeemed 20
--------------
TOTAL LIABILITIES 296
--------------
NET ASSETS $ 143,012
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 148,369
Undistributed net investment income 1
Accumulated net realized gain on
investments 35
Net unrealized depreciation on investments (5,393)
--------------
$ 143,012
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 11,348
==============
NET ASSET VALUE PER SHARE $ 12.60
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 1,549
Interest 4,059
Security lending income 26
--------------
TOTAL INVESTMENT INCOME 5,634
--------------
EXPENSES
Advisory fees 895
Administrative fees 124
--------------
TOTAL EXPENSES 1,019
--------------
NET INVESTMENT INCOME 4,615
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on investments 4,135
Net change in unrealized depreciation
on investments (9,915)
--------------
NET REALIZED AND UNREALIZED LOSSES (5,780)
--------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS $ (1,165)
==============
See notes to the financial statements.
102
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 4,615 $ 3,107
Net realized gain on investments ............................................. 4,135 3,118
Net change in unrealized appreciation (depreciation) on investments .......... (9,915) 916
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... (1,165) 7,141
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (4,660) (3,118)
From net realized gains on investment transactions ........................... (4,522) (2,845)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (9,182) (5,963)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 77,818 41,272
Reinvestment of distributions ................................................ 9,182 5,963
Cost of shares redeemed ...................................................... (29,615) (12,133)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 57,385 35,102
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 47,038 36,280
NET ASSETS BEGINNING OF PERIOD ................................................. 95,974 59,694
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 143,012 $ 95,974
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 1 $ --
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 5,662 2,985
Reinvestment of distributions ............................................. 730 443
Shares redeemed ........................................................... (2,162) (881)
-------------- --------------
Net increase .............................................................. 4,230 2,547
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 99,324 $ 48,702
Proceeds from sales of securities ......................................... 42,607 33,825
Purchases of U.S. Government obligations .................................. 18,615 27,115
Proceeds from sales of U.S. Government obligations ........................ 3,419 7,295
</TABLE>
See notes to the financial statements.
106
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- --------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 13.48 $ 13.06 $ 11.92 $ 11.17 $ 10.00
--------------- --------------- --------------- -------------- --------------
INCOME FROM OPERATIONS:
Net investment income ............................ 0.44 0.47 0.36 0.10 0.25
Net realized and unrealized gains (losses) on
investments .................................... (0.45) 0.84 1.83 0.98 1.40
--------------- --------------- --------------- -------------- --------------
Total income (loss) from operations .............. (0.01) 1.31 2.19 1.08 1.65
--------------- --------------- --------------- -------------- --------------
LESS DISTRIBUTIONS:
From net investment income ....................... (0.44) (0.47) (0.36) (0.15) (0.19)
From net realized gains on investment transactions (0.43) (0.42) (0.69) (0.18) (0.29)
--------------- --------------- --------------- -------------- --------------
Total distributions .............................. (0.87) (0.89) (1.05) (0.33) (0.48)
--------------- --------------- --------------- -------------- --------------
Net increase (decrease) .......................... (0.88) 0.42 1.14 0.75 1.17
--------------- --------------- --------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD ..................... $ 12.60 $ 13.48 $ 13.06 $ 11.92 $ 11.17
=============== =============== =============== ============== ==============
TOTAL RETURN (A) ................................... (0.11)% 10.06% 18.43% 9.72% 16.60%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ......... $ 143,012 $ 95,974 $ 59,694 $ 24,419 $ 4,761
Ratio of expenses to average net assets (b) ...... 0.82% 0.85% 0.93% 1.04% 1.01%
Ratio of net investment income to average net
assets (b) ..................................... 3.71% 3.87% 3.72% 2.39% 2.99%
Portfolio turnover ............................... 35.02% 33.74% 160.88% 158.15% 115.84%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ...... n/a 0.85% 0.94% 1.22% 3.71%
Ratio of net investment income to average net
assets (b) ..................................... n/a 3.87% 3.71% 2.21% 0.29%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
104
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
. SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 50.8%
AEROSPACE & DEFENSE - 2.1%
Lockheed Martin Corp. 78,500 $ 1,717
United Technologies Corp. 18,600 1,209
-----------
2,926
APPAREL - 1.8%
Liz Claiborne Inc. 26,600 1,001
VF Corp. 51,900 1,557
-----------
2,558
AUTO MANUFACTURERS - 2.0%
Ford Motor Co. 27,400 1,464
General Motors Corp. 19,100 1,388
-----------
2,852
AUTO PARTS & EQUIPMENT - 1.8%
Delphi Automotive Systems Corp. 72,600 1,143
TRW Inc. 26,900 1,397
-----------
2,540
BANKS - 3.6%
Bank of America Corp. 34,200 1,716
Chase Manhattan Corp. 16,000 1,243
KeyCorp 69,300 1,533
Union Planters Corp. 16,600 655
-----------
5,147
CHEMICALS - 1.1%
Rohm & Haas Co. 36,700 1,493
ELECTRIC - 2.0%
FirstEnergy Corp. 59,900 1,359
GPU Inc. 47,100 1,410
-----------
2,769
ELECTRONICS - 1.1%
Parker Hannifin Corp. 29,100 1,493
FOREST PRODUCTS & PAPER - 1.8%
Fort James Corp. 51,100 1,399
Mead Corp. 27,900 1,212
-----------
2,611
HEALTHCARE - 1.1%
Columbia/HCA Healthcare Corp. 55,100 1,615
HOME FURNISHINGS - 0.9%
Maytag Corp. 27,400 1,315
INSURANCE - 4.4%
Aetna Inc. 29,000 1,619
American Financial Group Inc. 24,400 644
American General Corp. 10,500 797
Cigna Corp. 17,900 1,442
Hartford Financial Services
Group Inc. 36,300 1,720
-----------
6,222
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
IRON & STEEL - 1.0%
Nucor Corp. 25,400 $ 1,392
LEISURE TIME - 0.7%
Brunswick Corp. 44,100 981
MANUFACTURING - 2.5%
Cooper Industries Inc. 25,700 1,039
ITT Industries Inc. 31,200 1,043
PPG Industries Inc. 24,000 1,502
-----------
3,584
METALS & MINING - 1.1%
Phelps Dodge Corp. 23,900 1,604
OFFICE & BUSINESS EQUIPMENT - 1.7%
Harris Corp. 39,900 1,065
Xerox Corp. 60,300 1,368
-----------
2,433
OIL & GAS PRODUCERS - 3.2%
Ashland Inc. 38,500 1,268
Chevron Corp. 7,700 667
Occidental Petroleum Corp. 64,900 1,403
Phillips Petroleum Co. 26,800 1,260
-----------
4,598
PACKAGING & CONTAINERS - 0.5%
Pactiv Corp. (a) 64,100 681
RETAIL - 3.3%
Federated Department Stores Inc. (a) 36,900 1,866
K Mart Corp. (a) 162,100 1,631
Sears, Roebuck & Co. 39,800 1,211
-----------
4,708
SAVINGS & LOANS - 3.1%
Charter One Financial Inc. 90,500 1,731
Sovereign Bancorp Inc. 144,200 1,075
Washington Mutual Inc. 59,300 1,542
-----------
4,348
SOFTWARE - 1.1%
Computer Associates 22,300 1,560
International Inc.
TELECOMMUNICATIONS - 5.5%
Bell Atlantic Corp. 21,300 1,311
BellSouth Corp. 23,000 1,077
CenturyTel Inc. 21,500 1,019
GTE Corp. 18,800 1,326
SBC Communications Inc. 29,100 1,419
US West Inc. 23,400 1,685
-----------
7,837
TOBACCO - 1.5%
Philip Morris Cos. Inc. 53,700 1,245
RJ Reynolds Tobacco Holdings Inc. 53,600 945
-----------
2,190
See notes to the financial statements.
105
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
TRANSPORTATION - 1.9%
Burlington Northern Santa Fe
Corp. 50,400 $ 1,222
CSX Corp. 47,000 1,475
-----------
2,697
-----------
Total Common Stocks
(cost $75,311) 72,154
-----------
CORPORATE BONDS - 12.0%
AEROSPACE & DEFENSE - 0.9%
K & F Industries Inc., 9.25%,
10/15/2007 $ 300,000 287
Lockheed Martin Corp., 8.50%,
12/01/2029 1,000,000 999
-----------
1,286
AIRLINES - 0.7%
Atlas Air Inc., 8.77%, 1,000,000 960
01/02/2011
COMMERCIAL SERVICES - 0.7%
Aramark Services Inc., 7.00%,
07/15/2006 1,000,000 941
DIVERSIFIED FINANCIAL SERVICES -
1.3%
Erac USA Finance Co., 6.75%,
05/15/2009 (d) 1,000,000 914
Heller Financial Inc., 7.375%,
11/01/2009 (d) 1,000,000 964
-----------
1,878
ELECTRIC - 0.7%
Southern Energy Inc., 7.90%,
07/15/2009 (d) 1,000,000 968
ENTERTAINMENT - 0.7%
International Speedway Corp.,
7.875%,
10/15/2004 (d) 1,000,000 979
FOOD - 1.4%
Canandaigua Brands Inc., 8.625%,
08/01/2006 1,000,000 995
Nabisco Inc., 7.05%, 07/15/2007 1,000,000 946
-----------
1,941
FOREST PRODUCTS & PAPER - 0.0%
Buckeye Cellulose Corp., 9.25%,
09/15/2008 15,000 15
HEALTHCARE - 0.7%
Tenet Healthcare Corp., 8.625%,
01/15/2007 1,000,000 956
HOLDING COMPANIES - DIVERSIFIED - 0.3%
Capstar Broadcasting Partners
Inc., (Step-Up Bond), 10.76%,
02/01/2009 (c) 500,000 441
HOME FURNISHINGS - 0.2%
Windmere-Durable Holdings,
10.00%,
07/31/2008 300,000 295
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
LEISURE TIME - 1.5%
British Sky Broadcasting Plc,
8.20%, $ 1,000,000 $ 963
Harrah's Operating Co. Inc.,
7.50%,
01/15/2009 1,000,000 937
MGM Grand Inc., 6.875%,
02/06/2008 300,000 265
-----------
2,165
MEDIA - 0.5%
Century Communications Corp.,
9.50%, 08/15/2000 250,000 252
Frontier Vision Holdings LP,
(Step-Up Bond), 11.86%,
09/15/2007 (c) 500,000 445
-----------
697
PACKAGING & CONTAINERS - 0.4%
Stone Container Corp.,
12.25%, 04/01/2002 300,000 301
U.S. Can Corp., 10.125%,
10/15/2006 300,000 307
-----------
608
RETAIL - 0.2%
United Stationers Supply Co.,
8.375%, 04/15/2008 300,000 275
SEMICONDUCTORS - 0.2%
Hadco Corp., 9.50%, 06/15/2008 300,000 293
TELECOMMUNICATIONS - 1.0%
AT&T Canada Inc., 12.00%,
08/15/2007 300,000 345
Rogers Cantel Inc., 9.375%, 1,000,000 1,068
06/01/2008
-----------
1,413
TOBACCO - 0.6%
Imperial Tobacco Finance Plc,
7.125%,
04/01/2009 1,000,000 898
-----------
Total Corporate Bonds
(cost $17,526) 17,009
-----------
U.S. GOVERNMENT SECURITIES - 35.8%
U.S. GOVERNMENT AGENCIES - 21.5%
Federal Home Loan Mortgage Corp.
6.50%, 05/01/2001 305,781 303
6.00%, 07/01/2001 257,374 252
7.50%, 11/01/2011 493,275 497
6.50%, 04/01/2012 546,456 533
7.00%, 01/01/2013 677,344 672
6.45%, 04/29/2019 3,400,000 3,182
8.00%, 10/01/2024 374,837 378
7.50%, 11/01/2024 385,590 383
6.50%, 02/01/2027 306,774 294
7.50%, 03/01/2027 371,380 369
6.50%, 12/01/2027 409,912 390
7.00%, 09/01/2028 472,692 460
7.00%, 11/01/2028 505,949 490
7.50%, 02/01/2029 493,243 490
6.50%, 05/01/2029 512,506 483
See notes to the financial statements.
106
<PAGE>
PPM AMERICA/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Federal National Mortgage
Association
7.10%, 10/18/2004 $ 3,400,000 $ 3,371
7.50%, 04/01/2012 402,776 405
5.50%, 01/01/2014 751,460 700
6.50%, 05/01/2014 964,459 936
7.50%, 10/01/2025 1,301,288 1,290
7.00%, 09/01/2027 617,817 602
6.50%, 08/01/2028 706,678 667
7.00%, 08/01/2028 607,270 590
7.00%, 08/01/2028 382,772 372
7.00%, 09/01/2028 676,285 656
6.50%, 10/01/2028 493,563 465
6.50%, 11/01/2028 896,339 847
6.50%, 12/01/2028 593,189 559
6.00%, 03/01/2029 965,276 887
7.50%, 05/01/2029 774,538 767
7.50%, 09/01/2029 2,113,310 2,089
Government National Mortgage
Association
7.00%, 09/15/2013 435,575 431
6.00%, 04/15/2014 1,197,035 1,135
6.50%, 04/15/2026 856,400 812
7.50%, 07/15/2027 327,833 325
8.00%, 02/15/2028 413,074 417
7.00%, 05/15/2028 363,394 353
7.00%, 06/15/2028 681,346 660
7.50%, 04/15/2029 884,839 875
7.00%, 07/15/2029 1,204,700 1,163
-----------
30,550
U.S. TREASURY SECURITIES - 14.3%
U.S. Treasury Bonds
6.25%, 08/15/2023 3,000,000 2,829
6.625%, 02/15/2027 200,000 198
6.375%, 08/15/2027 535,000 514
U.S. Treasury Strip - Interest
only
5.95%, 08/15/2003 1,530,000 1,218
5.83%, 05/15/2007 1,745,000 1,077
U.S. Treasury Strip - Principal
only
5.735%, 05/15/2016 600,000 198
5.77%, 11/15/2016 1,950,000 624
-----------
6,658
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
U.S. Treasury Notes
6.125%, 07/31/2000 $ 1,000,000 $ 1,002
6.25%, 08/31/2000 2,200,000 2,204
6.25%, 10/31/2001 3,500,000 3,500
6.25%, 02/15/2003 1,300,000 1,296
5.50%, 02/28/2003 2,100,000 2,048
7.875%, 11/15/2004 550,000 581
5.875%, 11/15/2005 3,145,000 3,053
-----------
20,342
-----------
Total U.S. Government
Securities
(cost $52,615) 50,892
-----------
WARRANTS - 0.0%
AT&T Canada Inc. (d) 300 3
Knology Holdings Inc. 600 1
-----------
Total Warrants
(cost $0) 4
-----------
SHORT TERM INVESTMENT - 1.4%
MONEY MARKET FUND - 1.4%
Dreyfus Cash Management Plus,
5.53% (b) 2,033,400 2,033
-----------
Total Short Term Investment
(cost $2,033) 2,033
-----------
TOTAL INVESTMENTS - 100%
(cost $147,485) $ 142,092
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1999.
(c) Denotes deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(d) 144a security. Certain conditions for public sale may exist.
Based on the cost of investments of $147,790 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $7,264, the gross
unrealized depreciation was $12,962 and the net unrealized depreciation on
investments was $5,698.
See notes to the financial statements.
107
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
PPM AMERICA, INC.
TEAM MANAGEMENT
[PPM AMERICA LOGO]
OBJECTIVE:
PPM America/JNL High Yield Bond Series seeks as its investment objective a high
level of current income; its secondary investment objective is capital
appreciation by investing in fixed income securities, with emphasis on higher-
yielding, higher-risk, lower-rated or unrated corporate bonds.
MONEY MANAGER COMMENTARY:
The U.S. high yield market, as measured by the Lehman Brothers High Yield Index,
returned 2.39% in 1999, outperforming all other domestic fixed income sectors
for the year. As interest rates rose throughout the year, most fixed income
classes posted negative returns, and 30-year Treasuries had their worst year
ever. The high yield market, however, started the year out strong. While
Treasury yields rose over 100 basis points in the first half of the year, high
yield spreads contracted by a similar amount. Primary issuance was healthy and
investor demand was robust. Heading into the second half of 1999, market
sentiment changed. Inflation fears surfaced and escalating default rates caught
the market's attention. During the next several months, the high yield market
earned negative returns. New issue supply was limited, as deals were cancelled
due to lack of investor demand. Finally, as the year drew to a close, a rally in
the equity markets and stabilization in interest rates led to a rebound in the
high yield market. New issuance resumed and the year ended positively, with
November and December posting healthy returns.
Our approach to managing the Series is based on relative value. We focus on
purchasing individual securities which are attractively priced and have the
potential to outperform the Series' benchmark, within the context of industry
weightings which are derived from the same factors. In 1999, this approach led
to a continuation of the Series' emphasis on single-B rated credits, but
security and industry selection were generally defensive, reducing exposure to
some targeted cyclical sectors.
The Series finished 1999 with a total return of 1.09%, underperforming the
Lehman Brothers High Yield Index by 130 basis points. Most of the
underperformance occurred during the high yield market rally early in the year,
when lower-quality and riskier sectors of the market significantly outperformed,
recovering from 1998. The positioning of the Series toward more defensive
credits hurt its performance during this period.
We expect the high yield market conditions to improve in 2000, with expected
returns trending closer to historical averages. The Lehman Brothers High Yield
Index has returned an annual average of 11.69% over the last 15 years.
Underpinning our outlook is the expectation for continued solid GDP growth and
greater stability in interest rates. Current yields on high yield bonds are
approaching historical peaks, making the asset class attractive and compensating
investors for the higher default rates. After lighter supply in 1999, and a
relatively large cash buildup by investors concerned about Y2K, demand is
expected to be healthy. Major risks include greater than expected interest rate
increases, equity market volatility, a surge in supply that the market is unable
to adequately absorb, and another significant uptick in default rates, after
what appeared to be a moderation in the second half of 1999.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
PPM AMERICA/JNL HIGH YIELD BOND SERIES AND THE
LEHMAN BROTHERS HIGH YIELD INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
PPM AMERICA/JNL HIGH YIELD
BOND SERIES LEHMAN BROTHERS HIGH YIELD INDEX
-------------------------- --------------------------------
<S> <C> <C>
5/15/1995 10000 10000
9930 10207
10230 10493
12/31/1995 10624 10818
10782 11009
10888 11192
11425 11639
12/31/1996 11994 12046
12107 12181
12792 12747
13523 13326
12/31/1997 13800 13670
14389 14130
14509 14277
13848 13628
12/31/1998 14329 13918
14435 14176
14474 14226
14290 14023
12/31/1999 14485 14252
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year................ 1.09%
Since inception*...... 8.32%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
108
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
<PAGE>
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $152,331) $ 142,907
Cash 639
Receivables:
Interest 3,474
Fund shares sold 121
--------------
TOTAL ASSETS 147,141
--------------
LIABILITIES
Payables:
Advisory fees 89
Administrative fees 13
Fund shares redeemed 16
--------------
TOTAL LIABILITIES 118
--------------
NET ASSETS $ 147,023
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 161,652
Undistributed net investment income -
Accumulated net realized loss on (5,205)
investments
Net unrealized depreciation on investments (9,424)
--------------
$ 147,023
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 14,509
==============
NET ASSET VALUE PER SHARE $ 10.13
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Interest $ 12,736
Security lending income 15
--------------
TOTAL INVESTMENT INCOME 12,751
--------------
EXPENSES
Advisory fees 914
Administrative fees 127
--------------
TOTAL EXPENSES 1,041
--------------
NET INVESTMENT INCOME 11,710
--------------
REALIZED AND UNREALIZED LOSSES
Net realized loss on investments (4,904)
Net change in unrealized depreciation
on investments (5,574)
--------------
NET REALIZED AND UNREALIZED LOSSES (10,478)
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 1,232
==============
See notes to the financial statements.
109
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 11,710 $ 7,707
Net realized gain (loss) on investments ...................................... (4,904) 538
Net change in unrealized depreciation on investments ......................... (5,574) (5,620)
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 1,232 2,625
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (11,745) (7,729)
From net realized gains on investment transactions ........................... -- (1,039)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (11,745) (8,768)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 81,314 63,834
Reinvestment of distributions ................................................ 11,745 8,768
Cost of shares redeemed ...................................................... (37,008) (27,686)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 56,051 44,916
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 45,538 38,773
NET ASSETS BEGINNING OF PERIOD ................................................. 101,485 62,712
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 147,023 $ 101,485
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ -- $ --
============== ==============
(1)SHARE TRANSACTIOns
Shares sold ............................................................... 7,408 5,395
Reinvestment of distributions ............................................. 1,159 805
Shares redeemed ........................................................... (3,375) (2,345)
-------------- --------------
Net increase .............................................................. 5,192 3,855
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 121,389 $ 215,158
Proceeds from sales of securities ......................................... 72,666 174,602
</TABLE>
See notes to the financial statements.
110
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- ------------------------------ --------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD .............. $ 10.89 $ 11.48 $ 10.67 $ 10.23 $ 10.00
--------------- --------------- --------------- -------------- --------------
INCOME FROM OPERATIONS:
Net investment income ........................... 0.88 0.91 0.59 0.51 0.73
Net realized and unrealized gains (losses) on
investments ..................................... (0.76) (0.47) 1.02 0.64 0.04
-------------- --------------- ------------ ----------------- --------------
Total income from operations .................... 0.12 0.44 1.61 1.15 0.77
-------------- --------------- ------------ ----------------- --------------
LESS DISTRIBUTIONS:
From net investment income ...................... (0.88) (0.91) (0.59) (0.69) (0.54)
From net realized gains on investment transactions -- (0.12) (0.21) (0.02) --
-------------- --------------- -------------- --------------- --------------
Total distributions ............................. (0.88) (1.03) (0.80) (0.71) (0.54)
-------------- --------------- -------------- --------------- --------------
Net increase (decrease) ......................... (0.76) (0.59) 0.81 0.44 0.23
-------------- --------------- -------------- --------------- --------------
NET ASSET VALUE, END OF PERIOD .................... $ 10.13 $ 10.89 $ 11.48 $ 10.67 $ 10.23
============== =============== ============== =============== ==============
TOTAL RETURN (A) .................................. 1.09% 3.84% 15.05% 11.24% 7.82%
RATIOS AND SUPPLEMENTAL DATA: .....................
Net assets, end of period (in thousands) $147,023 $ 101,485 $ 62,712 $ 13,396 $ 6,156
Ratio of expenses to average net assets (b) ..... 0.82% 0.83% 0.90% 0.88% 0.88%
Ratio of net investment income to average net
assets (b) ...................................... 9.22% 8.62% 8.15% 8.64% 8.34%
Portfolio turnover .............................. 61.03% 129.85% 189.25% 113.08% 186.21%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ..... n/a 0.83% 0.90% 1.21% 1.50%
Ratio of net investment income to average net
assets (b) ...................................... n/a 8.62% 8.15% 8.31% 7.72%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
111
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
CORPORATE BONDS - 93.3%
AEROSPACE & DEFENSE - 1.9%
Fairchild Corp., 10.75%, $ 2,000,000 $ 1,708
K&F Industries Inc., 9.25%, 1,100,000 1,053
10/15/2007
-----------
2,761
AUTO PARTS & EQUIPMENT - 0.6%
Aftermarket Technology Corp.,
12.00%,
08/01/2004 800,000 798
BANKS - 0.5%
Sovereign Bancorp
10.25%, 05/15/2004 220,000 223
10.50%, 11/15/2006 450,000 457
-----------
680
BEVERAGES - 1.4%
National Wine & Spirits, 10.125%,
01/15/2009 2,000,000 2,015
BUILDING MATERIALS - 6.8%
Brand Scaffold Services Inc.,
10.25%, 02/15/2008 2,000,000 1,810
Juno Lighting Inc.,
11.875%, 07/01/2009 2,600,000 2,392
NCI Building Systems Inc.,
9.25%, 05/01/2009 2,000,000 1,895
Nortek Inc., 9.25%, 03/15/2007 2,000,000 1,955
Schuff Steel Co., 10.50%,
06/01/2008 2,000,000 1,635
-----------
9,687
CHEMICALS - 2.6%
Georgia Gulf Corp., 10.375%,
11/01/2007 (d) 100,000 104
Lyondell Chemical Co.,
10.875%, 05/01/2009 2,000,000 2,075
PCI Chemicals Canada Inc.,
9.25%, 10/15/2007 1,965,000 1,513
-----------
3,692
COMMERCIAL SERVICES - 2.2%
Flag Ltd., 8.25%, 01/30/2008 1,400,000 1,284
Marsulex Inc., 9.625%, 07/01/2008 2,000,000 1,915
-----------
3,199
DIVERSIFIED FINANCIAL SERVICES - 2.2%
DVI Inc., 9.875%, 02/01/2004 2,000,000 1,962
Knology Holdings Inc.,
(Step-Up Bond),
11.875%, 10/15/2007 (a) 1,700,000 1,120
-----------
3,082
ELECTRICAL COMPONENTS & EQUIPMENT -
1.4%
Integrated Circuit Systems Inc.,
11.50%, 05/15/2009 2,000,000 1,960
ENTERTAINMENT - 6.7%
Alliance Atlantis Communications
Corp.,
13.00%, 12/15/2009 1,600,000 1,556
Hollywood Casino
Shreveport/Shreveport
Capital Corp., 13.00%,
08/01/2006 (d) 1,600,000 1,708
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Horseshoe Gaming Holdings Corp.,
8.625%, 05/15/2009 $ 1,000,000 $ 965
Imax Corp., 7.875%, 12/01/2005 2,500,000 2,344
Lady Luck Gaming Corp.,
11.875%, 03/01/2001 1,125,000 1,125
Waterford Gaming LLC,
9.50%, 03/15/2010 (d) 1,955,000 1,921
-----------
9,619
FOOD - 3.0%
Agrilink Foods Inc.,
11.875%, 11/01/2008 2,000,000 1,975
Canandaigua Brands Inc.,
8.625%, 08/01/2006 2,500,000 2,487
-----------
4,462
FOREST PRODUCTS & PAPER - 0.6%
Kappa Beheer BV,
10.625%, 07/15/2009 800,000 835
HEALTHCARE - 4.2%
Eye Care Centers of America Inc.,
9.125%, 05/01/2008 2,000,000 1,497
LifePoint Hospitals Holdings
Inc.,
10.75%, 05/15/2009 2,000,000 2,090
Tenet Healthcare Corp.
8.625%, 01/15/2007 2,000,000 1,913
8.125%, 12/01/2008 500,000 467
-----------
5,967
HOLDING COMPANIES - DIVERSIFIED -
2.9%
Capstar Broadcasting Partners
Inc., (Step- Up Bond),
12.75%, 02/01/2009 (a) 2,850,000 2,515
Elgar Holdings Inc., 9.875%,
02/01/2008 2,400,000 1,566
-----------
4,081
HOME FURNISHINGS - 1.7%
Windmere-Durable Holdings Inc.,
10.00%, 07/31/2008 2,400,000 2,358
LEISURE TIME - 1.3%
Jupiters Ltd., 8.50%, 03/01/2006 2,000,000 1,910
LODGING - 1.2%
HMH Properties Inc., 7.875%,
08/01/2008 2,000,000 1,785
MACHINERY - 1.4%
National Equipment Services
Inc.,
10.00%, 11/30/2004 2,000,000 2,005
MANUFACTURING - 3.9%
Burke Industries Inc.
9.8813%, 08/15/2007 (c) 700,000 266
10.00%, 08/15/2007 1,320,000 630
Park-Ohio Industries Inc.,
9.25%, 12/01/2007 2,000,000 1,935
Prestolite Electric Inc., 9.625%,
02/01/2008 2,060,000 1,612
WR Carpenter North America,
10.625%, 06/15/2007 1,850,000 1,068
-----------
5,511
See notes to the financial statements.
112
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
MEDIA - 7.0%
Advanstar Communications Inc.,
9.25%, 05/01/2008 $ 1,000,000 $ 935
CBS Radio Inc., 11.375%,
01/15/2009 568,900 641
Echostar DBS Corp.,
9.375%, 02/01/2009 2,500,000 2,506
Frontiervision Holdings LP
11.00%, 10/15/2006 400,000 424
11.875%, 09/15/2007 (Step-Up
Bond) (a) 1,300,000 1,157
Gray Communications System Inc.,
10.625%, 10/01/2006 1,100,000 1,136
Insight Midwest LP,
9.75%, 10/01/2009 (d) 2,000,000 2,075
Rogers Cablesystems Ltd.
10.00%, 03/15/2005 CAD 1,100,000 1,191
-----------
10,065
OFFICE & BUSINESS EQUIPMENT - 0.6%
General Binding Corp.,
9.375%, 06/01/2008 2,000,000 895
PACKAGING & CONTAINERS - 6.0%
Huntsman Packaging Corp.,
9.125%, 10/01/2007 1,000,000 968
Packaging Corp. of America,
9.625%, 04/01/2009 1,000,000 1,029
Riverwood International Corp.,
10.625%, 08/01/2007 2,000,000 2,070
Stone Container Corp.,
12.25%, 04/01/2002 2,400,000 2,406
U.S. Can Corp., 10.125%,
10/15/2006 2,000,000 2,045
-----------
8,518
RETAIL - 6.8%
APCOA Inc., 9.25%, 03/15/2008 1,500,000 1,061
Buhrmann U.S. Inc.,
12.25%, 11/01/2009 (d) 1,850,000 1,919
Finlay Enterprises Inc.,
9.00%, 05/01/2008 2,575,000 2,269
Jo-Ann Stores Inc., 10.375%,
05/01/2007 2,500,000 2,444
Stater Brothers Holdings Inc.,
10.75%, 08/15/2006 2,000,000 2,005
-----------
9,698
SEMICONDUCTORS - 1.4%
Hadco Corp., 9.50%, 06/15/2008 2,000,000 1,950
SOFTWARE - 1.8%
PSINet Inc., 11.00%, 08/01/2009 2,500,000 2,575
TELECOMMUNICATIONS - 20.8%
Adelphia Business Solutions
Inc.,
12.00%, 11/01/2007 2,000,000 2,110
AT&T Canada Inc.
12.00%, 08/15/2007 1,800,000 2,072
9.95%, 06/15/2008, (Step-Up
Bond) (a) 1,000,000 786
Crown Castle International
Corp., (Step- Up Bond),
10.375%, 05/15/2011 (a) 3,500,000 2,192
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Intermedia Communications Inc.,
(Step-
Up Bond), 12.25%, 03/01/2009 (a)$ 4,250,000 $ 2,561
KMC Telecom Holdings Inc.,
13.50%, 05/15/2009 (d) 1,000,000 985
Level 3 Communications Inc.,
9.125%, 05/01/2008 2,000,000 1,885
Metrocall Inc., 11.00%,
09/15/2008 2,000,000 1,235
Metromedia Fiber Network Inc.,
10.00%, 12/15/2009 2,000,000 2,055
Nextel Communications Inc.,
(Step-Up Bond), 9.95%,
02/15/2008 (a) 3,300,000 2,331
NEXTLINK Communications Inc.,
10.75%, 06/01/2009 2,000,000 2,065
NorthEast Optic Network Inc.,
12.75%, 08/15/2008 2,000,000 2,135
Primus Telecommunications Group
Inc.,
11.25%, 01/15/2009 2,000,000 1,930
RCN Corp., 10.00%, 10/15/2007 2,000,000 1,990
Rogers Cantel Inc.
