Dear Customer,
In this space last year, I wrote to you about the significant changes taking
place within our investment organization. Our goal was and is to enhance our
portfolio management capabilities in order to better assist you in achieving
your long term savings and investment objectives. As I reflect back on the
initiatives that were undertaken in 1995, I am happy to report that the positive
changes that were implemented have brought about a renewed confidence in the
abilities of the investment team and portfolio management strategies that are
now in place. This confidence is partially due to the improvements in our equity
and balanced fund performance rankings that were evident in 1995. These
improvements are addressed in greater detail within the Fund Manager Reports
which follow, but, in summary, both the Aetna Variable Fund and the Aetna
Investment Advisers Fund, Inc. generated better performance within their
competitive universes in 1995 than was the case in 1994.
The positive changes that have taken place include the addition of eight equity
and fixed income investment professionals within the last two years, upgrading
the asset class specialization within the department as well as our quantitative
and fundamental analytical skills. Information systems hardware, software,
database services and support staff have also been enhanced to improve the
speed and frequency of information delivery. These changes reflect our belief
that the rapid receipt and analysis of quality information is a critical success
factor for pursuing outstanding investment performance.
Our investment team and information management capabilities served us well in
what was, quite simply, one of the best years on record for U.S. stock and bond
investors in 1995. Money poured into mutual funds at a record pace in response
to the stock and bond markets' exceptionally strong returns, which, in turn, can
be primarily attributed to the ideal combination of favorable interest rates,
low inflation and attractive corporate earnings. Large domestic stocks, as
characterized by the Standard and Poor's 500 Stock Index, an unmanaged index,
led the way among investment asset classes, providing a return in excess of 30%
for the year. While the results of 1995 are certainly no guarantee of things
to come, the retirement savings accounts and variable life policies of many of
our customers enjoyed an attractive increase in value during the year as a
result of the generous financial markets and the commensurate returns of our
investment funds.
Our efforts to successfully manage your investments for the long term, and to
assist your pursuit of achieving retirement security, were further emphasized in
1995 through the launch of Aetna Retirement Services, Inc., an organization that
offers a comprehensive approach to the information, product choices and service
options you will need to develop an effective retirement strategy.
Aetna Retirement Services is built on an understanding of how our customers view
retirement. Many of you have told us that retirement is a new beginning -- a
chance to return to school, start a second career or pursue a long-held dream.
You've also said that you need assistance in understanding how to invest in
order to achieve the financial freedom to pursue any number of retirement goals.
Our formula for redefining retirement is sophisticated yet simple: Build for
retirement; manage for life. By continuing to provide a wide range of products
and investment options, a team of retirement specialists to help you design a
customized retirement strategy, and life insurance to help provide for your
family, we can improve your ability to enjoy financial independence at
retirement and beyond.
We are excited about the value which the Aetna Retirement Services organization
can deliver to each one of our customers, and look forward to working closely
with you in the years ahead. Thank you for your business and for your continued
support.
Sincerely,
/s/ Daniel P. Kearney
Daniel P. Kearney
President
Aetna Life Insurance and Annuity Company
<PAGE>
ALIAC's General Account assets are in excellent condition
To illustrate the value of ALIAC's General Account investment portfolio, it has
been broken down by asset type and credit quality. This breakdown is based on
the market value of the assets. We believe the salient points are:
1. The overall portfolio is high quality. Over 45% of invested assets are rated
AAA or are cash and equivalents, while the average rating for the debt
securities in the portfolio is AA-.
2. Below investment grade securities are limited -- roughly 5% of debt
securities.
3. Direct investment in commercial real estate loans is minimal -- two-tenths
of one percent of invested assets.
4. The amount of assets in default is negligible -- one issue comprising .0002%
of invested assets.
5. Most of the portfolio is comprised of publicly traded securities -- 99%.
6. We have continued to reduce our investments in residential mortgage-backed
securities as a result of changes in their risk and return characteristics,
and are comfortable with our current exposure.
7. We have increased our holdings of other loan-backed securities. These are
comprised of asset-backed securities (backed by auto loans, credit card
receivables, etc.) and securitized pools of commercial and multifamily
mortgages. These bonds are predominantly AAA rated, and are not subject to
the prepayment risk of residential mortgages.
ALIAC's assets: What we own to back our Fixed Annuities, Guaranteed
Accumulation Account, Universal Life, and Settlement Obligations.
[Bar Chart Data]
$13,929,775,000
4.2% Cash and Equivalents
4.4% Treasury Securities
23.1% Residential Mortgage-Backed Securities
13.0% Other Loan-Backed Securities
53.3% Corporate Bonds
2.0% Other*
12-31-95
$11,301,200,000
6.2% Cash and Equivalents
11.6% Treasury Securities
28.9% Residential Mortgage-Backed Securities
9.5% Other Loan-Backed Securities
41.3% Corporate Bonds
2.5% Other*
12-31-94
$11,260,000,000
4.8% Cash and Equivalents
7.5% Treasury Securities
57.5% Residential Mortgage-Backed Securities
2.0% Other Loan-Backed Securities
26.7% Corporate Bonds
1.5% Other*
12-31-93
* As of 12/31/95: 1.8% stock, 0.2% commercial mortgages.
As of 12/31/94: 2.2% stock, 0.3% commercial mortgages.
As of 12/31/93: 1.2% stock, 0.3% commercial mortgages.
<PAGE>
ALIAC's Portfolio Value: The credit quality of what we own according to
Standard & Poor's Corporation
<TABLE>
<CAPTION>
12-31-95 12-31-94 12-31-93
<S> <C> <C> <C>
AAA "highest rating . . . capacity to pay interest and repay
principal is extremely strong." Example: Government National
Mortgage Association (GNMA) Pass Throughs 41.0% 49.8% 68.2%
AA "very strong capacity to pay interest and repay principal."
Example: McDonald's Corporation 10.3 7.3 5.7
A "strong capacity to pay interest and repay principal."
Example: PepsiCo. 24.3 21.8 12.7
BBB "adequate capacity to pay interest and repay principal."
Example: Nabisco, Inc. 11.0 7.7 4.2
Cash and Equivalents 4.2 6.2 4.8
Total Investment Grade (Rated Securities Only) 90.8% 92.8% 95.6%
Not Rated private and public securities that Standard & Poor's did not rate
(Average "AA-" quality according to internal ratings, though some are deemed to
be below investment grade).
Example: Capitol One Bank Medium Term Note 4.8% 5.2% 2.4%
BB "predominantly speculative . . . lowest degree of
speculation." Example: Safeway, Inc. 3.4 1.5 1.0
B "greater vulnerability to default but currently has the
capacity to meet interest payments and principal payments."
Example: Stone Container Corp. 1.0 0.4 0.9
D in payment default. Example: Pittsburgh Lake Erie Notes 0.0 0.1 0.1
100.0% 100.0% 100.0%
</TABLE>
Portfolio Composition
ALIAC's portfolio allocation to Residential Mortgage Pass Through Securities and
Residential Collateralized Mortgage Obligations (CMOs) has been reduced.
[Pie Chart Data]
12-31-95
Residential CMOs 18.3%
Residential Mortgage Pass Throughs 4.7%
Other 77.0%
12-31-94
Residential CMOs 22.7%
Residential Mortgage Pass Throughs 6.2%
Other 71.1%
12-31-93
Residential CMOs 46.3%
Residential Mortgage Pass Throughs 11.2%
Other 42.5%
<PAGE>
How ALIAC's investments are doing
Recent declines in the level of interest rates have caused the market value of
our securities to increase relative to their costs.
<TABLE>
<CAPTION>
12-31-95 12-31-94 12-31-93
Fair Val. Fair Val. Fair Val.
Versus Versus Versus
Current Amortized Amortized Current Amortized Amortized Current Amortized Amortized
(millions) Fair Val. Cost Cost Fair Val. Cost Cost Fair. Val. Cost Cost
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Portfolio
Including Below
Investment Grade $13,930 $13,085 +6.5% $11,301 $11,693 -3.4% $11,260 $10,557 +6.7%
Below Investment
Grade 673 652 +3.2% 323 340 -5.0% 220 215 +2.3%
</TABLE>
ALIAC Claims Paying Ratings
ALIAC has maintained excellent to superior credit ratings.
<TABLE>
<CAPTION>
Description A.M. Best Duff & Phelps Moody's Investors Service Standard & Poor's Corp.
<S> <C> <C> <C> <C>
Superior A++ AAA Aaa AAA
A+
Excellent A AA+ Aa1 AA+
A- AA Aa2 AA
AA- Aa3 AA-
Good B++ A+ A1 A+
B+ A A2 A
A- A3 A-
Adequate B BBB+ Baa1 BBB+
B- BBB Baa2 BBB
BBB- Baa3 BBB-
Below Average C++ BB+ Ba1 BB+
C+ BB Ba2 BB
BB- Ba3 BB-
B+ B1 B+
Poor C B B2 B
C- B- B3 B-
Very Poor CCC Caa CCC
CC Ca CC
C C C
Default D D D
</TABLE>
<PAGE>
Fixed Account
For calendar year 1995, the bond market reversed its dismal 1994 performance by
providing total returns of nearly 20% (considering both dividend yield and
capital appreciation). Moderate economic growth, a rebounding dollar, foreign
demand for U.S. bonds, and high levels of investible liquidity all contributed
to this performance. Interest rates fell nearly 2.00% for the 30-year Treasury
and over 2.25% across all maturities from 2 years to 10 years. Based on the
weakening economy and benign inflation, the Federal Reserve lowered interest
rates at mid-year and at year-end, and as we enter 1996 the expectation is for
further reductions in Fed Funds from the current 5.50% level.
Corporate bonds were the best performers for the year, returning 22.25%
according to Lehman Brothers. Our allocation to corporates has increased
steadily from 27% at year-end 1993 to 41% at year-end 1994 to our current 51%.
This strategic shift we initiated in 1993 has enabled us to capitalize on these
high returns. We remain positive on the corporate bond market, but will adopt a
more cautious posture, purchasing high quality corporate bonds that are expected
to perform well in a weakening economic environment.
Since most of our increased corporate allocation came from reducing exposure to
mortgage-backed securities, we were able to avoid much of the prepayment related
fears and underperformance in this sector. For the year, mortgage-backed
securities underperformed corporates by nearly 4.00% and Treasuries by 1.50%.
However, their return of nearly 17% was still very good on an absolute basis.
Our allocation to this sector now stands at 23.1%, much of that with some
prepayment protection, but we have no plans to increase from these levels.
Looking ahead to 1996, we see economic weakness and expect volatility arising
from the existing economic and political uncertainty. Key factors are a budget
deal (or lack thereof), election year politics, uncertainty as to the magnitude
of Federal Reserve easing to come, the decline in corporate earnings, and the
extent to which foreign economies recover. In the context of this environment,
the Fixed Account will continue to maintain a high quality, diversified
portfolio of assets which will enable us to continue providing attractive
long-term returns and security to our contractholders.
Aetna Guaranteed Accumulation Account
New rates are announced monthly for the Guaranteed Accumulation Account (GAA).
Typically, we have a short-term offering with a maturity of approximately one
year and a long-term offering with a maturity of four to five years. The
specific maturity offered may vary from month to month.
Rates for new GAA offerings are based on prevailing market interest rates. This
gives clients an opportunity each month to invest in a guaranteed fixed rate
product with a competitive rate.
The portfolio backing the GAA is invested primarily in high-grade corporate
bonds and asset-backed securities. As of December 31, 1995 these positions were
72% and 17% of the portfolio, respectively. Although the specific mix of
securities in the portfolio may change from time to time, the portfolio targets
an average credit rating of "A".
GAA also offers investors the ability to withdraw their funds at any time
subject to a market value adjustment (MVA). The MVA will vary based on market
interest rates, just as the value of fixed income securities will change as
interest rates change. Thus, clients taking funds out of the GAA may find the
proceeds to be larger or smaller than the accumulated value in the account. This
difference can be determined before making the actual withdrawal.
<PAGE>
[typeset representation of line chart]
Aetna Ascent Variable Portfolio
Growth of a $10,000 Investment
Total Return
Six Month Period
Ended 12/31/95
10.45%
<TABLE>
<CAPTION>
Aetna
Ascent
Variable Aetna
Portfolio Ascent Index S&P 500 Russell 2000 MSCI EAFE NAREIT SBIG SB Non US Bond 91 Day T-Bill
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7/5/95 10000 10000 10000 10000 10000 10000 10000 10000 10000
7/95 10297 10345 13034 10576 10625 10172 9980 10053 10047
8/95 10444 10293 13070 10795 10223 10294 10095 9478 10093
9/95 10602 10532 13619 10988 10425 10470 10190 9757 10138
10/95 10437 10346 13569 10496 10147 10246 10326 9788 10184
11/95 10686 10626 14166 10937 10432 10339 10487 9873 10231
12/95 11046 10948 14428 11226 10855 10904 10632 9959 10276
</TABLE>
[end line chart]
[typeset representation of line chart]
Aetna Crossroads Variable Portfolio
Growth of a $10,000 Investment
Total Return
Six Month Period
Ended 12/31/95
9.30%
<TABLE>
<CAPTION>
Aetna
Crossroads
Variable Aetna
Portfolio Crossroads Index S&P 500 Russell 2000 MSCI EAFE NAREIT SBIG SB Non US Bond 91 Day T-Bill
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7/5/95 10000 10000 10000 10000 10000 10000 10000 10000 10000
7/95 10240 10259 13034 10576 10625 10172 9980 10053 10047
8/95 10382 10228 13070 10795 10223 10294 10095 9478 10093
9/95 10532 10433 13619 10988 10425 10470 10190 9757 10138
10/95 10405 10323 13569 10496 10147 10246 10326 9788 10184
11/95 10635 10565 14166 10937 10432 10339 10487 9873 10231
12/95 10930 10835 14428 11226 10855 10904 10632 9959 10276
</TABLE>
[end line chart]
[typeset representation of line chart]
Aetna Legacy Variable Portfolio
Growth of a $10,000 Investment
Total Return
Six Month Period
Ended 12/31/95
8.27%
<TABLE>
<CAPTION>
Aetna
Legacy
Variable Aetna
Portfolio Legacy Index S&P 500 Russell 2000 MSCI EAFE NAREIT SBIG SB Non US Bond 91 Day T-Bill
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7/5/95 10000 10000 10000 10000 10000 10000 10000 10000 10000
7/95 10169 10173 13034 10576 10625 10172 9980 10053 10047
8/95 10301 10164 13070 10795 10223 10294 10095 9478 10093
9/95 10452 10335 13619 10988 10425 10470 10190 9757 10138
10/95 10369 10298 13569 10496 10147 10246 10326 9788 10184
11/95 10588 10503 14166 10937 10432 10339 10487 9873 10231
12/95 10828 10722 14428 11226 10855 10904 10632 9959 10276
</TABLE>
[end line chart]
'Total Return' is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. The Standard
& Poor's 500 Stock Index, Russell 2000 Small Cap Stock Index, Morgan Stanley
Capital International Europe, Australia and Far East Index, National Association
Real Estate REIT Index, Salomon Brothers Broad Investment Grade Index, and
Salomon Brothers Non-U.S. World Government Bond Index are unmanaged broad
based market indices used to benchmark performance of each asset class.
<PAGE>
Aetna Generation Portfolios, Inc.
The primary objective of Aetna Generation Portfolio, Inc. (Generation
Portfolios) is to exceed the return of the composite index that corresponds to
each Portfolio, and do so with less volatility over the long-term. Returns for
partial fiscal year beginning on July 5, 1995 and ended December 31, 1995, were
solid for the Generation Portfolios. Returns were particularly strong in large
capitalization U.S. stocks and U.S. bonds. What follows is a chart showing the
returns of Aetna Ascent Variable Portfolio (Aetna Ascent), Aetna Crossroads
Variable Portfolio (Aetna Crossroads) and Aetna Legacy Variable Portfolio (Aetna
Legacy) (net of investment management fees and other fund expenses) followed by
their respective Composite Indices, as well as returns for the seven indices
that go towards comprising the composite indices. All of these indices are
unmanaged.