9.375%, 06/01/2008 1,000,000 1,068
9.75%, 06/01/2016 200,000 226
Williams Communications Group
Inc.,
10.875%, 10/01/2009 2,000,000 2,095
-----------
29,721
TEXTILES - 0.4%
Pillowtex Corp., 10.00%,
11/15/2006 1,330,000 572
TRANSPORTATION - 2.0%
GulfMark Offshore Inc.,
8.75%, 06/01/2008 1,000,000 913
Ultrapetrol (Bahamas) Ltd.,
10.50%, 04/01/2008 2,400,000 1,974
-----------
2,887
-----------
Total Corporate Bonds
(cost $142,675) 133,288
-----------
GOVERNMENT SECURITY - 1.4%
SOVEREIGN - 1.4%
Republic of Argentina,
11.00%, 10/09/2006 2,000,000 1,970
-----------
Total Government Security
(cost $2,027) 1,970
-----------
WARRANTS - 0.0%
AT&T Canada Inc. 1,300 11
Highwaymaster Communications Inc. 1,500 3
Knology Holdings Inc. 2,200 4
Terex Corp. 400 8
-----------
Total Warrants
(cost $6) 26
-----------
See notes to the financial statements.
113
<PAGE>
PPM AMERICA/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 5.3%
COMMERCIAL PAPER - 2.9%
American Express Credit Corp.,
6.50%, 01/04/2000 $ 2,300,000 $ 2,299
Ford Motor Credit Co.
6.50%, 01/04/2000 1,120,000 1,119
6.26%, 01/05/2000 745,000 744
-----------
4,162
MONEY MARKET FUND - 2.4%
Dreyfus Cash Management Plus,
5.53%, (b) 3,460,513 3,461
-----------
Total Short Term Investments
(cost $7,623) 7,623
-----------
TOTAL INVESTMENTS - 100%
(cost $152,331) $ 142,907
===========
- --------------------------------------------------------------------------------
(a) Denotes deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
(c) Coupon is indexed to 6 month Libor. Rate stated is in effect as of December
31, 1999.
(d) 144a security. Certain conditions for public sale may exist. CAD - Canadian
Dollar
Based on the cost of investments of $152,331 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $1,713, the gross
unrealized depreciation was $11,137 and the net unrealized depreciation on
investments was $9,424.
See notes to the financial statements.
114
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $157,727) $ 157,727
Cash 7,249
Receivables:
Interest 1
Fund shares sold 127
--------------
TOTAL ASSETS 165,104
--------------
LIABILITIES
Payables:
Advisory fees 71
Administrative fees 12
Fund shares redeemed 575
--------------
TOTAL LIABILITIES 658
--------------
NET ASSETS $ 164,446
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 164,446
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 164,446
==============
NET ASSET VALUE PER SHARE $ 1.00
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Interest $ 5,336
--------------
EXPENSES
Advisory fees 601
Administrative fees 100
--------------
TOTAL EXPENSES 701
--------------
NET INVESTMENT INCOME 4,635
--------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 4,635
==============
See notes to the financial statements.
115
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income ........................................................ $ 4,635 $ 2,626
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ................................................... (4,635) (2,626)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 529,903 129,093
Reinvestment of distributions ................................................ 4,635 2,626
Cost of shares redeemed ...................................................... (426,441) (117,178)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 108,097 14,541
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 108,097 14,541
NET ASSETS BEGINNING OF PERIOD ................................................. 56,349 41,808
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 164,446 $ 56,349
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 529,903 129,093
Reinvestment of distributions ............................................. 4,635 2,626
Shares redeemed ........................................................... (426,441) (117,178)
-------------- --------------
Net increase .............................................................. 108,097 14,541
============== ==============
</TABLE>
See notes to the financial statements.
116
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- --------------- -----------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------------- --------------- --------------- ------------- --------------
INCOME FROM OPERATIONS:
Net investment income ............................. 0.05 0.05 0.05 0.04 0.04
--------------- --------------- --------------- ------------- --------------
LESS DISTRIBUTIONS:
From net investment income ........................ (0.05) (0.05) (0.05) (0.04) (0.04)
--------------- --------------- --------------- ------------- --------------
Net increase ...................................... -- -- -- -- --
--------------- --------------- --------------- ------------- --------------
NET ASSET VALUE, END OF PERIOD ...................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=============== =============== =============== ============= ==============
TOTAL RETURN (A) .................................... 4.67% 4.99% 5.01% 3.61% 4.59%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......... $ 164,446 $ 56,349 $ 41,808 $ 23,752 $ 6,816
Ratio of expenses to average net assets (b) ....... 0.70% 0.74% 0.75% 0.75% 0.75%
Ratio of net investment income to average net
assets (b) ........................................ 4.63% 4.87% 4.92% 4.75% 5.06%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ....... n/a 0.75% 0.76% 0.85% 1.30%
Ratio of net investment income to average net
assets (b) ........................................ n/a 4.86% 4.91% 4.65% 4.51%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
117
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
AMORTIZED
PRINCIPAL COST
AMOUNT (000'S)
- ---------------------------------------------------------------
COMMERCIAL PAPER -- 100%
AUTO MANUFACTURERS - 4.1%
DaimlerChrysler North America
Holding Corp.
5.78%, 01/21/2000 $1,000,000 $ 997
5.50%, 01/31/2000 1,300,000 1,294
5.70%, 02/03/2000 1,200,000 1,194
5.96%, 02/07/2000 3,000,000 2,982
------------
6,467
BEVERAGES - 0.8%
Coca-Cola Co., 5.05%, 01/26/2000 1,300,000 1,295
CHEMICALS - 4.4%
E.I. du Pont de Nemours & Co.,
5.25%, 01/25/2000 7,000,000 6,976
COMPUTERS - 3.7%
International Business Machines
Corp.,
6.50%, 01/13/2000 5,800,000 5,787
COSMETICS & PERSONAL CARE - 3.3%
Allergan, 6.75%, 01/05/2000 3,000,000 2,993
Procter & Gamble Co., 6.05%,
02/11/2000 2,270,000 2,254
------------
5,247
DIVERSIFIED FINANCIAL SERVICES - 45.7%
American Express Co.
6.50%, 01/04/2000 1,672,000 1,671
6.30%, 01/05/2000 1,500,000 1,499
6.35%, 01/20/2000 1,530,000 1,525
5.50%, 01/28/2000 1,000,000 996
5.73%, 02/17/2000 1,250,000 1,241
American General Finance Corp.
6.28%, 01/21/2000 3,500,000 3,488
5.78%, 02/18/2000 2,165,000 2,148
Associated Corp. of North America
5.71%, 01/14/2000 1,000,000 998
5.69%, 01/20/2000 4,015,000 4,003
Chevron UK Investment Plc
5.80%, 01/13/2000 3,200,000 3,194
6.00%, 01/22/2000 2,000,000 1,993
CIT Group Holding Inc.
6.01%, 01/12/2000 3,500,000 3,494
6.20%, 01/31/2000 2,360,000 2,348
Countrywide Funding Corp.
6.17%, 01/06/2000 2,750,000 2,748
6.05%, 01/18/2000 2,507,000 2,500
5.50%, 01/26/2000 1,500,000 1,494
Ford Credit Co.
6.35%. 01/10/2000 3,800,000 3,794
5.40%, 01/25/2000 500,000 498
5.51%, 02/17/2000 2,000,000 1,986
General Motors Acceptance Corp.
5.06%, 01/25/2000 600,000 598
5.74%, 02/04/2000 1,650,000 1,641
5.72%, 02/29/2000 1,800,000 1,783
5.76%, 03/03/2000 1,015,000 1,005
Heller Financial Inc.
6.00%, 02/23/2000 1,840,000 1,824
6.08%, 02/24/2000 3,500,000 3,468
<PAGE>
AMORTIZED
PRINCIPAL COST
AMOUNT (000'S)
- ---------------------------------------------------------------
Merrill Lynch & Co. Inc.
5.95%, 01/31/2000 $2,000,000 $ 1,990
5.13%, 02/01/2000 970,000 966
5.37%, 02/01/2000 1,650,000 1,642
5.18%, 02/02/2000 900,000 896
Norwest Financial Inc.
6.35%, 01/27/2000 5,500,000 5,475
Sears Roebuck Acceptance Corp.
6.16%, 01/14/2000 2,100,000 2,095
5.71%, 01/28/2000 1,600,000 1,593
USAA Capital Corp.
5.72%, 01/19/2000 1,750,000 1,745
5.94%, 01/31/2000 1,250,000 1,244
5.92%, 02/11/2000 2,520,000 2,503
------------
72,086
ELECTRIC - 0.6%
Central & South West Corp., 5.90%,
01/27/2000 950,000 946
FOOD - 4.0%
ConAgra Inc., 6.45%, 01/28/2000 950,000 945
Hershey Foods Corp., 5.73%,
02/10/2000 4,450,000 4,422
Safeway Inc., 6.45%, 01/07/2000 950,000 949
------------
6,316
LEISURE TIME - 4.2%
Hasbro Inc.
5.05%, 01/06/2000 5,000,000 4,996
5.65%, 03/10/2000 928,000 918
5.68%, 03/10/2000 765,000 757
------------
6,671
MACHINERY - 1.1%
Deere & Co., 6.00%, 01/07/2000 1,750,000 1,748
MANUFACTURING - 4.4%
General Electric Capital Corp.
5.04%, 01/24/2000 1,000,000 997
5.70%, 02/08/2000 1,000,000 994
5.74%, 02/24/2000 1,000,000 991
5.75%, 03/06/2000 2,000,000 1,979
5.82%, 06/16/2000 2,000,000 1,946
------------
6,907
MEDIA - 6.4% McGraw Hill Inc.
6.30%, 01/18/2000 4,000,000 3,988
5.51%, 02/04/2000 2,600,000 2,586
Walt Disney Co.
5.70%, 01/28/2000 1,620,000 1,613
5.87%, 02/09/2000 1,850,000 1,838
------------
10,025
OIL & GAS PRODUCERS - 0.6%
Consolidated Natural Gas Co.
5.70%, 01/28/2000 1,000,000 996
PACKAGING & CONTAINERS - 0.6%
Crown Cork & Seal Co. Inc.
6.68%, 01/19/2000 365,000 364
6.62%, 02/01/2000 281,000 279
6.50%, 03/03/2000 305,000 302
------------
945
See notes to the financial statements.
118
<PAGE>
PPM AMERICA/JNL MONEY MARKET SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
AMORTIZED
PRINCIPAL COST
AMOUNT (000'S)
- ---------------------------------------------------------------
PHARMACEUTICALS - 4.8%
American Home Products Corp.
5.37%, 01/19/2000 $ 820,000 $ 818
5.78%, 03/06/2000 1,278,000 1,265
Schering Corp., 6.05%, 02/08/2000 5,500,000 5,465
------------
7,548
TELECOMMUNICATIONS - 11.3% AT&T Corp.
6.05%, 01/10/2000 3,200,000 3,195
5.75%, 01/24/2000 2,100,000 2,092
BellSouth Telecommunications Inc.
5.30%, 01/18/2000 1,000,000 997
6.05%, 02/15/2000 1,600,000 1,587
5.85%, 02/25/2000 3,230,000 3,201
AMORTIZED
PRINCIPAL COST
AMOUNT (000'S)
- ---------------------------------------------------------------
Cox Communications Corp., 6.68%,
01/19/2000 $ 950,000 $ 947
GTE Corp.
6.05%, 01/19/2000 2,000,000 1,994
6.37%, 02/01/2000 1,600,000 1,591
5.98%, 03/07/2000 2,185,000 2,161
------------
17,765
------------
Total Commercial Paper
(cost $157,725) 157,725
------------
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus, 5.53%
(a) (cost $2) 2,043 2
------------
TOTAL INVESTMENTS - 100%
(cost $157,727) $ 157,727
============
- --------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
See notes to the financial statements.
119
<PAGE>
[SALOMON BROTHERS ASSET MANAGEMENT LOGO]
SALOMON BROTHERS/JNL BALANCED SERIES
SALOMON BROTHERS ASSET MANAGEMENT INC
GEORGE WILLIAMSON
OBJECTIVE:
Salomon Brothers/JNL Balanced Series seeks to obtain above-average income. As a
secondary objective, the Series seeks to take advantage of opportunities for
growth of capital and income. The Series seeks to achieve its objectives
primarily through investments in a broad variety of securities, including equity
securities, fixed-income securities and short-term obligations.
MONEY MANAGER COMMENTARY:
During 1999, the Series' equity allocation was repositioned into high quality
growth at a reasonable price focus and the fixed income allocation shifted
toward higher grade credits. The asset allocation was changed to a 60% equity
and 40% fixed income target for the purpose of making the Series more
competitive. This repositioning was initiated at mid-year and was carefully
pursued throughout the last half of the year.
For the year, the Series returned 0.09% as compared to - 0.83% for the Salomon
Smith Barney Broad Investment Grade Index and 21.04% for the S&P 500 Index.
The current stock market environment reflects the tug-of-war that often occurs
at inflection points in the economy. The U.S. stock market has benefited from
the ideal combination of a strong domestic economy and low domestic interest
rates, but now must contend with changes that are taking place in the world
economy. Financial markets are likely to intensify their focus on labor markets
in early 2000, following the lead of the Federal Reserve policymakers. Recent
FOMC policy statements have highlighted diminishing labor market slack due to
the imbalance between aggregate supply and demand, which could prove
inflationary. Chairman Greenspan has warned repeatedly of a shortage of
available workers.
Going forward, the global economy should enjoy a healthy start in the new
millennium. The medium term outlook for global growth has improved reflecting
both a higher capacity for growth in the U.S. and evidence that this increased
capacity will spread elsewhere in the industrial world. Nonetheless, the risks
to the outlook remain notable, including widely cited U.S. imbalances that have
surfaced in recent years.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
SALOMON BROTHERS/JNL BALANCED SERIES, THE S&P 500 INDEX AND THE
SALOMON SMITH BARNEY BROAD INVESTMENT GRADE INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
SALOMON SMITH BARNEY
SALOMON BROTHERS/JNL BROAD INVESTMENT GRADE
BALANCED SERIES INDEX S&P 500 INDEX
-------------------- ---------------------- -------------
<S> <C> <C> <C>
3/02/1998 10000 10000 10000
3/31 10270 10039 10551
6/30 10230 10271 10858
9/30 9900 10697 9780
12/31/1998 10591 10741 11861
3/31 10571 10691 12453
6/30 11009 10592 13330
9/30 10469 10669 12498
12/31/1999 10601 10651 14357
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 0.09%
Since inception*........ 3.23%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
120
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $8,303) $ 8,162
Receivables:
Dividends and interest 43
Fund shares sold 3
Investment securities sold 16
--------------
TOTAL ASSETS 8,224
--------------
LIABILITIES
Payables:
Advisory fees 5
Administrative fees 1
Investment securities purchased 701
--------------
TOTAL LIABILITIES 707
--------------
NET ASSETS $ 7,517
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 7,721
Undistributed net investment income 5
Accumulated net realized loss on (68)
investments
Net unrealized depreciation on investments (141)
--------------
$ 7,517
==============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 744
==============
NET ASSET VALUE PER SHARE $ 10.11
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 58
Interest 200
--------------
TOTAL INVESTMENT INCOME 258
--------------
EXPENSES
Advisory fees 46
Administrative fees 6
--------------
TOTAL EXPENSES 52
--------------
NET INVESTMENT INCOME 206
--------------
REALIZED AND UNREALIZED LOSSES
Net realized loss on investments (52)
Net change in unrealized depreciation
on investments (211)
--------------
NET REALIZED AND UNREALIZED LOSSES (263)
--------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (57)
==============
See notes to the financial statements.
121
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 206 $ 65
Net realized loss on investments ............................................. (52) (16)
Net change in unrealized appreciation (depreciation) on investments .......... (211) 70
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (57) 119
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (202) (66)
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (202) (66)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 5,952 4,871
Reinvestment of distributions ................................................ 202 66
Cost of shares redeemed ...................................................... (1,675) (1,693)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 4,479 3,244
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 4,220 3,297
NET ASSETS BEGINNING OF PERIOD ................................................. 3,297 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 7,517 $ 3,297
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 5 $ 1
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 566 483
Reinvestment of distributions ............................................. 20 6
Shares redeemed ........................................................... (160) (171)
--------------- ---------------
Net increase .............................................................. 426 318
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 6,980 $ 4,662
Proceeds from sales of securities ......................................... 3,234 1,665
Purchases of U.S. Government obligations .................................. 1,201 2,427
Proceeds from sales of U.S. Government obligations ........................ 1,251 1,295
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
122
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31 DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.38 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.28 0.21
Net realized and unrealized gains (losses) on investments .................... (0.27) 0.38
--------------- ---------------
Total income from operations ................................................ 0.01 0.59
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.28) (0.21)
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
Total distributions .......................................................... (0.28) (0.21)
--------------- ---------------
Net increase (decrease) ...................................................... (0.27) 0.38
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 10.11 $ 10.38
=============== ===============
TOTAL RETURN (A) ............................................................... 0.09% 5.91%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 7,517 $ 3,297
Ratio of expenses to average net assets (b) .................................. 0.90% 0.95%
Ratio of net investment income to average net assets (b) ..................... 3.54% 3.49%
Portfolio turnover ........................................................... 59.53% 128.41%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................. n/a 2.38%
Ratio of net investment income to average net assets (b) ..................... n/a 2.06%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
123
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 50.9%
AEROSPACE & DEFENSE - 0.3%
Honeywell International Inc. 450 $ 26
AUTO MANUFACTURERS - 0.5%
DaimlerChrysler AG (a) 498 39
BANKS - 2.9%
Bank of America Corp. 1,205 60
Chase Manhattan Corp. 900 70
First Union Corp. 1,300 43
Fleet Boston Financial Corp. 1,000 35
Mercantile Bancshares Corp. 900 29
-----------
237
BEVERAGES - 4.7%
Anheuser-Busch Cos. Inc. 1,600 113
Coca-Cola Co. 1,500 87
Coca-Cola Enterprises Inc. 5,100 103
PepsiCo Inc. 2,200 78
-----------
381
CHEMICALS - 0.2%
USEC Inc. 2,500 18
COMMERCIAL SERVICES - 1.0%
Reynolds & Reynolds 2,800 63
United Parcel Service Inc. 300 21
-----------
84
COMPUTERS - 3.2%
International Business Machines 2,400 259
Corp.
COSMETICS & PERSONAL CARE - 3.4%
Avon Products Inc. 1,800 59
Gillette Co. 2,100 86
Kimberly-Clark Corp. 800 52
Proctor & Gamble Co. 700 77
-----------
274
DIVERSIFIED FINANCIAL SERVICES -
1.4%
Associates First Capital Corp. 1,500 41
Berkshire Hathaway Inc. - Class
B (a) 40 73
-----------
114
ELECTRIC - 0.8%
American Electric Power Co. 1,000 32
Edison International 1,200 31
-----------
63
FOOD - 3.1%
H.J. Heinz Co. 1,500 60
Hormel Foods Corp. 1,200 49
Ralston Purina Group 900 25
Safeway Inc. (a) 2,000 71
Sara Lee Corp. 2,000 44
-----------
249
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
HEALTHCARE - 0.8%
Bausch & Lomb Inc. 1,000 $ 69
INSURANCE - 3.3%
Allstate Corp. 2,900 70
American International Group 577 62
Inc.
Chubb Corp. 800 45
Cigna Corp. 700 56
Horace Mann Educators Corp. 2,000 39
-----------
272
MANUFACTURING - 3.2%
Beckman Coulter Inc. 1,200 61
Cooper Industries Inc. 600 24
Eastman Kodak Co. 1,000 66
General Electric Co. 700 108
-----------
259
MEDIA - 1.8%
Time Warner Inc. 1,200 87
Walt Disney Co. 2,200 64
-----------
151
OFFICE & BUSINESS EQUIPMENT - 0.4%
Xerox Corp. 1,400 32
OIL & GAS PRODUCERS - 3.5%
Amerada Hess Corp. 600 34
BP Amoco Plc - ADR 794 47
Exxon Mobil Corp. 700 56
Royal Dutch Petroleum Co. - NY
Shares 700 42
Schlumberger Ltd. 1,100 62
Suncor Energy Inc. 900 38
Transocean Sedco Forex Inc. 213 7
-----------
286
PHARMACEUTICALS - 6.5%
Abbott Laboratories 2,000 74
American Home Products Corp. 1,400 55
Bristol-Myers Squibb Co. 1,000 64
Johnson & Johnson 700 65
Merck & Co. Inc. 1,500 101
Pfizer Inc. 2,200 71
Pharmacia & Upjohn Inc. 1,300 58
Warner-Lambert Co. 500 41
-----------
529
RETAIL - 2.9%
Costco Wholesale Corp. (a) 600 55
Delhaize America Inc. 900 19
J.C. Penney Co. 300 6
K Mart Corp. (a) 2,500 25
McDonald's Corp. 2,100 85
Rite Aid Corp. 2,000 22
Sears, Roebuck & Co. 900 27
-----------
239
See notes to the financial statements.
124
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SEMICONDUCTORS - 0.2%
Intel Corp 200 $ 16
TELECOMMUNICATIONS - 5.7%
Alcatel SA - ADR 1,500 68
AT&T Corp. 2,000 102
BCE Inc. 800 72
Bell Atlantic Corp. 1,000 62
GTE Corp. 200 14
MCI WorldCom Inc. (a) 450 24
SBC Communications Inc. 1,000 49
US West Inc. 1,100 79
-----------
470
TOBACCO - 0.2%
Philip Morris Cos. Inc. 800 19
TRANSPORTATION - 0.9%
Canadian National Railway Co. 1,400 37
Union Pacific Corp. 800 35
-----------
72
-----------
Total Common Stocks
(cost $4,168) 4,158
-----------
CORPORATE BONDS - 15.5%
AEROSPACE & DEFENSE - 0.2%
Raytheon Co., 6.15%, 11/01/2008 $ 20,000 18
ASSET BACKED SECURITIES - 1.2%
LB Commercial Conduit Mortgage
Trust, 6.78%, 04/15/2009 (c) 100,000 95
BANKS - 0.9%
Bank of America Corp., 6.625%,
06/15/2004 75,000 73
CHEMICALS - 0.3%
Praxair Inc., 6.15%, 04/15/2003 25,000 24
COMMERCIAL SERVICES - 1.3%
Comdisco Inc., 6.00%, 01/30/2002 65,000 63
Service Corp. International,
6.00%, 12/15/2005 55,000 42
-----------
105
COMPUTERS - 0.3%
S3 Inc., 5.75%, 10/01/2003 25,000 23
DIVERSIFIED FINANCIAL SERVICES -
7.7%
Aristar Inc., 7.25%, 06/15/2006 (c) 100,000 97
Countrywide Home Loans Inc.,
6.25%, 04/15/2009 50,000 45
Donaldson, Lufkin & Jenrette
Inc.,
5.875%, 04/01/2002 50,000 49
Ford Motor Credit Co.,
7.375%, 10/28/2009 75,000 74
Lehman Brothers Inc., 7.25%,
04/15/2003 (c) 125,000 124
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Merrill Lynch & Co. Inc.,
6.00%, 11/15/2004 $ 75,000 $ 71
Paine Webber Group Inc., 7.625%,
12/01/2009 75,000 73
Sears, Roebuck Acceptance Corp.,
7.00%, 06/15/2007 (c) 100,000 94
-----------
627
INSURANCE - 0.9%
Fremont General Corp., 7.70%,
03/17/2004 75,000 72
MEDIA - 0.6%
A.H. Belo Corp., 7.25%,
09/15/2027 50,000 44
Rogers Communications Inc.,
2.00%, 11/26/2005 10,000 9
-----------
53
REAL ESTATE - 0.6%
Spieker Properties Inc., 7.25%,
05/01/2009 50,000 46
RETAIL - 0.6%
Staples Inc., 7.125%, 08/15/2007 50,000 48
STORAGE & WAREHOUSING - 0.4%
Quantum Corp., 7.00%, 08/01/2004 50,000 38
TELECOMMUNICATIONS - 0.5%
GTE Corp., 6.94%, 04/15/2028 50,000 45
-----------
Total Corporate Bonds
(cost $1,328) 1,267
-----------
PREFERRED STOCKS - 0.8%
MEDIA - 0.6%
News Corp. Ltd. 1,500 50
OIL & GAS PRODUCERS - 0.2%
Tesoro Petroleum Corp. 1,000 12
-----------
Total Preferred Stocks
(cost $68) 62
-----------
U.S. GOVERNMENT SECURITIES - 19.3%
U.S. GOVERNMENT AGENCIES - 11.8%
Federal Home Loan Mortgage Corp.,
6.25%, 07/15/2004 (c) 100,000 98
Federal National Mortgage
Association
6.50%, 07/01/2028 (c) 183,022 173
7.00%, 02/01/2029 (c) 87,390 85
6.00%, TBA (b) 130,000 119
6.50%, TBA (b) 200,000 188
7.00%, TBA (b) 50,000 49
7.00%, TBA (b) 100,000 97
8.00%, TBA (b) 150,000 151
-----------
960
See notes to the financial statements.
125
<PAGE>
SALOMON BROTHERS/JNL BALANCED SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
U.S. TREASURY SECURITIES - 7.5%
U.S. Treasury Notes
6.00%, 08/15/2004 (c) $ 325,000 $ 320
5.625%, 05/15/2008 (c) 100,000 94
6.00%, 08/15/2009 (c) 60,000 58
U.S. Treasury Bonds
6.125%, 08/15/2029 (c) 150,000 143
-----------
615
-----------
Total U.S. Government
Securities
(cost $1,639) 1,575
-----------
SHORT TERM INVESTMENTS - 13.5%
REPURCHASE AGREEMENTS - 13.5%
Repurchase agreement with State
Street Bank, 3.00% (Collateralized
by $420,000 U.S. Treasury Note,
8.50%, due 02/15/2000, market
value $510,300) acquired on
12/31/1999,
due 01/03/2000 500,000 500
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Repurchase agreement with J.P.
Morgan & Co., 2.90% (Collateralized
by $495,000 U.S. Treasury Note,
9.00%, due 11/15/2018, market
value $611,998) acquired on
12/31/1999, due 01/03/2000 $ 600,000 $ 600
-----------
Total Short Term Investments
(cost $1,100) 1,100
-----------
TOTAL INVESTMENTS - 100%
(cost $8,303) $ 8,162
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Investment purchased on a when-issued basis.
(c) Security pledged as collateral for investment purchased on a when-issued
basis.
Based on the cost of investments of $8,301 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $336, the gross
unrealized depreciation was $475 and the net unrealized depreciation on
investments was $139.
See notes to the financial statements.
126
<PAGE>
[SALOMON BROTHERS ASSET MANAGEMENT LOGO]
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SALOMON BROTHERS ASSET MANAGEMENT INC
PETER J. WILBY, DAVID J. SCOTT, ROGER LAVAN
OBJECTIVE:
Salomon Brothers/JNL Global Bond Series seeks as its investment objective a high
level of current income. As a secondary objective, the Series will seek capital
appreciation. The Series seeks to achieve its objectives by investing in a
globally diverse portfolio of fixed income investments and by giving the
sub-adviser broad discretion to deploy the Series' assets among certain segments
of the fixed income market that the sub-adviser believes will best contribute to
achievement of the Series' investment objectives.
MONEY MANAGER COMMENTARY:
For 1999, the Series returned 1.87% as compared to the Salomon Smith Barney
Broad Investment Grade Index which returned - 0.83%. The Series outperformed
relative to its benchmark over the year due to its exposure to the emerging
market debt sector, the highest returning sector of the fixed income market, as
reported by the Salomon Smith Barney Brady Bond Index.
Performance for high yield bonds and emerging market debt started off 1999
strong, as the financial markets shrugged off Brazil's currency problems. The
investment grade bond market also had a stellar start, benefiting from stable
Treasury rates, declining volatility and a reduction in liquidity premiums. As
the year progressed, however, the bond market encountered some difficulties.
Fears of an overheating economy coupled with mounting investor fear of
inflation, Y2K concerns, and tax loss selling conspired against the fixed income
sector. The mounting inflation concerns forced a proactive Federal Reserve to
raise the federal funds rate another 25 basis points in November to 5.50%, the
third increase this year. As 1999 drew to a close, dealers took on lower
inventories as they prepared for Y2K, which resulted in an illiquid market.
We believe there is a very strong case for further Fed tightening in the first
half of 2000 given a continued tight labor market and persistent strong consumer
demand. This tightening will likely do more to flatten the yield curve than move
the overall bond market to significantly higher levels. If the Federal Reserve
is successful in offsetting rising inflation, then long-term interest rates
should start to fall toward the end of 2000 and going into 2001. The emerging
market debt sector should perform well as the strength in the global economy
keeps commodity prices well supported in 2000. We expect high yield bonds to
benefit from declining default rates, strong merger and acquisition activity,
wide spreads, and solid growth coupled with low to moderate inflation here in
the U.S.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
SALOMON BROTHERS/JNL GLOBAL BOND SERIES AND THE
SALOMON SMITH BARNEY BROAD INVESTMENT GRADE INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL GLOBAL SALOMON SMITH BARNEY BROAD
BOND SERIES INVESTMENT GRADE INDEX
--------------------------- --------------------------
<S> <C> <C>
5/15/1995 10000 10000
6/30 10040 10265
9/30 10240 10459
12/31/1995 10714 10913
3/31 11074 10722
6/30 11371 10774
9/30 11910 10976
12/31/1996 12256 11307
3/31 12326 11249
6/30 12925 11654
9/30 13432 12041
12/31/1997 13563 12397
3/31 13868 12597
6/30 13904 12888
9/30 13526 13423
12/31/1998 13897 13478
3/31 13975 13415
6/30 13884 13291
9/30 13884 13387
12/31/1999 14157 13365
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 1.87%
Since inception*........ 7.79%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
127
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $100,109) $ 97,978
Cash 15
Receivables:
Interest 1,519
Forward currency contracts 136
Fund shares sold 97
Investment securities sold 1,946
----------------
TOTAL ASSETS 101,691
----------------
LIABILITIES
Payables:
Advisory fees 58
Administrative fees 7
Forward currency contracts 134
Fund shares redeemed 9
Investment securities purchased 20,422
----------------
TOTAL LIABILITIES 20,630
----------------
NET ASSETS $ 81,061
================
NET ASSETS CONSIST OF:
Paid-in capital $ 85,473
Undistributed net investment income 86
Accumulated net realized loss on
investments and foreign currency
related items (2,362)
Net unrealized depreciation on:
Investments (2,131)
Foreign currency related items (5)
----------------
$ 81,061
================
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 7,908
================
NET ASSET VALUE PER SHARE $ 10.25
================
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Interest $ 5,291
Security lending income 10
Foreign taxes withheld (17)
--------------
TOTAL INVESTMENT INCOME 5,284
--------------
EXPENSES
Advisory fees 550
Administrative fees 65
--------------
TOTAL EXPENSES 615
--------------
NET INVESTMENT INCOME 4,669
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments (1,228)
Foreign currency related items 9
Net change in unrealized depreciation on:
Investments (1,978)
Foreign currency related items (6)
--------------
NET REALIZED AND UNREALIZED LOSSES (3,203)
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 1,466
==============
See notes to the financial statements.
128
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 4,669 $ 3,112
Net realized gain (loss) on:
Investments ................................................................ (1,228) (1,088)
Foreign currency related items ............................................. 9 (53)
Net change in unrealized depreciation on:
Investments ................................................................ (1,978) (1,034)
Foreign currency related items ............................................. (6) (34)
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 1,466 903
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (4,624) (3,055)
From net realized gains on investment transactions ........................... -- --
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (4,624) (3,055)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 49,908 26,136
Reinvestment of distributions ................................................ 4,624 3,055
Cost of shares redeemed ...................................................... (18,480) (15,597)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 36,052 13,594
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 32,894 11,442
NET ASSETS BEGINNING OF PERIOD ................................................. 48,167 36,725
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 81,061 $ 48,167
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) ..................................... $ 86 $ (12)
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 4,672 2,317
Reinvestment of distributions ............................................. 451 286
Shares redeemed ........................................................... (1,728) (1,392)
-------------- --------------
Net increase .............................................................. 3,395 1,211
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 72,538 $ 66,412
Proceeds from sales of securities ......................................... 49,035 36,847
Purchases of U.S. Government obligations .................................. 6,193 9,003
Proceeds from sales of U.S. Government obligations ........................ 3,144 10,941
</TABLE>
See notes to the financial statements.
129
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- --------------- -----------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................ $ 10.67 $ 11.12 $ 10.63 $ 10.46 $ 10.00
--------------- --------------- --------------- --------------- -------------
INCOME FROM OPERATIONS:
Net investment income ............................. 0.62 0.72 0.54 0.42 0.81
Net realized and unrealized gains (losses) on
investments and foreign currency
related items .................................... (0.42) (0.45) 0.59 0.70 0.24
--------------- --------------- --------------- --------------- -------------
Total income from operations ...................... 0.20 0.27 1.13 1.12 1.05
--------------- --------------- --------------- --------------- -------------
LESS DISTRIBUTIONS:
From net investment income ........................ (0.62) (0.72) (0.58) (0.69) (0.56)
From net realized gains on investment transactions -- -- (0.05) (0.26) (0.03)
Return of capital ................................. -- -- (0.01) -- --
--------------- --------------- --------------- --------------- -------------
Total distributions ............................... (0.62) (0.72) (0.64) (0.95) (0.59)
--------------- --------------- --------------- --------------- -------------
Net increase (decrease) ........................... (0.42) (0.45) 0.49 0.17 0.46
--------------- --------------- --------------- --------------- -------------
NET ASSET VALUE, END OF PERIOD ...................... $ 10.25 $ 10.67 $ 11.12 $ 10.63 $ 10.46
=============== =============== =============== =============== =============
TOTAL RETURN (A) .................................... 1.87% 2.46% 10.66% 10.68% 10.74%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......... $ 81,061 $ 48,167 $ 36,725 $ 12,483 $ 6,380
Ratio of expenses to average net assets (b) (c) ... 0.95% 1.00% 1.01% 0.99% 1.00%
Ratio of net investment income to average net .....
assets (b) ........................................ 7.22% 7.05% 6.83% 7.52% 9.01%
Portfolio turnover ................................ 98.01% 261.87% 134.55% 109.85% 152.89%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ....... n/a 1.01% 1.08% 1.44% 2.14%
Ratio of net investment income to average net
assets (b) ........................................ n/a 7.04% 6.76% 7.07% 7.87%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
(c) For the year ended December 31, 1997, the ratio of expenses to average net
assets excluding non-operating expenses was 1.00%.
See notes to the financial statements.
130
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
CORPORATE BONDS - 30.0%
AEROSPACE & DEFENSE - 0.1%
Raytheon Co., 6.15%, 11/01/2008 $ 100,000 $ 88
AIRLINES - 0.4%
Airplanes Pass-Through Trust,
10.875%, 03/15/2012 250,000 216
Northwest Airlines Inc.,
7.625%, 03/15/2005 250,000 223
-----------
439
ASSET BACKED SECURITIES - 6.4%
Commercial Mortgage Asset Trust,
7.35%, 08/17/2013 1,000,000 927
ContiMortgage Home Equity Loan
Trust, 7.00%, 12/25/2029 500,000 434
Countrywide Mortgage Backed
Securities Inc., 7.75%,
06/25/2024 673,442 658
DLJ Commercial Mortgage Corp.
7.50%, 05/10/2023 - Interest
only 4,422,753 180
9.67%, 11/12/2031 - Interest
only 4,406,180 223
First Union Securitization Trust,
7.00%, 08/25/2028 97,632 87
GE Capital Mortgage Services
Inc., 6.75%, 10/25/2028 394,997 356
Green Tree Financial Corp.,
7.07%, 01/15/2029 563,506 555
LB Commercial Conduit Mortgage
Trust,
6.78%, 04/15/2009 1,000,000 953
Mid-State Trust, 7.34%,
07/01/2035 729,357 707
PNC Mortgage Securities Corp.
6.75%, 05/25/2028 147,559 128
6.8412%, 05/25/2028 221,075 195
6.734%, 07/25/2028 195,779 170
6.7722%, 03/25/2029 421,963 381
6.9057%, 04/25/2029 361,478 318
-----------
6,272
AUTO MANUFACTURERS - 0.2%
Navistar International Corp.,
8.00%, 02/01/2008 150,000 144
AUTO PARTS & EQUIPMENT - 1.0%
Advanced Stores Co. Inc., 10.25%,
04/15/2008 250,000 217
Breed Technologies Inc.,
9.25%, 04/15/2008 (f) 250,000 6
Hayes Lemmerz International
Inc., 8.25%, 12/15/2008 250,000 229
J.H. Heafner Co. Inc., 10.00%,
03/13/2008 300,000 274
TRW Inc., 6.45%, 06/15/2001 (g) 250,000 247
-----------
973
BANKS - 1.7%
Bank of America Corp.,
6.625%, 06/15/2004 250,000 244
Commerzbank Overseas Finance NV,
10.25%, 04/28/2000 AUD 700,000 464
ContiFinancial Corp.,
8.125%, 04/01/2008 (f) 250,000 29
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
European Bank for Reconstruction
&
Development, 10.50%, 01/25/2001
PLN 400,000 $ 91
European Investment Bank, 7.50%,
03/23/2000 CAD 500,000 346
International Finance Corp.,
20.25%, 05/05/2000 PLN 1,500,000 363
Nordic Investment Bank, 17.75%,
04/15/2002 PLN 340,000 87
Sudwest LB Capital Market,
17.50%, 05/05/2003 PLN 270,000 72
-----------
1,696
CHEMICALS - 1.3%
Huntsman Corp., 9.50%,
07/01/2007 (g) $ 150,000 143
Lyondell Chemical Co.,
9.875%, 05/01/2007 250,000 259
Philip Brothers Chemicals Inc.,
9.875%, 06/01/2008 125,000 110
Praxair Inc., 6.15%, 04/15/2003 200,000 191
Safety-Kleen Services,
9.25%, 06/01/2008 375,000 371
United Industries Corp.,
9.875%, 04/01/2009 250,000 228
-----------
1,302
COMMERCIAL SERVICES - 1.3%
Comdisco Inc., 6.00%, 01/30/2002 200,000 194
Integrated Electric Services,
9.375%, 02/01/2009 250,000 248
Iron Mountain Inc.
10.125%, 10/01/2006 150,000 153
8.75%, 09/30/2009 100,000 97
Marsulex Inc., 9.625%, 07/01/2008 250,000 239
Primark Corp., 9.25%, 12/15/2008 250,000 233
Service Corp. International,
6.00%, 12/15/2005 200,000 151
-----------
1,315
COSMETICS & PERSONAL CARE - 0.4%
American Safety Razor Co.,
9.875%, 08/01/2005 250,000 245
French Fragrances Inc., 10.375%,
05/15/2007 125,000 121
Revlon Consumer Products Corp.,
8.625%, 02/01/2008 35,000 18
-----------
384
DIVERSIFIED FINANCIAL SERVICES - 3.1%
Countrywide Home Loans Inc.,
6.25%, 04/15/2009 350,000 314
DVI Inc., 9.875%, 02/01/2004 250,000 245
Ford Motor Credit Co.,
7.375%, 10/28/2009 600,000 594
General Electric Capital Corp.,
5.875%, 07/07/2000 AUD 410,000 268
High Voltage Engineering Corp.,
10.50%, 08/15/2004 125,000 110
Merrill Lynch & Co. Inc.
5.97%, 09/11/2000 CAD 1,060,000 731
6.00%, 11/15/2004 80,000 76
See notes to the financial statements.
131
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Paine Webber Group Inc.,
7.75%, 09/01/2002 $ 300,000 $ 302
TPSA Finance BV, 7.75%, 300,000 279
12/10/2008 (g)
Williams Scotsman Inc.,
9.875%, 06/01/2007 150,000 145
-----------
3,064
ELECTRONICS - 0.3%
Amphenol Corp., 9.875%, 250,000 256
05/15/2007
ENTERTAINMENT - 0.7%
Horseshoe Gaming LLC,
9.375%, 06/15/2007 250,000 249
Mohegan Tribal Gaming, 8.75%,
01/01/2009 150,000 149
Sun International Hotels Ltd.,
8.625%, 12/15/2007 250,000 234
-----------
632
ENVIRONMENTAL CONTROL - 0.2%
Allied Waste North America,
7.875%, 01/01/2009 250,000 221
FOOD - 0.0%
Pueblo Xtra International, 9.50%,
08/01/2003 60 36
FOREST PRODUCTS & PAPER - 0.5%
Doman Industries Ltd.,
8.75%, 03/15/2004 250,000 214
Repap New Brunswick,
10.625%, 04/15/2005 250,000 231
-----------
445
HEALTHCARE - 0.1%
Packard BioScience Co.,
9.375%, 03/01/2007 150,000 131
HOLDING COMPANIES - DIVERSIFIED - 0.4%
Jordan Industries Inc.,
10.375%, 08/01/2007 50,000 50
Nebco Evans Holding Co.,
(Step-Up Bond),
12.375%, 07/15/2007 (c) (f) 350,000 45
P&L Coal Holdings Corp.,
9.625%, 05/15/2008 250,000 243
-----------
338
HOME FURNISHINGS - 0.4%
Pillowtex Corp., 9.00%,
12/15/2007 25,000 10
Simmons Co., 10.25%, 03/15/2009 250,000 242
Windmere-Durable Holdings Inc.,
10.00%, 07/31/2008 125,000 123
-----------
375
INSURANCE - 0.2%
Fremont General Corp., 7.70%,
03/17/2004 225,000 217
IRON & STEEL - 0.6%
Algoma Steel Inc., 12.375%,
07/15/2005 345,000 325
LTV Corp., 11.75%, 11/15/2009 (g) 250,000 261
-----------
586
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
LEISURE TIME - 0.4%
Park Place Entertainment Corp.,
7.875%, 12/15/2005 $ 250,000 $ 239
Protection One Alarm Monitoring
Inc., 8.125%, 01/15/2009 (g) 225,000 108
-----------
347
LODGING -0.7%
Harrah's Operating Co. Inc.,
7.875%, 12/15/2005 250,000 241
HMH Properties Inc.,
7.875%, 08/01/2008 250,000 223
Prime Hospitality Corp.,
9.75%, 04/01/2007 250,000 243
-----------
707
MACHINERY - 0.3%
Tenneco Automotive Inc.,
11.625%, 10/15/2009 (g) 250,000 255
MANUFACTURING - 1.2%
Alvey Systems Inc.,
11.375%, 01/31/2003 125,000 129
Axiohm Transaction Solutions,
9.75%, 10/01/2007 (f) 150,000 34
Blount Inc., 13.00%, 08/01/2009 (g) 250,000 263
Cabot Safety Corp., 12.50%,
07/15/2005 250,000 258
Foamex LP, 9.875%, 06/15/2007 250,000 210
Pacifica Paper Inc., 10.00%,
03/15/2009 250,000 258
-----------
1,152
MEDIA - 2.3%
Adelphia Communications Corp.
10.50%, 07/15/2004 100,000 105
9.875%, 03/01/2007 100,000 102
Albritton Communications Co.,
9.75%, 11/30/2007 125,000 126
Charter Communications Holdings,
LLC, (Step-Up Bond), 9.92%,
04/01/2011 (c) 800,000 471
CSC Holdings Inc., 10.50%,
05/15/2016 250,000 278
Diamond Cable Communications Plc,
(Step-Up Bond), 11.75%,
12/15/2005 (c) 150,000 142
Granite Broadcasting Corp.,
8.875%, 05/15/2008 165,000 160
Hollinger International
Publishing Inc.,
9.25%, 02/01/2006 250,000 248
Lin Holdings Corp., (Step-Up
Bond), 10.00%, 03/01/2008 (c) 375,000 256
Telewest Communications Plc,
(Step-Up Bond), 11.00%,
10/01/2007 (c) 150,000 140
United GlobalCom Inc., (Step-Up
Bond), 10.75%, 02/15/2008 (c) 400,000 255
-----------
2,283
METALS & MINING - 0.2%
Glencore Nickel Property Ltd.,
9.00%,12/01/2014 175,000 151
Oxford Automotive Inc.,
10.125%, 06/15/2007 75,000 71
-----------
222
See notes to the financial statements.
132
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
OIL & GAS PRODUCERS - 0.9%
Belco Oil & Gas Corp.,
8.875%, 09/15/2007 $ 150,000 $ 144
Continental Resources Inc.,
10.25%, 08/01/2008 250,000 218
Devon Energy Corp.,
10.25%, 11/01/2005 250,000 272
Range Resources Corp.,
8.75%, 01/15/2007 250,000 227
-----------
861
PACKAGING & CONTAINERS - 0.1%
Radnor Holdings Corp., 10.00%,
12/01/2003 100,000 100
PHARMACEUTICALS - 0.2%
Alaris Medical Systems Inc.,
9.75%, 12/01/2006 250,000 222
REAL ESTATE - 0.7%
CB Richard Ellis Services Inc.,
8.875%, 06/01/2006 250,000 226
Forest City Enterprises Inc.,
8.50%, 03/15/2008 325,000 304
Spieker Properties Inc., 7.25%,
05/01/2009 200,000 186
-----------
716
RETAIL - 1.0%
Cole National Group Inc.,
8.625%, 08/15/2007 250,000 189
Finlay Fine Jewelry Corp.,
8.375%, 05/01/2008 300,000 275
Guitar Center Management Co.
Inc., 11.00%, 07/01/2006 250,000 247
Indesco International Inc.,
9.75%, 04/15/2008 250,000 112
Staples Inc., 7.125%, 08/15/2007 150,000 144
-----------
967
STORAGE & WAREHOUSE - 0.2%
Quantum Corp., 7.00%, 08/01/2004 250,000 189
TELECOMMUNICATIONS - 1.7%
AT&T Canada Inc., (Step-Up Bond),
9.95%, 06/15/2008 (c) 250,000 197
GTE Corp., 6.94%, 04/15/2028 150,000 135
Intermedia Communication Inc.
8.50%, 01/15/2008 125,000 115
8.60%, 06/01/2008 125,000 115
Jordan Telecom Products, (Step-Up
Bond), 11.75%, 08/01/2007 (c) 300,000 317
Nextel Communications, Inc.,
(Step-Up Bond), 9.75%,
10/31/2007 (c) 350,000 251
NTL Inc., (Step-Up Bond),
11.50%, 02/01/2006 (c) 225,000 203
Sprint Capital Corp., 6.50%,
11/15/2001 350,000 347
-----------
1,680
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
TEXTILES - 0.4%
Collins & Aikman Floorcoverings,
10.00%, 01/15/2007 $ 150,000 $ 147
Panolam Industries International
Inc., 11.50%, 02/15/2009 (g) 250,000 256
-----------
403
TRANSPORTATION - 0.4%
Holt Group Inc., 9.75%,
01/15/2006 200,000 134
TFM SA, (Step-Up Bond),
11.75%, 06/15/2009 (c) 335,000 216
-----------
350
-----------
Total Corporate Bonds
(cost $31,595) 29,368
-----------
GOVERNMENT SECURITIES - 51.1%
SOVEREIGN - 26.5%
EUROFIMA, 17.00%, 03/04/2005 PLN 1,300,000 370
Federal Republic of Brazil,
14.50%, 10/15/2009 1,173,000 1,299
Federal Republic of Germany
5.875%, 05/15/2000 EUR 930,000 940
4.00%, 06/16/2000 EUR 250,000 251
4.00%, 07/04/2009 EUR 260,000 235
6.50%, 07/04/2027 EUR 71,580 77
5.625%, 01/04/2028 EUR 500,000 477
Federation of Russia
9.25%, 11/27/2001 300,000 236
11.75%, 06/10/2003 300,000 222
6.9063%, 12/15/2015 2,900,000 507
12.75%, 06/24/2028 1,250,000 875
KFW International Finance
16.30%, 06/24/2003 PLN 330,000 87
2.05%, 09/21/2009 JPY 114,000,000 1,150
Kingdom of Morocco,
6.0625%, 01/01/2009 670,714 607
Kingdom of Spain, 6.15%,
01/31/2013 EUR 220,000 228
Kingdom of Sweden,
10.25%, 05/05/2003 SEK 2,100,000 282
National Republic of Bulgaria
7.0625%, 07/28/2011 450,000 354
2.75%, 07/28/2012 (Step-Up
Bond) (d) 1,000,000 720
Norwegian Treasury Bill,
5.25%, 03/15/2000 NOK 6,000,000 746
Republic of Algeria, 6.375%, 692
03/04/2010 975,000
Republic of Argentina
11.75%, 04/07/2009 900,000 897
11.375%, 01/30/2017 425,000 419
6.00%, 03/31/2023 1,150,000 757
Republic Of Brazil
7.00%, 04/15/2012 1,100,000 817
8.00%, 04/15/2014 (h) 2,334,219 1,745
Republic of Columbia,
10.875%, 03/09/2004 1,200,000 1,230
Republic of Croatia,
6.4563%, 07/31/2006 (e) 519,266 480
Republic of Ecuador, (Step-Up
Bond), 4.00%, 02/28/2025 (d) 500,000 171
See notes to the financial statements.
133
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Republic of Greece
11.00%, 02/25/2000 GRD 43,500,000 $ 132
7.60%, 01/22/2002 GRD 49,000,000 151
8.90%, 04/01/2003 GRD 402,500,000 1,305
6.60%, 01/15/2004 GRD 146,000,000 446
Republic of Italy, 5.25%, 160,000 143
11/01/2029 EUR
Republic Of Ivory Coast,
(Step-Up Bond), 2.00%,
03/29/2018 (d) $ 2,100,000 341
Republic of Panama, (Step-Up
Bond), 4.25%, 07/17/2014 (d) 550,000 431
Republic of Peru, (Step-Up Bond),
4.50%, 03/07/2017 (d) (g) 1,450,000 1,004
Republic of Philippines
9.875%, 01/15/2019 150,000 148
8.60%, 06/15/2027 350,000 294
Republic of Slovenia,
5.375%, 05/27/2005 EUR 360,000 355
Republic of Venezuela
6.875%, 03/31/2007 (e) 357,141 281
7.00%, 12/18/2007 380,952 300
13.625%, 08/15/2018 1,250,000 1,116
United Mexican States
9.875%, 01/15/2007 800,000 832
11.375%, 09/15/2016 500,000 564
6.25%, 12/31/2019 1,600,000 1,256
-----------
25,970
U.S. GOVERNMENT AGENCIES - 19.8%
Federal Home Loan Mortgage Corp.
10.00%, 05/15/2020 17,468 19
7.34%, 06/15/2021 - Interest
only 815 21
Federal National Mortgage
Association
7.3935%, 08/17/2003 368,166 369
13.00%, 11/15/2015 4,567 5
10.40%, 04/25/2019 30,505 32
9.65%, 03/17/2020 - Interest
only 682,521 15
6.50%, 02/01/2026 206,877 197
9.65%, 02/25/2035 - Interest
only 2,216,095 149
9.65%, 10/17/2036 - Interest
only 4,209,193 103
12.47%, 01/25/2039 - Interest
only 6,236,986 344
6.00%, TBA (a) 4,750,000 4,346
7.00%, TBA (a) 1,000,000 967
7.50%, TBA (a) 13,000,000 12,854
-----------
19,421
U.S. TREASURY SECURITIES - 4.8%
U.S. Treasury Bonds
6.125%, 11/15/2027 (b) 100,000 93
5.50%, 08/15/2028 (b) 70,000 59
5.25%, 11/15/2028 (b) 1,500,000 1,236
5.25%, 02/15/2029 (b) 1,000,000 828
SHARES OR MARKET
<PAGE>
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
U.S. Treasury Notes
5.25%, 05/31/2001 (b) $ 2,000,000 $ 1,974
4.75%, 11/15/2008 (b) 500,000 441
-----------
4,631
-----------
Total Government Securities
(cost $49,815) 50,022
-----------
OPTIONS - 0.0%
Hong Kong Dollar Put, exercise
price:
7.81, expiration 01/2000 91,500 0
7.8025, expiration 01/2000 45,000 0
-----------
Total Options
(cost $135) 0
-----------
WARRANTS - 0.0%
United Mexican States 321 30
-----------
Total Warrants
(cost $6) 30
-----------
SHORT TERM INVESTMENTS - 18.9%
COMMERCIAL PAPER - 18.3%
Consolidated Coal Co.,
6.52%, 01/19/2000 (b) 3,000,000 2,990
Gatx Capital Corp.,
6.47%, 01/19/2000 (b) 3,000,000 2,991
Litton Industries Inc.,
6.47%, 01/19/2000 (b) 3,000,000 2,990
Tennessee Gas Pipeline Co.,
6.40%, 01/19/2000 (b) 3,000,000 2,991
Tyco International Group SA,
6.52%, 01/19/2000 (b) 3,000,000 2,990
USEC Inc., 6.52%, 01/19/2000 (b) 3,000,000 2,990
-----------
17,942
REPURCHASE AGREEMENT - 0.6%
Repurchase agreement with State
Street Bank, 3.00%, (Collateralized
by $520,000 U.S. Treasury Bond,
8.50%, due 02/15/2020, market
value $631,800), acquired on
12/31/99, due 01/03/2000 616,000 616
-----------
Total Short Term Investments
(cost $18,558) 18,558
-----------
TOTAL INVESTMENTS - 100%
(cost $100,109) $ 97,978
===========
- --------------------------------------------------------------------------------
(a) Investment purchased on a when-issued basis.
(b) Security pledged as collateral for investment purchased on a when-issued
basis.
(c) Denotes deferred interest security that receives no coupon payments until a
predetermined date at which time the stated coupon rate becomes effective.
(d) Coupon payment periodically increases over the life of the security. Rate
is in effect as of December 31, 1999.
(e) Coupon is indexed to six month Libor. Rate stated is in effect as of
December 31, 1999.
(f) Bond is in default.
(g) 144a security. Certain conditions for public sale may exist.
(h) Denotes payment-in-kind security, which may pay interest in additional
principal amount.
See notes to the financial statements.
134
<PAGE>
SALOMON BROTHERS/JNL GLOBAL BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
AUD - Australian Dollar; CAD - Canadian Dollar; EUR - Euro; GRD - Greek Drachma;
JPY - Japanese Yen; NOK - Norwegian Krone; PLN - Polish Zloty; SEK - Swedish
Krona
Based on the cost of investments of $100,175 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $1,717, the gross
unrealized depreciation was $3,914 and the net unrealized depreciation on
investments was $2,197.
FORWARD CURRENCY CONTRACTS, OPEN AT DECEMBER 31, 1999 (IN 000'S):
CURRENCY
UNITS
CURRENCY PURCHASED/SOLD PURCHASED CURRENCY UNREALIZED
AND SETTLEMENT DATE (SOLD) VALUE IN $ GAIN (LOSS)
U.S.
- --------------------------- ------------- -------------- --------------
British Pound 1/18/00 187 $ 301 $ (5)
British Pound 1/28/00 505 814 (17)
British Pound 1/28/00 (692) (1,115) 29
Euro 1/18/00 169 169 (9)
Euro 1/28/00 2,251 2,259 (69)
Euro 1/28/00 (882) (885) 19
Greek Drachma 1/28/00 272,199 825 1
Greek Drachma 1/28/00 (286,534) (868) 43
Japanese Yen 1/28/00 83,736 822 19
Japanese Yen 1/28/00 (115,727) (1,136) (9)
Swedish Krona 1/28/00 2,664 312 --
------------- ---------------
$ 1,498 $ 2
============= ===============
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 1999:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
- -------------------------------------------------------- ------------------
Algeria 0.7% $ 692
Argentina 2.1% 2,073
Australia 0.6% 615
Bahamas 0.2% 234
Brazil 3.9% 3,861
Bulgaria 1.1% 1,074
Canada 1.6% 1,595
Columbia 1.3% 1,230
Ecuador 0.2% 171
Germany 2.0% 1,981
Greece 2.1% 2,033
Hungary 0.5% 480
Italy 0.2% 143
Ivory Coast 0.3% 341
Mexico 3.0% 2,898
Morocco 0.6% 607
Netherlands 0.3% 279
Norway 0.8% 746
Panama 0.4% 431
Peru 1.0% 1,004
Philippines 0.5% 442
Poland 0.9% 912
Russia 1.9% 1,841
Slovakia 0.4% 354
Spain 0.2% 228
Sweden 0.3% 282
United Kingdom 0.4% 355
United States 70.8% 69,379
Venezuela 1.7% 1,697
------------------- ------------------
TOTAL 100.0% $ 97,978
=================== ==================
See notes to the financial statements.
135
<PAGE>
[SALOMON BROTHERS ASSET MANAGEMENT LOGO]
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
SALOMON BROTHERS ASSET MANAGEMENT INC
PETER J. WILBY
OBJECTIVE:
Salomon Brothers/JNL High Yield Bond Series seeks to maximize current income. As
a secondary objective, the Series seeks capital appreciation. The Series seeks
to achieve its objectives by investing primarily in a diversified portfolio of
high-yield, high-risk fixed-income securities of U.S. issuers rated in medium to
lower rating categories.
MONEY MANAGER COMMENTARY:
For the year, the Series returned -1.76% as compared to 1.73% for the Salomon
Smith Barney High Yield Market Index. The Series' underperformance relative to
its benchmark was due to overweighted positions in retail and consumer products
and underweighted position in telecommunications. The Series benefited, however,
from its heavier weightings in chemicals, steel/metals, and gaming and
underweightings in textiles and supermarkets/ drugstores.
While benefiting from a strong economy, the high yield market suffered from a
back-up in U.S. Treasuries due to concern about rising inflation, mutual fund
outflows, a heavy new issue calendar, a reduction in broker/dealer liquidity, a
volatile equity market and a rise in default rates. The concerns were that a
weak recovery in Asia and a recession in Latin America could trigger a slowdown
in the U.S. economy. Economic growth in the U.S., however, was stronger than
anticipated. Heightened credit concerns developed as default rates increased,
particularly in commodities issuers exposed to global competition and pricing
volatility, and in more speculative telecommunications issuers whose access to
alternative capital markets was limited. The aforementioned factors rattled
individual investors, resulting in prolonged mutual fund outflows. Finally,
tightening broker-dealer liquidity and a heavy new issue calendar in the second
and third quarters further constrained liquidity in the high yield market.
As the period progressed, the high yield market, driven by technical, credit and
liquidity concerns, became increasingly selective in the new issue and secondary
market. The sector preferred larger, more liquid issues from higher quality
issuers, thus punishing underperformers. Investors also demanded tighter
covenant packages and higher yields, which effectively re-priced the secondary
market to lower levels.
Going forward, we expect the high yield market to modestly improve over the next
six months as expectations for continued robust economic growth and improved
technical factors, including mutual fund investors returning to the market,
continued strong CBO demand and fund managers investing excess cash balances
held over the year-end for Y2K reasons.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES AND THE
SALOMON SMITH BARNEY HIGH YIELD MARKET INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL HIGH YIELD SALOMON SMITH BARNEY HIGH YIELD
BOND SERIES MARKET INDEX
------------------------------- -------------------------------
<S> <C> <C>
3/02/1998 10000 10000
3/31 10050 10108
6/30 10140 10213
9/30 9830 9723
12/31/1998 10132 10063
3/31 10291 10214
6/30 10164 10241
9/30 9942 10064
12/31/1999 9954 10238
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. -1.76%
Since inception*....... - 0.25%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date March 2, 1998.
136
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $11,442) $ 10,457
Receivables:
Interest 244
Fund shares sold 1
---------------
TOTAL ASSETS 10,702
---------------
LIABILITIES
Payables:
Advisory fees 7
Administrative fees 1
Fund shares redeemed 4
---------------
TOTAL LIABILITIES 12
---------------
NET ASSETS $ 10,690
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 12,012
Undistributed net investment income --
Accumulated net realized loss on
investments (337)
Net unrealized depreciation on investments (985)
===============
$ 10,690
===============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 1,227
==============
NET ASSET VALUE PER SHARE $ 8.71
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Interest $ 888
--------------
EXPENSES
Advisory fees 74
Administrative fees 9
--------------
TOTAL EXPENSES 83
--------------
NET INVESTMENT INCOME 805
--------------
REALIZED AND UNREALIZED LOSSES
Net realized loss on investments (324)
Net change in unrealized depreciation
on investments (682)
--------------
NET REALIZED AND UNREALIZED LOSSES (1,006)
--------------
NET DECREASE IN NET ASSETS FROM OPERATIONS $ (201)
==============
See notes to the financial statements.