Period From July 5 to December 31, 1995
Aetna Ascent 10.45%
Ascent Composite Index 9.48%
Aetna Crossroads 9.30%
Crossroads Composite Index 8.35%
Aetna Legacy 8.27%
Legacy Composite Index 7.22%
S&P 500 14.41%
Russell 2000 12.26%
MSCI EAFE 8.55%
NAREIT Equity 9.04%
Salomon Broad Investment Grade 6.32%
SB Non-U.S. World Government Bond Index -0.41%
U.S. 90 Day Treasury Bill 4.06%
Each of the three Generation Portfolios has been structured to take the fullest
possible advantage of the principle of diversification among asset classes,
while at the same time offering different risk/return profiles to appeal to
investors with different risk/return preferences.
A high degree of flexibility has been built into the asset allocation ranges for
each portfolio in order to allow for the portfolio managers to take advantage of
changes in expected risks and returns among the various asset classes based on
our disciplined and objective analysis. The following chart contains four key
percentages for each of the asset classes utilized in the management of the
Generation Portfolios: the range of investment allowed in each asset class, the
benchmark allocation under neutral market conditions, the year-end allocation to
each asset class, and the over- or under-weighting of each asset class.
<PAGE>
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Asset Class Ascent Crossroads Legacy Comparative Index
<S> <C> <C> <C> <C>
Lg. Cap. Stocks S&P 500
Range 0-60% 0-45% 0-30%
Benchmark 20% 15% 10%
Current Allocation 30% 26% 21%
Over/under-weighting +10% +11% +11%
Sm. Cap. Stocks Russell 2000
Range 0-40% 0-30% 0-20%
Benchmark 20% 15% 10%
Current Allocation 19% 17% 15%
Over/under-weighting +9% +2% +5%
International Stocks MSCI EAFE
Range 0-40% 0-30% 0-20%
Benchmark 20% 15% 10%
Current Allocation 23% 19% 12%
Over/under-weighting +3% +4% +2%
Real Estate Stocks NAREIT Equity
Range 0-40% 0-30% 0-20%
Benchmark 20% 15% 10%
Current Allocation 26% 20% 17%
Over/under-weighting +6% +5% +7%
U.S. Dollar Bonds Salomon Broad
Range 0-40% 0-30% 0-20%
Benchmark 20% 15% 10%
Current Allocation 0% 4% 7%
Over/under-weighting -20% -11% -3%
International Bonds SB Non-U.S. WGBI
Range 0-40% 0-30% 0-20%
Benchmark 20% 15% 10%
Current Allocation 0% 5% 5%
Over/under-weighting -20% -10% -5%
Money Market
Instruments U.S. 90 Day T-Bill
Range 0-40% 0-30% 0-20%
Benchmark 0% 5% 10%
Current Allocation 2% 9% 23%
Over/under-weighting +2% +4% +13%
</TABLE>
We were overweighted in the equity asset classes throughout the year, in keeping
with our asset allocation disciplines which indicated (as they do still) that
most equity asset classes were attractively valued relative to bonds. Compared
to the expected return on bond investments, stock buyers are being offered an
expected return advantage which is well above normal. However, the rate of
corporate earnings growth will undoubtedly continue to slow, and some earnings
<PAGE>
disappointments are in store. Stock selection will continue to be very
important, and we believe that we are well-positioned to benefit from such a
market environment
Conversely, bonds were quite underweighted in the Generation Portfolios
throughout the year, and remain so. We continue to see a more attractive
risk/return combination available in stocks and cash. Yields on cash instruments
are really not much below those available in the bond market, and considering
the additional risk which bonds add to the portfolio, we prefer cash, which is a
much better stabilizing influence. There is always a chance that interest rates
will fall further, and that we will give up some potential capital appreciation
which bonds offer, but we believe that the potential risk is not worth the
potential return. Until we get a greater difference in yield, we continue to
emphasize short-term over long-term fixed income investments for income and
stability.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995
- -----------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
COMMON STOCKS (92.5%)
United States (75.8%)
Aerospace and Defense (0.1%)
McDonnell-Douglas Corp................ 200 $ 18,400
-----------
Apparel and Cosmetics (0.2%)
Blair Corp............................ 100 3,163
Chic By H I S, Inc.+.................. 2,700 14,850
Nike, Inc............................. 200 13,925
Oshkosh B'Gosh, Inc................... 300 5,250
-----------
37,188
-----------
Autos and Auto Equipment (0.6%)
Borg Warner Automotive, Inc........... 900 28,800
Kaydon Corp........................... 1,300 39,488
Smith (A.O.) Corp..................... 1,000 20,750
Snap On, Inc.......................... 200 9,050
Varity Corp.+......................... 200 7,425
-----------
105,513
-----------
Banks (4.3%)
Bank of New York Co., Inc............. 800 39,000
BayBanks, Inc......................... 500 49,125
Chemical Banking Corp................. 300 17,625
CITICORP.............................. 400 26,900
Citizens Bancorp...................... 1,500 48,375
City National Corp.................... 2,400 33,600
Coast Savings Financial, Inc.+........ 700 24,238
Cullen/Frost Bankers, Inc............. 1,000 50,000
First American Corp. (Tenn.).......... 700 33,163
First Chicago Corp.................... 543 21,449
First Citizens Bancshares, Inc. Class 100 5,513
A...................................
First Interstate Bancorp.............. 300 40,950
First of America Bank Corp............ 1,200 53,250
Firstbank of Illinois Co.............. 1,000 30,875
JSB Financial, Inc.................... 1,000 31,625
KeyCorp............................... 600 21,750
Nations Bank, Inc..................... 300 20,888
PNC Bancorp........................... 200 13,125
Provident Bancorp..................... 1,000 47,000
Queens County Bancorp, Inc............ 1,100 43,519
Reliance Bancorp, Inc................. 2,800 40,950
River Forest Bancorp, Inc............. 1,600 40,800
Sumitomo Bank of California........... 200 4,900
Union Bank............................ 700 37,975
United Carolina Bancshares, Inc....... 1,200 40,500
-----------
817,095
-----------
Building Materials and Construction (2.2%)
American Buildings Co.+............... 900 20,250
Beazer Homes USA, Inc.+............... 2,000 41,250
Centex Corp........................... 200 6,950
Champion Enterprises, Inc.+........... 2,300 71,012
Continental Homes Holding Corp........ 200 4,925
Elcor Corp............................ 300 6,525
Granite Construction, Inc............. 2,500 78,749
International Aluminum Corp........... 300 8,625
Lennar Corp........................... 1,100 $ 27,638
Pulte Corp............................ 300 10,088
Redman Industries, Inc.+.............. 1,200 40,500
Texas Industries, Inc................. 500 26,500
Tredegar Industries, Inc.............. 1,300 42,250
Webb (Del E.) Corp.................... 500 10,063
WHX Corp.+............................ 1,100 11,963
-----------
407,288
-----------
Chemicals (0.6%)
Dexter Corp........................... 700 16,538
Dow Chemical Co....................... 200 14,075
Eastman Chemical Co................... 100 6,263
Great Lakes Chemical Corp............. 100 7,200
Lyondell Petrochemical Co............. 1,100 25,163
Sterling Chemicals, Inc.+............. 2,200 17,875
Wellman, Inc.......................... 1,000 22,750
-----------
109,864
-----------
Commercial Services (0.5%)
GATX Corp............................. 1,200 58,349
Measurex Corp......................... 1,200 33,900
-----------
92,249
-----------
Computer Software (1.7%)
Acxiom Corp.+......................... 400 10,950
Barra, Inc.+.......................... 1,500 25,500
Boole & Babbage, Inc.+................ 300 7,350
Cadence Design Systems, Inc.+......... 3,000 125,999
Cisco Systems, Inc.+.................. 300 22,388
Computer Associates International, 250 14,219
Inc.................................
Computer Sciences Corp.+.............. 300 21,075
Hogan Systems, Inc.+.................. 4,400 59,949
Hyperion Software Corp.+.............. 400 8,500
Kronos, Inc.+......................... 100 4,750
Microsoft Corp.+...................... 100 8,775
Shiva Corp.+.......................... 100 7,275
Softdesk, Inc.+....................... 100 1,975
Structural Dynamics Research Corp.+... 200 5,875
-----------
324,580
-----------
Computers and Office Equipment (1.8%)
Bay Networks Inc.+.................... 1,000 41,125
Comdisco, Inc......................... 1,250 28,281
Compaq Computer Corp.+................ 200 9,600
Computervision Corp.+................. 1,600 24,600
Dell Computer Corp.+.................. 1,200 41,550
HBO & Co.............................. 100 7,663
In Focus Systems, Inc.+............... 1,800 65,024
Komag, Inc.+.......................... 400 18,450
Moore Corp., Ltd...................... 600 11,175
Read-Rite Corp.+...................... 1,000 23,250
Sun Microsystems, Inc.+............... 200 9,125
United Stationers, Inc................ 2,200 61,049
-----------
340,892
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- --------------------------------------------------------------------
Number of Market
Shares Value
--------- ------------
United States (continued)
Consumer Products (0.2%)
Eastman Kodak Co...................... 300 $ 20,100
Liz Claiborne, Inc.................... 400 11,100
-----------
31,200
-----------
Diversified (1.2%)
Brady (WH) Co......................... 900 24,300
Dover Corp............................ 500 18,438
Harsco Corp........................... 900 52,313
Johnson Controls, Inc................. 200 13,750
Katy Industries....................... 6,300 58,275
Opal, Inc.+........................... 300 3,825
Textron, Inc.......................... 200 13,500
Varlen Corp........................... 1,500 32,250
VF Corp............................... 100 5,275
-----------
221,926
-----------
Electrical and Electronics (2.3%)
Applied Materials, Inc.+.............. 200 7,875
CTS Corporation....................... 1,000 37,750
Cypress Semiconductor Corp.+.......... 2,900 36,975
Dallas Semiconductor Corp............. 1,000 20,750
Esterline Technologies+............... 2,000 47,250
Hewlett Packard Co.................... 300 25,125
Intel Corp............................ 100 5,675
Logicon, Inc.......................... 1,600 44,000
Maxim Integrated Products, Inc.+...... 600 23,100
Micron Technology, Inc................ 300 11,888
National Service Industries, Inc...... 600 19,425
Novellus Systems, Inc.+............... 100 5,400
Quickturn Design System, Inc.+........ 1,100 11,000
Ramtron International Corp.+.......... 200 1,300
Seagate Technology, Inc.+............. 1,300 61,749
Siliconix, Inc.+...................... 300 11,100
Tencor Instruments+................... 500 12,188
Texas Instruments, Inc................ 600 31,050
Unitrode Corp.+....................... 600 16,950
-----------
430,550
-----------
Electrical Equipment (1.7%)
ADflex Solutions, Inc.+............... 1,400 37,450
Avnet, Inc............................ 700 31,325
Fore Systems, Inc.+................... 400 23,800
International Rectifier Corp.+........ 2,000 50,000
Kemet Corp.+.......................... 900 21,488
Kent Electronics Corp.+............... 1,000 58,374
Mentor Graphics Corp.+................ 2,300 41,975
Park Electrochemical Corp............. 1,200 39,600
Raychem Corp.......................... 400 22,750
-----------
326,762
-----------
Financial Services (2.8%)
Alex Brown & Sons, Inc................ 900 37,800
Astoria Financial Corp................ 1,600 72,999
Bear Stearns Co., Inc................. 2,300 45,713
BHC Financial, Inc.................... 2,800 50,400
Crestar Financial Corp................ 1,000 59,124
Dean Witter Discover and Co........... 100 $ 4,700
Deposit Guaranty Corp................. 700 31,150
Greenpoint Financial Corp............. 700 18,725
Household International, Inc.......... 100 5,913
Leader Financial Corp................. 800 29,900
Merrill Lynch & Co., Inc.............. 300 15,300
RCSB Financial, Inc................... 200 4,750
TR Financial Corp..................... 700 17,850
Transamerica Corp..................... 300 21,863
Travelers, Inc........................ 400 25,150
Union Planters Corp................... 2,100 66,937
White River Corp.+.................... 300 11,550
-----------
519,824
-----------
Foods and Beverages (1.6%)
Campbell Soup Co...................... 200 12,000
Coors (Adolph) Co..................... 700 15,488
Darden Restaurants, Inc............... 700 8,313
Hershey Foods Corp.................... 100 6,500
Hometown Buffet, Inc.+................ 300 3,319
Hormel Foods Corp..................... 1,400 34,475
IBP, Inc.............................. 1,000 50,500
International Multifoods Corp......... 2,000 40,250
Kroger Co. (The)+..................... 200 7,500
Mondavi (Robert) Corp.+............... 700 19,338
PepsiCo, Inc.......................... 500 27,938
Quaker Oats Co........................ 200 6,900
Safeway, Inc.+........................ 700 36,050
Sara Lee Corp......................... 200 6,375
Supervalu, Inc........................ 500 15,750
Universal Foods Corp.................. 300 12,038
-----------
302,734
-----------
Health Services (1.3%)
Invacare Corp......................... 1,200 30,300
Lincare Holdings, Inc.+............... 1,500 37,500
Nellcor, Inc.+........................ 600 34,800
RightCHOICE Managed Care, Inc.+....... 2,600 33,800
Tenet Healthcare Corp.+............... 600 12,450
Universal Health Services, Inc.+...... 1,200 53,250
Wellpoint Health Networks, Inc.+...... 1,100 35,338
-----------
237,438
-----------
Home Furnishings and Appliances (0.2%)
Leggett & Platt, Inc.................. 1,200 29,100
Oneida, Ltd........................... 300 5,288
-----------
34,388
-----------
Hotels and Restaurants (0.3%)
Marriott International, Inc........... 300 11,475
McDonald's Corp....................... 700 31,588
Prime Hospitality Corp.+.............. 1,300 13,000
-----------
56,063
-----------
Household Products (0.1%)
Premark International, Inc............ 300 15,188
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Variable Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ---------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Insurance (2.9%)
Allstate Corp......................... 500 $ 20,563
American Bankers Insurance Group...... 1,500 58,499
American National Insurance Co........ 700 46,550
CMAC Investment Corp.................. 400 17,600
Commerce Group, Inc................... 300 6,188
Fremont General Corp.................. 600 22,050
Fund American Enterprises, Inc........ 400 29,800
Home Beneficial Corp. Class B......... 400 9,600
Kansas City Life Insurance Co......... 300 15,750
Loews Corp............................ 600 47,025
Maxicare Health Plans, Inc.+.......... 3,500 94,062
Old Republic International Corp....... 1,200 42,600
Orion Capital Corp.................... 400 17,350
Reinsurance Group of America.......... 1,500 54,938
State Auto Financial Corp............. 900 23,400
Transatlantic Holdings, Inc........... 700 51,363
Transport Holdings, Inc.+............. 3 122
-----------
557,460
-----------
Machinery and Equipment (1.2%)
Acme-Cleveland Corp................... 1,500 28,125
Barnes Group, Inc..................... 800 28,800
Blount, Inc. Class A.................. 1,350 35,438
Brunswick Corp........................ 200 4,800
Fluor Corp............................ 100 6,600
FSI International, Inc.+.............. 800 16,200
Kysor Industrial Corp................. 1,800 43,650
L.S. Starrett Co. Class A............. 900 23,288
Lam Research Corp.+................... 300 13,725
Parker-Hannifin Corp.................. 400 13,700
Regal Beloit.......................... 700 15,225
-----------
229,551
-----------
Media and Entertainment (1.0%)
Callaway Golf Co...................... 2,500 56,563
Gtech Holdings Corp.+................. 2,100 54,600
King World Production, Inc.+.......... 500 19,438
Media General, Inc.................... 1,000 30,375
Mirage Resorts, Inc.+................. 900 31,050
-----------
192,026
-----------
Medical Supplies (1.2%)
Coherent, Inc.+....................... 800 32,400
Cordis Corp.+......................... 500 50,250
GC Companies, Inc.+................... 800 26,800
Guidant Corp.......................... 1,800 76,049
Haemonetics Corp.+.................... 1,000 17,750
North American Biologicals, Inc.+..... 1,900 20,425
-----------
223,674
-----------
Metals and Mining (1.3%)
AK Steel Holding Corp................. 400 13,700
Alcan Aluminum Ltd.................... 300 9,338
Alumax, Inc.+......................... 200 6,125
Aluminum Co. of America............... 100 5,288
Carpenter Technology Corp............. 700 28,788
Cleveland-Cliffs, Inc................. 600 $ 24,600
Cyprus Amax Minerals Co............... 300 7,838
J & L Specialty Steel, Inc............ 1,800 33,750
Mueller Industries, Inc.+............. 400 11,700
Phelps Dodge Corp..................... 300 18,675
Reliance Steel & Aluminum Co......... 2,100 43,575
Schnitzer Steel Industries, Inc....... 1,500 45,750
-----------
249,127
-----------
Oil and Gas (2.6%)
Atlantic Richfield Co................. 100 11,075
Camco International, Inc.............. 200 5,600
Chesapeake Energy Corp.+.............. 450 14,963
Columbia Gas System, Inc.+............ 100 4,388
Diamond Shamrock, Inc................. 1,800 46,575
Exxon Corp............................ 700 56,088
Fina,Inc. Class A..................... 900 45,450
Getty Petroleum Corp.................. 300 4,050
Halliburton Co........................ 400 20,250
Lufkin Industries, Inc................ 900 20,363
Mobil Corp............................ 400 44,800
NGC Corp.............................. 4,700 41,713
Oneok, Inc............................ 800 18,300
Royal Dutch Petroleum Co.............. 400 56,450
RPC, Inc.+............................ 800 7,300
Smith International, Inc.+............ 1,200 28,200
Sonat Offshore Drilling Co............ 1,100 49,225
Sun Company, Inc...................... 100 2,738
Texaco, Inc........................... 200 15,700
-----------
493,228
-----------
Paper and Containers (1.5%)
Asia Pulp & Paper Co. Ltd.+........... 5,000 40,625
Champion International Corp........... 200 8,400
Chesapeake Corp....................... 3,700 109,612
Georgia-Pacific Corp.................. 100 6,863
Greif Brothers Corp................... 200 5,375
Mead Corp............................. 300 15,675
Rayoner, Inc.......................... 1,100 36,713
Temple-Inland, Inc.................... 300 13,238
Willamette Industries, Inc............ 1,000 56,250
-----------
292,751
-----------
Pharmaceuticals (1.7%)
Alliance Pharmaceutical+.............. 300 4,088
American Home Products Corp........... 300 29,100
Becton, Dickinson & Co................ 300 22,500
Bristol-Myers Squibb Co............... 500 42,938
COR Therapeutics, Inc.+............... 1,200 10,050
Immulogic Pharmaceutical Corp.+....... 400 7,700
Immunex Corp.+........................ 100 1,650
Johnson & Johnson..................... 200 17,125
Merck & Co., Inc...................... 300 19,725
Pfizer, Inc........................... 400 25,200
R.P. Scherer Corp.+................... 1,000 49,125
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Pharmaceuticals (continued)
Rhone-Poulenc Rorer, Inc.............. 800 $ 42,600
Schering Plough....................... 500 27,375
Vical, Inc.+.......................... 100 1,213
Watson Pharmaceuticals, Inc.+......... 300 14,700
-----------
315,089
-----------
Printing and Publishing (0.9%)
Banta Corp............................ 1,100 48,400
Central Newspapers, Inc. Class A..... 1,000 31,375
New York Times Co..................... 300 8,888
Plenum Publishing Corp................ 300 11,700
Pulitzer Publishing Co................ 1,100 52,525
Scholastic Corp.+..................... 200 15,550
Tribune Co............................ 100 6,113
-----------
174,551
-----------
Real Estate Investment Trusts (26.4%)
Associated Estates Realty Corp........ 11,500 247,249
Beacon Properties Corp................ 11,200 257,599
CALI Realty Corp...................... 7,900 172,812
CBL & Associates Properties, Inc...... 8,500 184,874
Chelsea GCA Realty, Inc............... 8,900 266,999
Colonial Properties Trust............. 10,200 260,099
Cousins Properties, Inc............... 6,000 121,499
Crescent Real Estate Equities, Inc.... 7,900 269,587
Developers Diversified Realty Corp.... 2,700 80,999
Duke Realty Investments, Inc.......... 8,600 269,824
Equity Residential Properties Trust... 8,300 254,187
Essex Property Trust, Inc............. 13,500 259,874
Evans Withycombe Residential, Inc..... 9,100 195,649
Excel Realty Trust, Inc............... 12,200 250,099
First Industrial Realty Trust, Inc.... 900 20,250
HGI Realty, Inc....................... 7,800 178,424
Highwood Properties, Inc.............. 9,700 274,024
Kimco Realty Corp..................... 9,150 249,337
Kranzco Realty Trust.................. 1,100 16,225
Oasis Residential, Inc................ 2,700 61,424
Prime Residential, Inc................ 14,400 266,399
Public Storage, Inc................... 13,500 256,499
Regency Realty Corp................... 11,200 193,199
Security Capital Industrial Trust..... 1,400 24,500
Smith (Charles E.) Residential Realty 2,800 66,149
Co..................................