137
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 805 $ 397
Net realized loss on investments ............................................. (324) (13)
Net change in unrealized depreciation on investments ......................... (682) (303)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... (201) 81
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (807) (395)
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (807) (395)
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 5,748 8,247
Reinvestment of distributions ................................................ 807 395
Cost of shares redeemed ...................................................... (2,245) (940)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 4,310 7,702
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 3,302 7,388
NET ASSETS BEGINNING OF PERIOD ................................................. 7,388 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 10,690 $ 7,388
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ -- $ 1
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 600 824
Reinvestment of distributions ............................................. 93 41
Shares redeemed ........................................................... (236) (95)
-------------- --------------
Net increase .............................................................. 457 770
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 7,935 $ 10,933
Proceeds from sales of securities ......................................... 4,223 3,908
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
138
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 2,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- --------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 9.59 $ 10.00
--------------- --------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.71 0.54
Net realized and unrealized losses on investments ............................ (0.88) (0.41)
--------------- --------------
Total income (loss) from operations .......................................... (0.17) 0.13
--------------- --------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.71) (0.54)
From net realized gains on investment transactions ........................... -- --
--------------- --------------
Total distributions .......................................................... (0.71) (0.54)
--------------- --------------
Net decrease ................................................................. (0.88) (0.41)
--------------- --------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 8.71 $ 9.59
=============== ==============
TOTAL RETURN (A) ............................................................... (1.76)% 1.32%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 10,690 $ 7,388
Ratio of expenses to average net assets (b) .................................. 0.90% 0.95%
Ratio of net investment income to average net assets (b) ..................... 8.74% 7.80%
Portfolio turnover ........................................................... 31.39% 37.45%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT:
Ratio of expenses to average net assets (b) .................................. n/a 1.39%
Ratio of net investment income to average net assets (b) ..................... n/a 7.36%
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
139
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
CORPORATE BONDS - 91.0%
ADVERTISING - 1.1%
SITEL Corp., 9.25%, 03/15/2006 $ 125,000 $ 115
AEROSPACE & DEFENSE - 2.0%
Sequa Corp., 9.00%, 08/01/2009 125,000 121
Stellex Industries Inc., 9.50%,
11/01/2007 125,000 90
-----------
211
AIRLINES - 2.1%
Airplanes Pass-through Trust,
10.875%, 03/15/2019 125,000 108
Continental Airlines Inc., 8.00%,
12/15/2005 125,000 115
-----------
223
AUTO MANUFACTURERS - 1.1%
Navistar International Corp.,
8.00%, 02/01/2008 125,000 120
AUTO PARTS & EQUIPMENT - 5.6%
Advanced Stores Co. Inc.,
10.25%, 04/15/2008 125,000 108
American Axle & Manufacturing
Inc., 9.75%, 03/01/2009 125,000 126
Federal-Mogul Corp., 7.50%,
01/15/2009 125,000 113
J.L. French Automotive Castings
Inc., 11.50%, 06/01/2009 125,000 126
Lear Corp., 8.11%, 05/15/2009 (c) 125,000 118
-----------
591
BUILDING MATERIALS - 0.4%
International Utility Structures
Inc., 10.75%, 02/01/2008 50,000 42
CHEMICALS - 6.4%
Lyondell Chemical Co.,
9.875%, 05/01/2007 125,000 129
Octel Developments Plc,
10.00%, 05/01/2006 125,000 128
PCI Chemicals Canada Inc.,
9.25%, 10/15/2007 125,000 96
Safety-Kleen Services,
9.25%, 06/01/2008 125,000 124
Sterling Chemicals Inc.,
12.375%, 07/15/2006 75,000 77
United Industries Corp.,
9.875%, 04/01/2009 125,000 114
-----------
668
COMMERCIAL SERVICES - 4.7%
Avis Rent A Car Inc.,
11.00%, 05/01/2009 125,000 132
Iron Mountain Inc., 8.75%,
09/30/2009 125,000 121
Primark Corp., 9.25%, 12/15/2008 125,000 117
World Color Press Inc.,
8.375%, 11/15/2008 125,000 123
-----------
493
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COSMETICS & PERSONAL CARE - 1.3%
French Fragrances Inc., 10.375%,
05/15/2007 $ 125,000 $ 121
Revlon Consumer Products Corp,
8.625%, 02/01/2008 20,000 10
-----------
131
DIVERSIFIED FINANCIAL SERVICES - 2.4%
ContiFinancial Corp.
7.50%, 03/15/2002 (d) 50,000 6
8.125%, 04/01/2008 (d) 75,000 9
DVI Inc., 9.875%, 02/01/2004 125,000 123
High Voltage Engineering Corp,
10.50%, 08/15/2004 75,000 66
Williams Scotsman Inc.,
9.875%, 06/01/2007 50,000 48
-----------
252
ENTERTAINMENT - 1.1%
Sun International Hotel Ltd.,
8.625%, 12/15/2007 125,000 117
ENVIRONMENTAL CONTROL - 1.1%
Allied Waste North America,
7.875%, 01/01/2009 125,000 111
FOOD - 1.6%
Ameriserve Food Distribution
Inc., 10.125%, 07/15/2007 (d) 125,000 45
Premier International Foods Plc,
12.00%, 09/01/2009 (c) 125,000 125
-----------
170
FOREST PRODUCTS & PAPER - 1.0%
Doman Industries Ltd.,
8.75%, 03/15/2004 125,000 107
HOLDING COMPANIES-DIVERSIFIED - 1.2%
P&L Coal Holdings Corp.,
9.625%, 05/15/2008 125,000 121
HOME FURNISHINGS - 3.7%
Home Interiors & Gifts Inc.,
10.125%, 06/01/2008 125,000 107
PillowTex Corp., 9.00%,
12/15/2007 75,000 32
Simmons Co., 10.25%, 03/15/2009 125,000 121
Windmere-Durable Holdings Inc.,
10.00%, 07/31/2008 125,000 123
-----------
383
HOUSEHOLD PRODUCTS - 0.0%
Breed Technologies Inc.,
9.25%, 10/15/2008 (d) 100,000 2
IRON & STEEL - 1.5%
LTV Corp., 11.75%, 11/15/2009 (c) 150,000 156
See notes to the financial statements.
140
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
LEISURE TIME - 3.9%
Hollywood Park Inc., 9.25%, $ 125,000 $ 124
Isle of Capri Casinos Inc.,
8.75%, 04/15/2009 125,000 115
Park Place Entertainment Corp.,
7.875%, 12/15/2005 125,000 120
Protection One Alarm Monitoring
Inc., 8.125%, 01/15/2009 (c) 110,000 53
-----------
412
LODGING - 1.1%
HMH Properties , 7.875%,
08/01/2008 125,000 112
MANUFACTURING - 7.8%
Axiohm Transaction Solutions
Inc., 9.75%, 10/01/2007 (d) 125,000 28
Blount Inc., 13.00%, 08/01/2009 (c) 125,000 132
Cabot Safety Corp., 12.50%,
07/15/2005 125,000 129
Foamex LP, 9.875%, 06/15/2007 125,000 105
Gentek Inc., 11.00%, 08/01/2009 (c) 125,000 130
Hexcel Corp., 9.75%, 01/15/2009 75,000 63
Mattress Discounters Corp.,
12.625%, 07/15/2007 100,000 98
Pacifica Paper Inc., 10.00%,
03/15/2009 125,000 129
-----------
814
MEDIA - 10.4%
Adelphia Communications Corp.,
9.50%, 02/15/2004 17,090 17
Allbritton Communications Co.,
9.75%, 11/30/2007 125,000 126
Century Communications Corp.,
8.375%, 12/15/2007 125,000 118
CSC Holdings Inc., 7.625%, 125,000 116
07/15/2018 125,000 116
Falcon Holding Group LP,
8.375%, 04/15/2010 125,000 126
FrontierVision Holdings LP,
11.00%, 10/15/2006 125,000 132
Insight Midwest LP,
9.75%, 10/01/2009 (c) 125,000 130
Sinclair Broadcast Group Inc.,
9.00%, 07/15/2007 125,000 117
Telewest Communications Plc,
(Step-Up Bond),
9.25%, 04/15/2009 (b) (c) 125,000 79
UnitedGlobalCom Inc., (Step-Up
Bond), 10.75%, 02/15/2008 (b) 200,000 127
-----------
1,088
METALS & MINING - 0.8%
AEI Resources Inc.,
10.50%, 12/15/2005 (c) 125,000 88
OIL & GAS PRODUCERS - 5.2%
Belco Oil & Gas Corp,
8.875%, 09/15/2007 125,000 120
Canadian Forest Oil Ltd.,
8.75%, 09/15/2007 100,000 95
Clark Refining & Marketing Inc.,
8.875%, 11/15/2007 125,000 75
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Devon Energy Corp., 10.25%,
11/01/2005 $ 125,000 $ 136
Plains Resources Inc.,
10.25%, 03/15/2006 (c) 125,000 122
-----------
548
PACKAGING & CONTAINERS - 1.2%
Delta Beverage Group Inc.,
9.75%, 12/15/2003 125,000 123
REAL ESTATE - 1.1%
Forest City Enterprises Inc.,
8.50%, 03/15/2008 125,000 117
RETAIL - 7.2%
Cole National Group Inc.,
8.625%, 08/15/2007 125,000 95
Duane Reade Inc., 9.25%,
02/15/2008 125,000 122
Finaly Fine Jewelry Corp.,
8.375%, 05/01/2008 125,000 115
Guitar Center Inc., 11.00%,
07/01/2006 125,000 124
Hollinger International
Publishing Inc.,
9.25%, 03/15/2007 125,000 124
Indesco International Inc.,
9.75%, 04/15/2008 125,000 56
Leslie's Poolmart, 10.375%,
07/15/2004 125,000 112
-----------
748
TELECOMMUNICATIONS - 10.6%
AT&T Canada Inc., (Step-Up Bond),
9.95%, 06/15/2008 (b) 200,000 157
Centennial Cellular Corp.,
10.75%, 12/15/2008 125,000 134
Energis Plc, 9.75%, 06/15/2009 125,000 131
Intermedia Communications Inc.,
8.50%, 01/15/2008 125,000 115
Jordan Telecommunications
Products Inc.,
(Step-Up Bond), 11.75%,
08/01/2007 150,000 159
Nextel Communications Inc.,
(Step-Up Bond), 9.75%,
10/31/2007 (b) 200,000 143
NTL Inc., (Step-Up Bond),
11.50%, 02/01/2006 (b) 150,000 136
Orange Plc, 9.00%, 06/01/2009 125,000 132
-----------
1,107
TOBACCO - 0.9%
North Atlantic Trading Co.,
11.00%, 06/15/2004 100,000 91
TRANSPORTATION - 2.5%
Atlantic Express Transportation
Corp., 10.75%, 02/01/2004 100,000 97
Enterprises Shipholding Corp.,
8.875%, 05/01/2008 125,000 75
Holt Group, 9.75%, 01/15/2006 125,000 84
-----------
256
-----------
Total Corporate Bonds
(cost $10,502) 9,517
-----------
See notes to the financial statements.
141
<PAGE>
SALOMON BROTHERS/JNL HIGH YIELD BOND SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 9.0%
MONEY MARKET FUND - 0.0%
Dreyfus Cash Management Plus,
5.53% (a) 903 $ 1
REPURCHASE AGREEMENT - 9.0%
Repurchase agreement with State
Street
Bank, 3.00% (Collateralized by
$790,000 U. S. Treasury Bond,
8.50%, due 02/15/2020, market
value $959,850), acquired on
12/31/1999, due 01/03/2000 $ 939,000 939
-----------
Total Short Term Investments
(cost $940) 940
-----------
TOTAL INVESTMENTS - 100%
(cost $11,442) $ 10,457
===========
- --------------------------------------------------------------------------------
(a) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
(b) Denoted deferred interest security that receives no current coupon payments
until a predetermined date at which time the stated coupon rate becomes
effective.
(c) 144a security. Certain conditions for public sale may exist.
(d) Bond in default.
Based on the cost of investments of $11,442 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $124, the gross
unrealized depreciation was $1,109 and the net unrealized depreciation on
investments was $985.
See notes to the financial statements.
142
<PAGE>
[SALOMON BROTHERS ASSET MANAGEMENT LOGO]
SALOMON BROTHERS/JNL U.S. GOVERNMENT &
QUALITY BOND SERIES
SALOMON BROTHERS ASSET MANAGEMENT INC
ROGER LAVAN
OBJECTIVE:
Salomon Brothers/JNL U.S. Government & Quality Bond Series seeks as its
investment objective a high level of current income, by investing primarily in
debt obligations and mortgage-backed securities issued or guaranteed by the U.S.
Government, its agencies or instrumentalities including collateralized mortgage
obligations backed by such securities. The Series may also invest a portion of
its assets in investment-grade bonds.
MONEY MANAGER COMMENTARY:
For the one-year period ending December 31, 1999, the Series returned -2.50%,
versus the Salomon Brothers Treasury Index which returned -2.45%. The Series
slightly underperformed its benchmark for the year due to a longer duration and
a heavier weighting in mortgages over the fourth quarter compared to its
benchmark.
The investment grade bond market started off 1999 benefiting from stable
Treasury rates, declining volatility and a reduction in liquidity premiums.
Performance for high yield bonds and emerging market debt had a stellar start,
as the financial markets shrugged off Brazil's currency problems. As the year
progressed, however, the bond market encountered problems. As interest rates
rose throughout the year, most fixed income classes posted negative returns.
Mortgage rates climbed to near 8% and 30 year Treasuries had their worst year
ever. Fears of an overheating economy coupled with mounting investor fear of
inflation and Y2K concerns conspired against the fixed income sector. The
mounting inflation concerns forced a proactive Federal Reserve to raise the
federal funds rate three times during the year from 4.75% to 5.50%, taking back
all three of its cuts from the prior year.
In our judgement, the challenge remains for Fed policymakers to slow the economy
to a more sustainable pace of growth. We believe there is a case for another 50
basis points of Fed tightening over the first part of 2000 given a continued
tight labor market, which could prove inflationary. This tightening will likely
do more to flatten the yield curve than move the overall bond market to higher
levels. But if the Fed is successful in offsetting rising inflation, then
long-term interest rates should start to fall before year-end 2000 and into
2001.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
AND THE SALOMON BROTHERS TREASURY INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
SALOMON BROTHERS/JNL U.S.
GOVERNMENT & QUALITY BOND SERIES SALOMON BROTHERS TREASURY INDEX
-------------------------------- -------------------------------
<S> <C> <C>
5/15/1995 10000 10000
6/30 10140 10277
9/30 10270 10449
12/31/1995 10694 10934
3/31 10466 10691
6/30 10507 10737
9/30 10694 10916
12/31/1996 10969 11232
3/31 10905 11142
6/30 11228 11522
9/30 11604 11911
12/31/1997 11974 12249
3/31 12153 12435
6/30 12422 12764
9/30 13150 13494
12/31/1998 13099 13475
3/31 12970 13267
6/30 12759 13145
9/30 12864 13239
12/31/1999 12772 13145
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. -2.50%
Since inception*........ 5.42%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
81
<PAGE>
See notes to the financial
statements.
144
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
<PAGE>
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $145,514) $ 141,007
Receivables:
Interest 772
Fund shares sold 45
Investment securities sold 22
---------------
TOTAL ASSETS 141,846
---------------
LIABILITIES
Payables:
Advisory fees 65
Administrative fees 9
Fund shares redeemed 156
Investment securities purchased 35,268
Other liabilities 19
---------------
TOTAL LIABILITIES 35,517
---------------
NET ASSETS $ 106,329
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 112,139
Undistributed net investment income 74
Accumulated net realized loss on (1,377)
investments
Net unrealized depreciation on investments (4,507)
---------------
$ 106,329
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 10,266
==============
NET ASSET VALUE PER SHARE $ 10.36
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Interest $ 5,693
Security lending income 66
--------------
TOTAL INVESTMENT INCOME 5,759
--------------
EXPENSES
Advisory fees 646
Administrative fees 92
--------------
TOTAL EXPENSES 738
--------------
NET INVESTMENT INCOME 5,021
--------------
REALIZED AND UNREALIZED LOSSES
Net realized loss on investments (1,298)
Net change in unrealized depreciation
on investments (5,840)
--------------
NET REALIZED AND UNREALIZED LOSSES (7,138)
--------------
NET DECREASE IN NET ASSETS
FROM OPERATIONS $ (2,117)
==============
See notes to the financial statements.
146
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 5,021 $ 2,191
Net realized gain (loss) on investments ...................................... (1,298) 773
Net change in unrealized appreciation (depreciation) on investments .......... (5,840) 644
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .......................... (2,117) 3,608
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (5,026) (2,196)
From net realized gains on investment transactions ........................... (24) (772)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (5,050) (2,968)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 84,784 51,208
Reinvestment of distributions ................................................ 5,050 2,968
Cost of shares redeemed ...................................................... (40,123) (16,420)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 49,711 37,756
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 42,544 38,396
NET ASSETS BEGINNING OF PERIOD ................................................. 63,785 25,389
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 106,329 $ 63,785
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 74 $ --
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 7,726 4,533
Reinvestment of distributions ............................................. 487 266
Shares redeemed ........................................................... (3,668) (1,452)
-------------- --------------
Net increase .............................................................. 4,545 3,347
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 121,554 $ 94,957
Proceeds from sales of securities ......................................... 100,473 63,672
Purchases of U.S. Government obligations .................................. 120,204 93,806
Proceeds from sales of U.S. Government obligations ........................ 100,473 63,359
</TABLE>
See notes to the financial statements.
144
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- ------------------------------ --------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ............... $ 11.15 $ 10.69 $ 10.20 $ 10.09 $ 10.00
--------------- --------------- --------------- -------------- --------------
INCOME FROM OPERATIONS:
Net investment income ............................ 0.51 0.41 0.44 0.24 0.45
Net realized and unrealized gains (losses) on
investments ...................................... (0.79) 0.60 0.49 0.24 0.02
--------------- --------------- --------------- -------------- --------------
Total income (loss) from operations .............. (0.28) 1.01 0.93 0.48 0.47
--------------- --------------- --------------- -------------- --------------
LESS DISTRIBUTIONS:
From net investment income ....................... (0.51) (0.41) (0.42) (0.34) (0.34)
From net realized gains on investment transactions -- (0.14) (0.02) (0.03) (0.04
--------------- --------------- --------------- -------------- --------------
Total distributions .............................. (0.51) (0.55) (0.44) (0.37) (0.38)
--------------- --------------- --------------- -------------- --------------
Net increase (decrease) (0.79) 0.46 0.49 0.11 0.09
--------------- --------------- --------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD ..................... $ 10.36 $ 11.15 $ 10.69 $ 10.20 $ 10.09
=============== =============== =============== ============== ==============
TOTAL RETURN (A) ................................... (2.50)% 9.40% 9.16% 4.82% 4.65%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ......... $ 106,329 $ 63,785 $ 25,389 $ 9,832 $ 3,007
Ratio of expenses to average net assets (b) ...... 0.80% 1.28% 0.94% 0.84% 0.84%
Ratio of net investment income to average net
assets (b) ....................................... 5.45% 5.33% 5.99% 5.72% 5.41%
Portfolio turnover ............................... 122.72% 429.70% 378.59% 218.50% 253.37%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ...... n/a 1.29% 1.05% 1.37% 2.53%
Ratio of net investment income to average net
assets (b) ....................................... n/a 5.32% 5.88% 5.19% 3.72%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
(c) For the years ended December 31, 1998 and 1997, the ratio of expenses to
average net assets excluding non-operating expenses was 0.85% for each
year.
See notes to the financial statements.
144
<PAGE>
SALOMON BROTHERS/JNL U.S. GOVERNMENT & QUALITY BOND SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
CORPORATE BONDS - 1.3%
DIVERSIFIED FINANCIAL SERVICES - 1.3%
Sallie Mae, 7.50%, 03/08/2000 $ 400,000 $ 401
Green Tree Financial Corp.,
7.07%, 03/08/2000 1,408,766 1,388
-----------
Total Corporate Bonds
(cost $1,751) 1,789
-----------
U.S. GOVERNMENT SECURITIES - 69.5%
U.S. GOVERNMENT AGENCIES - 40.6%
Federal Home Loan Bank
5.94%, 06/13/2000 300,000 299
5.80%, 09/02/2000 (b) 3,500,000 3,226
Federal Home Loan Mortgage Corp.
6.00%, 09/01/2010 2,823 3
7.00%, 07/01/2011 72,179 72
6.50%, 08/01/2013 410,632 400
8.25%, 04/01/2017 157,205 160
10.50%, 06/01/2020 429,807 466
8.00%, 07/01/2020 622,036 633
10.00%, 09/01/2020 862,859 929
8.50%, 03/15/2024 (b) 1,750,000 1,826
6.00%, 11/01/2028 (b) 4,296,325 3,948
6.50%, TBA (a) 9,000,000 8,488
Federal National Mortgage
Association
14.50%, 11/15/2014 3,393 4
12.50%, 09/20/2015 12,069 14
13.00%, 11/15/2015 9,742 11
12.00%, 01/01/2016 322,542 360
12.00%, 01/15/2016 11,100 13
12.50%, 01/15/2016 171,138 196
11.50%, 09/01/2019 3,311 4
10.50%, 08/01/2020 68,109 74
6.247%, 03/17/2021 860,000 803
6.50%, 03/01/2026 284,506 272
7.00%, 05/01/2026 204,937 200
9.00%, 08/01/2026 199,744 207
7.00%, 11/01/2028 503,787 490
7.00%, 12/01/2028 121,300 118
7.00%, 12/01/2028 112,956 110
6.65%, 12/28/2028 (b) 1,564,536 1,497
7.00%, 03/01/2029 436,620 423
7.00%, 03/01/2029 590,245 573
6.50%, 04/01/2029 1,931,557 1,823
6.50%, 04/01/2029 (b) 2,458,989 2,319
6.527%, 05/25/2030 (b) 2,250,000 2,085
6.00%, TBA (a) 3,920,000 3,587
6.50%, TBA (a) 17,950,000 16,912
7.00%, TBA (a) 2,500,000 2,415
7.50%, TBA (a) 2,000,000 1,976
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Government National Mortgage
Association
13.50%, 07/15/2010 $ 147,941 $ 168
8.50%, 01/15/2018 158,975 163
-----------
57,267
U.S. TREASURY SECURITIES - 28.9%
U.S. Treasury Bonds
6.625%, 02/15/2027 (b) 2,350,000 2,329
6.375%, 08/15/2027 1,000,000 960
5.25%, 11/15/2028 (b) 2,000,000 1,648
5.25%, 02/15/2029 (b) 2,000,000 1,656
U.S. Treasury Notes
5.25%, 05/31/2001 1,000,000 987
4.75%, 02/15/2004 1,500,000 1,414
5.25%, 05/15/2004 (b) 8,500,000 8,139
5.875%, 11/15/2004 (b) 5,000,000 4,900
4.75%, 11/15/2008 (b) 10,300,000 9,086
6.00%, 08/15/2009 (b) 10,000,000 9,688
-----------
40,807
-----------
Total U.S. Government
Securities
(cost $102,619) 98,074
-----------
SHORT TERM INVESTMENTS - 29.2%
COMMERCIAL PAPER - 28.6%
Consolidated Coal Co.,
6.52%, 01/19/2000 (b) 7,000,000 6,977
GATX Capital Corp.,
6.47%, 01/19/2000 (b) 6,500,000 6,479
Litton Industries Inc.,
6.47%, 01/19/2000 (b) 6,651,000 6,629
Tennessee Gas Pipeline Co.,
6.40%, 01/19/2000 (b) 7,000,000 6,978
Tyco International Group SA,
6.52%, 01/19/2000 7,000,000 6,977
USEC Inc., 6.52%, 01/19/2000 6,234,000 6,214
-----------
13,191
REPURCHASE AGREEMENT - 0.6%
Repurchase agreement with
Salomon Brothers, 3.00%
(Collateralized by $750,000
U.S. Treasury Bond,
8.50%, due 02/15/2020, market
value $911,250) acquired on
12/31/99, due 01/03/2000 890,000 890
-----------
Total Short Term Investments
(cost $41,144) 41,144
-----------
TOTAL INVESTMENTS - 100%
(cost $145,514) $ 141,007
===========
- --------------------------------------------------------------------------------
(a) Investment purchased on a when-issued basis.
(b) Security pledged as collateral for investment purchased on a when-issued
basis.
Based on the cost of investments of $145,653 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $143, the gross
unrealized depreciation was $4,789 and the net unrealized depreciation on
investments was $4,646.
See notes to the financial statements.
147
<PAGE>
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
T. ROWE PRICE ASSOCIATES, INC.
[T. ROWE PRICE LOGO] ROBERT W. SMITH
OBJECTIVE:
T. Rowe Price/JNL Established Growth Series seeks as its investment objective
long-term growth of capital and increasing dividend income through investment
primarily in common stocks of well-established growth companies.
MONEY MANAGER COMMENTARY:
Last year was a fitting conclusion to the decade, the century, and the
millennium. The bull market stormed into the future, propelled by the narrow but
powerful rally in technology stocks. Internet stocks in particular were the
source of much of the market's strength. This explosive performance spread
through international markets as well, driving a relatively small number of
stocks to valuation levels not seen in years.
The Series returned 21.77% for the year, just ahead of the S&P 500 Index but
behind the Lipper VA Growth Funds Average. Virtually all fund performance over
the past 12 months can be attributed to our technology holdings. We entered the
year underweighted in this sector, which hurt our early results. Subsequently,
we shifted toward a more aggressive approach vis-a-vis the group and regained
lost ground versus the S&P 500. However, we did not consider it prudent to focus
too heavily on technology shares in order to keep up with some exceptionally
aggressive members of our Lipper peer group.
America Online, Cisco Systems, Microsoft, Maxim Integrated Products, and Nextel
all made positive contributions. In other areas, we benefited from large
positions in Citigroup, GE, and Wal-Mart. Performance was hurt by a few
companies, such as Waste Management and Network Associates, whose fundamentals
failed to meet expectations, and by the decline of large holdings like Freddie
Mac and Safeway, solid enterprises that were sadly untouched by the Internet
euphoria. We maintained and added to these positions, since we are sanguine
about their prospects.
We expect technology spending to remain strong, but as the year progresses, we
expect the U.S. economy to cool a bit and traditional businesses to compete more
effectively with new Internet competitors. We don't think the speculative
exuberance over the Internet can continue indefinitely, and any slackening in
this area should help the Series relative to more aggressive funds as the risks
associated with high-flying stocks with no earnings foundation become more
apparent in 2000. We believe this would be a healthy development.
As always, we will continue to work diligently on your behalf in our search for
attractive investments, both here and abroad.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES AND THE S&P 500 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
T. ROWE PRICE/JNL ESTABLISHED
GROWTH SERIES S&P 500 INDEX
----------------------------- -------------
<S> <C> <C>
5/15/1995 10000 10000
6/30 10760 10356
9/30 11720 11179
12/31/1995 12146 11851
3/31 12823 12487
6/30 13376 13046
9/30 14019 13448
12/31/1996 14890 14568
3/31 14949 14958
6/30 17510 17567
9/30 18731 18882
12/31/1997 19277 19424
3/31 22227 22134
6/30 22597 22863
9/30 19968 20593
12/31/1998 24633 24975
3/31 25188 26220
6/30 26713 28068
9/30 25162 26315
12/31/1999 29995 30231
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 21.77%
Since inception*........ 26.74%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
148
<PAGE>
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $273,754) $ 350,962
Foreign currency 2
Receivables:
Dividends and interest 255
Foreign taxes recoverable 4
Fund shares sold 50
Investment securities sold 880
---------------
TOTAL ASSETS 352,153
---------------
LIABILITIES
Payables:
Advisory fees 234
Administrative fees 28
Fund shares redeemed 157
Investment securities purchased 396
---------------
TOTAL LIABILITIES 815
---------------
NET ASSETS $ 351,338
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 265,025
Undistributed net investment income 46
Accumulated net realized gain on
investments and foreign currency
related items 9,059
Net unrealized appreciation on investments 77,208
===============
$ 351,338
===============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 16,191
==============
NET ASSET VALUE PER SHARE $ 21.70
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 2,332
Interest 647
Security lending income 30
Foreign taxes withheld (47)
---------------
TOTAL INVESTMENT INCOME 2,962
---------------
EXPENSES
Advisory fees 2,242
Administrative fees 271
---------------
TOTAL EXPENSES 2,513
---------------
NET INVESTMENT INCOME 449
---------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain on:
Investments 27,184
Foreign currency related items 14
Net change in unrealized appreciation
(depreciation) on:
Investments 31,750
Foreign currency related items (1)
---------------
NET REALIZED AND UNREALIZED GAINS 58,947
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 59,396
===============
See notes to the financial statements.
149
<PAGE>
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 449 $ 640
Net realized gain (loss) on:
Investments ................................................................ 27,184 12,648
Foreign currency related items ............................................. 14 (78)
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ 31,750 27,869
Foreign currency related items ............................................. (1) 1
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 59,396 41,080
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (421) (627)
From net realized gains on investment transactions ........................... (22,355) (9,130)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS (22,776) (9,757)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 123,172 88,066
Reinvestment of distributions ................................................ 22,776 9,757
Cost of shares redeemed ...................................................... (47,829) (36,569)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 98,119 61,254
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 134,739 92,577
NET ASSETS BEGINNING OF PERIOD ................................................. 216,599 124,022
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 351,338 $ 216,599
============== ==============
UNDISTRIBUTED (ACCUMULATED) NET INVESTMENT INCOME (LOSS) ....................... $ 46 $ (7)
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 6,147 5,041
Reinvestment of distributions ............................................. 1,053 512
Shares redeemed ........................................................... (2,374) (2,126)
-------------- --------------
Net increase .............................................................. 4,826 3,427
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 235,082 $ 136,154
Proceeds from sales of securities ......................................... 159,357 88,014
</TABLE>
See notes to the financial statements.