Walden Residential Properties, Inc.... 13,400 279,724
-----------
4,977,504
-----------
Retail (1.6%)
Claire's Stores, Inc.................. 1,900 33,488
Egghead, Inc.+........................ 400 2,575
General Host Corp.+................... 5,000 20,000
Hannaford Brothers, Co................ 1,500 36,938
Longs Drug Stores, Inc................ 300 14,363
Mercantile Stores Co., Inc............ 400 18,500
Ross Stores, Inc...................... 700 13,388
Ruddick Corp.......................... 4,400 50,600
Sears, Roebuck & Co................... 300 11,700
Waban, Inc.+.......................... 2,200 $ 41,250
Weis Markets, Inc..................... 1,100 31,075
Zale Corp.+........................... 1,600 25,800
-----------
299,677
-----------
Specialty Consumer Durables (0.4%)
Bio-Rad Labs, Inc. Class A+........... 500 21,250
Polaris Industries, Inc............... 1,650 48,469
-----------
69,719
-----------
Telecommunications (1.0%)
Ameritech Corp........................ 700 41,300
Cascade Communications Corp.+......... 400 34,100
Case Corp............................. 1,000 45,750
Holophane Corp.+...................... 750 16,313
Lincoln Telecommunications Co......... 2,100 44,363
Mobile Telecommunications
Technologies Corp.+................. 100 2,138
-----------
183,964
-----------
Transportation (0.9%)
Alaska Air Group, Inc.+............... 100 1,625
American President Cos., Ltd.......... 1,800 41,400
AMR Corp.+............................ 300 22,275
Canadian National Railway Co.+........ 2,000 30,000
Expeditors International of
Washington, Inc..................... 300 7,838
Florida East Coast Industries, Inc.... 400 27,300
Hornbeck Offshore Services, Inc.+..... 200 3,925
Navistar International Corp.+......... 200 2,100
PHH Corp.............................. 900 42,075
-----------
178,538
-----------
Utilities - Electric (5.3%)
Boston Edison Co...................... 1,700 50,150
California Energy Co., Inc.+.......... 1,300 25,350
Central Louisiana Electric............ 1,200 32,250
Consolidated Edison Co. of 700 22,400
New York, Inc.......................
DQE, Inc.............................. 1,400 43,050
Entergy Corp.......................... 300 8,775
General Public Utilities Corp......... 1,100 37,400
Hawaiian Electric Industries, Inc..... 1,000 38,750
Illinova Corp......................... 1,800 54,000
IPALCO Enterprises, Inc............... 1,400 53,375
New England Electric System........... 1,700 67,362
New York State Electric & Gas Corp.... 2,300 59,512
Nipsco Industries, Inc................ 900 34,425
Northeast Utilities................... 2,100 51,188
Northern States Power Co.............. 700 34,388
Oklahoma Gas & Electric Co............ 200 8,600
Orange & Rockland Utilities, Inc...... 1,200 42,900
Pacific Gas and Electric Co........... 100 2,838
Pinnacle West Capital Corp............ 2,400 68,999
Portland General Corp................. 900 26,213
Public Service Co. of Colorado+....... 1,900 67,212
SCEcorp............................... 1,200 21,300
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Utilities - Electric (continued)
Sierra Pacific Resources.............. 2,200 $ 51,425
Southwestern Public Service Co........ 1,800 58,949
Unicom Corp........................... 600 19,650
United Illuminating Co................ 200 7,475
Western Resources, Inc................ 500 16,688
-----------
1,004,624
-----------
Utilities - Oil and Gas (1.4%)
Brooklyn Union Gas Co. (The).......... 2,000 58,499
Energen Corp.......................... 2,300 55,488
New Jersey Resources Corp............. 1,100 33,138
Northwest Natural Gas Co.............. 300 9,900
Valero Energy Corp.................... 1,700 41,650
Washington Gas Light Co............... 1,700 34,850
Wicor, Inc............................ 1,000 32,250
Williams Cos., Inc.................... 200 8,775
-----------
274,550
-----------
Utilities - Telephone (0.7%)
Bell Atlantic Corp.................... 200 13,375
BellSouth Corp........................ 400 17,400
SBC Communications, Inc............... 500 28,750
Southern New England
Telecommunications Corp............. 1,000 39,750
Sprint Corp........................... 700 27,913
-----------
127,188
-----------
Utilities - Water (0.1%)
SJW Corp.............................. 500 18,875
-----------
Total United States 14,291,238
-----------
Australia (0.2%)
Banks (0.2%)
National Australia Bank Ltd........... 3,700 33,304
-----------
Total Australia 33,304
-----------
Austria (0.6%)
Electrical and Electronics (0.2%)
Austria Mikro Systeme International... 240 38,965
-----------
Foods and Beverages (0.1%)
Oester Brau-Beteiligungs.............. 200 9,116
-----------
Insurance (0.1%)
EA-Generali AG........................ 50 14,994
-----------
Oil and Gas (0.1%)
OEMV AG............................... 300 26,066
-----------
Paper and Containers (0.1%)
Leykam-Muerztaler Papier+............. 150 4,751
MayrMelnhof Karton AG................. 300 15,044
-----------
19,795
-----------
Total Austria 108,936
-----------
Belgium (0.6%)
Banks (0.1%)
Banque Bruxelles Lambert SA........... 50 8,580
-----------
Chemicals (0.3%)
Solvay SA Class A..................... 100 $ 54,027
-----------
Financial Services (0.1%)
Algem Maatsch Voor Nijverhei.......... 50 14,951
Societe Generale De Belgique.......... 150 12,411
-----------
27,362
-----------
Utilities - Electric (0.1%)
Reunies Electrobel & Tractebel........ 50 20,642
-----------
Total Belgium 110,611
-----------
Canada (0.8%)
Banks (0.1%)
Royal Bank of Canada.................. 700 15,974
-----------
Financial Services (0.1%)
Bank of Montreal...................... 807 18,349
-----------
Foods and Beverages (0.1%)
Molson Companies Ltd.................. 1,300 21,446
-----------
Metals and Mining (0.1%)
Dofasco, Inc.......................... 1,204 15,230
Falconbridge Ltd...................... 400 8,505
-----------
23,735
-----------
Oil and Gas (0.2%)
Alberta Energy Co. Ltd................ 300 4,812
Conwest Exploration Co................ 800 15,984
Imperial Oil Ltd...................... 1 26
Petro-Canada.......................... 1,400 16,167
-----------
36,989
-----------
Paper and Containers (0.1%)
Abitibi-Price Inc..................... 900 12,950
MacMillan Bloedel Ltd................. 500 6,186
Stone-Consolidated Corp.+............. 300 3,849
-----------
22,985
-----------
Retail (0.0%)
Hudson's Bay Co....................... 200 2,878
-----------
Utilities - Electric (0.1%)
Transalta Corp........................ 1,400 15,012
-----------
Total Canada 157,368
-----------
Denmark (0.7%)
Banks (0.2%)
Den Danske Bank....................... 300 20,733
Jyske Bank AS......................... 200 13,713
-----------
34,446
-----------
Building Materials and Construction (0.1%)
Lindab AB Class B..................... 800 16,456
-----------
Electrical and Electronics (0.0%)
Bang & Olufsen Holding Co............. 500 15,428
-----------
Foods and Beverages (0.1%)
Superfos AS........................... 200 17,503
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
Denmark (continued)
Pharmaceuticals (0.2%)
Novo-Nordisk AS....................... 300 $ 41,140
-----------
Telecommunications (0.1%)
GN Store Nord AS...................... 200 16,059
-----------
Total Denmark 141,032
-----------
Finland (0.3%)
Financial Services (0.1%)
Unitas Bank Ltd. Class A+............. 4,500 11,400
-----------
Foods and Beverages (0.1%)
Huhtamaki Group Class I............... 700 16,927
-----------
Paper and Containers (0.1%)
Repola Oy............................. 1,000 18,884
-----------
Total Finland 47,211
-----------
Hong Kong (0.6%)
Banks (0.3%)
HSBC Holdings Plc..................... 3,027 45,803
-----------
Real Estate Investment Trusts (0.3%)
Amoy Properties Ltd................... 15,000 14,938
Hong Kong Land Holdings Ltd........... 25,000 46,250
-----------
61,188
-----------
Total Hong Kong 106,991
-----------
Italy (0.6%)
Banks (0.2%)
Banca Popolare Di Bergamo............. 3,000 41,508
-----------
Printing and Publishing (0.2%)
Mondadori (Arnoldo) Editore SpA....... 4,000 34,694
-----------
Utilities - Telephone (0.2%)
Telecom Italia SpA.................... 20,000 31,139
-----------
Total Italy 107,341
-----------
Japan (5.9%)
Autos and Auto Equipment (0.2%)
Mitsubishi Motors Corp................ 4,000 32,611
-----------
Building Materials and Construction (0.5%)
Fujita Corp........................... 10,000 45,175
Nippon Densetsu Kogyo................. 4,000 40,328
-----------
85,503
-----------
Chemicals (0.4%)
Fuji Photo Film....................... 1,000 28,889
Shin-Etsu Chemical Co................. 2,000 41,491
-----------
70,380
-----------
Computers and Office Equipment (0.7%)
CANON, Inc............................ 2,000 36,256
Fujitsu, Ltd.......................... 4,000 44,593
Kurabo Industries..................... 12,000 45,950
-----------
126,799
-----------
Electrical and Electronics (0.9%)
Hitachi Koki.......................... 5,000 45,369
Matsushita Electric Industrial Co. 3,000 $ 48,859
Ltd.................................
Nintendo Co. Ltd...................... 1,000 76,098
-----------
170,326
-----------
Electrical Equipment (0.5%)
Hitachi Ltd. (Hit. Seisakusho)........ 5,000 50,410
Nichicon.............................. 3,000 44,205
-----------
94,615
-----------
Financial Services (0.4%)
Sanyo Shinpan Finance Co.............. 1,000 82,399
-----------
Foods and Beverages (0.1%)
Katokichi............................. 1,000 20,842
-----------
Machinery and Equipment (0.4%)
Tsubakimoto Chain..................... 8,000 48,161
Tsukishima Kikai...................... 1,000 21,327
-----------
69,488
-----------
Printing and Publishing (0.2%)
Toppan Printing Co. Ltd............... 3,000 39,552
-----------
Real Estate Investment Trusts (0.3%)
Sekisui House......................... 4,000 51,185
-----------
Retail (0.5%)
Familymart............................ 1,000 45,175
JUSCO Co.............................. 2,000 52,155
-----------
97,330
-----------
Transportation (0.4%)
East Japan Railway Co................. 10 48,665
Nippon Express Co. Ltd................ 3,000 28,908
-----------
77,573
-----------
Utilities - Electric (0.1%)
Hokkaido Electric Power Co............ 40 931
Tohoku Electric Power................. 1,000 24,138
-----------
25,069
-----------
Utilities - Telephone (0.3%)
DDI Corp.............................. 2 15,511
Nippon Telegraph & Telephone Corp..... 6 47,596
-----------
63,107
-----------
Total Japan 1,106,779
-----------
Malaysia (0.3%)
Diversified (0.1%)
Oriental Holdings Bhd................. 3,000 15,242
-----------
Financial Services (0.0%)
Lion Land Bhd......................... 10,000 9,925
-----------
Oil and Gas (0.1%)
Petronas Gas Bhd...................... 4,000 13,627
-----------
Transportation (0.1%)
Malaysian International Shipping Bhd.. 4,000 10,477
-----------
Total Malaysia 49,271
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ---------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
Netherlands (0.7%)
Building Materials and Construction (0.1%)
Kon. Volker Stevin N.V................ 300 $ 18,152
-----------
Commercial Services (0.0%)
Royal PTT Nederland N.V............... 203 7,383
-----------
Electrical and Electronics (0.2%)
Philips Electronics N.V............... 900 32,562
-----------
Electrical Equipment (0.1%)
Draka Holding N.V..................... 500 12,944
-----------
Financial Services (0.2%)
ABN-Amro Holding N.V.................. 500 22,800
Internationale Nederlanden Groep N.V.. 300 20,061
-----------
42,861
-----------
Insurance (0.0%)
Aegon N.V............................. 202 8,946
-----------
Retail (0.1%)
Koninklijke Ahold N.V................. 303 12,380
-----------
Total Netherlands 135,228
-----------
Norway (1.1%)
Chemicals (0.3%)
Norsk Hydro AS........................ 1,400 58,941
-----------
Diversified (0.3%)
Orkla AS Class A...................... 1,000 49,857
-----------
Financial Services (0.1%)
Fokus Banken AS+...................... 5,000 27,065
-----------
Insurance (0.1%)
UNI Storebrand AS..................... 4,400 24,374
-----------
Transportation (0.3%)
Bergesen d.y. AS Class B.............. 1,300 25,514
Kvaerner AS........................... 600 21,272
-----------
46,786
-----------
Total Norway 207,023
-----------
Singapore (0.7%)
Banks (0.2%)
Oversea-Chinese Banking............... 3,000 37,540
-----------
Computers and Office Equipment (0.1%)
Acma Ltd.............................. 7,200 23,924
-----------
Financial Services (0.1%)
United Overseas Bank Ltd.............. 1,000 9,615
-----------
Foods and Beverages (0.1%)
Cerebos Pacific Ltd................... 4,000 27,713
-----------
Retail (0.1%)
Robinson & Co. Ltd.................... 5,000 20,855
-----------
Transportation (0.1%)
Singapore Airlines Ltd................ 2,000 18,664
-----------
Total Singapore 138,311
-----------
South Korea (0.3%)
Utilities - Electric (0.3%)
Korea Electric Power Corp. ADR........ 2,000 $ 53,500
-----------
Total South Korea 53,500
-----------
Sweden (0.8%)
Autos and Auto Equipment (0.2%)
Autoliv AB............................ 300 17,563
Volvo AB Class B...................... 1,200 24,625
-----------
42,188
-----------
Electrical and Electronics (0.2%)
Telefonaktiebolaget Ericsson.......... 1,550 30,404
-----------
Electrical Equipment (0.0%)
Allgon AB Class B..................... 700 9,717
-----------
Financial Services (0.1%)
Svenska Handelsbanken................. 1,000 20,823
-----------
Home Furnishings and Appliances (0.1%)
Electrolux AB Class B................. 400 16,447
-----------
Metals and Mining (0.1%)
SSAB Svenskt Sta AB................... 1,600 16,417
-----------
Paper and Containers (0.1%)
Stora Kopparbergs..................... 1,200 14,123
-----------
Total Sweden 150,119
-----------
Switzerland (0.6%)
Diversified (0.0%)
Alusuisse-Lonza Holding AG............ 10 7,943
-----------
Financial Services (0.1%)
Schweizerischer Bankverein............ 35 14,326
-----------
Foods and Beverages (0.1%)
Nestle SA Registered.................. 15 16,633
-----------
Insurance (0.2%)
Winterthur Schweizerische 15 10,715
Versicherungs.......................
Zurich Versicherungs-Gesellschaft..... 60 17,989
-----------
28,704
-----------
Machinery and Equipment (0.1%)
Georg Fischer AG...................... 10 13,036
Landis & Gyr.......................... 10 8,169
-----------
21,205
-----------
Paper and Containers (0.0%)
Bobst SA.............................. 5 7,821
-----------
Retail (0.0%)
Merkur Holding AG..................... 35 7,695
-----------
Utilities - Electric (0.1%)
Electrowatt AG........................ 30 11,002
-----------
Total Switzerland 115,329
-----------
United Kingdom (1.9%)
Apparel (0.1%)
Coats Viyella Plc..................... 10,200 27,714
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United Kingdom (continued)
Commercial Services (0.1%)
Inchcape Plc.......................... 7,000 $ 27,062
-----------
Consumer Products (0.1%)
Reckitt & Coleman Plc................. 1,400 15,498
-----------
Diversified (0.2%)
Harrisons & Crosfield Plc............. 11,300 28,071
Lonrho Plc............................ 5,500 15,029
-----------
43,100
-----------
Financial Services (0.3%)
Abbey National Plc.................... 3,300 32,586
Barclays Plc.......................... 2,700 30,979
-----------
63,565
-----------
Insurance (0.2%)
Guardian Royal Exchange Plc........... 3,400 14,570
Royal Insurance Holdings Plc.......... 2,634 15,622
-----------
30,192
-----------
Media and Entertainment (0.1%)
Granada Group Plc..................... 1,400 14,020
-----------
Oil and Gas (0.1%)
Burmah Castrol Plc.................... 1,100 15,951
-----------
Retail (0.4%)
Asda Group Plc........................ 20,000 34,312
Burton Group Plc...................... 20,700 43,227
-----------
77,539
-----------
Transportation (0.2%)
British Airways Plc................... 1,500 10,853
Peninsular & Orient Steam 4,400 32,518
Navigation Co.......................
-----------
43,371
-----------
Utilities - Water (0.1%)
Welsh Water Plc....................... 917 11,030
-----------
Total United Kingdom 369,042
-----------
TOTAL COMMON STOCKS
(COST $16,210,933) ................ $17,428,634
-----------
PREFERRED STOCKS (0.6%)
United States (0.3%)
Banks (0.1%)
BankAmerica Corp...................... 400 25,900
-----------
Chemicals (0.1%)
Union Carbide Corp.................... 300 11,250
-----------
Electrical Equipment (0.1%)
FPL Group, Inc........................ 300 13,913
-----------
Total United States 51,063
-----------
Austria (0.1%)
Banks (0.1%)
Creditanstalt-Bankverein.............. 300 15,431
-----------
Total Austria 15,431
-----------
Finland (0.2%)
Electrical Equipment (0.2%)
Nokia AB Class A...................... 1,000 $ 39,381
-----------
Total Finland 39,381
-----------
United Kingdom (0.0%)
Utilities - Water (0.0%)
Welsh Water Plc....................... 990 1,675
-----------
Total United Kingdom 1,675
-----------
TOTAL PREFERRED STOCKS
(COST $126,419) .................... $ 107,550
-----------
WARRANTS (0.2%)
Morgan Stanley American Express Hong
Kong+............................... 8,000 34,000
-----------
TOTAL WARRANTS (COST $39,390) ........ $ 34,000
-----------
Principal Market
Amount Value
--------- -----------
LONG TERM BONDS AND NOTES (0.2%)
Mitsubishi Bank, 3.00%, 11/30/02...... $ 40,000 $ 46,276
-----------
TOTAL LONG TERM BONDS AND NOTES (COST
$40,000) ........................... $ 46,276
-----------
SHORT-TERM INVESTMENTS (6.0%)
Cooper Industries, Inc., Comm. Paper,
6.00%, 01/02/96 .................... 495,000 495,000
Fleetwood Credit Corp., Comm. Paper,
5.85%, 01/04/96 (b) ................ 150,000 149,951
U.S. Treasury Note++, 9.25%, 01/15/96. 485,000 485,888
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $1,130,537) .................. $1,130,839
-----------
TOTAL INVESTMENTS
(cost $17,547,279)(a) .............. $18,747,299
Other assets less liabilities ........ 102,587
-----------
Total Net Assets ..................... $18,849,886
===========
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------
Notes to Portfolio of Investments
Category percentages are based on net assets.
+Non-income producing security.
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at December 31, 1995
are as follows:
Unrealized gains .................... $1,638,946
Unrealized losses ................... (438,926)
-----------
Net unrealized gain.................. $1,200,020
===========
++Security pledged to cover initial margin deposits on open futures contracts at
December 31, 1995. Information corncerning open futures contracts is shown
below:
No. of Long Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ---------- ---------- -----------
All Ordinaries
Share Price
Index Futures .. 3 $ 125,621 March 96 $ (521)
TSE 35 Index 1 91,500 March 96 (821)
Futures
German DAX
Index Futures 2 317,831 March 96 (559)
CAC 40 Stock
Index Futures .. 2 149,232 March 96 3,149
Topix Index 1 149,645 March 96 5,429
Future .........
Hang Seng
Index Futures .. 3 194,518 March 96 2,134
Futures ........
-----------
$ 8,811
===========
(b) Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to Section 4(2) of the Securities Act
of 1933, as amended. These securities have been determined to be liquid under
guidelines determined by the Board of Trustees.
See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995
- -----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
COMMON STOCKS (75.1%)
United States (63.2%)
Aerospace and Defense (0.1%)
McDonnell Douglas Corp................ 200 $ 18,400
-----------
Apparel and Cosmetics (0.3%)
Blair Corp............................ 100 3,163
Chic By H I S, Inc.+.................. 2,500 13,750
Nike, Inc............................. 200 13,925
Oshkosh B'Gosh, Inc................... 200 3,500
TJX Companies, Inc. (The)............. 900 16,988
-----------
51,326
-----------
Autos and Auto Equipment (0.5%)
Borg Warner Automotive, Inc........... 900 28,800
Kaydon Corp........................... 700 21,263
Smith (A.O.) Corp..................... 900 18,675
Snap On, Inc.......................... 200 9,050
Varity Corp.+......................... 300 11,138
-----------
88,926
-----------
Banks (3.1%)
Bank of New York Co., Inc............. 600 29,250
BayBanks, Inc......................... 400 39,300
Chemical Banking Corp................. 300 17,625
CITICORP.............................. 400 26,900
Citizens Bancorp...................... 1,400 45,150
City National Corp.................... 2,400 33,600
Cullen/Frost Bankers, Inc............. 900 45,000
First American Corp. (Tenn.).......... 700 33,163
First Chicago Corp.................... 543 21,449
First Citizens Bancshares, Inc. Class 100 5,513
A...................................
First Interstate Bancorp.............. 200 27,300
First of America Bank Corp............ 1,000 44,375
Firstbank of Illinois Co.............. 400 12,350
KeyCorp............................... 600 21,750
Nations Bank, Inc..................... 400 27,850
PNC Bancorp........................... 200 13,125
Provident Bancorp..................... 800 37,600
Queens County Bancorp, Inc............ 300 11,869
River Forest Bancorp, Inc............. 1,000 25,500
Sumitomo Bank of California........... 100 2,450
Union Bank............................ 600 32,550
United Carolina Bancshares, Inc....... 900 30,375
-----------
584,044
-----------
Building Materials and Construction (2.0%)
American Buildings Co.+............... 900 20,250
Beazer Homes USA, Inc.+............... 1,600 33,000
Centex Corp........................... 200 6,950
Champion Enterprises, Inc.+........... 2,200 67,924
Continental Homes Holding Corp........ 200 4,925
Elcor Corp............................ 300 6,525
Granite Construction, Inc............. 2,100 66,149
International Aluminum Corp........... 200 5,750
Lennar Corp........................... 500 12,563
Puerto Rican Cement Co., Inc.......... 700 23,188
Pulte Corp............................ 400 $ 13,450
Redman Industries, Inc.+.............. 1,100 37,125
Texas Industries, Inc................. 400 21,200
Tredegar Industries, Inc.............. 900 29,250
Webb (Del E.) Corp.................... 500 10,063
WHX Corp.+............................ 1,300 14,138
-----------
372,450
-----------
Chemicals (0.6%)
Dow Chemical Co....................... 200 14,075
Eastman Chemical Co................... 100 6,263
Geon Co. (The)........................ 500 12,188
Lyondell Petrochemical Co............. 1,600 36,600
Sterling Chemicals, Inc.+............. 2,100 17,063
Wellman, Inc.......................... 1,000 22,750
-----------
108,939
-----------
Commercial Services (0.4%)
GATX Corp............................. 600 29,175
Manpower, Inc......................... 900 25,313
Measurex Corp......................... 1,000 28,250
-----------
82,738
-----------
Computer Software (1.6%)
Acxiom Corp.+......................... 300 8,213
Barra, Inc.+.......................... 1,500 25,500
Boole & Babbage, Inc.+................ 150 3,675
Cadence Design Systems, Inc.+......... 2,700 113,399
Cisco Systems, Inc.+.................. 300 22,388
Computer Associates International,
Inc................................. 250 14,219
Computer Sciences Corp.+.............. 300 21,075
Hogan Systems, Inc.+.................. 4,200 57,224
Hyperion Software Corp.+.............. 200 4,250
Kronos, Inc.+......................... 100 4,750
Microsoft Corp.+...................... 100 8,775
Softdesk, Inc.+....................... 100 1,975
Structural Dynamics Research Corp.+... 500 14,688
System Software Associates, Inc....... 150 3,263
-----------
303,394
-----------
Computers and Office Equipment (1.7%)
Bay Networks, Inc.+................... 800 32,900
Comdisco, Inc......................... 1,700 38,463
Compaq Computer Corp.+................ 200 9,600
Computervision Corp.+................. 2,200 33,825
Dell Computer Corp.+.................. 800 27,700
In Focus Systems, Inc.+............... 1,500 54,187
Komag, Inc.+.......................... 200 9,225
Moore Corp., Ltd...................... 1,000 18,625
Read-Rite Corp.+...................... 1,700 39,525
Sun Microsystems, Inc.+............... 200 9,125
United Stationers, Inc................ 1,800 49,950
-----------
323,125
-----------
Consumer Products (0.2%)
Eastman Kodak Co...................... 400 26,800
See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Consumer Products (continued)
Liz Claiborne, Inc.................... 400 $ 11,100
-----------
37,900
-----------
Diversified (1.2%)
Brady (WH) Co......................... 900 24,300
Dover Corp............................ 500 18,438
Harsco Corp........................... 600 34,875
Katy Industries....................... 5,400 49,950
Opal, Inc.+........................... 200 2,550
SPS Technologies, Inc.+............... 600 32,025
Textron, Inc.......................... 300 20,250
Varlen Corp........................... 1,400 30,100
VF Corp............................... 100 5,275
-----------
217,763
-----------
Electrical and Electronics (1.9%)
Applied Materials, Inc.+.............. 200 7,875
Cohu, Inc............................. 100 2,550
CTS Corporation....................... 1,000 37,750
Cypress Semiconductor Corp.+.......... 2,300 29,325
Dallas Semiconductor Corp............. 500 10,375
Hewlett Packard Co.................... 300 25,125
Intel Corp............................ 100 5,675
Logicon, Inc.......................... 1,600 44,000
Maxim Integrated Products, Inc.+...... 600 23,100
Micron Technology, Inc................ 300 11,888
National Service Industries, Inc...... 600 19,425
Novellus Systems, Inc.+............... 400 21,600
Quickturn Design System, Inc.+........ 800 8,000
Seagate Technology, Inc.+............. 1,100 52,249
Siliconix, Inc.+...................... 300 11,100
Tencor Instruments+................... 400 9,750
Texas Instruments, Inc................ 400 20,700
Unitrode Corp.+....................... 600 16,950
-----------
357,437
-----------
Electrical Equipment (1.7%)
ADflex Solutions, Inc.+............... 1,300 34,775
Avnet, Inc............................ 700 31,325
International Rectifier Corp.+........ 1,600 40,000
Kemet Corp.+.......................... 700 16,713
Kent Electronics Corp.+............... 800 46,700
Mentor Graphics Corp.+................ 1,800 32,850
Park Electrochemical Corp............. 1,200 39,600
Raychem Corp.......................... 400 22,750
Sundstrand Corp....................... 600 42,225
Thomas & Betts Corp................... 200 14,750
-----------
321,688
-----------
Financial Services (2.0%)
Alex Brown & Sons, Inc................ 800 33,600
Astoria Financial Corp................ 1,500 68,437
Bear Stearns Co., Inc................. 1,900 37,763
BHC Financial, Inc.................... 2,700 48,600
Crestar Financial Corp................ 300 17,738
Dean Witter Discover and Co........... 100 4,700
Greenpoint Financial Corp............. 300 $ 8,025
Household International, Inc.......... 100 5,913
Leader Financial Corp................. 600 22,425
Merrill Lynch & Co., Inc.............. 300 15,300