150
<PAGE>
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- --------------- ------------------------------ --------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................. $ 19.06 $ 15.62 $ 12.56 $ 11.36 $ 10.00
--------------- --------------- --------------- -------------- --------------
INCOME FROM OPERATIONS:
Net investment income .............................. 0.03 0.05 0.06 0.03 0.07
Net realized and unrealized gains on investments
and foreign currency related items ................ 4.12 4.29 3.64 1.81 2.68
--------------- --------------- --------------- -------------- --------------
Total income from operations ....................... 4.15 4.34 3.70 1.84 2.75
--------------- --------------- --------------- -------------- --------------
LESS DISTRIBUTIONS:
From net investment income ......................... (0.03) (0.06) (0.03) (0.04) (0.06)
From net realized gains on investment transactions . (1.48) (0.84) (0.61) (0.09) (1.33)
Return of capital .................................. -- -- -- (0.51) --
--------------- --------------- --------------- -------------- --------------
Total distributions ................................ (1.51) (0.90) (0.64) (0.64) (1.39)
--------------- --------------- --------------- -------------- --------------
Net increase ....................................... 2.64 3.44 3.06 1.20 1.36
--------------- --------------- --------------- -------------- --------------
NET ASSET VALUE, END OF PERIOD ....................... $ 21.70 $ 19.06 $ 15.62 $ 12.56 $ 11.36
=============== =============== =============== ============== ==============
TOTAL RETURN (A) ..................................... 21.77% 27.78% 29.47% 16.12% 28.23%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ........... $ 351,338 $ 216,599 $ 124,022 $ 32,291 $ 8,772
Ratio of expenses to average net assets (b) ........ 0.93% 0.95% 0.98% 1.00% 1.00%
Ratio of net investment income to average net
assets (b) ......................................... 0.16% 0.38% 0.43% 0.59% 0.75%
Portfolio turnover ................................. 61.45% 54.93% 47.06% 36.41% 101.13%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ........ n/a 0.95% 0.98% 1.11% 2.09%
Ratio of net investment income (loss) to average
net assets (b) .................................... n/a 0.38% 0.43% 0.48% (0.34)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of period,
reinvestment of all distributions and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
151
<PAGE>
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 97.0%
ADVERTISING - 1.2%
Omnicom Group Inc. 42,200 $ 4,220
AEROSPACE & DEFENSE - 0.5%
Honeywell International Inc. 31,200 1,800
APPAREL - 0.4%
NIKE Inc. 25,900 1,284
BANKS - 3.9%
Bank of America Corp. 29,049 1,458
Bank of New York Co. Inc. 78,400 3,136
Firstar Corp. 150,800 3,186
HSBC Holdings Plc 63,000 883
Mellon Financial Corp. 51,200 1,744
Wells Fargo Co. 79,200 3,203
-----------
13,610
BEVERAGES - 0.6%
PepsiCo Inc. 61,800 2,178
BIOTECHNOLOGY - 1.3%
Amgen Inc. (a) 29,800 1,790
Genentech Inc. (a) 18,300 2,461
PE Corp.-PE Biosystems Group 2,800 337
-----------
4,588
BUILDING MATERIALS - 0.5%
Masco Corp. 66,300 1,682
COMMERCIAL SERVICES - 0.8%
Randstad Holdings NV 35,300 1,691
Rentokil Initial Plc 310,300 1,129
-----------
2,820
COMPUTERS - 6.8%
3Com Corp. (a) 49,100 2,307
Ceridian Corp. (a) 75,000 1,617
Cisco Systems Inc. (a) 64,100 6,867
Dell Computer Corp. (a) 97,800 4,988
Fujitsu Ltd. 41,000 1,867
Getronics NV 9,068 720
Hewlett-Packard Co. 29,200 3,327
Sun Microsystems Inc. (a) 26,800 2,075
-----------
23,768
COSMETICS & PERSONAL CARE - 1.0%
Colgate-Palmolive Co. 18,400 1,196
Gillette Co. 12,300 507
Kimberly-Clark Corp. 24,400 1,592
-----------
3,295
DIVERSIFIED FINANCIAL SERVICES - 7.7%
American Express Co. 3,000 499
Associates First Capital Corp. 67,100 1,841
Capital One Financial Corp. 52,700 2,540
Citigroup Inc. 150,475 8,361
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Fannie Mae 53,800 $ 3,359
Freddie Mac 173,200 8,151
Morgan Stanley Dean Witter & Co. 16,800 2,398
-----------
27,149
ELECTRICAL COMPONENTS & EQUIPMENT - 0.5%
Kyocera Corp. 7,000 1,812
ELECTRONICS - 3.8%
Epcos AG (a) 11,900 889
Flextronics International Ltd. (a) 59,700 2,746
Koninkijke Philips Electronics NV 23,300 3,153
Maxim Integrated Products Inc. (a) 72,000 3,397
Solectron Corp. (a) 34,100 3,244
-----------
13,429
ENTERTAINMENT - 0.4%
Mirage Resorts Inc. (a) 92,000 1,409
FOOD - 2.2%
Compass Group Plc 130,700 1,791
Kroger Co. (a) 110,700 2,089
Safeway Inc. (a) 111,300 3,958
-----------
7,838
HEALTHCARE - 2.5%
Baxter International Inc. 38,800 2,437
United Healthcare Corp. 49,600 2,635
Wellpoint Health Networks Inc.(a) 57,400 3,785
-----------
8,857
HOLDING COMPANIES - DIVERSIFIED -
2.0%
Berkshire Hathaway Inc. - Class
A (a) 37 2,076
Hutchison Whampoa Ltd. 275,100 3,999
Tomkins Plc 250,340 807
-----------
6,882
HOME FURNISHINGS - 0.3%
SONY Corp. 4,000 1,184
INSURANCE - 2.4%
ACE Ltd. 132,000 2,203
AMBAC Financial Group Inc. (a) 11,700 611
Fairfax Financial Holdings Ltd. (a) 4,100 694
Hartford Financial Services 30,500 1,445
Group Inc.
Mutual Risk Management Ltd. 54,100 910
PartnerRe Ltd. 33,300 1,080
UnumProvident Corp. 26,900 862
XL Capital Ltd. 10,600 550
-----------
8,355
LODGING - 0.3%
Starwood Hotels & Resorts
Worldwide Inc. 43,900 1,032
MACHINERY - 1.3%
Mannesman AG 19,100 4,585
MANUFACTURING - 6.9%
Corning Inc. 38,900 5,015
Danaher Corp. 38,400 1,853
See notes to the financial statements.
152
<PAGE>
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
General Electric Co. 48,800 $ 7,552
Teleflex Inc. 38,000 1,190
Tyco International Ltd. 190,724 7,414
Waters Corp. (a) 24,300 1,288
-----------
24,312
MEDIA - 7.6%
AMFM Inc. (a) 8,000 626
AT&T - Liberty Media Group -
Class A 57,100 3,240
CBS Corp. (a) 61,700 3,945
Charter Communications Inc. (a) 37,500 820
Clear Channel Communications
Inc. (a) 28,500 2,544
Comcast Corp. 46,500 2,351
Fox Entertainment Group Inc. (a) 35,000 873
Infinity Broadcasting Corp. (a) 59,400 2,150
MediaOne Group Inc. (a) 49,900 3,833
Time Warner Inc. 24,100 1,746
Tribune Co. 26,300 1,448
VNU NV 46,100 2,411
Walt Disney Co. 10,600 310
Wolters Kluwer NV 12,600 424
-----------
26,721
OFFICE & BUSINESS EQUIPMENT - 0.4%
Lexmark International Group Inc.(a) 15,400 1,394
OIL & GAS PRODUCERS - 3.3%
Baker Hughes Inc. 79,700 1,679
Chevron Corp. 22,400 1,940
Exxon Mobil Corp. 49,607 3,996
Royal Dutch Petroleum Co. - NY
Shares 66,800 4,037
-----------
11,652
PHARMACEUTICALS - 6.5%
American Home Products Corp. 55,900 2,205
Bristol-Myers Squibb Co. 59,800 3,838
Eli Lilly & Co. 31,300 2,081
Johnson & Johnson 22,900 2,133
Merck & Co. Inc. 40,800 2,736
Pfizer Inc. 90,300 2,929
Schering-Plough Corp. 61,500 2,594
Warner-Lambert Co. 51,500 4,220
-----------
22,736
REAL ESTATE - 0.4%
Crescent Real Estate Equities
Co. 38,100 700
Security Capital U.S. Realty -
ADR (a) 39,000 548
-----------
1,248
RETAIL - 5.7%
Cifra SA - ADR (a) 35,400 709
CVS Corp. 63,172 2,523
Dayton Hudson Corp. 31,600 2,321
Home Depot Inc. 73,650 5,050
Koninklijke Ahold NV 33,500 987
McDonald's Corp. 28,900 1,165
Staples Inc. (a) 58,900 1,222
Wal-Mart Stores Inc. 86,200 5,959
-----------
19,936
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SEMICONDUCTORS - 3.8%
Altera Corp. (a) 52,000 $ 2,577
Applied Materials Inc. (a) 25,500 3,231
Intel Corp. 55,700 4,585
Texas Instruments Inc. 31,600 3,061
-----------
13,454
SOFTWARE - 12.5%
America Online Inc. (a) 59,600 4,496
Automatic Data Processing Inc. 57,100 3,076
BMC Software Inc. (a) 50,100 4,005
Citrix Systems Inc. (a) 13,200 1,624
CMGI Inc. (a) 1,900 526
Computer Associates
International Inc. 59,800 4,182
First Data Corp. 52,500 2,589
IMS Health Inc. 41,900 1,139
Microsoft Corp. (a) 102,300 11,944
Oracle Corp. (a) 38,900 4,359
Parametric Technology Corp. (a) 73,600 1,992
Veritas Software Corp. (a) 14,250 2,040
Yahoo Inc. (a) 4,300 1,861
-----------
43,833
TELECOMMUNICATIONS - 9.0%
General Instrument Corp. (a) 10,700 910
JDS Uniphase Corp. (a) 11,000 1,774
Lucent Technologies Inc. 53,505 4,003
MCI WorldCom Inc. (a) 104,027 5,520
Nextel Communications Inc. (a) 26,000 2,681
Nippon Telegraph & Telephone
Corp. 65 1,111
Nokia Oyj - ADR 11,100 2,109
SBC Communications Inc. 21,500 1,048
Sprint Corp. (FON Group) 37,700 2,538
Telecom Italia Mobile SpA 777,200 3,685
Telecom Italia SpA 111,600 1,566
Telecomunicacoes Brasileiras SA
- ADR 23,100 2,968
Vodafone AirTouch Plc - ADR 33,500 1,658
-----------
31,571
TOBACCO - 0.5%
Philip Morris Cos. Inc. 76,600 1,776
-----------
Total Common Stocks
(cost $263,202) 340,410
-----------
SHORT TERM INVESTMENTS - 3.0%
MONEY MARKET FUNDS - 3.0%
Dreyfus Cash Management Plus,
5.53% (b) 3,510,966 3,511
T. Rowe Price Reserves
Investment Fund,
6.07% (b) 7,040,887 7,041
------------
Total Short Term Investments
(cost $10,552) 10,552
-----------
TOTAL INVESTMENTS - 100%
(cost $273,754) $ 350,962
===========
See notes to the financial statements.
153
<PAGE>
T. ROWE PRICE/JNL ESTABLISHED GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate is
the quoted yield as of December 31, 1999.
Based on the cost of investments of $274,327 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $92,732, the gross
unrealized depreciation was $16,097 and the net unrealized appreciation on
investments was $76,635.
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 1999:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
- -------------------------------------------------------- ------------------
Bermuda 0.4% $ 1,459
Brazil 0.8% 2,968
Canada 0.2% 694
Finland 0.6% 2,109
Germany 1.6% 5,474
Hong Kong 1.1% 3,999
Italy 1.5% 5,251
Japan 1.7% 5,974
Netherlands 3.8% 13,424
United Kingdom 1.8% 6,268
United States 86.5% 303,342
------------------- ------------------
TOTAL 100.0% $ 350,962
=================== ==================
See notes to the financial statements.
154
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
ROWE PRICE-FLEMING INTERNATIONAL, INC.
[T. ROWE PRICE LOGO] INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
T. Rowe Price/JNL International Equity Investment Series seeks as its investment
objective long-term growth of capital through investments primarily in common
stocks of established, non-U.S. companies.
MONEY MANAGER COMMENTARY:
The excitement driving U.S. technology, telecom and Internet stocks raced
through all international regions in the fourth quarter, pushing the MSCI
E.A.FE. benchmark up 17%. Latin America - not in the MSCI E.A.FE. benchmark -
was the strongest region, up 33%. Performances of other regions were in a tight
band with the Pacific ex-Japan ahead 19%, Europe up 17%, and Japan 16% higher.
The overriding factor propelling markets was enthusiasm for "new economy"
stocks: telecom and Internet-related companies and their suppliers.
The portfolio returned 32.11%, markedly outperforming the 25.27% return of the
MSCI E.A.FE. benchmark. Country weighting relative to the benchmark was broadly
neutral for the full year. Our underweight position in Japan subtracted
considerable value, while an overweight position in Latin America added
significant value. Also, underweight positions in the weaker UK and German
markets were positive contributors. The sector which added the most value was
overweighting electronic components. Overweighting the consumer electronics
sector and underweighting utilities and insurance were also positive.
At the end of December, Europe, including the UK, accounted for about 60% of the
Series compared to just over 70% a year ago. We are now underweight the region,
but continue to favor the Continent relative to the UK. Japan rose from nearly
17% of the Series last year to roughly 23%, below the benchmark at 27%. Somewhat
over 9% was invested elsewhere in the Pacific, up from 5% last year and now
above the 6% benchmark allocation, reflecting our increased optimism as the
Asian crisis passed. In Latin America, we retained our major holdings, but
eliminated smaller stocks, maintaining approximately 4% in the region, the same
as a year ago.
We expect stronger economic growth in Europe. In Japan, declining domestic
demand and capital expenditures together with the potential for a strong yen are
liable to keep the economy weak. Elsewhere in Asia, economic recovery is well
under way and we expect it to continue. We remain cautiously optimistic about
Latin America. Although we believe the valuations of some "new economy" stocks
in international regions have become excessive, we are enthusiastic about the
growth potential of well-managed telecom, Internet-related and technology
businesses. Fortified by a year of improvement, international economies are
poised for better growth with moderate inflation in 2000. We believe that
greater-than-expected progress in restructuring and reform during 1999, as well
as more mergers and acquisitions than anticipated, have enhanced the earning
potential of international companies and have paved the way for international
stock markets to rise in the year ahead.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
AND THE MSCI E.A.FE. INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
T. ROWE PRICE/JNL INTERNATIONAL
EQUITY INVESTMENT SERIES MSCI E.A.FE. INDEX
------------------------------- ------------------
<S> <C> <C>
5/15/1995 10000 10000
9950 9810
10430 10178
12/31/1995 10720 10548
11250 10811
11630 10940
11710 10882
12/31/1996 12211 11010
12191 10845
13626 12261
13565 12183
12/31/1997 12534 11236
14214 12843
14224 12933
12306 11051
12/31/1998 14343 13285
14501 13422
14870 13716
15375 14269
12/31/1999 18949 16642
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 32.11%
Since inception*........ 14.78%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
155
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $76,054) $ 107,890
Foreign currency 142
Receivables:
Dividends and interest 50
Foreign taxes recoverable 46
Fund shares sold 73
----------------
TOTAL ASSETS 108,201
----------------
LIABILITIES
Cash overdraft 3,035
Payables:
Advisory fees 91
Administrative fees 8
Fund shares redeemed 33
----------------
TOTAL LIABILITIES 3,167
----------------
NET ASSETS $ 105,034
================
NET ASSETS CONSIST OF:
Paid-in capital $ 72,905
Accumulated net investment loss (447)
Accumulated net realized gain on
investments and foreign currency
related items 740
Net unrealized appreciation on investments 31,836
================
$ 105,034
================
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 6,258
================
NET ASSET VALUE PER SHARE $ 16.79
===============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 1,439
Interest 174
Security lending income 39
Foreign taxes withheld (166)
--------------
TOTAL INVESTMENT INCOME 1,486
--------------
EXPENSES
Advisory fees 886
Administrative fees 82
--------------
TOTAL EXPENSES 968
--------------
NET INVESTMENT INCOME 518
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments 4,296
Foreign currency related items (51)
Net change in unrealized appreciation
(depreciation) on:
Investments 21,302
Foreign currency related items (5)
--------------
NET REALIZED AND UNREALIZED GAINS 25,542
--------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 26,060
==============
See notes to the financial statements.
156
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 518 $ 745
Net realized gain (loss) on:
Investments ................................................................ 4,296 3,947
Foreign currency related items ............................................. (51) 83
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................ 21,302 5,679
Foreign currency related items ............................................. (5) 7
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ................................... 26,060 10,461
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (963) (1,015)
From net realized gains on investment transactions ........................... (6,259) (84)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (7,222) (1,099)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 114,111 19,304
Reinvestment of distributions ................................................ 7,222 1,099
Cost of shares redeemed ...................................................... (106,064) (37,523)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS .................. 15,269 (17,120)
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS .......................................... 34,107 (7,758)
NET ASSETS BEGINNING OF PERIOD ................................................. 70,927 78,685
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 105,034 $ 70,927
============== ==============
ACCUMULATED NET INVESTMENT LOSS ................................................ $ (447) $ (144)
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 7,682 1,460
Reinvestment of distributions ............................................. 431 81
Shares redeemed ........................................................... (7,064) (2,838)
-------------- --------------
Net increase (decrease) ................................................... 1,049 (1,297)
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 28,987 $ 13,019
Proceeds from sales of securities ......................................... 21,037 31,334
</TABLE>
See notes to the financial statements.
157
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................ $ 13.62 $ 12.09 $ 12.08 $ 11.25 $ 10.00
--------------- -------------- ------------ ------------- -------------
INCOME FROM OPERATIONS:
Net investment income ............................. 0.09 0.16 0.09 0.06 0.04
Net realized and unrealized gains on
investments and
foreign currency related items ................... 4.28 1.58 0.23 0.90 1.21
--------------- -------------- ------------ ------------- -------------
Total income from operations ...................... 4.37 1.74 0.32 0.96 1.25
--------------- -------------- ------------ ------------- -------------
LESS DISTRIBUTIONS:
From net investment income ........................ (0.16) (0.19) (0.08) (0.12) --
From net realized gains on investment transactions (0.14) (0.02) (0.23) (0.01) --
--------------- -------------- ------------ ------------- -------------
Total distributions ............................... (1.20) (0.21) (0.31) (0.13) --
--------------- -------------- ------------ ------------- -------------
Net increase ...................................... 3.17 1.53 0.01 0.83 1.25
--------------- -------------- ------------ ------------- -------------
NET ASSET VALUE, END OF PERIOD ...................... $ 16.79 $ 13.62 $ 12.09 $ 12.08 $ 11.25
=============== ============== ============ ============= =============
TOTAL RETURN (A) .................................... 32.11% 14.43% 2.65% 8.54% 12.50%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......... $ 105,034 $ 70,927 $ 78,685 $ 48,204 $ 24,211
Ratio of expenses to average net assets (b) ....... 1.18% 1.23% 1.24% 1.25% 1.25%
Ratio of net investment income to average net
assets (b) ........................................ 0.63% 0.88% 0.74% 1.09% 0.78%
Portfolio turnover ................................ 26.19% 16.39% 18.81% 5.93% 16.45%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ....... n/a 1.28% 1.32% 1.29% 2.14%
Ratio of net investment income (loss) to average
net assets (b) ................................... n/a 0.83% 0.66% 1.05% (0.11)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
158
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 92.8%
ADVERTISING - 0.1%
Seat-Pagine Gialle SpA 48,000 $ 157
APPAREL - 0.5%
Gucci Group NV - NY Shares 2,833 324
Hermes International 1,650 248
-----------
572
AUTO MANUFACTURERS - 0.1%
Honda Motor Co. Ltd. 2,000 74
AUTO PARTS & EQUIPMENT - 0.7%
Bridgestone Corp. 6,000 132
Denso Corp. 22,000 524
GKN Plc 7,000 110
-----------
766
BANKS - 10.8%
Abbey National Plc 24,000 383
ABN Amro Holding NV 16,490 410
Argentaria SA 8,160 191
Banco Bilbao Vizcaya SA 8,440 120
Banco de Galicia y Buenos Aires
SA - ADR 2,690 53
Banco Frances SA - ADR 2,147 51
Banco Popular Espanol SA 1,320 86
Banco Sanander Central Hispanpo SA 45,390 511
Banque Nationale de Paris 5,510 506
Commonwealth Bank of Australia 16,185 278
Credit Suisse Group 1,890 374
Dao Heng Bank Group Ltd. 19,000 98
Den Danske Bank Group 930 101
Deutsche Bank AG 6,921 582
Dexia (a) 959 158
Dresdner Bank AG 7,960 431
HSBC Holdings Plc 27,600 387
HypoVereinsbank 9,399 639
ING Groep NV 20,130 1,209
KBC Bancassurance Holding 9,170 492
National Westminster Bank Plc 82,000 1,758
Nordbanken Holding AB 62,641 367
Royal Bank of Canada 1,290 57
San Paulo-IMI SpA 24,211 327
Societe Generale 1,560 361
Sumitomo Bank Ltd. 23,000 314
UBS AG 2,120 569
Uniao de Bancos Brasileiros - GDR 3,055 92
Unidanmark AS 810 57
United Overseas Bank Ltd. 54,912 484
Westpac Banking Corp. 34,779 239
-----------
11,685
BEVERAGES - 0.6%
Diageo Plc 65,168 523
Grupo Modelo SA 35,376 97
-----------
620
BUILDING MATERIALS - 0.5%
Caradon Plc 27,800 69
Cemex SA 12,950 72
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Cemex SA - ADR (a) 8,164 $ 228
Lafarge SA 1,095 127
-----------
496
CHEMICALS - 0.8%
Akzo Nobel NV 1,832 92
Bayer AG 7,727 364
Sekisui Chemical Co. Ltd. 26,000 115
Shin-Etsu Chemical Co. Ltd. 8,000 344
-----------
915
COMMERCIAL SERVICES - 3.3%
Adecco SA 1,623 1,257
Brambles Industries Ltd. 6,000 165
Celestica Inc. (a) 8,266 459
Hays Plc 4,200 67
Rank Group Plc 10,040 32
Securitas AB 17,613 318
TNT Post Group NV 2,047 58
Vivendi 12,927 1,162
-----------
3,518
COMPUTERS - 3.2%
ASM Lithography Holding NV (a) 9,890 1,093
Equant NV (a) 3,284 371
Fujitsu Ltd. 19,000 865
TDK Corp. 7,000 965
Tecnost SpA 41,400 156
-----------
3,450
COSMETICS & PERSONAL CARE - 0.5%
KAO Corp. 11,000 313
L'Oreal SA 142 113
Shiseido Co. Ltd. 10,000 146
-----------
572
DIVERSIFIED FINANCIAL SERVICES -
2.6%
Bipop-Carire SpA 9,000 792
Colonial Ltd. 54,668 244
Fortis NV 15,860 568
ICICI Ltd. - ADR (a) 11,589 161
Lend Lease Corp. Ltd. 11,448 160
Nomura Securities Co. Ltd. 33,000 595
Unicredito Italiano SpA 60,833 298
-----------
2,818
ELECTRIC - 0.8%
CEMIG SA - ADR 5,175 117
CLP Holdings Ltd. 38,000 175
Endesa SA 11,908 235
Huaneng Power International Inc.
- ADR 8,400 89
Iberdrola SA 19,538 269
-----------
885
ELECTRICAL COMPONENTS & EQUIPMENT - 5.2%
Fanuc Ltd. 3,500 445
Hitachi Ltd. 20,000 320
Kyocera Corp. 7,000 1,812
Legrand SA 1,789 424
NEC Corp. 48,000 1,142
See notes to the financial statements.
159
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Toshiba Corp. 70,000 $ 533
Schneider Electric SA 6,776 529
Sumitomo Electric Industries 35,000 405
-----------
5,610
ELECTRONICS - 4.2%
Electrocomponents Plc 17,000 188
Koninklijke Philips Electronics NV 6,854 927
Matsushita Electric Industrial
Co. Ltd. 32,000 885
Murata Manufacturing Co. Ltd. 8,000 1,876
Samsung Electronics 2,571 604
-----------
4,480
ENGINEERING & CONSTRUCTION - 1.0%
ABB Ltd. (a) 3,679 448
ABB Ltd. (a) 2,219 269
Compagnie de Saint-Gobain 1,820 341
-----------
1,058
ENTERTAINMENT - 0.1%
Hilton Group Plc 37,000 118
FOOD - 3.8%
Cadbury Schweppes Plc 74,600 450
Companhia Brasileira de
Distribuicao
Grupo Pao de Acucar 4,545 147
Compass Group Plc 71,000 972
CSM NV 12,552 267
Groupe Danone 320 75
Nestle SA 600 1,093
Orkla ASA 25,120 431
Safeway Plc 28,000 96
Sodexho Alliance SA 3,020 532
-----------
4,063
FOREST PRODUCTS & PAPER - 0.2%
David S. Smith Holdings Plc 25,000 80
Kimberly-Clark de Mexico SA 28,211 110
-----------
190
HAND & MACHINE TOOLS - 0.3%
Makita Corp. 12,000 108
Sandvik AB - Class B 6,830 217
-----------
325
HEALTHCARE - 0.1%
Rhoen Klinikum AG 3,690 135
HOLDING COMPANIES - DIVERSIFIED - 1.2%
Fomento Economico Mexicano SA 59,260 265
Hutchison Whampoa Ltd. 50,000 727
Tomkins Plc 105,248 339
-----------
1,331
HOME BUILDERS - 0.3%
Daiwa House Industry Co. Ltd. 17,000 126
John Laing Plc 7,000 32
Sekisui House Ltd. 18,000 159
-----------
317
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
HOME FURNISHINGS - 2.5%
Electrolux AB - Class B 23,560 $ 590
SONY Corp. 7,100 2,102
-----------
2,692
HOUSEHOLD PRODUCTS - 0.6%
Unilever Plc 82,500 606
INSURANCE - 2.1%
Allianz AG 1,340 448
Assicurazioni Generali 8,600 283
AXA 4,881 677
Fortis 10,404 374
Istituto Nazionale Assicurazioni
SpA 23,000 61
Mediolanum SpA 26,540 346
Tokio Marine & Fire Insurance
Co. Ltd. 8,000 93
-----------
2,282
IRON & STEEL - 0.1%
Pohang Iron & Steel Co. - ADR 2,776 97
LEISURE TIME - 0.1%
TABCORP Holdings Ltd. 18,000 121
MACHINERY - 2.5%
Atlas Copco AB 5,130 146
Komori Corp. 7,000 133
Mannesmann AG 8,760 2,103
Mitsubishi Heavy Industries Ltd. 94,000 313
-----------
2,695
MANUFACTURING - 1.3%
Hon Hai Precision Industry Co.
Ltd. - GDR(a) 10,102 195
Mitsubishi Corp. 21,000 162
Norsk Hydro ASA 2,660 111
Siemens AG 2,234 283
Sumitomo Corp. 34,000 329
Veba AG 6,265 303
-----------
1,383
MEDIA - 4.8%
Elsevier NV 22,569 268
Fuji Television Network Inc. 12 164
Grupo Televisa SA - GDR (a) 2,831 193
News Corp. Ltd. 31,989 310
Publishing & Broadcasting Ltd. 30,000 228
Reed International Plc 115,000 859
Singapore Press Holdings Ltd. 6,336 137
Societe Europeenne des Satellites 500 71
Societe Television Francaise 2,000 1,043
Toppan Printing Co. Ltd. 16,000 159
United News & Media Plc 23,600 300
VNU NV 6,540 342
Wolters Kluwer NV 31,194 1,051
-----------
5,125
METALS & MINING - 0.8%
Alcan Aluminum Ltd. 3,490 142
See notes to the financial statements.
160
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Broken Hill Proprietary Co. Ltd. 9,141 $ 120
Rio Tinto Plc 27,000 650
-----------
912
OFFICE & BUSINESS EQUIPMENT - 1.1%
Canon Inc. 27,000 1,071
Kokuyo Co. Ltd. 8,000 106
-----------
1,177
OIL & GAS PRODUCERS - 4.5%
BG Group Plc 24,313 157
BP Amoco Plc 44,000 441
Centrica Plc 12,600 36
ENI SpA 79,263 434
Gas Natural SDG SA 6,246 143
Italgas SpA 17,000 64
Repsol-YPF SA 12,232 282
Royal Dutch Petroleum Co. 9,570 584
Shell Transport & Trading Co. 171,500 1,422
Total Fina SA 9,427 1,252
-----------
4,815
PHARMACEUTICALS - 5.3%
AstraZeneca Plc 17,618 742
Aventis SA 3,991 231
Daiichi Pharmaceutical Co. Ltd. 5,000 65
Gehe AG 7,074 273
Glaxo Wellcome Plc 40,000 1,128
Roche Holding AG 70 827
Sankyo Co. Ltd. 18,000 369
Sanofi-Synthelabo SA (a) 13,716 568
SmithKline Beecham Plc 87,500 1,114
UCB SA 1,270 55
Yamanouchi Pharmaceutical Co. 10,000 349
Ltd.
-----------
5,721
REAL ESTATE - 1.0%
Cheung Kong Holdings Ltd. 26,000 330
Henderson Land Development Co. 42,000 270
Ltd.
Mitsui Fudosan Co. Ltd. 42,000 284
New World Development Co. Ltd. 31,000 70
Sun Hung Kai Properties Ltd. 13,000 135
-----------
1,089
RETAIL - 4.7%
Carrefour SA 5,548 1,018
Citizen Watch Co. Ltd. 9,000 57
Hennes & Mauritz AB - Class B 30,490 1,017
Ito-Yokado Co. Ltd. 3,000 325
Jeronimo Martins 12,271 313
Kingfisher Plc 89,000 986
Mauri Co. Ltd. 17,000 254
Pinault-Printemps-Redoute SA 1,300 341
Seven-Eleven Japan Co. Ltd. 2,000 317
Tesco Plc 100,000 303
UNY Co. Ltd. 11,000 107
-----------
5,038
SEMICONDUCTORS - 1.0%
STMicroelectronics NV 6,400 980
Tokyo Electron Ltd. 1,300 178
-----------
1,158
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SOFTWARE - 1.2%
Cap Gemini SA 1,750 $ 442
CBT Group Plc - ADR (a) 5,727 192
SAP AG 970 475
Softbank Corp. 200 191
-----------
1,300
TELECOMMUNICATIONS - 17.9%
Alcatel SA 3,030 693
Cable & Wireless HKT Ltd. (a) 76,800 222
Cable & Wireless Plc 68,900 1,165
China Telecom Ltd. (a) 139,000 869
DDI Corp. 36 492
Deutsche Telekom AG 8,176 579
Ericsson LM - Class B 7,050 451
Korea Telecom Corp. - ADR 5,000 374
KPN NV 2,147 209
Mahanagar Telephone Nigam Ltd. -
GDR 8,000 90
Marconi Plc 29,700 524
Nippon Telegraph & Telephone
Corp. 108 1,847
Nokia Oyj 12,110 2,185
Nortel Networks Corp. 1,630 160
NTT Mobile Communications
Network Inc. 34 1,306
Pacific Century CyberWorks Ltd.
(a) 113,000 263
Singapore Telecommunications Ltd. 48,000 99
SK Telecom Co. Ltd. 40 144
Swisscom AG 298 120
Tele Danmark AS 2,040 151
Telecom Corp. of New Zealand Ltd. 44,000 207
Telecom Italia Mobile SpA 159,601 1,774
Telecom Italia SpA 58,877 826
Telecomunicacoes Brasileiras SA
- ADR 9,933 1,276
Telefonica de Argentina SA - ADR 3,350 103
Telefonica SA 50,680 1,260
Telefonos de Mexico SA - ADR 7,615 857
Telesp Participacoes SA 3,901,480 95
Telstra Corp. Ltd. 52,815 286
Telstra Corp. Ltd. (a) 15,000 53
United Pan-Europe Communications
NV (a) 1,273 162
Vodafone AirTouch Plc 103,500 512
-----------
19,354
TEXTILES - 0.2%
Kuraray Co. Ltd. 21,000 212
TRANSPORTATION - 0.2%
East Japan Railway Co. 41 221
-----------
Total Common Stocks
(cost $68,604) 100,153
-----------
PREFERRED STOCKS - 0.8%
BANKS - 0.1%
Banco Itau SA 1,240,000 107
ELECTRIC - 0.0%
CEMIG - SA 2,705,633 61
See notes to the financial statements.