RCSB Financial, Inc................... 200 4,750
TR Financial Corp..................... 600 15,300
Transamerica Corp..................... 100 7,288
Travelers, Inc........................ 400 25,150
Union Planters Corp................... 1,700 54,187
White River Corp.+.................... 300 11,550
-----------
380,726
-----------
Foods and Beverages (1.6%)
Campbell Soup Co...................... 400 24,000
Coors (Adolph) Co..................... 900 19,913
Darden Restaurants, Inc............... 1,000 11,875
Hometown Buffet, Inc.+................ 200 2,213
Hormel Foods Corp..................... 800 19,700
IBP, Inc.............................. 900 45,450
International Multifoods Corp......... 1,600 32,200
Kroger Co. (The)+..................... 300 11,250
Mondavi (Robert) Corp.+............... 500 13,813
PepsiCo, Inc.......................... 800 44,700
Quaker Oats Co........................ 200 6,900
Safeway, Inc.+........................ 700 36,050
Sara Lee Corp......................... 200 6,375
Smith's Food & Drug Centers, Inc...... 400 10,100
Supervalu, Inc........................ 500 15,750
Universal Foods Corp.................. 200 8,025
-----------
308,314
-----------
Health Services (1.2%)
Invacare Corp......................... 1,200 30,300
Lincare Holdings, Inc.+............... 1,300 32,500
Nellcor, Inc.+........................ 600 34,800
Quorum Health Group, Inc.+............ 200 4,400
RightCHOICE Managed Care, Inc.+....... 2,400 31,200
Tenet Healthcare Corp.+............... 700 14,525
Universal Health Services, Inc.+...... 1,000 44,375
Wellpoint Health Networks, Inc.+...... 900 28,913
-----------
221,013
-----------
Home Furnishings and Appliances (0.2%)
Leggett & Platt, Inc.................. 1,400 33,950
Oneida, Ltd........................... 200 3,525
-----------
37,475
-----------
Hotels and Restaurants (0.1%)
Marriott International, Inc........... 300 11,475
Prime Hospitality Corp.+.............. 1,200 12,000
-----------
23,475
-----------
Household Products (0.1%)
Premark International, Inc............ 300 15,188
-----------
Insurance (2.6%)
Allstate Corp......................... 478 19,658
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ------------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Insurance (continued)
American Bankers Insurance Group...... 1,400 $ 54,599
Capital American Financial Corp....... 100 2,263
CMAC Investment Corp.................. 400 17,600
Commerce Group, Inc................... 300 6,188
Fremont General Corp.................. 400 14,700
Fund American Enterprises, Inc........ 400 29,800
Home Beneficial Corp. Class B......... 400 9,600
Horace Mann Educators Corp............ 1,000 31,250
Kansas City Life Insurance Co......... 300 15,750
Loews Corp............................ 400 31,350
Maxicare Health Plans, Inc.+.......... 3,100 83,312
Old Republic International Corp....... 1,000 35,500
Orion Capital Corp.................... 400 17,350
Presidential Life Corp................ 400 3,950
Reinsurance Group of America.......... 1,400 51,274
State Auto Financial Corp............. 900 23,400
Transatlantic Holdings, Inc........... 700 51,362
Transport Holdings, Inc.+............. 2 82
-----------
498,988
-----------
Machinery and Equipment (1.3%)
Acme-Cleveland Corp................... 1,400 26,250
Barnes Group, Inc..................... 700 25,200
Blount, Inc. Class A.................. 1,350 35,438
Brunswick Corp........................ 300 7,200
Central Sprinkler Corp.+.............. 1,700 60,349
FSI International, Inc.+.............. 700 14,175
L.S. Starrett Co. ClassA.............. 700 18,113
Lam Research Corp.+................... 400 18,300
Parker-Hannifin Corp.................. 500 17,125
Regal Beloit.......................... 700 15,225
-----------
237,375
-----------
Media and Entertainment (1.1%)
AMC Entertainment+.................... 1,300 30,388
Callaway Golf Co...................... 2,100 47,513
Gtech Holdings Corp.+................. 1,600 41,600
King World Production, Inc.+.......... 700 27,213
Media General, Inc.................... 1,000 30,375
Mirage Resorts, Inc.+................. 600 20,700
-----------
197,789
-----------
Medical Supplies (0.8%)
Coherent, Inc.+....................... 500 20,250
Cordis Corp.+......................... 300 30,150
GC Companies, Inc.+................... 700 23,450
Guidant Corp.......................... 1,000 42,250
Medtronic, Inc........................ 200 11,175
North American Biologicals, Inc.+..... 1,500 16,125
-----------
143,400
-----------
Metals and Mining (1.5%)
AK Steel Holding Corp................. 300 10,275
Alcan Aluminum Ltd.................... 300 9,338
Alumax Inc.+.......................... 200 6,125
Aluminum Co. of America............... 100 5,288
Carpenter Technology Corp............. 900 $ 37,013
Cleveland-Cliffs, Inc................. 600 24,600
Cyprus Amax Minerals Co............... 300 7,838
J & L Specialty Steel, Inc............ 1,700 31,875
Magma Copper Co.+..................... 1,500 41,813
Mueller Industries, Inc.+............. 400 11,700
Phelps Dodge Corp..................... 300 18,675
Reliance Steel & Aluminum Co.......... 2,000 41,500
Schnitzer Steel Industries, Inc....... 1,400 42,700
-----------
288,740
-----------
Oil and Gas (2.1%)
Camco International, Inc.............. 200 5,600
Chesapeake Energy Corp.+.............. 300 9,975
Diamond Shamrock, Inc................. 500 12,938
Exxon Corp............................ 700 56,087
Fina, Inc. Class A.................... 600 30,300
Halliburton Co........................ 400 20,250
Lufkin Industries, Inc................ 600 13,575
Mobil Corp............................ 400 44,800
NGC Corp.............................. 3,300 29,288
Oneok, Inc............................ 700 16,013
Royal Dutch Petroleum Co.............. 400 56,449
RPC, Inc.+............................ 700 6,388
Smith International, Inc.+............ 1,100 25,850
Sonat Offshore Drilling Co............ 900 40,275
Sun Company, Inc...................... 100 2,738
Texaco, Inc........................... 200 15,700
-----------
386,226
-----------
Paper and Containers (1.5%)
Asia Pulp & Paper Co. Ltd.+........... 3,000 24,375
Champion International Corp........... 200 8,400
Chesapeake Corp....................... 3,700 109,612
Georgia-Pacific Corp.................. 100 6,863
Greif Brothers Corp................... 200 5,375
Mead Corp............................. 400 20,900
Rayoner, Inc.......................... 1,000 33,375
Temple-Inland, Inc.................... 200 8,825
Willamette Industries, Inc............ 1,000 56,249
-----------
273,974
-----------
Pharmaceuticals (1.6%)
Alliance Pharmaceutical+.............. 300 4,088
American Home Products Corp........... 300 29,100
Becton, Dickinson & Co................ 300 22,500
Bristol-Myers Squibb Co............... 400 34,350
COR Therapeutics, Inc.+............... 1,000 8,375
Immulogic Pharmaceutical Corp.+....... 300 5,775
Immunex Corp.+........................ 100 1,650
Johnson & Johnson..................... 300 25,688
Merck & Co., Inc...................... 400 26,300
Pfizer, Inc........................... 200 12,600
R.P. Scherer Corp.+................... 1,000 49,125
Rhone-Poulenc Rorer, Inc.............. 800 42,600
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Pharmaceuticals (continued)
Schering Plough....................... 500 $ 27,375
Vical, Inc.+.......................... 100 1,213
Watson Pharmaceuticals, Inc.+......... 300 14,700
-----------
305,439
-----------
Printing and Publishing (0.7%)
Banta Corp............................ 800 35,200
Central Newspapers, Inc. Class A..... 900 28,238
Plenum Publishing Corp................ 200 7,800
Pulitzer Publishing Co................ 1,100 52,524
Scholastic Corp.+..................... 100 7,775
Tribune Co............................ 100 6,113
-----------
137,650
-----------
Real Estate Investment Trusts (20.4%)
Apartment Investment & Management..... 400 7,800
Associated Estates Realty Corp........ 4,200 90,299
Beacon Properties Corp................ 9,000 206,999
CALI Realty Corp...................... 3,600 78,749
CBL & Associates Properties, Inc...... 8,500 184,874
Chelsea GCA Realty, Inc............... 6,800 203,999
Colonial Properties Trust............. 8,500 216,749
Cousins Properties, Inc............... 5,400 109,349
Crescent Real Estate Equities, Inc.... 6,300 214,987
Developers Diversified Realty Corp.... 2,600 77,999
Duke Realty Investments, Inc.......... 7,000 219,624
Equity Residential Properties Trust... 6,500 199,062
Essex Property Trust, Inc............. 10,300 198,274
Evans Withycombe Residential, Inc..... 8,600 184,899
Excel Realty Trust, Inc............... 9,900 202,949
HGI Realty, Inc....................... 7,400 169,274
Highwood Properties, Inc.............. 7,300 206,224
Kimco Realty Corp..................... 7,350 200,287
Kranzco Realty Trust.................. 1,000 14,750
Oasis Residential, Inc................ 8,600 195,649
Public Storage, Inc................... 11,000 208,999
Regency Realty Corp................... 8,700 150,074
Security Capital Industrial Trust..... 1,100 19,250
Smith (Charles E.) Residential Realty 2,300 54,337
Co..................................
Walden Residential Properties, Inc.... 10,900 227,537
-----------
3,842,993
-----------
Retail (1.3%)
Claire's Stores, Inc.................. 1,700 29,963
Egghead, Inc.+........................ 400 2,575
Hannaford Brothers, Co................ 1,400 34,475
Longs Drug Stores, Inc................ 400 19,150
Mercantile Stores Co., Inc............ 100 4,625
Micro Warehouse, Inc.+................ 100 4,325
Ross Stores, Inc...................... 600 11,475
Ruddick Corp.......................... 3,500 40,250
Sears, Roebuck & Co................... 300 11,700
Waban, Inc.+.......................... 1,900 35,625
Weis Markets, Inc..................... 1,000 28,250
Zale Corp.+........................... 1,500 24,188
-----------
246,601
-----------
Specialty Consumer Durables (0.4%)
Bio-Rad Labs, Inc. Class A+........... 400 $ 17,000
Polaris Industries, Inc............... 1,850 54,343
-----------
71,343
-----------
Telecommunications (0.8%)
Ameritech Corp........................ 700 41,300
Cascade Communications Corp.+......... 300 25,575
Case Corp............................. 800 36,600
Holophane Corp.+...................... 300 6,525
Lincoln Telecommunications Co......... 2,000 42,250
Mobile Telecommunications
Technologies Corp.+................. 100 2,138
-----------
154,388
-----------
Transportation (0.6%)
Alaska Air Group, Inc.+............... 100 1,625
American President Cos., Ltd.......... 1,500 34,500
AMR Corp.+............................ 100 7,425
Canadian National Railway Co.+........ 1,000 15,000
Expeditors International of
Washington, Inc..................... 300 7,838
Florida East Coast Industries, Inc.... 400 27,300
Hornbeck Offshore Services, Inc.+..... 200 3,925
Navistar International Corp.+......... 200 2,100
PHH Corp.............................. 300 14,025
-----------
113,738
-----------
Utilities - Electric (4.0%)
Boston Edison Co...................... 1,400 41,300
California Energy Co., Inc.+.......... 1,500 29,250
Central Louisiana Electric............ 200 5,375
Consolidated Edison Co. of 1,000 32,000
New York, Inc.......................
DQE, Inc.............................. 1,100 33,825
Entergy Corp.......................... 300 8,775
General Public Utilities Corp......... 1,000 34,000
Hawaiian Electric Industries, Inc..... 900 34,875
Illinova Corp......................... 1,100 33,000
IPALCO Enterprises, Inc............... 700 26,688
New England Electric System........... 1,400 55,474
New York State Electric & Gas Corp.... 1,800 46,575
Nipsco Industries, Inc................ 600 22,950
Northeast Utilities................... 500 12,188
Northern States Power Co.............. 600 29,475
Oklahoma Gas & Electric Co............ 200 8,600
Orange & Rockland Utilities, Inc...... 1,100 39,325
Pinnacle West Capital Corp............ 2,300 66,124
Portland General Corp................. 700 20,388
Public Service Co. of Colorado+....... 1,500 53,062
SCEcorp............................... 1,200 21,300
Sierra Pacific Resources.............. 2,100 49,088
Southwestern Public Service Co........ 200 6,550
Unicom Corp........................... 600 19,650
United Illuminating Co................ 200 7,475
Western Resources, Inc................ 400 13,350
-----------
750,662
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Utilities - Oil and Gas (1.3%)
Atlanta Gas Light Co.................. 200 $ 3,950
Brooklyn Union Gas Co. (The).......... 1,500 43,875
Energen Corp.......................... 2,100 50,663
New Jersey Resources Corp............. 900 27,113
Northwest Natural Gas Co.............. 300 9,900
Valero Energy Corp.................... 1,500 36,750
Washington Gas Light Co............... 1,700 34,850
Wicor, Inc............................ 800 25,800
Williams Cos., Inc.................... 200 8,775
-----------
241,676
-----------
Utilities - Telephone (0.7%)
Bell Atlantic Corp.................... 200 13,375
BellSouth Corp........................ 500 21,750
SBC Communications, Inc............... 600 34,500
Southern New England
Telecommunications Corp............. 900 35,775
Sprint Corp........................... 700 27,913
-----------
133,313
-----------
Utilities - Water
SJW Corp.............................. 300 11,325
-----------
Total United States 11,889,941
-----------
Australia (0.1%)
Banks (0.1%)
National Australia Bank Ltd........... 3,000 27,004
-----------
Total Australia 27,004
-----------
Austria (0.5%)
Electrical and Electronics (0.1%)
Austria Mikro Systeme International... 60 9,741
-----------
Foods and Beverages (0.0%)
Oester Brau-Beteiligungs.............. 150 6,837
-----------
Insurance (0.1%)
EA-Generali AG........................ 50 14,994
-----------
Machinery and Equipment (0.1%)
Jenbacher Werke AG.................... 150 22,640
-----------
Oil and Gas (0.1%)
OEMV AG............................... 150 13,033
-----------
Paper and Containers (0.1%)
Leykam-Muerztaler Papier+............. 200 6,335
MayrMelnhof Karton AG................. 300 15,044
-----------
21,379
-----------
Total Austria 88,624
-----------
Belgium (0.5%)
Banks (0.1%)
Banque Bruxelles Lambert SA........... 50 8,580
-----------
Chemicals (0.3%)
Solvay SA Class A..................... 100 54,026
-----------
Financial Services (0.0%)
Societe Generale De Belgique.......... 100 8,274
-----------
Utilities - Electric (0.1%)
Reunies Electrobel & Tractebel........ 50 $ 20,642
-----------
Total Belgium 91,522
-----------
Canada (0.6%)
Banks (0.1%)
Royal Bank of Canada.................. 600 13,692
-----------
Financial Services (0.1%)
Bank of Montreal...................... 1,009 22,936
-----------
Foods and Beverages (0.0%)
Molson Companies Ltd.................. 600 9,898
-----------
Metals and Mining (0.1%)
Alcan Aluminum Ltd.................... 300 9,321
Dofasco, Inc.......................... 500 6,324
-----------
15,645
-----------
Oil and Gas (0.1%)
Alberta Energy Co. Ltd................ 300 4,812
Petro-Canada.......................... 1,300 15,012
TransCanada Pipelines Ltd............. 0 1
-----------
19,825
-----------
Paper and Containers (0.1%)
Abitibi-Price, Inc.................... 300 4,317
MacMillan Bloedel Ltd................. 1,100 13,610
Stone-Consolidated Corp.+............. 300 3,849
-----------
21,776
-----------
Retail (0.0%)
Hudson's Bay Co....................... 200 2,878
-----------
Utilities - Electric (0.1%)
Transalta Corp........................ 1,200 12,868
-----------
Total Canada 119,518
-----------
Denmark (0.7%)
Banks (0.2%)
Den Danske Bank....................... 300 20,733
Jyske Bank AS......................... 200 13,713
-----------
34,446
-----------
Building Materials and Construction (0.1%)
Lindab AB Class B..................... 800 16,456
-----------
Electrical and Electronics (0.1%)
Bang & Olufsen Holding Co............. 400 12,342
-----------
Foods and Beverages (0.1%)
Superfos AS........................... 200 17,503
-----------
Pharmaceuticals (0.1%)
Novo-Nordisk AS....................... 200 27,427
-----------
Telecommunications (0.1%)
GN Store Nord AS...................... 200 16,059
-----------
Total Denmark 124,233
-----------
Finland (0.2%)
Financial Services (0.1%)
Unitas Bank Ltd. Class A+............. 5,000 12,666
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
Finland (continued)
Foods and Beverages (0.1%)
Huhtamaki Group Class I............... 600 $ 14,509
-----------
Paper and Containers (0.0%)
Repola Oy............................. 600 11,331
-----------
Total Finland 38,506
-----------
Hong Kong (0.3%)
Banks (0.1%)
HSBC Holdings Plc..................... 1,757 26,586
-----------
Real Estate Investment Trusts (0.2%)
Hong Kong Land Holdings Ltd........... 16,000 29,600
-----------
Total Hong Kong 56,186
-----------
Italy (0.3%)
Banks (0.1%)
Banca Popolare Di Bergamo............. 1,000 13,836
-----------
Printing and Publishing (0.1%)
Mondadori (Arnoldo) Editore SpA....... 2,000 17,347
-----------
Utilities - Telephone (0.1%)
Telecom Italia SpA.................... 16,000 24,911
-----------
Total Italy 56,094
-----------
Japan (4.0%)
Autos and Auto Equipment (0.1%)
Mitsubishi Motors Corp................ 3,000 24,458
-----------
Building Materials and Construction (0.3%)
Fujita Corp........................... 6,000 27,105
Nippon Densetsu Kogyo................. 3,000 30,246
-----------
57,351
-----------
Chemicals (0.3%)
Fuji Photo Film....................... 1,000 28,889
Shin-Etsu Chemical Co................. 1,000 20,745
-----------
49,634
-----------
Computers and Office Equipment (0.3%)
CANON, Inc............................ 1,000 18,128
Fujitsu, Ltd.......................... 3,000 33,445
-----------
51,573
-----------
Electrical and Electronics (0.8%)
Hitachi Koki.......................... 4,000 36,295
Matsushita Electric Industrial Co. 2,000 32,572
Ltd.................................