161
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
MEDIA - 0.2%
News Corp. Ltd. 20,625 $ 176
OIL & GAS PRODUCERS - 0.3%
Petroleo Brasileiro SA 1,316,094 338
PHARMACEUTICALS - 0.1%
Fresenius AG 400 73
RETAIL - 0.0%
Fielmann AG 336 10
TELECOMMUNICATIONS - 0.1%
Telesp Celular SA 852,141 68
-----------
Total Preferred Stocks
(cost $546) 833
-----------
CORPORATE BONDS - 0.0%
OIL & GAS PRODUCERS - 0.0%
BG Transco Holdings Plc,
7.06%, 12/14/2009 (c) $ 488 1
4.1875%, 12/14/2022 (c) 488 1
7.00%, 12/16/2024 488 1
-----------
Total Corporate Bonds
(cost $3) 3
-----------
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
SHORT TERM INVESTMENTS - 6.4%
MONEY MARKET FUNDS - 6.4%
Dreyfus Cash Management Plus,
5.53% (b) 5,265,005 $ 5,265
Dreyfus Government Cash
Management, 5.08% (b) 1,636,387 1,636
-----------
Total Short Term Investments
(cost $6,901) 6,901
-----------
TOTAL INVESTMENTS - 100%
(cost $76,054) $ 107,890
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1999.
(c) Variable rate security. Rate shown is the effective rate on December 31,
1999, and the date shown represents the final maturity of the obligation.
Based on the cost of investments of $76,502 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $35,771, the gross
unrealized depreciation was $4,383 and the net unrealized appreciation on
investments was $31,388.
See notes to the financial statements.
162
<PAGE>
T. ROWE PRICE/JNL INTERNATIONAL EQUITY INVESTMENT SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SUMMARY OF INVESTMENTS BY COUNTRY, DECEMBER 31, 1999:
% OF INVESTMENT MARKET VALUE
COUNTRY SECURITIES (000'S)
- ------------------------------------------------------ -----------------
Argentina 0.2% $ 208
Australia 2.2% 2,380
Belgium 1.0% 1,078
Brazil 2.1% 2,301
Canada 0.8% 819
China 0.1% 89
Denmark 0.3% 309
Finland 2.0% 2,185
France 9.9% 10,683
German 6.2% 6,698
Hong Kong 2.9% 3,159
Ireland 0.2% 192
Italy 5.1% 5,518
Japan 21.7% 23,405
Luxembourg 0.1% 71
Mexico 1.7% 1,821
Netherlands 8.3% 8,916
New Zealand 0.2% 207
Norway 0.5% 543
Portugal 0.3% 312
Singapore 0.7% 721
South Korea 1.1% 1,218
Spain 2.9% 3,098
Sweden 3.8% 4,117
Switzerland 4.3% 4,688
United Kingdom 14.7% 15,809
United States 6.7% 7,345
----------------- -----------------
TOTAL 100.0% $ 107,890
================= =================
See notes to the financials statements.
163
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
T. ROWE PRICE ASSOCIATES, INC.
[T. ROWE PRICE LOGO] INVESTMENT ADVISORY COMMITTEE
OBJECTIVE:
T. Rowe Price/JNL Mid-Cap Growth Series seeks as its investment objective
long-term growth of capital by investing primarily in the common stock of
companies with medium-sized market capitalizations ("mid-cap") and the potential
for above average growth.
MONEY MANAGER COMMENTARY:
The U.S. stock market continued its relentless upward climb with a strong finish
to 1999. In fact, the large-cap S&P 500 Stock Index rose more than 20% for an
unprecedented fifth year in a row. Although large company stocks have dominated
in recent years, small- and mid-cap stocks kept pace during the last 12 months.
Technology and telecom stocks dominated the market's advance, while most other
sectors languished.
The Series outperformed the S&P Midcap 400 Index as well as the large-cap S&P
500 Index with a solid return of 24.01% in 1999. This return, however, trailed
the returns of the Russell Midcap Growth Index and the Lipper Mid Cap Fund Index
as our weightings in technology and Internet issues lagged these benchmarks.
The top two contributors to performance for the fourth quarter were Western
Wireless, a leading rural cellular service provider in the mountain states that
is posting strong revenue growth, and VoiceStream Wireless, an urban wireless
company that we believe is in the process of leveraging its regional operation
to become a much more valuable national wireless provider. A significant
detractor to the Series performance was AmeriSource Health, a drug distributor,
which experienced disappointing earnings results along with many of its
healthcare peers this year.
In the Series, we are focused on identifying companies we believe will be
long-term beneficiaries of the Internet economy, and sprinkling new names into
the Series where we can justify their valuations. Recognizing that many "old
economy" companies will be losers in this fast-changing environment, we are
working to identify and eliminate holdings that will be negatively affected over
the long run.
Moving beyond the Internet, we believe that earnings growth remains the key
driver to re-establish mid-cap outperformance. The fact of the matter is that
large U.S. companies have grown their earnings at a faster rate than small- and
mid-caps over the last several years. The key question is, how long can this
last? At some point, the higher internal growth of small- and mid-cap companies
will be recognized, probably as large-cap earnings momentum begins to slow. Even
though mid-cap stocks have recovered slightly from their record low relative
valuations last April, we believe they remain compelling in comparison with
large-caps. We continue to believe that the Series remains well positioned to
achieve attractive returns over time.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES AND THE S&P MIDCAP 400 INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
T. ROWE PRICE/JNL MID-CAP
GROWTH SERIES S&P MIDCAP 400 INDEX
------------------------- --------------------
<S> <C> <C>
5/15/1995 10000.00 10000.00
6/30 10740.00 10417.00
9/30 12230.00 11432.00
12/31/1995 12922.00 11593.00
3/31 14006.00 12306.00
6/30 14496.00 12661.00
9/30 15237.00 13034.00
12/31/1996 15955.00 12823.00
3/31 14905.00 12633.00
6/30 16930.00 14489.00
9/30 18902.00 16817.00
12/31/1997 18860.00 17994.00
3/31 21901.00 20012.00
6/30 21998.00 19546.00
9/30 18035.00 16720.00
12/31/1998 22914.00 21429.00
3/31 22746.00 20059.00
6/30 25505.00 22899.00
9/30 23676.00 20972.00
12/31/1999 28415.00 24576.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 24.01%
Since inception*........ 25.27%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date May 15, 1995.
164
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investment (cost $211,471) $ 286,239
Receivables:
Dividends and interest 170
Fund shares sold 61
Investment securities sold 783
---------------
TOTAL ASSETS 287,253
---------------
LIABILITIES
Payables:
Advisory fees 212
Administrative fees 22
Fund shares redeemed 113
Investment securities purchased 404
--------------
TOTAL LIABILITIES 751
---------------
NET ASSETS $ 286,502
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 205,924
Undistributed net investment income --
Accumulated net realized gain on
investments and foreign currency
related items 5,810
Net unrealized appreciation on investments 74,768
---------------
$ 286,502
===============
SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 12,085
==============
NET ASSET VALUE PER SHARE $ 23.71
===============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 725
Interest 943
Foreign taxes withheld (4)
--------------
TOTAL INVESTMENT INCOME 1,664
--------------
EXPENSES
Advisory fees 2,079
Administrative fees 223
--------------
TOTAL EXPENSES 2,302
--------------
NET INVESTMENT LOSS (638)
--------------
REALIZED AND UNREALIZED GAINS (LOSSES)
Net realized gain (loss) on:
Investments 22,884
Foreign currency related items (260)
Net change in unrealized appreciation
on investments 31,332
--------------
NET REALIZED AND UNREALIZED GAINS 53,956
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 53,318
==============
See notes to the financial statements.
165
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
OPERATIONS
Net investment loss .......................................................... $ (638) $ (570)
Net realized gain (loss) on:
Investments ................................................................ 22,884 7,408
Foreign currency related items ............................................. (260) 2
Net change in unrealized appreciation on investments ......................... 31,332 23,670
-------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 53,318 30,510
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... -- --
From net realized gains on investment transactions ........................... (18,310) (6,049)
-------------- --------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (18,310) (6,049)
-------------- --------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 146,513 70,687
Reinvestment of distributions ................................................ 18,310 6,049
Cost of shares redeemed ...................................................... (102,965) (38,613)
-------------- --------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 61,858 38,123
-------------- --------------
NET INCREASE IN NET ASSETS ..................................................... 96,866 62,584
NET ASSETS BEGINNING OF PERIOD ................................................. 189,636 127,052
-------------- --------------
NET ASSETS END OF PERIOD ....................................................... $ 286,502 $ 189,636
============== ==============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ -- $ --
============== ==============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 6,735 3,774
Reinvestment of distributions ............................................. 782 296
Shares redeemed ........................................................... (4,715) (2,103)
-------------- --------------
Net increase .............................................................. 2,802 1,967
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 151,575 $ 104,341
Proceeds from sales of securities ......................................... 117,551 73,456
</TABLE>
See notes to the financial statements.
166
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
APRIL 1, MAY 15,
1996 TO 1995* TO
YEAR ENDED DECEMBER 31, DECEMBER 31, MARCH 31,
1999 1998 1997 1996 1996
--------------- ------------------------------ --------------- --------------
<S> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ................ $ 20.43 $ 17.37 $ 14.89 $ 13.43 $ 10.00
--------------- ---------------- ------------- --------------- --------------
INCOME FROM OPERATIONS:
Net investment income (loss) ...................... (0.05) (0.07) (0.03) (0.05) 0.06
Net realized and unrealized gains on
investments and foreign currency
related items .................................... 4.93 3.80 2.74 1.92 3.90
--------------- ---------------- ------------- --------------- --------------
Total income from operations ...................... 4.88 3.73 2.71 1.87 3.96
--------------- ---------------- ------------- --------------- --------------
LESS DISTRIBUTIONS:
From net investment income ........................ -- -- -- (0.05) --
From net realized gains on investment transactions (1.60) (0.67) (0.23) (0.36) (0.53)
--------------- ---------------- ------------- --------------- --------------
Total distributions ............................... (1.60) (0.67) (0.23) (0.41) (0.53)
--------------- ---------------- ------------- --------------- --------------
Net increase ...................................... 3.28 3.06 2.48 1.46 3.43
--------------- ---------------- ------------- --------------- --------------
NET ASSET VALUE, END OF PERIOD ...................... $ 23.71 $ 20.43 $ 17.37 $ 14.89 $ 13.43
=============== ================ ============= =============== ==============
TOTAL RETURN (A) .................................... 24.01% 21.49% 18.21% 13.91% 40.06%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......... $ 286,502 $189,636 $ 127,052 $ 47,104 $ 10,545
Ratio of expenses to average net assets (b) ....... 1.03% 1.04% 1.06% 1.10% 1.10%
Ratio of net investment income (loss) to average
net assets (b) ................................... (0.28)% (0.37)% (0.26)% (0.18)% 0.82%
Portfolio turnover ................................ 56.68% 50.92% 41.43% 25.05% 66.04%
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT
OR FEES PAID INDIRECTLY:
Ratio of expenses to average net assets (b) ....... n/a 1.04% 1.06% 1.14% 2.10%
Ratio of net investment loss to average net assets n/a (0.37)% (0.26)% (0.22)% (0.18)%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
167
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
COMMON STOCKS - 93.2%
ADVERTISING - 1.3%
Catalina Marketing Corp. (a) 31,100 $ 3,600
APPAREL - 1.3%
Jones Apparel Group Inc. (a) 120,000 3,255
Warnaco Group Inc. 33,000 406
-----------
3,661
AUTO PARTS & EQUIPMENT - 1.7%
Hertz Corp. 66,000 3,308
United Rentals Inc. (a) 94,900 1,625
-----------
4,933
BANKS - 0.9%
First Tennessee National Corp. 26,000 741
North Fork Bancorporation Inc. 111,000 1,942
-----------
2,683
BIOTECHNOLOGY - 1.5%
Affymetrix Inc. (a) 10,000 1,697
Biogen Inc. (a) 32,000 2,704
-----------
4,401
BUILDING MATERIALS - 0.5%
Martin Marietta Materials Inc. 36,000 1,476
CHEMICALS - 0.5%
Great Lakes Chemical Corp. 39,000 1,489
COMMERCIAL SERVICES - 5.7%
Apollo Group Inc. (a) 15,500 311
Concord EFS Inc. (a) 24,000 618
Keane Inc. (a) 98,000 3,111
Manpower Inc. 72,000 2,709
NOVA Corp. (a) 166,000 5,239
Robert Half International Inc.(a) 40,000 1,143
Viad Corp. 112,000 3,122
-----------
16,253
COMPUTERS - 6.3%
Affiliated Computer Services
Inc. - 95,000 4,370
Class A (a)
Ceridian Corp. (a) 125,000 2,695
Ciber Inc. (a) 145,000 3,987
Quantum Corp. - DLT & Storage
Systems (a) 80,000 1,210
Safeguard Scientifics Inc. (a) 1,400 227
SunGard Data Systems Inc. (a) 98,100 2,330
Synopsys Inc. (a) 48,000 3,204
-----------
18,023
DIVERSIFIED FINANCIAL SERVICES -
5.8%
Capital One Financial Corp. 55,000 2,650
CIT Group Inc. 81,400 1,720
Federated Investors Inc. 129,000 2,588
Heller Financial Inc. 130,000 2,608
MGIC Investment Corp. 39,000 2,347
NextCard Inc. (a) 14,000 404
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Waddell & Reed Financial Inc. - 122,000 $ 3,309
Waddell & Reed Financial Inc. -
Class B 43,000 1,080
-----------
16,706
ELECTRICAL COMPONENTS & EQUIPMENT - 0.8%
Pinnacle Holdings Inc. (a) 51,900 2,199
ELECTRONICS - 6.9%
Analog Devices Inc. (a) 68,000 6,324
Maxim Integrated Products Inc. 64,000 3,020
(a)
Molex Inc. 61,000 2,760
Sanmina Corp. (a) 17,000 1,698
SCI Systems Inc. (a) 72,000 5,917
-----------
19,719
ENTERTAINMENT - 0.9%
Premier Parks Inc. (a) 91,000 2,628
ENVIRONMENTAL CONTROL - 1.0%
Republic Services Inc. (a) 195,000 2,803
FOOD - 2.5%
U.S. Foodservice (a) 210,000 3,518
Whole Foods Market Inc. (a) 78,000 3,617
-----------
7,135
HEALTHCARE - 1.4%
Henry Schein Inc. (a) 54,000 719
Wellpoint Health Networks Inc.(a) 48,000 3,165
-----------
3,884
INSURANCE - 2.7%
Ace Ltd. 97,000 1,619
E.W. Blanch Holdings Inc. 25,000 1,531
Protective Life Corp. 68,000 2,163
Radian Group Inc. 50,000 2,388
-----------
7,701
LEISURE TIME - 1.8%
Galileo International Inc. 83,000 2,485
Royal Caribbean Cruises Ltd. 52,000 2,564
-----------
5,049
MANUFACTURING - 5.0%
Danaher Corp. 44,000 2,123
Millipore Corp. 67,000 2,588
Pentair Inc. 77,000 2,965
Sybron International Corp. (a) 121,000 2,987
Teleflex Inc. 55,700 1,744
Waters Corp. (a) 39,000 2,067
-----------
14,474
MEDIA - 2.2%
Charter Communications Inc. (a) 82,000 1,794
Infinity Broadcasting Corp. (a) 71,875 2,601
Univision Communications Inc. (a) 18,000 1,839
-----------
6,234
OIL & GAS PRODUCERS - 4.3%
BJ Services Co. (a) 114,000 4,767
Devon Energy Corp. (a) 89,000 2,926
See notes to the financial statements.
168
<PAGE>
T. ROWE PRICE/JNL MID-CAP GROWTH SERIES
SCHEDULE OF INVESTMENTS (CONTINUED)
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
Ocean Energy Inc. (a) 181,000 $ 1,403
Smith International Inc. (a) 67,000 3,329
-----------
12,425
PHARMACEUTICALS - 8.6%
AmeriSource Health Corp. (a) 166,000 2,521
Gilead Sciences Inc. (a) 48,000 2,598
MedImmune Inc. (a) 24,200 4,014
Mylan Laboratories Inc. 97,000 2,443
Omnicare Inc. 249,000 2,988
QLT PhotoTherapeutics Inc. 18,400 1,081
Sepracor Inc. (a) 21,100 2,093
Shire Pharmaceuticals Plc - ADR
(a) 72,000 2,097
Teva Pharmaceutical Industries
Ltd.- ADR 60,000 4,301
Watson Pharmaceutical Inc. (a) 11,000 394
-----------
24,530
RETAIL - 10.3%
BJ's Wholesale Club Inc. (a) 105,000 3,833
Borders Group Inc. (a) 71,000 1,140
Circuit City Stores Inc. 127,000 5,723
Consolidated Stores Corp. (a) 111,000 1,804
Costco Wholesale Corp. (a) 19,000 1,734
Family Dollar Stores Inc. 165,000 2,692
MSC Industrial Direct Co. Inc. (a) 72,000 954
O'Reilly Automotive Inc. (a) 96,000 2,064
Outback Steakhouse Inc. (a) 85,000 2,205
Shopko Stores Inc. (a) 89,000 2,047
Sotheby's Holdings Inc. 30,000 900
Tech Data Corp. (a) 69,000 1,872
TJX Companies Inc. 124,000 2,534
-----------
29,502
SEMICONDUCTORS - 3.2%
KLA-Tencor Corp. (a) 19,000 2,116
Lattice Semiconductor Corp. (a) 22,400 1,056
PMC - Sierra Inc. (a) 17,000 2,725
Xilinx Inc. (a) 74,000 3,365
-----------
9,262
SOFTWARE - 6.1%
Citrix Systems Inc. (a) 12,000 1,476
CNET Inc. (a) 10,000 568
eSpeed Inc. (a) 7,100 252
Intuit Inc. (a) 54,000 3,237
<PAGE>
SHARES OR MARKET
PRINCIPAL VALUE
AMOUNT (000'S)
- -----------------------------------------------------------
National Data Corp. 75,000 $ 2,545
Novell Inc. (a) 88,000 3,515
Parametric Technology Corp. (a) 90,900 2,460
Peregrine Systems Inc. (a) 19,000 1,570
PSINet Inc. (a) 28,000 1,729
-----------
17,352
TELECOMMUNICATIONS - 9.3%
ADC Telecommunications Inc. (a) 25,561 1,855
Allegiance Telecom Inc. (a) 7,000 646
Crown Castle International Corp.(a) 83,600 2,686
Earthlink Network Inc. (a) 14,000 595
McLeodUSA Inc. (a) 19,000 1,119
Rogers Communications Inc. (a) 56,000 1,386
Tritel Inc. (a) 6,000 190
Voicestream Wireless Corp. (a) 70,000 9,962
Western Wireless Corp. (a) 123,000 8,210
-----------
26,649
TRANSPORTATION - 0.7%
C.H. Robinson Worldwide Inc. 34,000 1,352
Expeditors International of 13,700 600
Washington Inc.
-----------
1,952
-----------
Total Common Stocks
(cost $191,955) 266,723
-----------
SHORT TERM INVESTMENTS - 6.8%
MONEY MARKET FUNDS - 6.8%
Dreyfus Cash Management Plus,
5.53% (b) 1,374,083 1,374
T. Rowe Price Reserves
Investment Fund, 6.07% (b) 18,142,349 18,142
-----------
Total Short Term Investments
(cost $19,516) 19,516
-----------
TOTAL INVESTMENTS - 100%
(cost $211,471) $ 286,239
===========
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Dividend yield changes daily to reflect current market conditions. Rate
stated is the quoted yield as of December 31, 1999.
Based on the cost of investments of $211,539 for federal income tax purposes at
December 31, 1999, the gross unrealized appreciation was $91,833, the gross
unrealized depreciation was $17,133 and the net unrealized appreciation on
investments was $74,700.
See notes to the financial statements.
169
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Conservative Growth Series I seeks as its investment objective capital
growth and current income. This Series pursues its investment objective by
investing in a diversified group of Series of the JNL Series Trust. This
investment concept is referred to as a "fund of funds." Under normal
circumstances, this Series allocates between 55% and 65% of its assets to Series
that invest primarily in equity securities, 30% to 40% to Series that invest
primarily in fixed income securities, and 0% to 10% to Series that invest
primarily in money market funds.
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 19.52%, compared with 4.17% for its benchmark, the
S&P Micropal Asset Allocation USA Income Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark, which is a peer group of asset allocation funds. These
returns were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P CONSERVATIVE GROWTH SERIES I AND THE
S&P MICROPAL ASSET ALLOCATION USA INCOME FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P CONSERVATIVE GROWTH S&P MICROPAL ASSET ALLOCATION
SERIES I USA INCOME FUNDS SECTOR INDEX
--------------------------- -----------------------------
<S> <C> <C>
4/09/1998 10000 10000
6/30 10050 10095
9/30 9250 9629
12/31/1998 10470 10277
3/31 10911 10230
6/30 11362 10513
9/30 11021 10316
12/31/1999 12514 10706
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 19.52%
Since inception*........ 13.85%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 9, 1998.
170
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $68,545) $ 72,732
Receivables:
Dividends and interest 15
Fund shares sold 266
--------------
TOTAL ASSETS 73,013
--------------
LIABILITIES
Payables:
Advisory fees 12
Fund shares redeemed 3
--------------
TOTAL LIABILITIES 15
--------------
NET ASSETS $ 72,998
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 64,125
Undistributed net investment income 4,031
Accumulated net realized gain on
investments 655
Net unrealized appreciation on investments 4,187
==============
$ 72,998
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 5,861
==============
NET ASSET VALUE PER SHARE $ 12.45
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 4,019
Interest 90
--------------
TOTAL INVESTMENT INCOME 4,109
--------------
EXPENSES
Advisory fees 78
--------------
TOTAL EXPENSES 78
--------------
NET INVESTMENT INCOME 4,031
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 672
Net change in unrealized appreciation
on investments 3,885
--------------
NET REALIZED AND UNREALIZED GAINS 4,557
--------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 8,588
==============
See notes to the financial statements.
171
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 9,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 4,031 $ 367
Net realized gain (loss) on investments ...................................... 672 (17)
Net change in unrealized appreciation on investments ......................... 3,885 302
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 8,588 652
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (367) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (367) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 61,894 10,019
Reinvestment of distributions ................................................ 367 --
Cost of shares redeemed ...................................................... (7,510) (645)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 54,751 9,374
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 62,972 10,026
NET ASSETS BEGINNING OF PERIOD ................................................. 10,026 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 72,998 4 10,026
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 4,031 $ 367
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 5,534 1,025
Reinvestment of distributions ............................................. 29 -
Shares redeemed ........................................................... (660) (67)
-------------- --------------
Net increase .............................................................. 4,903 958
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 63,215 $ 11,052
Proceeds from sales of securities ......................................... 5,067 1,310
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
172
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES I
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 9,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
----------------- -----------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.47 $ 10.00
----------------- -----------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.37 0.38
Net realized and unrealized gains on investments ............................. 1.67 0.09
----------------- -----------------
Total income from operations ................................................. 2.04 0.47
----------------- -----------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.06) --
From net realized gains on investment transactions ........................... -- --
----------------- -----------------
Total distributions .......................................................... (0.06) --
----------------- -----------------
Net increase ................................................................. 1.98 0.47
----------------- -----------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 12.45 $ 10.47
================= =================
TOTAL RETURN (A) ............................................................... 19.52% 4.70%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 72,998 $ 10,026
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 10.35% 14.15%
Portfolio turnover ........................................................... 12.96% 36.08%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
173
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Moderate Growth Series I seeks as its investment objective capital
growth and current income. This Series pursues its investment objective by
investing in a diversified group of Series of the JNL Series Trust. This
investment concept is referred to as a "fund of funds." Under normal
circumstances, this Series allocates between 70% and 80% of its assets to Series
that invest primarily in equity securities and 20% to 30% to Series that invest
primarily in fixed income securities.
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 26.74%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P MODERATE GROWTH SERIES I AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P MODERATE GROWTH SERIES S&P MICROPAL ASSET ALLOCATION
I USA BALANCED FUNDS SECTOR INDEX
------------------------------ -------------------------------
<S> <C> <C>
4/08/1998 10000 10000
6/30 10140 10121
9/30 9090 9473
12/31/1998 10630 10545
3/31 11240 10646
6/30 11850 11122
9/30 11430 10666
12/31/1999 13473 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 26.74%
Since inception*........ 18.75%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 8, 1998.
174
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
<PAGE>
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $100,898) $ 110,311
Receivable:
Fund shares sold 319
---------------
TOTAL ASSETS 110,630
---------------
LIABILITIES
Payables:
Advisory fees 18
Fund shares redeemed 4
---------------
TOTAL LIABILITIES 22
---------------
NET ASSETS $ 110,608
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 93,389
Undistributed net investment income 6,336
Accumulated net realized gain on
investments 1,470
Net unrealized appreciation on investments 9,413
===============
$ 110,608
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 8,240
===============
NET ASSET VALUE PER SHARE $ 13.42
===============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 6,446
---------------
EXPENSES
Advisory fees 110
---------------
TOTAL EXPENSES 110
---------------
NET INVESTMENT INCOME 6,336
---------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 1,607
Net change in unrealized appreciation
on investments 8,624
---------------
NET REALIZED AND UNREALIZED GAINS 10,231
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 16,567
===============
See notes to the financial statements.
175
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 9,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 6,336 $ 428
Net realized gain (loss) on investments ...................................... 1,607 (137)
Net change in unrealized appreciation on investments ......................... 8,624 789
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 16,567 1,080
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (428) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (428) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 91,407 13,291
Reinvestment of distributions ................................................ 428 --
Cost of shares redeemed ...................................................... (9,978) (1,759)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 81,857 11,532
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 97,996 12,612
NET ASSETS BEGINNING OF PERIOD ................................................. 12,612 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 110,608 $ 12,612
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 6,336 $ 428
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 7,850 1,377
Reinvestment of distributions ............................................. 32 --
Shares redeemed ........................................................... (828) (191)
-------------- --------------
Net increase .............................................................. 7,054 1,186
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 96,909 $ 14,500
Proceeds from sales of securities ......................................... 9,443 2,538
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
176
<PAGE>
JNL/S&P MODERATE GROWTH SERIES I
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 9,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.63 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.46 0.36
Net realized and unrealized gains on investments ............................. 2.38 0.27
--------------- ---------------
Total income from operations ................................................. 2.84 0.63
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.05) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
Total distributions .......................................................... (0.05) --
--------------- ---------------
Net increase ................................................................. 2.79 0.63
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 13.42 $ 10.63
=============== ===============
TOTAL RETURN (A) ............................................................... 26.74% 6.30%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 110,608 $ 12,612
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 11.55% 13.74%
Portfolio turnover ........................................................... 17.15% 57.96%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
177
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Aggressive Growth Series I seeks as its investment objective capital
growth. This Series pursues its investment objective by investing in a
diversified group of Series of the JNL Series Trust. This investment concept is
referred to as a "fund of funds." Under normal circumstances, this Series
allocates between 85% and 95% of its assets to Series that invest primarily in
equity securities and 5% to 15% to Series that invest primarily in fixed income
securities.
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 35.38%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P AGGRESSIVE GROWTH SERIES I AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P AGGRESSIVE GROWTH SERIES S&P MICROPAL ASSET ALLOCATION
I USA BALANCED FUNDS SECTOR INDEX
-------------------------------- -------------------------------
<S> <C> <C>
4/08/1998 10000 10000
6/30 10230 10121
9/30 8960 9473
12/31/1998 10880 10545
3/31 11631 10646
6/30 12472 11122
9/30 11991 10666
12/31/1999 14729 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 35.38%
Since inception*........ 25.02%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 8, 1998.
178
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
<PAGE>
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $36,573) $
41,300
Receivable:
Fund shares sold 41
--------------
--------------
TOTAL ASSETS 41,341
--------------
LIABILITIES
Payables:
Advisory fees 6
Fund shares redeemed 6
--------------
--------------
TOTAL LIABILITIES 12
--------------
NET ASSETS $
41,329
==============
NET ASSETS CONSIST OF:
Paid-in capital $
33,453
Undistributed net investment income 2,448
Accumulated net realized gain on 701
investments
Net unrealized appreciation on investments 4,727
--------------
$
41,329
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 2,813
==============
NET ASSET VALUE PER SHARE $
14.69
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $
2,484
--------------
EXPENSES
Advisory fees 36
--------------
TOTAL EXPENSES 36
--------------
NET INVESTMENT INCOME 2,448
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 821
Net change in unrealized appreciation
on investments 4,324
--------------
NET REALIZED AND UNREALIZED GAINS 5,145
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $
7,593
==============
See notes to the financial statements.
179
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 8,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 2,448 $ 109
Net realized gain (loss) on investments ...................................... 821 (120)
Net change in unrealized appreciation on investments ......................... 4,324 403
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 7,593 392
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (109) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (109) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 32,211 6,129
Reinvestment of distributions ................................................ 109 --
Cost of shares redeemed ...................................................... (2,900) (2,096)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 29,420 4,033
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 36,904 4,425
NET ASSETS BEGINNING OF PERIOD ................................................. 4,425 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 41,329 $ 4,425
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 2,448 $ 109
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 2,625 624
Reinvestment of distributions ............................................. 7 --
Shares redeemed ........................................................... (226) (217)
-------------- --------------
Net increase .............................................................. 2,406 407
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 36,638 $ 6,718
Proceeds from sales of securities ......................................... 4,909 2,575
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
180
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES I
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 8,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
----------------- -----------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.88 $ 10.00
----------------- -----------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.64 0.27
Net realized and unrealized gains on investments ............................. 3.21 0.61
----------------- -----------------
Total income from operations ................................................. 3.85 0.88
----------------- -----------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.04) --
From net realized gains on investment transactions ........................... -- --
----------------- -----------------
Total distributions .......................................................... (0.04) --
----------------- -----------------
Net increase ................................................................. 3.81 0.88
----------------- -----------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 14.69 $ 10.88
================= =================
TOTAL RETURN (A) ............................................................... 35.38% 8.80%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 41,329 $ 4,425
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 13.46% 7.34%
Portfolio turnover ........................................................... 26.50% 126.18%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
181
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Very Aggressive Growth Series I seeks as its investment objective
capital growth. Under normal circumstances, this Series pursues its investment
objective by investing 100% of its assets in a diversified group of Series of
the JNL Series Trust that invest primarily in equity securities. This investment
concept is referred to as a "fund of funds."
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 48.86%, compared with 9.14% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P VERY AGGRESSIVE GROWTH S&P MICROPAL ASSET ALLOCATION
SERIES I USA BALANCED FUNDS SECTOR INDEX
------------------------------ -------------------------------
<S> <C> <C>
4/01/1998 10000.00 10000.00
6/30 10340.00 10116.00
9/30 9000.00 9468.00
12/31/1998 11190.00 10540.00
3/31 12200.00 10641.00
6/30 13170.00 11117.00
9/30 12649.00 10661.00
12/31/1999 16658.00 11503.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 48.86%
Since inception*........ 33.84%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 1, 1998.