Nintendo Co. Ltd...................... 1,000 76,098
-----------
144,965
-----------
Electrical Equipment (0.4%)
Hitachi Ltd. (Hit. Seisakusho)........ 4,000 40,328
Nichicon.............................. 2,000 29,470
-----------
69,798
-----------
Financial Services (0.2%)
Promise Co., Ltd...................... 1,000 48,180
-----------
Foods and Beverages (0.2%)
Katokichi............................. 2,000 41,685
-----------
Machinery and Equipment (0.2%)
Tsubakimoto Chain..................... 4,000 $ 24,080
Tsukishima Kikai...................... 1,000 21,327
-----------
45,407
-----------
Printing and Publishing (0.1%)
Toppan Printing Co. Ltd............... 2,000 26,368
-----------
Real Estate Investment Trusts (0.2%)
Sekisui House......................... 3,000 38,389
-----------
Retail (0.3%)
JUSCO Co.............................. 2,000 52,154
-----------
Transportation (0.3%)
East Japan Railway Co................. 6 29,199
Nippon Express Co. Ltd................ 2,000 19,272
-----------
48,471
-----------
Utilities - Electric (0.1%)
Tohoku Electric Power................. 1,000 24,138
-----------
Utilities - Telephone (0.2%)
DDI Corp.............................. 2 15,511
Nippon Telegraph & Telephone Corp..... 3 24,284
-----------
39,795
-----------
Total Japan 762,366
-----------
Malaysia (0.2%)
Diversified (0.1%)
Oriental Holdings Bhd................. 3,000 15,242
-----------
Financial Services (0.0%)
Lion Land Bhd......................... 8,000 7,940
-----------
Oil and Gas (0.1%)
Petronas Gas Bhd...................... 3,000 10,221
-----------
Total Malaysia 33,403
-----------
Netherlands (0.6%)
Building Materials and Construction (0.1%)
Kon. Volker Stevin N.V................ 250 15,127
-----------
Commercial Services (0.0%)
Royal PTT Nederland N.V............... 203 7,383
-----------
Electrical and Electronics (0.1%)
Philips Electronics N.V............... 600 21,708
-----------
Electrical Equipment (0.1%)
Draka Holding N.V..................... 500 12,944
-----------
Financial Services (0.2%)
ABN-Amro Holding N.V.................. 400 18,240
Internationale Nederlanden Groep N.V.. 200 13,374
-----------
31,614
-----------
Insurance (0.1%)
Aegon N.V............................. 202 8,946
-----------
Retail (0.0%)
Koninklijke Ahold N.V................. 202 8,253
-----------
Total Netherlands 105,975
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
Norway (0.7%)
Chemicals (0.2%)
Norsk Hydro AS........................ 900 $ 37,891
-----------
Diversified (0.1%)
Orkla AS Class A...................... 500 24,928
-----------
Insurance (0.1%)
UNI Storebrand AS..................... 2,900 16,065
-----------
Transportation (0.3%)
Bergesen d.y. AS Class B.............. 900 17,664
Kvaerner AS........................... 800 28,363
-----------
46,027
-----------
Total Norway 124,911
-----------
Singapore (0.7%)
Banks (0.2%)
Oversea-Chinese Banking............... 3,000 37,540
-----------
Computers and Office Equipment (0.1%)
Acma Ltd.............................. 2,400 7,975
-----------
Foods and Beverages (0.1%)
Cerebos Pacific Ltd................... 3,000 20,785
-----------
Household Products (0.1%)
Wing Tai Holdings..................... 12,000 24,518
-----------
Retail (0.1%)
Robinson & Co. Ltd.................... 4,000 16,684
-----------
Transportation (0.1%)
Singapore Airlines Ltd................ 2,000 18,664
-----------
Total Singapore 126,166
-----------
South Korea (0.1%)
Utilities - Electric (0.1%)
Korea Electric Power Corp. ADR........ 1,000 26,750
-----------
Total South Korea 26,750
-----------
Sweden (0.5%)
Autos and Auto Equipment (0.1%)
Autoliv AB............................ 200 11,709
Volvo AB Class B...................... 800 16,417
-----------
28,126
-----------
Electrical and Electronics (0.0%)
Telefonaktiebolaget Ericsson.......... 550 10,789
-----------
Electrical Equipment (0.0%)
Allgon AB Class B..................... 500 6,941
-----------
Financial Services (0.1%)
Svenska Handelsbanken................. 800 16,658
-----------
Home Furnishings and Appliances (0.1%)
Electrolux AB Class B................. 300 12,335
-----------
Metals and Mining (0.1%)
SSAB Svenskt Sta AB................... 1,400 14,365
-----------
Paper and Containers (0.1%)
Stora Kopparbergs..................... 1,000 11,769
-----------
Total Sweden 100,983
-----------
Switzerland (0.5%)
Diversified (0.0%)
Alusuisse-Lonza Holding AG............ 10 $ 7,943
-----------
Financial Services (0.1%)
Schweizerischer Bankverein............ 30 12,279
-----------
Foods and Beverages (0.1%)
Nestle SA Registered.................. 10 11,089
-----------
Insurance (0.1%)
Winterthur Schweizerische 10 7,143
Versicherungs.......................
Zurich Versicherungs-Gesellschaft..... 50 14,991
-----------
22,134
-----------
Machinery and Equipment (0.1%)
Georg Fischer AG...................... 5 6,518
Landis & Gyr.......................... 10 8,169
-----------
14,687
-----------
Paper and Containers (0.0%)
Bobst SA.............................. 5 7,821
-----------
Retail (0.0%)
Merkur Holding AG..................... 30 6,596
-----------
Utilities - Electric (0.1%)
Electrowatt AG........................ 30 11,002
===========
Total Switzerland 93,551
-----------
United Kingdom (1.4%)
Apparel (0.1%)
Coats Viyella Plc..................... 8,900 24,182
-----------
Commercial Services (0.1%)
Inchcape Plc.......................... 6,200 23,969
-----------
Consumer Products (0.1%)
Reckitt & Coleman Plc................. 1,100 12,177
-----------
Diversified (0.2%)
Harrisons & Crosfield Plc............. 9,600 23,848
Lonrho Plc............................ 4,000 10,930
-----------
34,778
-----------
Financial Services (0.2%)
Abbey National Plc.................... 1,300 12,837
Barclays Plc.......................... 2,300 26,390
-----------
39,227
-----------
Insurance (0.1%)
Guardian Royal Exchange Plc........... 2,500 10,713
Royal Insurance Holdings Plc.......... 1,928 11,432
-----------
22,145
-----------
Media and Entertainment (0.1%)
Granada Group Plc..................... 1,100 11,016
-----------
Oil and Gas (0.1%)
Burmah Castrol Plc.................... 800 11,601
-----------
Retail (0.2%)
Asda Group Plc........................ 10,000 17,156
Burton Group Plc...................... 9,300 19,421
-----------
36,577
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- -----------------------------------------------------------------
Number Market
of Shares Value
---------- -----------
United Kingdom (continued)
Transportation (0.2%)
British Airways Plc................... 1,100 $ 7,959
Peninsular & Orient Steam
Navigation Co....................... 3,900 28,822
-----------
36,781
-----------
Utilities - Water (0.0%)
Welsh Water Plc....................... 667 8,022
-----------
Total United Kingdom 260,475
-----------
TOTAL COMMON STOCKS
(COST $13,122,904) .............. $14,126,208
-----------
PREFERRED STOCKS (0.5%)
United States (0.3%)
Banks (0.1%)
BankAmerica Corp...................... 400 25,900
-----------
Chemicals (0.1%)
Union Carbide Corp.................... 300 11,250
-----------
Electrical Equipment (0.1%)
FPL Group, Inc........................ 300 13,913
-----------
Total United States 51,063
-----------
Austria (0.0%)
Banks (0.0%)
Creditanstalt-Bankverein.............. 150 7,716
-----------
Total Austria 7,716
-----------
Finland (0.2%)
Electrical Equipment (0.2%)
Nokia AB Class A...................... 800 31,505
-----------
Total Finland 31,505
-----------
United Kingdom (0.0%)
Utilities - Water (0.0%)
Welsh Water Plc....................... 720 1,218
-----------
Total United Kingdom 1,218
-----------
TOTAL PREFERRED STOCKS
(COST $104,797) .................... $ 91,502
-----------
WARRANTS (0.1%)
Morgan Stanley American Express Hong
Kong+............................... 6,000 25,500
-----------
TOTAL WARRANTS (COST $29,543) ........ $ 25,500
-----------
LONG TERM BONDS AND NOTES (4.1%)
U.S. Government Obligations (3.9%)
U.S. Treasury Note, 6.50%, 05/15/05... $700,000 $ 745,608
-----------
Total U.S. Government Obligations
(cost $732,500) .................... 745,608
-----------
Corporate Bonds - Convertible (0.2%)
Mitsubishi Bank, 3.00%, 11/30/02...... 30,000 34,707
-----------
Total Corporate Bonds - Convertible
(cost $30,000) ..................... 34,707
-----------
TOTAL LONG TERM BONDS AND NOTES (COST
$762,500) .......................... $ 780,315
-----------
SHORT-TERM INVESTMENTS (19.7%)
Ciesco, L.P., Comm. Paper, 5.90%, 870,000 869,857
01/03/96............................
Detroit Edison Co., Corp. Note,
6.15%, 01/02/96..................... 750,000 750,000
Finova Capital Corp., Comm. Paper,
6.10%, 01/03/96..................... 350,000 349,941
Tenneco Inc., Comm. Paper, 6.45%,
01/08/96............................ 750,000 749,194
U.S. Treasury Note++, Time Deposit,
9.25%, 01/15/96..................... 325,000 325,595
Weyerhauser Mortgage Co., Comm.
Paper, 5.80%, 01/08/96.............. 657,000 656,365
-----------
TOTAL SHORT-TERM INVESTMENTS (COST
$3,700,750) ........................ $ 3,700,952
TOTAL INVESTMENTS
(cost 17,720,494)(a) ............... $18,724,477
-----------
Other assets less liabilities ........ 88,950
-----------
Total Net Assets ..................... $18,813,427
===========
Notes to Portfolio of Investments
Category percentages are based on net assets.
+Non-income producing security.
(a) The cost of investments for federal income tax purposes amounted to
$17,720,525. Unrealized gains and losses, based on identified tax cost at
December 31, 1995 are as follows:
Unrealized gains .................... $1,393,071
Unrealized losses ................... (389,119)
-----------
Net unrealized gain.................. $1,003,952
===========
See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ---------------------------------------------------------
Notes to Portfolio of Investments (continued)
++Security pledged to cover initial margin deposits on open futures contracts at
December 31, 1995. Information concerning open futures contracts is shown below:
No. of Initial Expiration Unrealized
Long Value Date Gain/(Loss)
Contracts
------------ ---------- ---------- -----------
All Ordinaries
Share Price
Index Futures .. 4 $ 167,477 March 96 $ (744)
TSE 35 Index
Future 1 91,500 March 96 (821)
Canada Government
Bonds Futures .. 1 80,105 March 96 1,430
German DAX Index
Futures ........ 2 317,831 March 96 (559)
Long-Term German
Bonds Futures .. 2 342,779 March 96 2,620
Dutch Government
Bonds Futures .. 1 164,058 March 96 764
CAC 40 Stock
Index Futures .. 2 149,232 March 96 3,149
French Nationals
Index Futures .. 1 118,754 March 96 982
Long Gilt Bonds
Futures ........ 1 84,193 March 96 801
FTSE 100 Index
Futures ........ 1 141,886 March 96 (175)
Topix Index
Future ......... 1 149,645 March 96 5,429
Hang Seng Index
Futures ........ 2 129,855 March 96 1,254
10 Year Swiss
Bond Futures ... 1 96,767 March 96 634
-----------
$ 14,764
===========
See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995
- ---------------------------------------------------------------
Number of Market
Shares Value
---------- ----------
COMMON STOCKS (60.8%)
United States (53.1%)
Aerospace and Defense (0.1%)
McDonnell-Douglas Corp............... 200 $ 18,400
-----------
Apparel and Cosmetics (0.2%)
Blair Corp........................... 100 3,163
Chic By H I S, Inc.+................. 2,100 11,550
Nike, Inc............................ 200 13,925
Oshkosh B'Gosh, Inc.................. 200 3,500
-----------
32,138
-----------
Autos and Auto Equipment (0.4%)
Borg Warner Automotive, Inc.......... 700 22,400
Kaydon Corp.......................... 600 18,225
Smith (A.O.) Corp.................... 800 16,600
Snap On, Inc......................... 200 9,050
Varity Corp.+........................ 100 3,713
-----------
69,988
-----------
Banks (2.6%)
Bank of New York Co., Inc............ 300 14,625
BayBanks, Inc........................ 400 39,300
Chemical Banking Corp................ 300 17,625
CITICORP............................. 300 20,175
Citizens Bancorp..................... 1,100 35,475
City National Corp................... 1,500 21,000
Cullen/Frost Bankers, Inc............ 800 40,000
F & M Bancorp........................ 100 2,975
First American Corp. (Tenn.)......... 600 28,425
First Chicago Corp................... 543 21,449
First Citizens Bancshares, Inc. 300 16,538
Class A............................