182
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $21,011) $ 23,614
--------------
TOTAL ASSETS 23,614
--------------
LIABILITIES
Payables:
Advisory fees 4
Fund shares redeemed 22
--------------
TOTAL LIABILITIES 26
--------------
NET ASSETS $ 23,588
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 18,263
Undistributed net investment income 1,528
Accumulated net realized gain on
investments 1,194
Net unrealized appreciation on investments 2,603
--------------
$ 23,588
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 1,420
==============
NET ASSET VALUE PER SHARE $ 16.61
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 1,546
--------------
EXPENSES
Advisory fees 18
--------------
TOTAL EXPENSES 18
--------------
NET INVESTMENT INCOME 1,528
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 1,194
Net change in unrealized appreciation
on investments 2,372
--------------
NET REALIZED AND UNREALIZED GAINS 3,566
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 5,094
==============
See notes to the financial statements.
183
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 1,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 1,528 $ 52
Net realized gain on investments ............................................. 1,194 15
Net change in unrealized appreciation on investments ......................... 2,372 230
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 5,094 297
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (52) --
From net realized gains on investment transactions ........................... (15) --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (67) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 29,471 3,155
Reinvestment of distributions ................................................ 67 --
Cost of shares redeemed ...................................................... (13,418) (1,011)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 16,120 2,144
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 21,147 2,441
NET ASSETS BEGINNING OF PERIOD ................................................. 2,441 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 23,588 $ 2,441
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 1,528 $ 52
=============== ===============
(1)SHARE TRANSACTIONS:
Shares sold .................................................................. 2,214 315
Reinvestment of distributions ................................................ 4 --
Shares redeemed .............................................................. (1,016) (97)
-------------- --------------
Net increase ................................................................. 1,202 218
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ...................................................... $ 30,689 $ 3,639
Proceeds from sales of securities ............................................ 13,083 1,443
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
184
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES I
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 1,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ......................................... $ 11.19 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ...................................................... 0.88 0.24
Net realized and unrealized gains on investments ........................... 4.59 0.95
--------------- ---------------
Total income from operations ............................................... 5.47 1.19
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................. (0.04) --
From net realized gains on investment transactions ......................... (0.01) --
--------------- ---------------
Total distributions ........................................................ (0.05) --
--------------- ---------------
Net increase ............................................................... 5.42 1.19
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ............................................... $ 16.61 $ 11.19
=============== ===============
TOTAL RETURN (A) ............................................................. 48.86% 11.90%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ................................... $ 23,588 $ 2,441
Ratio of expenses to average net assets (b) ................................ 0.20% 0.20%
Ratio of net investment income to average net assets (b) ................... 16.71% 5.73%
Portfolio turnover ......................................................... 141.89% 121.03%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
185
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Equity Growth Series I seeks as its investment objective capital growth.
Under normal circumstances, this Series pursues its investment objective by
investing 100% of its assets in a diversified group of Series of the JNL Series
Trust that primarily invest in equity securities. This investment concept is
referred to as a "fund of funds."
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 43.19%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P EQUITY GROWTH SERIES I AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
S&P MICROPAL ASSET ALLOCATION
JNL/S&P EQUITY GROWTH SERIES I USA BALANCED FUNDS SECTOR INDEX
------------------------------ -------------------------------
<S> <C> <C>
4/13/1998 10000 10000
6/30 9970 10121
9/30 8630 9473
12/31/1998 10640 10545
3/31 11369 10646
6/30 12359 11122
9/30 11938 10666
12/31/1999 15235 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 43.19%
Since inception*........ 27.72%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 13, 1998.
186
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $52,393) $ 60,737
Receivable:
Fund shares sold 164
--------------
TOTAL ASSETS 60,901
--------------
LIABILITIES
Payables:
Advisory fees 9
Fund shares redeemed 13
--------------
TOTAL LIABILITIES 22
--------------
NET ASSETS $ 60,879
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 47,666
Undistributed net investment income 3,528
Accumulated net realized gain on
investments 1,341
Net unrealized appreciation on investments 8,344
--------------
$ 60,879
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 4,002
==============
NET ASSET VALUE PER SHARE $ 15.21
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 3,578
--------------
EXPENSES
Advisory fees 50
--------------
TOTAL EXPENSES 50
--------------
NET INVESTMENT INCOME 3,528
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 1,400
Net change in unrealized appreciation
on investments 7,866
--------------
NET REALIZED AND UNREALIZED GAINS 9,266
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 12,794
==============
See notes to the financial statements.
187
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 3,528 $ 98
Net realized gain (loss) on investments ...................................... 1,400 (59)
Net change in unrealized appreciation on investments ......................... 7,866 478
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 12,794 517
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (98) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (98) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 50,984 4,947
Reinvestment of distributions ................................................ 98 --
Cost of shares redeemed ...................................................... (7,934) (429)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 43,148 4,518
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 55,844 5,035
NET ASSETS BEGINNING OF PERIOD ................................................. 5,035 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 60,879 $ 5,035
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 3,528 $ 98
=============== ===============
(1)SHARE TRANSACTIONS:
Shares sold .................................................................. 4,163 521
Reinvestment of distributions ................................................ 6 --
Shares redeemed .............................................................. (640) (48)
-------------- --------------
Net increase ................................................................. 3,529 473
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ...................................................... $ 55,329 $ 6,047
Proceeds from sales of securities ............................................ 8,894 1,431
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
188
<PAGE>
JNL/S&P EQUITY GROWTH SERIES I
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.64 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.70 0.21
Net realized and unrealized gains on investments ............................. 3.89 0.43
--------------- ---------------
Total income from operations ................................................. 4.59 0.64
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.02) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
Total distributions .......................................................... (0.02) --
--------------- ---------------
Net increase ................................................................. 4.57 0.64
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 15.21 $ 10.64
=============== ===============
TOTAL RETURN (A) ............................................................... 43.19% 6.40%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 60,879 $ 5,035
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 14.02% 6.93%
Portfolio turnover ........................................................... 34.62% 72.69%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
189
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Equity Aggressive Growth Series I seeks as its investment objective
capital growth. Under normal circumstances, this Series pursues its investment
objective by investing 100% of its assets in a diversified group of Series of
the JNL Series Trust that primarily invest in equity securities. This investment
concept is referred to as a "fund of funds."
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 45.25%, compared with 9.14% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P EQUITY AGGRESSIVE S&P MICROPAL ASSET ALLOCATION
GROWTH SERIES I USA BALANCED FUNDS SECTOR INDEX
------------------------- -------------------------------
<S> <C> <C>
4/15/1998 10000 10000
6/30 10070 10121
9/30 8700 9473
12/31/1998 10750 10545
3/31 11580 10646
6/30 12500 11122
9/30 12140 10666
12/31/1999 15615 11581
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 45.25%
Since inception*........ 29.67%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 15, 1998.
190
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $15,881) $ 18,705
--------------
TOTAL ASSETS 18,705
--------------
LIABILITIES
Payables:
Advisory fees 3
Fund shares redeemed 22
--------------
TOTAL LIABILITIES 25
--------------
NET ASSETS $ 18,680
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 14,053
Undistributed net investment income 1,134
Accumulated net realized gain on
investments 669
Net unrealized appreciation on investments 2,824
==============
$ 18,680
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 1,200
==============
NET ASSET VALUE PER SHARE $ 15.56
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 1,151
--------------
EXPENSES
Advisory fees 17
--------------
TOTAL EXPENSES 17
--------------
NET INVESTMENT INCOME 1,134
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 708
Net change in unrealized appreciation
on investments 2,499
--------------
NET REALIZED AND UNREALIZED GAINS 3,207
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 4,341
==============
See notes to the financial statements.
191
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 15,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 1,134 $ 64
Net realized gain (loss) on investments ...................................... 708 (39)
Net change in unrealized appreciation on investments ......................... 2,499 325
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 4,341 350
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (64) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (64) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 14,331 3,189
Reinvestment of distributions ................................................ 64 --
Cost of shares redeemed ...................................................... (3,230) (301)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 11,165 2,888
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 15,442 3,238
NET ASSETS BEGINNING OF PERIOD ................................................. 3,238 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 18,680 $ 3,238
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 1,134 $ 64
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 1,152 335
Reinvestment of distributions ............................................. 4 --
Shares redeemed ........................................................... (257) (34)
-------------- --------------
Net increase .............................................................. 899 301
============== ==============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 15,783 $ 3,806
Proceeds from sales of securities ......................................... 3,523 854
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
192
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES I
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 15,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
----------------- -----------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.75 $ 10.00
----------------- -----------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.79 0.21
Net realized and unrealized gains on investments ............................. 4.07 0.54
----------------- -----------------
Total income from operations ................................................. 4.86 0.75
----------------- -----------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.05) --
From net realized gains on investment transactions ........................... -- --
----------------- -----------------
Total distributions .......................................................... (0.05) --
----------------- -----------------
Net increase ................................................................. 4.81 0.75
----------------- -----------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 15.56 $ 10.75
================= =================
TOTAL RETURN (A) ............................................................... 45.25% 7.50%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 18,680 $ 3,238
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 13.54% 7.01%
Portfolio turnover ........................................................... 41.60% 67.88%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
193
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Conservative Growth Series II seeks as its investment objective capital
growth and current income. This Series pursues its investment objective by
investing in a diversified group of Series of the JNL Series Trust. This
investment concept is referred to as a "fund of funds." Under normal
circumstances, this Series allocates between 60% to 70% of its assets to Series
that invest primarily in equity securities and 30% to 40% to Series that invest
in fixed income securities.
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 16.14%, compared with 4.17% for its benchmark, the
S&P Micropal Asset Allocation USA Income Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P CONSERVATIVE GROWTH SERIES II AND THE
S&P MICROPAL ASSET ALLOCATION USA INCOME FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P CONSERVATIVE GROWTH S&P MICROPAL ASSET ALLOCATION
SERIES II USA INCOME FUNDS SECTOR INDEX
--------------------------- -----------------------------
<S> <C> <C>
4/13/1998 10000 10000
6/30 9900 10095
9/30 8990 9629
12/31/1998 9540 10277
3/31 9800 10230
6/30 10200 10513
9/30 9830 10316
12/31/1999 11079 10706
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 16.14%
Since inception*........ 6.14%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 13, 1998.
194
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31,1999
ASSETS
Investments (cost $6,171) $ 6,514
--------------
TOTAL ASSETS 6,514
--------------
LIABILITIES
Payable:
Advisory fees 1
--------------
TOTAL LIABILITIES 1
--------------
NET ASSETS $ 6,513
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 6,420
Undistributed net investment income 260
Accumulated net realized loss on
investments (510)
Net unrealized appreciation on investments 343
--------------
$ 6,513
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 591
==============
NET ASSET VALUE PER SHARE $ 11.01
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 268
--------------
EXPENSES
Advisory fees 8
--------------
TOTAL EXPENSES 8
--------------
NET INVESTMENT INCOME 260
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 184
Net change in unrealized appreciation
on investments 278
--------------
NET REALIZED AND UNREALIZED GAINS 462
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 722
==============
See notes to the financial statements.
195
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ....................................................... $ 260 $ 41
Net realized gain (loss) on investments ..................................... 184 (694)
Net change in unrealized appreciation on investments ........................ 278 65
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ......................... 722 (588)
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income .................................................. (41) --
From net realized gains on investment transactions .......................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ........................................... (41) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................ 5,743 9,899
Reinvestment of distributions ............................................... 41 --
Cost of shares redeemed ..................................................... (1,653) (7,610)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................ 4,131 2,289
--------------- ---------------
NET INCREASE IN NET ASSETS .................................................... 4,812 1,701
NET ASSETS BEGINNING OF PERIOD ................................................ 1,701 --
--------------- ---------------
NET ASSETS END OF PERIOD ...................................................... $ 6,513 $ 1,701
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ........................................... $ 260 $ 41
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 573 1,046
Reinvestment of distributions ............................................. 4 -
Shares redeemed ........................................................... (164) (868)
--------------- ---------------
Net increase .............................................................. 413 178
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 6,546 $ 11,217
Proceeds from sales of securities ......................................... 2,196 8,887
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
196
<PAGE>
JNL/S&P CONSERVATIVE GROWTH SERIES II
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
-------------- --------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 9.54 $ 10.00
-------------- --------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.28 0.23
Net realized and unrealized gain (loss) on investments ....................... 1.26 (0.69)
-------------- --------------
Total income (loss) from operations .......................................... 1.54 (0.46)
-------------- --------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.07) --
From net realized gains on investment transactions ........................... -- --
-------------- --------------
Total distributions .......................................................... (0.07) --
-------------- --------------
Net increase (decrease) ...................................................... 1.47 (0.46)
-------------- --------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 11.01 $ 9.54
============== ==============
TOTAL RETURN (A) ............................................................... 16.14% (4.60)%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 6,513 $ 1,701
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 6.57% 2.29%
Portfolio turnover ........................................................... 55.32% 369.99%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return
is not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
197
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Moderate Growth Series II seeks as its investment objective capital
growth and current income. This Series pursues its investment objective by
investing in a diversified group of Series of the JNL Series Trust. This
investment concept is referred to as a "fund of funds." Under normal
circumstances, this Series allocates between 70% and 80% of its assets to Series
that invest primarily in equity securities and 20% to 30% to Series that invest
in fixed income securities.
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 22.77%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P MODERATE GROWTH SERIES II AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P MODERATE GROWTH SERIES S&P MICROPAL ASSET ALLOCATION
II USA BALANCED FUNDS SECTOR INDEX
-------------------------------- -------------------------------
<S> <C> <C>
4/13/1998 10000 10000
6/30 9850 10121
9/30 8540 9473
12/31/1998 10050 10545
3/31 10479 10646
6/30 11289 11122
9/30 10759 10666
12/31/1999 12937 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 22.77%
Since inception*........ 14.10%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 13, 1998.
198
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $9,465) $ 10,438
Receivable:
Fund shares sold 13
--------------
TOTAL ASSETS 10,451
--------------
LIABILITIES
Payable:
Advisory fees 1
--------------
TOTAL LIABILITIES 1
--------------
NET ASSETS $ 10,450
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 8,816
Undistributed net investment income 385
Accumulated net realized gain on
investments 276
Net unrealized appreciation on investments 973
==============
$ 10,450
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 837
==============
NET ASSET VALUE PER SHARE $ 12.49
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 397
--------------
EXPENSES
Advisory fees 12
--------------
TOTAL EXPENSES 12
--------------
NET INVESTMENT INCOME 385
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 290
Net change in unrealized appreciation
on investments 812
--------------
NET REALIZED AND UNREALIZED GAINS 1,102
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 1,487
==============
See notes to the financial statements.
199
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 385 $ 47
Net realized gain (loss) on investments ...................................... 290 (14)
Net change in unrealized appreciation on investments ......................... 812 161
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 1,487 194
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (47) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (47) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 7,717 4,027
Reinvestment of distributions ................................................ 47 --
Cost of shares redeemed ...................................................... (1,610) (1,365)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 6,154 2,662
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 7,594 2,856
NET ASSETS BEGINNING OF PERIOD ................................................. 2,856 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 10,450 $ 2,856
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 385 $ 47
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ................................................................. 699 417
Reinvestment of distributions ............................................... 4 --
Shares redeemed ............................................................. (145) (138)
--------------- ---------------
Net increase ................................................................ 558 279
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM SECURITIES):
Purchases of securities ..................................................... $ 8,886 $ 4,316
Proceeds from sales of securities ........................................... 2,405 1,608
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
200
<PAGE>
JNL/S&P MODERATE GROWTH SERIES II
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
1998* TO
YEAR ENDED
DECEMBER 31,
DECEMBER
31,
1998
1999
-------------- --------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.22 $ 10.00
-------------- --------------
INCOME FROM OPERATIONS:
Net investment income ....................................................... 0.35 0.17
Net realized and unrealized gain on investments ............................. 1.98 0.05
-------------- --------------
Total income from operations ................................................ 2.33 0.22
-------------- --------------
LESS DISTRIBUTIONS:
From net investment income .................................................. (0.06) --
From net realized gains on investment transactions .......................... -- --
-------------- --------------
Total distributions ......................................................... (0.06) --
-------------- --------------
Net increase ................................................................ 2.27 0.22
-------------- --------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 12.49 $ 10.22
============== ==============
TOTAL RETURN (A) ............................................................... 22.77% 2.20%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .................................... $ 10,450 $ 2,856
Ratio of expenses to average net assets (b) ................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) .................... 6.14% 4.09%
Portfolio turnover .......................................................... 38.38% 103.28%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
201
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES II
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Aggressive Growth Series II seeks as its investment objective capital
growth. The Series pursues its investment objective by investing in a
diversified group of Series of the JNL Series Trust. This investment concept is
referred to as a "fund of funds." Under normal circumstances, this Series
allocates between 85% and 95% of its assets to Series that invest primarily in
equity securities and 5% to 15% to Series that invest in fixed income
securities.
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 28.66%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P AGGRESSIVE GROWTH SERIES II AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P AGGRESSIVE GROWTH SERIES S&P MICROPAL ASSET ALLOCATION
II USA BALANCED FUNDS SECTOR INDEX
-------------------------------- -------------------------------
<S> <C> <C>
4/13/1998 10000 10000
6/30 9850 10121
9/30 8540 9473
12/31/1998 10050 10545
3/31 10479 10646
6/30 11289 11122
9/30 10759 10666
12/31/1999 12937 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 28.66%
Since inception*........ 16.11%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 13, 1998.
202
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES II
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $3,030) $ 3,371
Receivable:
Fund shares sold 9
--------------
TOTAL ASSETS 3,380
--------------
LIABILITIES
Payable:
Advisory fees 1
--------------
TOTAL LIABILITIES 1
--------------
NET ASSETS $ 3,379
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 2,849
Undistributed net investment income 131
Accumulated net realized gain on
investments 58
Net unrealized appreciation on investments 341
==============
$ 3,379
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 261
==============
NET ASSET VALUE PER SHARE $ 12.92
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 134
--------------
EXPENSES
Advisory fees 3
--------------
TOTAL EXPENSES 3
--------------
NET INVESTMENT INCOME 131
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 64
Net change in unrealized appreciation
on investments 330
--------------
NET REALIZED AND UNREALIZED GAINS 394
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 525
==============
See notes to the financial statements.
203
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES II
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 131 $ 3
Net realized gain (loss) on investments ...................................... 64 (6)
Net change in unrealized appreciation on investments ......................... 330 11
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 525 8
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (3) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (3) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 3,316 520
Reinvestment of distributions ................................................ 3 --
Cost of shares redeemed ...................................................... (729) (261)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 2,590 259
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 3,112 267
NET ASSETS BEGINNING OF PERIOD ................................................. 267 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 3,379 $ 267
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 131 $ 3
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 300 53
Reinvestment of distributions ............................................. -- --
Shares redeemed ........................................................... (66) (26)
--------------- ---------------
Net increase .............................................................. 234 27
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 3,896 $ 548
Proceeds from sales of securities ......................................... 1,186 287
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
204
<PAGE>
JNL/S&P AGGRESSIVE GROWTH SERIES II
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.05 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.41 0.10
Net realized and unrealized gain (loss) on investments ....................... 2.47 (0.05)
--------------- ---------------
Total income from operations ................................................. 2.88 0.05
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.01) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
Total distributions .......................................................... (0.01) --
--------------- ---------------
Net increase ................................................................. 2.87 0.05
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 12.92 $ 10.05
=============== ===============
TOTAL RETURN (A) ............................................................... 28.66% 0.50%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 3,379 $ 267
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 7.97% 2.19%
Portfolio turnover ........................................................... 72.67% 165.71%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
205
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Very Aggressive Growth Series II seeks as its investment objective
capital growth. Under normal circumstances, this Series pursues its investment
objective by investing 100% of its assets in a diversified group of Series of
the JNL Series Trust that primarily invest in equity securities. This investment
concept is referred to as a "fund of funds."
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 42.42%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P VERY AGGRESSIVE GROWTH S&P MICROPAL ASSET ALLOCATION
SERIES II USA BALANCED FUNDS SECTOR INDEX
------------------------------ -------------------------------
<S> <C> <C>
4/13/1998 10000 10000
6/30 10150 10121
9/30 8740 9473
12/31/1998 10800 10545
3/31 11550 10646
6/30 12500 11122
9/30 12150 10666
12/31/1999 15381 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 42.42%
Since inception*........ 28.44%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 13, 1998.
206
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $2,755) $ 3,114
Receivable:
Fund shares sold 9
---------------
TOTAL ASSETS 3,123
---------------
LIABILITIES
Payable:
Advisory fees 1
---------------
TOTAL LIABILITIES 1
---------------
NET ASSETS $ 3,122
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 2,482
Undistributed net investment income 127
Accumulated net realized gain on
investments 154
Net unrealized appreciation on investments 359
===============
$ 3,122
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 203
===============
NET ASSET VALUE PER SHARE $ 15.37
===============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 130
---------------
EXPENSES
Advisory fees 3
---------------
TOTAL EXPENSES 3
---------------
NET INVESTMENT INCOME 127
---------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 154
Net change in unrealized appreciation
on investments 338
---------------
NET REALIZED AND UNREALIZED GAINS 492
---------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS $ 619
===============
See notes to the financial statements.
207
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 127 $ 1
Net realized gain on investments ............................................. 154 1
Net change in unrealized appreciation on investments ......................... 338 21
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 619 23
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (1) --
From net realized gains on investment transactions ........................... (1) --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (2) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 4,245 401
Reinvestment of distributions ................................................ 2 --
Cost of shares redeemed ...................................................... (1,897) (269)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 2,350 132
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 2,967 155
NET ASSETS BEGINNING OF PERIOD ................................................. 155 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 3,122 $ 155
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 127 $ 1
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 337 41
Reinvestment of distributions ............................................. -- --
Shares redeemed ........................................................... (148) (27)
--------------- ---------------
Net increase .............................................................. 189 14
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 4,427 $ 423
Proceeds from sales of securities ......................................... 1,959 290
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
208
<PAGE>
JNL/S&P VERY AGGRESSIVE GROWTH SERIES II
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
----------------- -----------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD .......................................... $ 10.80 $ 10.00
----------------- -----------------
INCOME FROM OPERATIONS:
Net investment income ....................................................... 0.57 0.07
Net realized and unrealized gains on investments ............................ 4.01 0.73
----------------- -----------------
Total income from operations ................................................ 4.58 0.80
----------------- -----------------
LESS DISTRIBUTIONS:
From net investment income .................................................. -- --
From net realized gains on investment transactions .......................... (0.01) --
----------------- -----------------
Total distributions ......................................................... (0.01) --
----------------- -----------------
Net increase ................................................................ 4.57 0.80
----------------- -----------------
NET ASSET VALUE, END OF PERIOD ................................................ $ 15.37 $ 10.80
================= =================
TOTAL RETURN (A) .............................................................. 42.42% 8.00%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .................................... $ 3,122 $ 155
Ratio of expenses to average net assets (b) ................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) .................... 9.04% 0.91%
Portfolio turnover .......................................................... 145.99% 208.66%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
209
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Equity Growth Series II seeks as its investment objective capital
growth. Under normal circumstances, this Series pursues its investment objective
by investing 100% of its assets in a diversified group of Series of the JNL
Series Trust that primarily invest in equity securities. This investment concept
is referred to as a "fund of funds."
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 36.29%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P EQUITY GROWTH SERIES II AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
S&P MICROPAL ASSET ALLOCATION
JNL/S&P EQUITY GROWTH SERIES II USA BALANCED FUNDS SECTOR INDEX
------------------------------- -------------------------------
<S> <C> <C>
4/13/1998 10000 10000
6/30 9800 10121
9/30 8290 9473
12/31/1998 10040 10545
3/31 10670 10646
6/30 11599 11122
9/30 11099 10666
12/31/1999 13683 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 36.29%
Since inception*........ 19.99%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 13, 1998.
210
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $4,221) $ 4,727
Receivable:
Fund shares sold 36
---------------
TOTAL ASSETS 4,763
---------------
LIABILITIES
Payables:
Advisory fees 1
Fund shares redeemed 29
---------------
TOTAL LIABILITIES 30
---------------
NET ASSETS $ 4,733
===============
NET ASSETS CONSIST OF:
Paid-in capital $ 3,900
Undistributed net investment income 196
Accumulated net realized gain on
investments 131
Net unrealized appreciation on investments 506
===============
$ 4,733
===============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 346
===============
NET ASSET VALUE PER SHARE $ 13.67
===============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 200
---------------
EXPENSES
Advisory fees 4
---------------
TOTAL EXPENSES 4
---------------
NET INVESTMENT INCOME 196
---------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 141
Net change in unrealized appreciation
on investments 443
---------------
NET REALIZED AND UNREALIZED GAINS 584
---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 780
===============
See notes to the financial statements.
211
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 196 $ 5
Net realized gain (loss) on investments ...................................... 141 (10)
Net change in unrealized appreciation on investments ......................... 443 63
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 780 58
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (5) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (5) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 4,141 827
Reinvestment of distributions ................................................ 5 --
Cost of shares redeemed ...................................................... (788) (285)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 3,358 542
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 4,133 600
NET ASSETS BEGINNING OF PERIOD ................................................. 600 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 4,733 $ 600
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 196 $ 5
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 356 89
Reinvestment of distributions ............................................. -- --
Shares redeemed ........................................................... (70) (29)
--------------- ---------------
Net increase .............................................................. 286 60
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 4,639 $ 951
Proceeds from sales of securities ......................................... 1,097 404
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
212
<PAGE>
JNL/S&P EQUITY GROWTH SERIES II
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.04 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income 0.50 0.08
Net realized and unrealized gain (loss) on investments 3.14 (0.04)
--------------- ---------------
Total income from operations 3.64 0.04
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income (0.01) --
From net realized gains on investment transactions -- --
--------------- ---------------
Total distributions (0.01) --
--------------- ---------------
Net increase 3.63 0.04
--------------- ---------------
NET ASSET VALUE, END OF PERIOD $ 13.67 $ 10.04
=============== ===============
TOTAL RETURN (A) 36.29% 0.40%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $ 4,733 $ 600
Ratio of expenses to average net assets (b) 0.20% 0.20%
Ratio of net investment income to average net assets (b) 10.87% 1.82%
Portfolio turnover 59.07% 121.14%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
213
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
STANDARD & POOR'S INVESTMENT ADVISORY SERVICES, INC.
DAVID M. BLITZER, JOSHUA M. HARARI
[STANDARD & POOR'S LOGO]
OBJECTIVE:
JNL/S&P Equity Aggressive Growth Series II seeks as its investment objective
capital growth. Under normal circumstances, this Series pursues its investment
objective by investing 100% of its assets in a diversified group of Series of
the JNL Series Trust that primarily invest in equity securities. This investment
concept is referred to as a "fund of funds."
MONEY MANAGER COMMENTARY:
In 1999, the Series returned 39.61%, compared with 9.13% for its benchmark, the
S&P Micropal Asset Allocation USA Balanced Funds Sector Index.
The decision taken in the third quarter of 1998 to focus the equity portion of
the allocation in investment Series that emphasize growth stocks continued to
reward investors handsomely in 1999 as returns far exceeded the return of the
Series' benchmark which is a peer group of asset allocation funds. These returns
were achieved while maintaining a risk profile in line with the Series'
investment objective.
The strong performance by growth stocks was sparked by advances in technology,
telecommunications and information services stocks, as well as, by continued
advances in an ever-narrowing group of large "super-cap" stocks. These stocks
benefited from a momentum style of investing adopted by many investors.
Successful advances repeatedly attracted waves of new investors leading to
further gains. The continued outperformance by the largest companies resulted in
the top ten stocks in the S&P 500 Index accounting for 25% of the capitalization
of the index at year-end. In this investing environment, classic stock valuation
methodology was put on the back burner by investors, contributing to the weak
performance by value stocks.
The year also featured the global rush to resolve Y2K-related computer issues by
year end. The absence of major problems with the arrival of the year 2000 was
almost anti-climactic, but welcomed. The smooth transition to the new millennium
bodes well for continued economic growth in the year ahead. Although spending to
resolve Y2K issues is winding down, projects deferred while Y2K issues were
being addressed should now go forward and pick up much of the slack.
The nascent economic recovery in Asia sparked favorable returns for foreign
equity markets. Continued economic expansion abroad should offset slower growth
in the U.S. as the Federal Reserve once again takes steps to keep inflation in
check.
The Series remains positioned to participate in further market advances. Growth
stocks continue to lead the market, as value plays remain out of favor. We
remain confident that over the long term, a portfolio consistently weighted
towards equities will provide superior returns and help investors meet their
financial objectives. We are alert to the elements of speculative excess that
crop up from time to time and are prepared to adjust the investment mix to
protect the Series when deemed necessary.
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II AND THE
S&P MICROPAL ASSET ALLOCATION USA BALANCED FUNDS SECTOR INDEX
[LINE GRAPH]
<TABLE>
<CAPTION>
JNL/S&P EQUITY AGGRESSIVE GROWTH S&P MICROPAL ASSET ALLOCATION
SERIES II USA BALANCED FUNDS SECTOR INDEX
------------------------------- -------------------------------
<S> <C> <C>
4/13/1998 10000 10000
6/30 9920 10121
9/30 8470 9473
12/31/1998 10360 10545
3/31 11060 10646
6/30 11970 11122
9/30 11540 10666
12/31/1999 14464 11508
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN
1 year.................. 39.61%
Since inception*........ 23.92%
Past performance is not predictive of future
performance. Investment return and principal value
will fluctuate so that an investor's shares, when
redeemed, may be more or less than their original
cost.
Performance numbers are net of all Series operating
expenses, but do not reflect the deduction of
insurance charges.
- ---------------
* Inception date April 13, 1998.
214
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
FINANCIAL STATEMENTS
(in thousands, except net asset value per share)
Statement of Assets and Liabilities
December 31, 1999
ASSETS
Investments (cost $830) $ 946
--------------
TOTAL ASSETS 946
--------------
LIABILITIES
Payables --
--------------
TOTAL LIABILITIES --
--------------
NET ASSETS $ 946
==============
NET ASSETS CONSIST OF:
Paid-in capital $ 754
Undistributed net investment income 39
Accumulated net realized gain on
investments 37
Net unrealized appreciation on investments 116
==============
$ 946
==============
TOTAL SHARES OUTSTANDING (NO PAR VALUE),
UNLIMITED SHARES AUTHORIZED 65
==============
NET ASSET VALUE PER SHARE $ 14.44
==============
Statement of Operations
For the Year Ended December 31, 1999
INVESTMENT INCOME
Dividends $ 40
--------------
EXPENSES
Advisory fees 1
--------------
TOTAL EXPENSES 1
--------------
NET INVESTMENT INCOME 39
--------------
REALIZED AND UNREALIZED GAINS
Net realized gain on investments 42
Net change in unrealized appreciation
on investments 97
--------------
NET REALIZED AND UNREALIZED GAINS 139
--------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 178
==============
See notes to the financial statements.
215
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
Statements of Changes in Net Assets
(in thousands)
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
OPERATIONS
Net investment income ........................................................ $ 39 $ 2
Net realized gain (loss) on investments ...................................... 42 (6)
Net change in unrealized appreciation on investments ......................... 97 20
--------------- ---------------
NET INCREASE IN NET ASSETS FROM OPERATIONS ..................................... 178 16
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ................................................... (2) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS ............................................ (2) --
--------------- ---------------
SHARE TRANSACTIONS(1)
Proceeds from the sale of shares ............................................. 1,449 445
Reinvestment of distributions ................................................ 2 --
Cost of shares redeemed ...................................................... (905) (237)
--------------- ---------------
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS ............................. 546 208
--------------- ---------------
NET INCREASE IN NET ASSETS ..................................................... 722 224
NET ASSETS BEGINNING OF PERIOD ................................................. 224 --
--------------- ---------------
NET ASSETS END OF PERIOD ....................................................... $ 946 $ 224
=============== ===============
UNDISTRIBUTED NET INVESTMENT INCOME ............................................ $ 39 $ 2
=============== ===============
(1)SHARE TRANSACTIONs:
Shares sold ............................................................... 122 46
Reinvestment of distributions ............................................. -- --
Shares redeemed ........................................................... (79) (24)
--------------- ---------------
Net increase .............................................................. 43 22
=============== ===============
PURCHASES AND SALES OF INVESTMENT SECURITIES (EXCLUDING SHORT-TERM
SECURITIES):
Purchases of securities ................................................... $ 1,582 $ 476
Proceeds from sales of securities ......................................... 999 266
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
See notes to the financial statements.
216
<PAGE>
JNL/S&P EQUITY AGGRESSIVE GROWTH SERIES II
Financial Highlights
<TABLE>
<CAPTION>
PERIOD FROM
APRIL 13,
YEAR ENDED 1998* TO
DECEMBER 31, DECEMBER 31,
1999 1998
--------------- ---------------
<S> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD ........................................... $ 10.36 $ 10.00
--------------- ---------------
INCOME FROM OPERATIONS:
Net investment income ........................................................ 0.54 0.07
Net realized and unrealized gains on investments ............................. 3.56 0.29
--------------- ---------------
Total income from operations ................................................. 4.10 0.36
--------------- ---------------
LESS DISTRIBUTIONS:
From net investment income ................................................... (0.02) --
From net realized gains on investment transactions ........................... -- --
--------------- ---------------
Total distributions .......................................................... (0.02) --
--------------- ---------------
Net increase ................................................................. 4.08 0.36
--------------- ---------------
NET ASSET VALUE, END OF PERIOD ................................................. $ 14.44 $ 10.36
=============== ===============
TOTAL RETURN (A) ............................................................... 39.61% 3.60%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..................................... $ 946 $ 224
Ratio of expenses to average net assets (b) .................................. 0.20% 0.20%
Ratio of net investment income to average net assets (b) ..................... 7.76% 1.22%
Portfolio turnover ........................................................... 202.45% 157.21%
</TABLE>
- --------------------------------------------------------------------------------
* Commencement of operations.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all distributions, and a complete redemption of the
investment at the net asset value at the end of the period. Total Return is
not annualized for periods less than one year.
(b) Annualized for periods less than one year.
See notes to the financial statements.
217
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
JNL Series Trust ("Trust") is an open-end management investment company
organized under the laws of Massachusetts, by a Declaration of Trust, dated June
1, 1994. The Trust, consisting of diversified and non-diversified Series, is
registered with the Securities and Exchange Commission under the Investment
Company Act of 1940. The Trust currently offers shares in thirty-seven (37)
separate Series, each with its own investment objective. JNL/Janus Aggressive
Growth Series, JNL/Janus Capital Growth Series and JNL/Janus Global Equities
Series, for which Janus Capital Corporation serves as the sub-adviser; JNL/Alger
Growth Series, for which Fred Alger Management, Inc serves as the sub-adviser;
JNL/Alliance Growth Series, for which Alliance Capital Management L.P. serves as
the sub-adviser; JNL/Eagle Core Equity Series and JNL/Eagle SmallCap Equity
Series, for which Eagle Asset Management, Inc serves as the sub-adviser; Goldman
Sachs/JNL Growth & Income Series, for which Goldman Sachs Asset Management
serves as sub-adviser; JNL/J.P. Morgan International & Emerging Markets Series
and JNL/J.P. Morgan Enhanced S&P 500 Index Series, for which J.P. Morgan
Investment Management Inc. serves as the sub-adviser; Lazard/JNL Small Cap Value
Series and Lazard/JNL Mid Cap Value Series, for which Lazard Asset Management
serves as sub-adviser; JNL/PIMCO Total Return Bond, for which Pacific Investment
Management Company serves as the sub-adviser; PPM America/JNL Balanced Series,
PPM America/JNL High Yield Bond Series and PPM America/JNL Money Market Series,
for which PPM America Inc. serves as sub-adviser; JNL/Putnam Growth Series and
JNL/Putnam Value Equity Series, for which Putnam Investment Management, Inc.
serves as the sub-adviser; Salomon Brothers/JNL Balanced Series, Salomon
Brothers/JNL Global Bond Series, Salomon Brothers/JNL High Yield Bond Series,
and Salomon Brothers/JNL U.S. Government & Quality Bond Series, for which
Salomon Brothers Asset Management Inc. serves as the sub-adviser; T. Rowe
Price/JNL International Equity Investment for which Rowe Price-Fleming
International, Inc. serves as the sub-adviser; T. Rowe Price/JNL Established
Growth Series and T. Rowe Price/JNL Mid-Cap Growth Series, for which T. Rowe
Price Associates, Inc. serves as the sub-adviser; JNL/S&P Conservative Growth
Series I JNL/S&P Conservative Growth Series II, JNL/S&P Moderate Growth Series
I, JNL/S&P Moderate Growth Series II, JNL/S&P Aggressive Growth Series I,
JNL/S&P Aggressive Growth Series II, JNL/S&P Very Aggressive Growth Series I,
JNL/S&P Very Aggressive Growth Series II, JNL/S&P Equity Growth Series I JNL/S&P
Equity Growth Series II JNL/S&P Equity Aggressive Growth Series I and JNL/S&P
Equity Aggressive Growth Series II for which Standard & Poor's Investment
Advisory Services, Inc.
serves as the sub-adviser.
The shares of the Trust are sold primarily to life insurance company
separate accounts to fund the benefits of variable annuity policies.
Jackson National Financial Services, LLC ("JNFS"), a wholly-owned subsidiary of
Jackson National Life Insurance Company ("Jackson National"), serves as
investment adviser ("Adviser") for all the Series of the Trust. PPM America,
Inc. is an affiliate of the Adviser. Shares are presently offered only to
Jackson National and its separate accounts.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed and
consistently applied by the Trust in the preparation of its financial
statements.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions. Actual results could differ from those estimates.
SECURITY VALUATION -- Bonds are valued on the basis of prices furnished by
pricing services which determine prices for normal institutional size trading
units of bonds or based on quotations provided by reputable broker-dealers. When
quotations are not readily available, bonds are valued at fair market value
determined by procedures approved by the Board of Trustees. Stocks listed on a
national or foreign stock exchange are valued at the final sale price, or final
bid price in absence of a sale. Stocks not listed on a national or foreign stock
exchange are valued at the closing bid price on the over-the-counter market.
Short-term securities maturing within 60 days of purchase, and all securities in
the PPM America/JNL Money Market Series, are valued at amortized cost, which
approximates market value. American Depository Receipts ("ADRs") and Global
Depository Receipts ("GDRs"), which are certificates representing shares of
foreign securities deposited in domestic and foreign banks, are traded and
valued in U.S. dollars.
The JNL/S&P Conservative Growth I, JNL/S&P Conservative Growth II, JNL/S&P
Moderate Growth I, JNL/S&P Moderate Growth II, JNL/S&P Aggressive Growth I,
JNL/S&P Aggressive Growth II, JNL/S&P Very Aggressive Growth I, JNL/S&P Very
Aggressive Growth II, JNL/S&P Equity Growth I, JNL/S&P Equity Growth II, JNL/S&P
Equity Aggressive Growth I and JNL/S&P Equity Aggressive Growth II are valued at
the net asset value per share of each underlying Series determined as of the
close of the New York Stock Exchange on the valuation date.
219
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Security transactions are
recorded on the trade date. Dividend income, net of applicable withholding
taxes, is recorded on the ex-dividend date. Interest income, including
level-yield amortization of discounts and premiums, is accrued daily. Realized
gains and losses are determined on the specific identification basis.
FOREIGN CURRENCY TRANSLATIONS -- The accounting records of the Trust are
maintained in U.S. dollars. Investment securities and other assets and
liabilities de-nominated in a foreign currency are translated into U.S. dollars
using exchange rates in effect as of noon Eastern Standard Time. Purchases and
sales of investment securities, income receipts, and expense pay-ments are
translated into U.S. dollars at the exchange rates prevailing on the respective
dates of such transactions.
Realized gains and losses arising from selling foreign currencies and
certain non-dollar denominated fixed income securities, entering into forward
foreign currency exchange contracts, and accruing income or settling portfolio
purchases and sales denominated in a foreign currency paid or received at a
later date are recorded as net realized foreign currency related gains (losses)
and are considered ordinary income for tax purposes. Realized and unrealized
gains and losses on investments which result from changes in foreign currency
exchange rates are primarily included in net realized gains (losses) on
investments and net unrealized appreciation (depreciation) on investments,
respectively.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- A Series may enter into
forward foreign currency exchange contracts ("contracts"), generally to hedge
foreign currency exposure between trade date and settlement date on security
purchases and sales ("spot hedges") or to minimize foreign currency risk on
portfolio securities denominated in foreign currencies ("position hedges"). All
contracts are valued at the for-ward currency exchange rate and are
marked-to-market daily. When the contract is open, the change in market value is
recorded as net unrealized appreciation (depreciation) on foreign currency
related items. When the contract is closed, the difference between the value of
the contract at the time it was opened and the value at the time it was closed
is recorded as net realized gain (loss) on foreign currency related items.
The use of forward foreign currency exchange contracts does not eliminate
fluctuations in the underlying prices of the Series' portfolio securities, but
it does establish a rate of exchange that can be achieved in the future. These
forward foreign currency contracts involve market risk in excess of the
unrealized appreciation (depreciation) of forward foreign currency contracts
reflected in the Statement of Assets and Liabilities. Although contracts limit
the risk of loss due to a decline in the value of the hedged currency, they also
limit any potential gain that might result should the value of the currency
increase. Additionally, the Series could be exposed to the risk of a previously
hedged position becoming unhedged if the counterparties to the contracts are
unable to meet the terms of the contracts.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- A Series may purchase
securities on a when-issued or delayed delivery basis. On the trade date, the
Series record purchases of when-issued securities and reflects the values of
such securities in determining net asset value in the same manner as other
portfolio securities. Income is not accrued until settlement date.
UNREGISTERED SECURITIES -- A Series may own certain investment securities
which are unregistered and thus restricted to resale. These securities are
valued by the Series after giving due consideration to pertinent factors
including recent private sales, market conditions and the issuer's financial
performance. Where future dispositions of the securities require registration
under the Securities Act of 1933, the Series have the right to include their
securities in such registration generally without cost to the Series. The Series
have no right to require registration of unregistered securities.
OPTIONS TRANSACTIONS -- A Series may write covered call options on
portfolio securities. Written options involve, to varying degrees, risk of loss
in excess of the option value reflected in the Statement of Assets and
Liabilities. The risk in writing a covered call option is that the Series may
forego the opportunity of profit if the market price of the underlying security
increases and the option is exercised. Option contracts are valued at the
closing prices on their exchanges and the Series will realize a gain or loss
upon expiration or closing of the option transaction. When an option is
exercised, the proceeds on sales for a written call option are adjusted by the
amount of premium received.
FUTURES CONTRACTS -- A Series may utilize futures contracts to a limited
extent. The risks associated with the use of futures contracts include the
possibility that the value may not correlate with the change in the value of the
hedged instruments. In addition, there is the risk that the Series may not be
able to enter into a closing transaction because of an illiquid market. Upon
entering into a futures contract, the Series is required to deposit with the
broker an amount of cash or cash equivalents equal to a certain percentage of
the contract amount. This is known as the "initial margin". Futures contracts
are valued based upon their quoted daily settlement prices. The Series receive
from or pay to brokers an amount of cash equal to the daily fluctuation in the
value of the contracts. Such receipts or payments, known as the "variation
margin," are recorded by the Series as unrealized appreciation (depreciation)
until the contracts are terminated at which time realized gains and losses are
recognized. Futures contracts involve, to varying degrees, risk of loss in
excess of the futures variation margin reflected in the Statements of Assets and
Liabilities.
220
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
DOLLAR ROLL TRANSACTIONS -- The Salomon Brothers/JNL Balanced Series,
Salomon Brothers/JNL Global Bond Series and Salomon Brothers/JNL U.S.
Government & Quality Bond Series may enter into dollar roll transactions with
respect to mortgage securities in which the Series sells mortgage securities
and simultaneously agrees to repurchase similar (same type, coupon and
maturity) securities at a later date at an agreed upon price. The value of the
dollar roll transactions are reflected in the Series' Statements of Assets and
Liabilities. During the period between the sale and repurchase, the Series
forgoes principal and interest paid on the mortgage securities sold. The Series
is compensated by the interest earned on the cash proceeds of the initial sale
and from negotiated fees paid by brokers offered as an inducement to the Series
to "roll over" its purchase commitments. These fees are accrued as income over
the life of the dollar roll contract. Dollar roll transactions involve the risk
that the market value of the securities sold by the Series may decline below
the repurchase price of those similar securities which the Series is obligated
to purchase or that the return earned by the Series with the proceeds of a
dollar roll may not exceed transaction costs.
REPURCHASE AGREEMENTS -- A Series may invest in repurchase agreements. A
repurchase agreement involves the purchase of a security by a Series and a
simultaneous agreement (generally by a bank or broker-dealer) to repurchase that
security back from the Series at a specified price and date or upon demand.
Securities pledged as collateral for repurchase agreements are held by the
Series custodian bank until the maturity of the repurchase agreement. Procedures
for all repurchase agreements have been designed to assure that the daily market
value of the collateral is in excess of the repurchase agreement in the event of
default.
SECURITIES LOANED -- The SerieS has entered into a securities lending
arrangement with the custodian. Under the terms of the agreement, the Series
receives a fee equal to a percentage of the annual net income from lending
transactions. In exchange for such fees, the custodian is authorized to loan
securities on behalf of the Series, against receipt of collateral at least equal
in value to the value of the securities loaned. Cash collateral is invested by
the custodian in a pooled money market instrument approved by the Advisor. The
Series bears the risk of any deficiency in the amount of collateral available
for return to a borrower due to a loss in an approved investment.
DISTRIBUTIONS TO SHAREHOLDERS -- The PPM Amer-ica/JNL Money Market Series
declares dividends daily and pays dividends monthly. For all other Series,
div-idends from net investment income are declared and paid annually, but may be
done more frequently to avoid excise tax. Distributions of net realized capital
gains, if any, will be distributed at least annually.
FEDERAL INCOME TAXES -- The Trust's policy is to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute income in amounts that will avoid federal income or
excise taxes for each Series. The Trust periodically makes reclassifications
among certain of its capital accounts as a result of the recognition and
characterization of certain income and capital gain distributions determined
annually in accordance with federal tax regulations which may differ from
generally accepted accounting principles.
221
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 3. INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has an investment advisory agreement with JNFS whereby JNFS
provides investment management and transfer agency services. Each Series pays
JNFS a fee, computed daily and payable monthly, based on a specified percentage
of the average daily net assets of each Series. The following is a schedule of
the fees each Series is currently obligated to pay JNFS.
<TABLE>
<CAPTION>
$0 TO $25 TO $50 TO $100 TO $150 TO $200 TO $250 TO $300 TO
(M - MILLIONS) $25 M $50 M $100 M $150 M $200 M $250 M $300 M $350 M
- -------------- ----- ----- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
JNL/Janus Aggressive Growth Series .......... .95% .95% .95% .95% .90% .90% .90% .85%
JNL/Janus Capital Growth Series ............. .95% .95% .95% .95% .90% .90% .90% .85%
JNL/Janus Global Equities Series ............ 1.00% 1.00% 1.00% 1.00% .95% .95% .95% .90%
JNL/Alger Growth Series ..................... .975% .975% .975% .975% .975% .975% .975% .95%
JNL/Alliance Growth Series .................. .775% .775% .775% .775% .775% .775% .70% .70%
JNL/Eagle Core Equity Series ................ .90% .90% .85% .85% .85% .85% .85% .75%
JNL/Eagle SmallCap Equity Series ............ .95% .95% .95% .90% .90% .90% .90% .90%
JNL/J.P. Morgan International & Emerging
Markets Series ............................ .975% .975% .95% .95% .95% .90% .90% .90%
JNL/J.P. Morgan Enhanced S&P 500 Index
Series .................................... .80% .75% .75% .75% .75% .75% .75% .75%
JNL/PIMCO Total Return Bond Series .......... .70% .70% .70% .70% .70% .70% .70% .70%
JNL/Putnam Growth Series .................... .90% .90% .90% .90% .85% .85% .85% .80%
JNL/Putnam Value Equity Series .............. .90% .90% .90% .90% .85% .85% .85% .80%
Goldman Sachs/JNL Growth & Income Series .... .925% .925% .90% .90% .90% .85% .85% .85%
Lazard/JNL Small Cap Value Series ........... 1.05% 1.05% 1.00% 1.00% .975% .975% .975% .925%
Lazard/JNL Mid Cap Value Series ............. .975% .975% .975% .975% .925% .925% .925% .90%
PPM America/JNL Balanced Series ............. .75% .75% .70% .70% .675% .675% .675% .65%
PPM America/JNL High Yield Bond Series ...... .75% .75% .70% .70% .675% .675% .675% .65%
PPM America/JNL Money Market Series ......... .60% .60% .60% .60% .575% .575% .575% .55%
Salomon Brothers/JNL Balanced Series ........ .80% .80% .75% .75% .70% .70% .70% .70%
Salomon Brothers/JNL Global Bond Series ..... .85% .85% .85% .85% .80% .80% .80% .80%
Salomon Brothers/JNL High Yield Bond Series . .80% .80% .75% .75% .70% .70% .70% .70%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series ....................... .70% .70% .70% .70% .65% .65% .65% .60%
T. Rowe Price/JNL Established Growth Series . .85% .85% .85% .85% .80% .80% .80% .80%
T. Rowe Price/JNL International Equity
Investment Series ......................... 1.10% 1.10% 1.05% 1.05% 1.00% 1.00% 1.00% .95%
T. Rowe Price/JNL Mid-Cap Growth Series ..... .95% .95% .95% .95% .90% .90% .90% .90%
JNL/S&P Conservative Growth Series I ........ .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Moderate Growth Series I ............ .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Aggressive Growth Series I ......... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Very Aggressive Growth Series I ..... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Growth Series I .............. .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Aggressive Growth Series I ... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Conservative Growth Series II ....... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Moderate Growth Series II ........... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Aggressive Growth Series II ........ .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Very Aggressive Growth Series II .... .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Growth Series II ............. .20% .20% .20% .20% .20% .20% .20% .20%
JNL/S&P Equity Aggressive Growth Series II .. .20% .20% .20% .20% .20% .20% .20% .20%
</TABLE>
$350 TO OVER
(M - MILLIONS) $500 M $500 M
- -------------- ------ ------
JNL/Janus Aggressive Growth Series .......... .85% .85%
JNL/Janus Capital Growth Series ............. .85% .85%
JNL/Janus Global Equities Series ............ .90% .90%
JNL/Alger Growth Series ..................... .95% .90
JNL/Alliance Growth Series .................. .70% .70%
JNL/Eagle Core Equity Series ................ .75% .75%
JNL/Eagle SmallCap Equity Series ............ .90% .85%
JNL/J.P. Morgan International & Emerging
Markets Series ............................ .85% .85%
JNL/J.P. Morgan Enhanced S&P 500 Index
Series .................................... .75% .75%
JNL/PIMCO Total Return Bond Series .......... .70% .70%
JNL/Putnam Growth Series .................... .80% .80%
JNL/Putnam Value Equity Series .............. .80% .80%
Goldman Sachs/JNL Growth & Income Series .... .80% .80%
Lazard/JNL Small Cap Value Series ........... .925% .925%
Lazard/JNL Mid Cap Value Series ............. .90% .90%
PPM America/JNL Balanced Series ............. .65% .625%
PPM America/JNL High Yield Bond Series ...... .65% .625%
PPM America/JNL Money Market Series ......... .55% .525%
Salomon Brothers/JNL Balanced Series ........ .70% .70%
Salomon Brothers/JNL Global Bond Series ..... .80% .75%
Salomon Brothers/JNL High Yield Bond Series . .70% .70%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series ....................... .60% .55%
T. Rowe Price/JNL Established Growth Series . .80% .80%
T. Rowe Price/JNL International Equity
Investment Series ......................... .95% .90%
T. Rowe Price/JNL Mid-Cap Growth Series ..... .90% .90%
JNL/S&P Conservative Growth Series I ........ .20% .15%
JNL/S&P Moderate Growth Series I ............ .20% .15%
JNL/S&P Aggressive Growth Series I ......... .20% .15%
JNL/S&P Very Aggressive Growth Series I ..... .20% .15%
JNL/S&P Equity Growth Series I .............. .20% .15%
JNL/S&P Equity Aggressive Growth Series I ... .20% .15%
JNL/S&P Conservative Growth Series II ....... .20% .15%
JNL/S&P Moderate Growth Series II ........... .20% .15%
JNL/S&P Aggressive Growth Series II ........ .20% .15%
JNL/S&P Very Aggressive Growth Series II .... .20% .15%
JNL/S&P Equity Growth Series II ............. .20% .15%
JNL/S&P Equity Aggressive Growth Series II .. .20% .15%
222
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
As compensation for their services, the sub-advisers receive fees from JNFS
calculated on the basis of the average daily net assets of each Series. The
following is a schedule of the fees JNFS currently is obligated to pay the
sub-advisers out of the advisory fee it receives from each Series as specified
above.
<TABLE>
<CAPTION>
$0 TO $25 TO $50 TO $100 TO $150 TO $200 TO $250 TO $300 TO
(M - MILLIONS) $25 M $50 M $100 M $150M $200 M $250 M $300M $350 M
- -------------- ----- ----- ------ ----- ------ ------ ----- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
JNL/Janus Aggressive Growth Series ............ .55% .55% .55% .50% .50% .50% .50% .50%
JNL/Janus Capital Growth Series ................ .55% .55% .55% .50% .50% .50% .50% .50%
JNL/Janus Global Equities Series .............. .55% .55% .55% .50% .50% .50% .50% .50%
JNL/Alger Growth Series .55% .55% .55% .55% .55% .55% .55% .50%
JNL/Alliance Growth Series .................... .35% .35% .35% .35% .35% .35% .25% .25%
JNL/Eagle Core Equity Series .................. .45% .45% .40% .40% .40% .40% .40% .30%
JNL/Eagle SmallCap Equity Series .............. .50% .50% .50% .50% .45% .45% .45% .45%
JNL/J.P. Morgan International & Emerging
Markets Series .............................. .55% .55% .50% .50% .50% .45% .45% .45%
JNL/J.P. Morgan Enhanced S&P 500 Index
Series ...................................... .35% .35% .30% .30% .30% .30% .30% .30%
JNL/PIMCO Total Return Bond Series ............ .25% .25% .25% .25% .25% .25% .25% .25%
JNL/Putnam Growth Series ...................... .50% .50% .50% .50% .45% .45% .45% .35%
JNL/Putnam Value Equity Series ................ .50% .50% .50% .50% .45% .45% .45% .35%
Goldman Sachs/JNL Growth & Income Series ...... .50% .50% .45% .45% .45% .40% .40% .40%
Lazard/JNL Small Cap Value Series ............. .625% .625% .575% .575% .525% .525% .525% .475%
Lazard/JNL Mid Cap Value Series ............... .55% .55% .525% .525% .475% .475% .475% .45%
PPM America/JNL Balanced Series ............... .25% .25% .20% .20% .175% .175% .175% .15%
PPM America/JNL High Yield Bond Series ........ .25% .25% .20% .20% .175% .175% .175% .15%
PPM America/JNL Money Market Series ........... .20% .20% .15% .15% .125% .125% .125% .10%
Salomon Brothers/JNL Balanced Series .......... .35% .35% .30% .25% .25% .25% .25% .25%
Salomon Brothers/JNL Global Bond Series ....... .375% .375% .35% .35% .30% .30% .30% .30%
Salomon Brothers/JNL High Yield Bond Series ... .35% .35% .30% .25% .25% .25% .25% .25%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series ......................... .225% .225% .225% .225% .175% .175% .175% .15%
JNL/S&P Conservative Growth Series I .......... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Moderate Growth Series I .............. .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Aggressive Growth Series I ........... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Very Aggressive Growth Series I ....... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Growth Series I ................ .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Aggressive Growth Series I ..... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Conservative Growth Series II ......... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Moderate Growth Series II ............. .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Aggressive Growth Series II .......... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Very Aggressive Growth Series II ...... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Growth Series II ............... .10% .10% .10% .10% .10% .10% .10% .10%
JNL/S&P Equity Aggressive Growth Series II .... .10% .10% .10% .10% .10% .10% .10% .10%
</TABLE>
$350 TO OVER
(M - MILLIONS) $500M $500 M
- -------------- ----- ------
JNL/Janus Aggressive Growth Series ............ .50% .45%
JNL/Janus Capital Growth Series ............... .50% .45%
JNL/Janus Global Equities Series .............. .50% .45%
JNL/Alger Growth Series ....................... .50% .45%
JNL/Alliance Growth Series .................... .25% .25%
JNL/Eagle Core Equity Series .................. .30% .30%
JNL/Eagle SmallCap Equity Series .............. .45% .40%
JNL/J.P. Morgan International & Emerging
Markets Series .............................. .40% .40%
JNL/J.P. Morgan Enhanced S&P 500 Index
Series ...................................... .30% .30%
JNL/PIMCO Total Return Bond Series ............ .25% .25%
JNL/Putnam Growth Series ...................... .35% .35%
JNL/Putnam Value Equity Series ................ .35% .35%
Goldman Sachs/JNL Growth & Income Series ...... .35% .35%
Lazard/JNL Small Cap Value Series ............. .475% .475%
Lazard/JNL Mid Cap Value Series ............... .45% .45%
PPM America/JNL Balanced Series ............... .15% .125%
PPM America/JNL High Yield Bond Series ........ .15% .125%
PPM America/JNL Money Market Series ........... .10% .075%
Salomon Brothers/JNL Balanced Series .......... .25% .25%
Salomon Brothers/JNL Global Bond Series ....... .30% .25%
Salomon Brothers/JNL High Yield Bond Series ... .25% .25%
Salomon Brothers/JNL U.S. Government &
Quality Bond Series ......................... .15% .10%
JNL/S&P Conservative Growth Series I .......... .10% .075%
JNL/S&P Moderate Growth Series I .............. .10% .075%
JNL/S&P Aggressive Growth Series I ........... .10% .075%
JNL/S&P Very Aggressive Growth Series I ....... .10% .075%
JNL/S&P Equity Growth Series I ................ .10% .075%
JNL/S&P Equity Aggressive Growth Series I ..... .10% .075%
JNL/S&P Conservative Growth Series II ......... .10% .075%
JNL/S&P Moderate Growth Series II ............. .10% .075%
JNL/S&P Aggressive Growth Series II .......... .10% .075%
JNL/S&P Very Aggressive Growth Series II ...... .10% .075%
JNL/S&P Equity Growth Series II ............... .10% .075%
JNL/S&P Equity Aggressive Growth Series II .... .10% .075%
<TABLE>
<CAPTION>
$0 TO $20 TO $50 TO
$20 M $50 M $200 M $200 M+
----- ----- ------ -------
<S> <C> <C> <C> <C>
T. Rowe Price/JNL Established Growth Series .45% .40% .40%* .40%
T. Rowe Price/JNL International Equity Investment Series .75% .60% .50% .50%*
T. Rowe Price/JNL Mid-Cap Growth Series .60% .50% .50%* .50%
</TABLE>
- --------------------------------------------------------------------------------
* When average net assets exceed this amount, the sub-advisory fee asterisked
is applicable to all assets in this Series
223
<PAGE>
ADMINISTRATIVE FEE - In addition to the investment advisory fee, each
Series except the JNL/S&P Series, pays to JNFS an Administrative Fee of .10% of
the average daily net assets of the Series. The JNL/S&P Series do not pay an
Administrative Fee. In return for the fee, JNFS provides or procures all
necessary administrative functions and services for the operation of the Series.
In accordance with the agreement, JNFS is responsible for payment of expenses
related to legal, audit, fund accounting, custody, printing and mailing, trustee
fees, and all other services necessary for the operation of each Series. Each
Series is responsible for trading expenses including brokerage commissions,
interest and taxes.
During the period ended December 31, 1999, JNL/Alger Growth Series,
JNL/Eagle Core Equity Series, JNL/Eagle SmallCap Equity Series, Goldman
Sachs/JNL Growth & Income Series and T. Rowe Price/JNL International Equity
Investment Series paid $629, $2, $6, $1 and $3, in thousands respectively, to
affiliates of the Series for brokerage fees on the execution of purchases and
sales of portfolio investments.
224
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 4. FOREIGN SECURITIES
Investing in securities of foreign companies and foreign governments
involves special risks and considerations not typically associated with
investing in U.S. companies and the U.S. Government. These risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign companies and foreign
governments and their markets may be less liquid and their prices more volatile
than those of securities of comparable U.S. companies and the U.S.
Government.
NOTE 5. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
At December 31, 1999, the following Series had accumulated net realized
capital loss carryovers for U.S. federal income tax purposes which may be used
to offset future realized capital gains:
<TABLE>
<CAPTION>
AMOUNT (000'S) YEAR(S) OF
EXPIRATION
--------------- -----------------
<S> <C> <C>
JNL/J.P. Morgan International & Emerging Markets Series . $ 85 2007
JNL/PIMCO Total Return Bond Series ...................... 161 2007
Goldman Sachs/JNL Growth & Income Series ................ 439 2006, 2007
Lazard/JNL Small Cap Value Series ....................... 91 2006
PPM America/JNL High Yield Bond Series .................. 4,664 2007
Salomon Brothers/JNL Global Bond Series ................. 1,661 2006, 2007
Salomon Brothers/JNL U.S. Government
& Quality Bond Series ................................. 1,021 2007
Salomon Brothers/JNL Balanced Series .................... 62 2006, 2007
Salomon Brothers/JNL Global Bond Series ................. 1,661 2006, 2007
Salomon Brothers/JNL High Yield Bond Series ............. 229 2006, 2007
JNL/S&P Conservative Growth Series II ................... 490 2006
</TABLE>
225
<PAGE>
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of JNL Series Trust
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of each of the thirty-seven (37)
Series of the JNL Series Trust listed in Note 1 of the financial statements
(hereafter collectively referred to as the "Series") at December 31, 1999, and
the results of each of their operations, changes in each of their net assets and
the financial highlights for the periods indicated in conformity with accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Series' management; our responsibility is to express
an opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at December
31, 1999, by correspondence with the custodian and brokers and the application
of alternative auditing procedures provide a reasonable basis for the opinion
expressed above.
/s/ PricewaterhouseCoopers LLP
Chicago, Illinois
February 12, 2000
226