First Interstate Bancorp............. 200 27,300
First of America Bank Corp........... 300 13,313
First Tennessee National Corp........ 300 18,150
Firstbank of Illinois Co............. 400 12,350
KeyCorp.............................. 500 18,125
Nations Bank, Inc.................... 400 27,850
PNC Bancorp.......................... 100 6,563
Provident Bancorp.................... 400 18,800
Queens County Bancorp, Inc........... 300 11,869
River Forest Bancorp, Inc............ 800 20,400
Sumitomo Bank of California.......... 100 2,450
Union Bank........................... 300 16,275
United Carolina Bancshares, Inc...... 700 23,625
-----------
474,657
-----------
Building Materials and Construction (1.6%)
American Buildings Co.+.............. 1,100 24,750
Beazer Homes USA, Inc.+.............. 1,100 22,688
Centex Corp.......................... 100 3,475
Champion Enterprises, Inc.+.......... 1,800 55,574
Continental Homes Holding Corp....... 200 4,925
Elcor Corp........................... 200 4,350
Granite Construction, Inc............ 1,600 50,399
International Aluminum Corp.......... 200 5,750
Puerto Rican Cement Co., Inc......... 600 $ 19,875
Pulte Corp........................... 200 6,725
Redman Industries, Inc.+............. 900 30,375
Texas Industries, Inc................ 400 21,200
Tredegar Industries, Inc............. 800 26,000
Webb (Del E.) Corp................... 300 6,038
WHX Corp.+........................... 700 7,613
-----------
289,737
-----------
Chemicals (0.5%)
Dow Chemical Co...................... 200 14,075
Eastman Chemical Co.................. 100 6,263
Geon Co. (The)....................... 400 9,750
Lyondell Petrochemical Co............ 1,300 29,738
Sterling Chemicals, Inc.+............ 1,700 13,813
Wellman, Inc......................... 800 18,200
-----------
91,839
-----------
Commercial Services (0.3%)
GATX Corp............................ 500 24,313
Manpower, Inc........................ 600 16,875
Measurex Corp........................ 800 22,600
-----------
63,788
-----------
Computer Software (1.5%)
Acxiom Corp.+........................ 200 5,475
Barra, Inc.+......................... 1,500 25,500
Boole & Babbage, Inc.+............... 150 3,675
Cadence Design Systems, Inc.+........ 2,200 92,399
Cisco Systems, Inc.+................. 300 22,388
Computer Associates International,
Inc................................ 250 14,219
Computer Sciences Corp.+............. 300 21,075
Hogan Systems, Inc.+................. 3,400 46,324
Hyperion Software Corp.+............. 200 4,250
Kronos, Inc.+........................ 100 4,750
Microsoft Corp.+..................... 100 8,775
Softdesk, Inc.+...................... 100 1,975
SPSS, Inc.+.......................... 900 17,550
System Software Associates, Inc...... 150 3,263
-----------
271,618
-----------
Computers and Office Equipment (1.3%)
Bay Networks, Inc.+.................. 600 24,675
Comdisco, Inc........................ 1,250 28,281
Compaq Computer Corp.+............... 200 9,600
Computervision Corp.+................ 1,100 16,913
Dell Computer Corp.+................. 800 27,700
In Focus Systems, Inc.+.............. 1,100 39,738
Komag, Inc.+......................... 200 9,225
Moore Corp., Ltd..................... 1,300 24,213
Read-Rite Corp.+..................... 700 16,275
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Computers and Office Equipment (continued)
Sun Microsystems, Inc.+.............. 200 $ 9,125
United Stationers, Inc............... 1,400 38,850
-----------
244,595
-----------
Consumer Products (0.2%)
Eastman Kodak Co..................... 300 20,100
Liz Claiborne, Inc................... 400 11,100
-----------
31,200
-----------
Diversified (1.0%)
Dover Corp........................... 500 18,438
Harsco Corp.......................... 500 29,063
Johnson Controls, Inc................ 200 13,750
Katy Industries...................... 4,200 38,850
Opal, Inc.+.......................... 200 2,550
SPS Technologies, Inc.+.............. 500 26,688
Textron, Inc......................... 200 13,500
Varlen Corp.......................... 1,200 25,800
VF Corp.............................. 100 5,275
-----------
173,914
-----------
Electrical and Electronics (1.8%)
Applied Materials, Inc.+............. 200 7,875
Cohu, Inc............................ 100 2,550
CTS Corporation...................... 800 30,200
Cypress Semiconductor Corp.+......... 1,800 22,950
Dallas Semiconductor Corp............ 400 8,300
Esterline Technologies+.............. 1,600 37,800
Hewlett Packard Co................... 300 25,125
Intel Corp........................... 100 5,675
Logicon, Inc......................... 1,400 38,500
Maxim Integrated Products, Inc.+..... 400 15,400
Micron Technology, Inc............... 300 11,888
National Service Industries, Inc..... 500 16,188
Novellus Systems, Inc.+.............. 100 5,400
Quickturn Design System, Inc.+....... 700 7,000
Seagate Technology, Inc.+............ 900 42,750
Siliconix, Inc.+..................... 300 11,100
Tencor Instruments+.................. 200 4,875
Texas Instruments, Inc............... 400 20,700
Unitrode Corp.+...................... 500 14,125
-----------
328,401
-----------
Electrical Equipment (1.4%)
ADflex Solutions, Inc.+.............. 1,100 29,425
Avnet, Inc........................... 600 26,850
International Rectifier Corp.+....... 1,200 30,000
Kemet Corp.+......................... 500 11,938
Kent Electronics Corp.+.............. 700 40,863
Mentor Graphics Corp.+............... 1,500 27,375
Park Electrochemical Corp............ 1,000 33,000
Raychem Corp......................... 400 22,750
Sundstrand Corp...................... 500 $ 35,188
-----------
257,389
-----------
Financial Services (1.5%)
Alex Brown & Sons, Inc............... 600 25,200
Astoria Financial Corp............... 500 22,813
Bear Stearns Co., Inc................ 1,500 29,813
BHC Financial, Inc................... 2,200 39,600
Crestar Financial Corp............... 200 11,825
Dean Witter Discover and Co.......... 100 4,700
Greenpoint Financial Corp............ 200 5,350
Household International, Inc......... 100 5,913
Leader Financial Corp................ 400 14,950
Merrill Lynch & Co., Inc............. 500 25,500
RCSB Financial, Inc.................. 200 4,750
TR Financial Corp.................... 400 10,200
Travelers, Inc....................... 400 25,150
Union Planters Corp.................. 1,300 41,438
White River Corp.+................... 300 11,550
-----------
278,752
-----------
Foods and Beverages (1.2%)
Campbell Soup Co..................... 300 18,000
Coors (Adolph) Co.................... 700 15,488
Hometown Buffet, Inc.+............... 200 2,213
Hormel Foods Corp.................... 700 17,238
IBP, Inc............................. 700 35,350
International Multifoods Corp........ 900 18,113
Kroger Co. (The)+.................... 100 3,750
Mondavi (Robert) Corp.+.............. 500 13,813
PepsiCo, Inc......................... 600 33,525
Quaker Oats Co....................... 200 6,900
Safeway, Inc.+....................... 600 30,900
Sara Lee Corp........................ 200 6,375
Supervalu, Inc....................... 600 18,900
Universal Foods Corp................. 200 8,025
-----------
228,590
-----------
Health Services (0.8%)
Invacare Corp........................ 1,000 25,250
Lincare Holdings, Inc.+.............. 1,000 25,000
Nellcor, Inc.+....................... 500 29,000
Quorum Health Group, Inc.+........... 100 2,200
RightCHOICE Managed Care, Inc.+...... 2,000 26,000
Tenet Healthcare Corp.+.............. 400 8,300
Wellpoint Health Networks, Inc.+..... 700 22,488
-----------
138,238
-----------
Home Furnishings and Appliances (0.2%)
Leggett & Platt, Inc................. 1,000 24,250
Oneida, Ltd.......................... 200 3,525
-----------
27,775
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Hotels and Restaurants (0.5%)
Marriott International, Inc.......... 300 $ 11,475
McDonald's Corp...................... 1,200 54,149
Prime Hospitality Corp.+............. 2,600 26,000
-----------
91,624
-----------
Household Products (0.1%)
Premark International, Inc........... 200 10,125
Springs Industries, Inc. Class A..... 100 4,138
-----------
14,263
-----------
Insurance (2.0%)
Allstate Corp........................ 278 11,433
American Bankers Insurance Group..... 700 27,300
Capital American Financial Corp...... 100 2,263
CMAC Investment Corp................. 300 13,200
Commerce Group, Inc.................. 300 6,188
Fremont General Corp................. 400 14,700
Home Beneficial Corp. Class B........ 300 7,200
Horace Mann Educators Corp........... 800 25,000
Kansas City Life Insurance Co........ 300 15,750
Loews Corp........................... 400 31,350
Maxicare Health Plans, Inc.+......... 2,400 64,499
Old Republic International Corp...... 400 14,200
Orion Capital Corp................... 300 13,013
Presidential Life Corp............... 600 5,925
Reinsurance Group of America......... 1,200 43,950
State Auto Financial Corp............ 700 18,200
Transatlantic Holdings, Inc.......... 600 44,025
Transport Holdings, Inc.+............ 2 82
-----------
358,278
-----------
Machinery and Equipment (1.2%)
Acme-Cleveland Corp.................. 1,200 22,500
Barnes Group, Inc.................... 600 21,600
Blount, Inc. Class A................. 1,050 27,563
Brunswick Corp....................... 100 2,400
Central Sprinkler Corp.+............. 1,300 46,149
Fluor Corp........................... 100 6,600
FSI International, Inc.+............. 600 12,150
Hughes Supply, Inc................... 900 25,425
L.S. Starrett Co. ClassA............. 500 12,938
Lam Research Corp.+.................. 400 18,300
Parker-Hannifin Corp................. 300 10,275
Regal Beloit......................... 600 13,050
-----------
218,950
-----------
Media and Entertainment (0.8%)
Callaway Golf Co..................... 1,700 38,463
Gtech Holdings Corp.+................ 1,200 31,200
King World Production, Inc.+......... 800 31,100
Media General, Inc................... 800 24,300
Mirage Resorts, Inc.+................ 500 17,250
-----------
142,313
-----------
Medical Supplies (0.5%)
Coherent, Inc.+...................... 500 $ 20,250
GC Companies, Inc.+.................. 600 20,100
Guidant Corp......................... 700 29,575
Medtronic, Inc....................... 100 5,588
North American Biologicals, Inc.+.... 1,200 12,900
-----------
88,413
-----------
Metals and Mining (1.4%)
AK Steel Holding Corp................ 300 10,275
Alcan Aluminum Ltd................... 300 9,338
Alumax Inc.+......................... 200 6,125
Aluminum Co. of America.............. 200 10,575
Carpenter Technology Corp............ 500 20,563
Chaparral Steel Co................... 700 11,725
Cleveland-Cliffs, Inc................ 500 20,500
Cyprus Amax Minerals Co.............. 300 7,838
J & L Specialty Steel, Inc........... 1,400 26,250
Magma Copper Co.+.................... 1,300 36,238
Mueller Industries, Inc.+............ 400 11,700
Phelps Dodge Corp.................... 300 18,675
Reliance Steel & Aluminum Co......... 1,700 35,275
Schnitzer Steel Industries, Inc...... 1,200 36,600
-----------
261,677
-----------
Oil and Gas (1.8%)
Atlantic Richfield Co................ 100 11,075
Camco International, Inc............. 200 5,600
Chesapeake Energy Corp.+............. 300 9,975
Columbia Gas System, Inc.+........... 100 4,388
Diamond Shamrock, Inc................ 400 10,350
Exxon Corp........................... 600 48,074
Fina Inc. Class A.................... 400 20,200
Halliburton Co....................... 400 20,250
Lufkin Industries, Inc............... 400 9,050
Mobil Corp........................... 300 33,600
NUI Corp............................. 1,500 26,250
Oneok, Inc........................... 600 13,725
Royal Dutch Petroleum Co............. 300 42,338
RPC, Inc.+........................... 600 5,475
Smith International, Inc.+........... 900 21,150
Sonat Offshore Drilling Co........... 600 26,850
Sun Company, Inc..................... 100 2,738
Texaco, Inc.......................... 200 15,700
-----------
326,788
-----------
Paper and Containers (1.1%)
Asia Pulp & Paper Co. Ltd.+.......... 2,000 16,250
Champion International Corp.......... 200 8,400
Chesapeake Corp...................... 1,800 53,324
Georgia-Pacific Corp................. 100 6,863
Mead Corp............................ 500 26,125
Rayoner, Inc......................... 900 30,038
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Paper and Containers (continued)
Temple-Inland, Inc................... 200 $ 8,825
Willamette Industries, Inc........... 800 44,999
-----------
194,824
-----------
Pharmaceuticals (1.6%)
Alliance Pharmaceutical+............. 300 4,088
American Home Products Corp.......... 300 29,100
Becton, Dickinson & Co............... 300 22,500
Bristol-Myers Squibb Co.............. 400 34,350
COR Therapeutics, Inc.+.............. 700 5,863
Immulogic Pharmaceutical Corp.+...... 300 5,775
Johnson & Johnson.................... 400 34,250
Merck & Co., Inc..................... 500 32,875
Pfizer, Inc.......................... 200 12,600
R.P. Scherer Corp.+.................. 600 29,475
Rhone-Poulenc Rorer, Inc............. 700 37,275
Schering Plough...................... 400 21,900
Vical, Inc.+......................... 100 1,213
Watson Pharmaceuticals, Inc.+........ 300 14,700
-----------
285,964
-----------
Printing and Publishing (0.6%)
Banta Corp........................... 600 26,400
Central Newspapers, Inc. Class A.... 800 25,100
Plenum Publishing Corp............... 200 7,800
Pulitzer Publishing Co............... 900 42,975
Scholastic Corp.+.................... 100 7,775
Tribune Co........................... 100 6,113
-----------
116,163
-----------
Real Estate Investment Trusts (17.6%)
Apartment Investment & Management.... 700 13,650
Beacon Properties Corp............... 7,400 170,199
CALI Realty Corp..................... 3,300 72,187
CBL & Associates Properties, Inc..... 1,500 32,625
Chelsea GCA Realty, Inc.............. 5,500 164,999
Colonial Properties Trust............ 7,100 181,049
Cousins Properties, Inc.............. 4,300 87,074
Crescent Real Estate Equities, Inc... 5,200 177,449
Developers Diversified Realty Corp... 2,100 62,999
Duke Realty Investments, Inc......... 5,800 181,974
Equity Residential Properties Trust.. 5,600 171,499
Essex Property Trust, Inc............ 8,300 159,774
Evans Withycombe Residential, Inc.... 3,800 81,699
Excel Realty Trust, Inc.............. 8,200 168,099
First Industrial Realty Trust, Inc... 800 18,000
General Growth Properties............ 6,200 128,649
HGI Realty, Inc...................... 6,900 157,837
Highwood Properties, Inc............. 5,900 166,674
Kimco Realty Corp.................... 5,700 155,324
Kranzco Realty Trust................. 900 13,275
Oasis Residential, Inc............... 7,200 163,799
Prime Residential, Inc............... 8,300 $ 153,549
Public Storage, Inc.................. 9,000 170,999
Regency Realty Corp.................. 6,700 115,574
Security Capital Industrial Trust.... 800 14,000
Smith (Charles E.) Residential
Realty Co.......................... 1,300 39,713
Walden Residential Properties, Inc... 9,700 202,487
-----------
3,216,156
-----------
Retail (1.0%)
Claire's Stores, Inc................. 1,100 19,388
Egghead, Inc.+....................... 300 1,931
Hannaford Brothers, Co............... 1,200 29,550
Longs Drug Stores, Inc............... 300 14,363
Mercantile Stores Co., Inc........... 500 23,125
Riser Foods, Inc. Class A............ 1,600 25,800
Ross Stores, Inc..................... 500 9,563
Sears, Roebuck & Co.................. 300 11,700
Waban, Inc.+......................... 1,400 26,250
Zale Corp.+.......................... 1,300 20,963
-----------
182,633
-----------
Specialty Consumer Durables (0.4%)
Bio-Rad Labs, Inc. Class A+.......... 400 17,000
Polaris Industries, Inc.............. 1,650 48,468
-----------
65,468
-----------
Telecommunications (0.7%)
Ameritech Corp....................... 600 35,400
Cascade Communications Corp.+........ 300 25,575
Case Corp............................ 700 32,025
Holophane Corp.+..................... 300 6,525
Lincoln Telecommunications Co........ 1,400 29,575
-----------
129,100
-----------
Transportation (0.4%)
Alaska Air Group, Inc.+.............. 100 1,625
American President Cos., Ltd......... 1,000 23,000
AMR Corp.+........................... 100 7,425
Canadian National Railway Co.+....... 500 7,500
Expeditors International of
Washington, Inc.................... 300 7,838
Florida East Coast Industries, Inc... 300 20,475
Hornbeck Offshore Services, Inc.+.... 100 1,963
Navistar International Corp.+........ 200 2,100
PHH Corp............................. 200 9,350
-----------
81,276
-----------
Utilities - Electric (3.1%)
Boston Edison Co..................... 700 20,650
California Energy Co., Inc.+......... 1,000 19,500
Centerior Energy Corp................ 2,300 20,413
Cilcorp, Inc......................... 700 29,663
Consolidated Edison Co. of
New York, Inc...................... 1,500 47,999
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
United States (continued)
Utilities - Electric (continued)
DQE, Inc............................. 500 $ 15,375
Entergy Corp......................... 300 8,775
General Public Utilities Corp........ 700 23,800
Hawaiian Electric Industries, Inc.... 700 27,125
Illinova Corp........................ 900 27,000
New England Electric System.......... 400 15,850
New York State Electric & Gas Corp... 1,200 31,050
Nipsco Industries, Inc............... 500 19,125
Northeast Utilities.................. 400 9,750
Northern States Power Co............. 500 24,563
Oklahoma Gas & Electric Co........... 100 4,300
Orange & Rockland Utilities, Inc..... 900 32,175
Pinnacle West Capital Corp........... 1,900 54,624
Portland General Corp................ 1,000 29,125
SCEcorp.............................. 1,000 17,750
Sierra Pacific Resources............. 1,700 39,738
Unicom Corp.......................... 600 19,650
United Illuminating Co............... 700 26,163
Western Resources, Inc............... 300 10,013
-----------
574,176
-----------
Utilities - Oil and Gas (0.9%)
Atlanta Gas Light Co................. 400 7,900
Brooklyn Union Gas Co. (The)......... 1,000 29,250
Energen Corp......................... 1,700 41,013
New Jersey Resources Corp............ 800 24,100
Northwest Natural Gas Co............. 300 9,900
Valero Energy Corp................... 1,000 24,500
Washington Gas Light Co.............. 300 6,150
Wicor, Inc........................... 600 19,350
Williams Cos., Inc................... 200 8,775
-----------
170,938
-----------
Utilities - Telephone (0.7%)
Bell Atlantic Corp................... 100 6,688
BellSouth Corp....................... 600 26,100
SBC Communications, Inc.............. 800 45,999
Southern New England
Telecommunications Corp............ 800 31,800
Sprint Corp.......................... 600 23,925
-----------
134,512
-----------
Utilities - Water (0.1%)
SJW Corp............................. 300 11,325
-----------
Total United States 9,685,860
-----------
Australia (0.1%)
Banks (0.1%)
National Australia Bank Ltd.......... 2,200 19,803
-----------
Total Australia 19,803
-----------
Austria (0.2%)
Electrical and Electronics (0.0%)
Austria Mikro Systeme International.. 60 9,741
-----------
Machinery and Equipment (0.1%)
Jenbacher Werke AG................... 100 $ 15,093
-----------
Oil and Gas (0.0%)
OEMV AG.............................. 100 8,689
-----------
Paper and Containers (0.1%)
Leykam-Muerztaler Papier+............ 150 4,751
MayrMelnhof Karton AG................ 100 5,015
-----------
9,766
-----------
Total Austria 43,289
-----------
Belgium (0.4%)
Banks (0.1%)
Banque Bruxelles Lambert SA.......... 100 17,159
-----------
Chemicals (0.1%)
Solvay SA Class A.................... 50 27,013
-----------
Financial Services (0.1%)
Algem Maatsch Voor Nijverhei......... 50 14,951
-----------
Utilities - Electric (0.1%)
Reunies Electrobel & Tractebel....... 50 20,642
-----------
Total Belgium 79,765
-----------
Canada (0.5%)
Banks (0.1%)
Royal Bank of Canada................. 600 13,692
-----------
Financial Services (0.1%)
Bank of Montreal..................... 505 11,468
-----------
Metals and Mining (0.2%)
Alcan Aluminum Ltd................... 200 6,214
Dofasco, Inc......................... 1,005 12,714
Falconbridge Ltd..................... 800 17,010
-----------
35,938
-----------
Oil and Gas (0.1%)
Conwest Exploration Co............... 700 13,986
Petro-Canada......................... 400 4,619
TransCanada Pipelines Ltd............ 1 11
-----------
18,616
-----------
Paper and Containers (0.0%)
Abitibi-Price, Inc................... 300 4,317
-----------
Retail (0.0%)
Hudson's Bay Co...................... 200 2,878
-----------
Utilities - Electric (0.0%)
Transalta Corp....................... 700 7,506
-----------
Total Canada 94,415
-----------
Denmark (0.3%)
Banks (0.1%)
Den Danske Bank...................... 300 20,733
-----------
Building Materials and Construction (0.1%)
Lindab AB Class B.................... 500 10,285
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
Denmark (continued)
Pharmaceuticals (0.1%)
Novo-Nordisk AS...................... 100 $ 13,713
-----------
Total Denmark 44,731
-----------
Finland (0.1%)
Financial Services (0.0%)
Unitas Bank Ltd. Class A+............ 2,400 6,080
-----------
Foods and Beverages (0.1%)
Huhtamaki Group Class I.............. 500 12,091
-----------
Paper and Containers (0.0%)
Repola Oy............................ 300 5,665
-----------
Total Finland 23,836
-----------
Hong Kong (0.2%)
Banks (0.1%)
HSBC Holdings Plc.................... 1,562 23,635
-----------
Real Estate Investment Trusts (0.1%)
Hong Kong Land Holdings Ltd.......... 11,000 20,350
-----------
Total Hong Kong 43,985
-----------
Italy (0.2%)
Printing and Publishing (0.1%)
Mondadori (Arnoldo) Editore SpA...... 1,000 8,673
-----------
Utilities - Telephone (0.1%)
Telecom Italia SpA................... 12,000 18,683
-----------
Total Italy 27,356
-----------
Japan (3.0%)
Autos and Auto Equipment (0.1%)
Mitsubishi Motors Corp............... 2,000 16,306
-----------
Building Materials and Construction (0.2%)
Fujita Corp.......................... 4,000 18,070
Nippon Densetsu Kogyo................ 2,000 20,164
-----------
38,234
-----------
Chemicals (0.1%)
Shin-Etsu Chemical Co................ 1,000 20,745
-----------
Computers and Office Equipment (0.2%)
CANON, Inc........................... 1,000 18,128
Fujitsu, Ltd......................... 2,000 22,297
-----------
40,425
-----------
Electrical and Electronics (0.8%)
Hitachi Koki......................... 3,000 27,221
Matsushita Electric Industrial Co.
Ltd................................ 2,000 32,572
Nintendo Co. Ltd..................... 1,000 76,098
-----------
135,891
-----------
Electrical Equipment (0.3%)
Hitachi Ltd. (Hit. Seisakusho)....... 4,000 40,328
Nichicon............................. 1,000 14,735
-----------
55,063
-----------
Financial Services (0.3%)
Promise Co., Ltd..................... 1,000 48,179
-----------
Foods and Beverages (0.1%)
Katokichi............................ 1,000 20,842
-----------
Machinery and Equipment (0.3%)
Tsubakimoto Chain.................... 4,000 $ 24,080
Tsukishima Kikai..................... 1,000 21,327
-----------
45,407
-----------
Real Estate Investment Trusts (0.1%)
Sekisui House........................ 2,000 25,593
-----------
Retail (0.1%)
JUSCO Co............................. 1,000 26,077
-----------
Transportation (0.1%)
East Japan Railway Co................ 5 24,332
-----------
Utilities - Electric (0.0%)
Hokkaido Electric Power Co........... 20 465
-----------
Utilities - Telephone (0.3%)
DDI Corp............................. 2 15,511
Nippon Telegraph & Telephone Corp.... 4 32,378
-----------
47,889
-----------
Total Japan 545,448
-----------
Malaysia (0.1%)
Diversified (0.1%)
Oriental Holdings Bhd................ 2,000 10,161
-----------
Financial Services (0.0%)
Lion Land Bhd........................ 4,000 3,970
-----------
Oil and Gas (0.0%)
Petronas Gas Bhd..................... 2,000 6,814
-----------
Total Malaysia 20,945
-----------
Netherlands (0.4%)
Building Materials and Construction (0.1%)
Kon. Volker Stevin N.V............... 150 9,076
-----------
Electrical and Electronics (0.1%)
Philips Electronics N.V.............. 500 18,090
-----------
Financial Services (0.1%)
ABN-Amro Holding N.V................. 300 13,680
Internationale Nederlanden Groep N.V. 100 6,687
-----------
20,367
-----------
Insurance (0.0%)
Aegon N.V............................ 202 8,946
-----------
Retail (0.1%)
Koninklijke Ahold N.V................ 505 20,633
-----------
Total Netherlands 77,112
-----------
Norway (0.3%)
Chemicals (0.1%)
Norsk Hydro AS....................... 600 25,261
-----------
Insurance (0.1%)
UNI Storebrand AS.................... 2,300 12,741
-----------
Transportation (0.1%)
Bergesen d.y. AS Class B............. 500 9,813
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
Norway (continued)
Transportation (continued)
Kvaerner AS.......................... 100 $ 3,545
-----------
13,358
-----------
Total Norway 51,360
-----------
Singapore (0.3%)
Banks (0.1%)
Overseas-Chinese Banking............. 1,000 12,513
-----------
Computers and Office Equipment (0.0%)
Acma Ltd............................. 1,200 3,987
-----------
Foods and Beverages (0.1%)
Cerebos Pacific Ltd.................. 3,000 20,785
-----------
Retail (0.0%)
Robinson & Co. Ltd................... 1,000 4,171
-----------
Transportation (0.1%)
Singapore Airlines Ltd............... 2,000 18,664
-----------
Total Singapore 60,120
-----------
Sweden (0.4%)
Autos and Auto Equipment (0.0%)
Volvo AB Class B..................... 500 10,260
-----------
Electrical and Electronics (0.1%)
Telefonaktiebolaget Ericsson......... 550 10,789
-----------
Financial Services (0.1%)
Svenska Handelsbanken................ 600 12,494
-----------
Home Furnishings and Appliances (0.1%)
Electrolux AB Class B................ 300 12,335
-----------
Metals and Mining (0.1%)
SSAB Svenskt Sta AB.................. 1,000 10,260
-----------
Paper and Containers (0.0%)
Stora Kopparbergs.................... 800 9,415
-----------
Total Sweden 65,553
-----------
Switzerland (0.4%)
Diversified (0.1%)
Alusuisse-Lonza Holding AG........... 10 7,943
-----------
Financial Services (0.1%)
Schweizerischer Bankverein........... 20 8,186
-----------
Foods and Beverages (0.1%)
Nestle SA Registered................. 10 11,089
-----------
Insurance (0.1%)
Winterthur Schweizerische
Versicherungs...................... 10 7,143
Zurich Versicherungs-Gesellschaft.... 40 11,993
-----------
19,136
-----------
Machinery and Equipment (0.0%)
Georg Fischer AG..................... 5 6,518
-----------
Paper and Containers (0.0%)
Bobst SA............................. 5 7,821
-----------
Retail (0.0%)
Merkur Holding AG.................... 25 $ 5,497
-----------
Total Switzerland 66,190
-----------
United Kingdom (0.8%)
Apparel (0.0%)
Coats Viyella Plc.................... 2,600 7,064
-----------
Commercial Services (0.0%)
Inchcape Plc......................... 1,600 6,186
-----------
Consumer Products (0.1%)
Reckitt & Coleman Plc................ 800 8,856
-----------
Diversified (0.1%)
Harrisons & Crosfield Plc............ 3,500 8,695
Lonrho Plc........................... 3,000 8,198
-----------
16,893
-----------
Financial Services (0.2%)
Abbey National Plc................... 1,000 9,875
Barclays Plc......................... 2,000 22,947
-----------
32,822
-----------
Insurance (0.1%)
Guardian Royal Exchange Plc.......... 1,900 8,142
Royal Insurance Holdings Plc......... 1,420 8,422
-----------
16,564
-----------
Media and Entertainment (0.0%)
Granada Group Plc.................... 800 8,011
-----------
Oil and Gas (0.1%)
Burmah Castrol Plc................... 600 8,701
-----------
Retail (0.1%)
Burton Group Plc..................... 7,000 14,618
-----------
Transportation (0.1%)
British Airways Plc.................. 900 6,512
Peninsular & Orient Steam
Navigation Co...................... 1,000 7,390
-----------
13,902
-----------
Utilities - Water (0.0%)
Welsh Water Plc...................... 500 6,016
-----------
Total United Kingdom 139,633
-----------
TOTAL COMMON STOCKS
(COST $10,258,308) ............... $11,089,401
-----------
PREFERRED STOCKS (0.4%)
United States (0.2%)
Banks (0.1%)
BankAmerica Corp..................... 300 19,425
-----------
Chemicals (0.0%)
Union Carbide Corp................... 200 7,500
-----------
Electrical Equipment (0.1%)
FPL Group, Inc....................... 300 13,913
-----------
Total United States 40,838
-----------
See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy Portfolio
Portfolio of Investments--December 31, 1995 (continued)
- ----------------------------------------------------------------
Number of Market
Shares Value
---------- -----------
Austria (0.1%)
Banks (0.1%)
Creditanstalt-Bankverein............. 100 $ 5,144
-----------
Total Austria 5,144
-----------
Finland (0.1%)
Electrical Equipment (0.1%)
Nokia AB Class A..................... 500 19,690
-----------
Total Finland 19,690
-----------
United Kingdom (0.0%)
Utilities - Water (0.0%)
Welsh Water Plc...................... 540 914
-----------
Total United Kingdom 914
-----------
TOTAL PREFERRED STOCKS
(COST $73,591)..................... $ 66,586
-----------
WARRANTS (0.1%)
Morgan Stanley American Express Hong
Kong Call+......................... 4,000 17,000
-----------
TOTAL WARRANTS (COST $19,695) ....... $ 17,000
-----------
Principal Market
Amount Value
---------- -----------
LONG TERM BONDS AND NOTES (7.1%)
U.S. Government Obligations (7.0%)
U.S. Treasury Note, 6.50%, 05/15/05.. $1,200,000 $1,278,187
-----------
Total U.S. Government Obligations
(cost $1,255,715) ................. $1,278,187
-----------
Corporate Bonds - Convertible (0.1%)
Foreign Obligations (0.1%)
Mitsubishi Bank, 3.00%, 11/30/02..... 20,000 23,138
-----------
Total Corporate Bonds - Convertible
(cost $20,000) .................... $ 23,138
-----------
TOTAL LONG TERM BONDS AND NOTES
(COST $1,275,715) ................. $1,301,325
-----------
SHORT-TERM INVESTMENTS (30.9%)
Ciesco, L.P., Comm. Paper, 5.90%,
01/03/96........................... 459,000 458,925
Cooperative Assoc. of Tractor
Dealers, Inc., Comm. Paper, 6.05%, 750,000 749,622
01/05/96...........................
Detroit Edison Co., Corp. Note,
6.15%, 01/02/96.................... 750,000 750,000
Finova Capital Corp., Comm. Paper,
6.10%, 01/03/96.................... 750,000 749,873
Pennsylvania Power And Light Co.,
Comm. Paper, 6.25%, 01/05/96....... 400,000 399,792
Public Service Co. of Colorado,
Comm. Paper, 6.05%, 01/02/96....... 687,000 687,000
Tenneco Inc., Comm. Paper, 6.45%,
01/08/96........................... $ 750,000 $ 749,194
U.S. Treasury Note++, 9.25%, 350,000 350,641
01/15/96...........................
Weyerhauser Mortgage Co., Comm.
Paper, 5.80%, 01/08/96............. 750,000 749,275
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $5,644,104) ................. $5,644,322
-----------
TOTAL
INVESTMENTS $18,118,634
(cost $17,271,413)(a) .............
Other assets less liabilities ....... 134,800
-----------
Total Net Assets .................... $18,253,434
===========
Notes to Portfolio of Investments
Category percentages are based on net assets.
+Non-income producing security.
(a) The cost of investments for federal income tax purposes is
identical. Unrealized gains and losses, based on identified tax
cost at December 31, 1995 are as follows:
Unrealized gains .................... $1,123,991
Unrealized losses ................... (276,770)
-----------
Net unrealized gain.................. $ 847,221
===========
++Security pledged to cover initial margin deposits on open futures contracts
at December 31, 1995. Information concerning open futures contracts is shown
below:
No. of Long Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
------------ ---------- ---------- -----------
All Ordinaries
Share Price
Index Futures .. 2 $ 83,810 March 96 $ (409)
TSE 35 Index
Future ......... 1 91,507 March 96 (829)
Canadian
Government
Bonds Futures .. 1 80,105 March 96 1,430
German DAX Index
Futures ........ 1 158,915 March 96 (279)
Long-Term German
Bonds Futures .. 2 342,779 March 96 2,620
CAC 40 Stock
Index Futures .. 1 74,616 March 96 1,575
French Nationals
Index Futures .. 1 118,754 March 96 982
FTSE 100 Index
Futures ........ 1 141,886 March 96 (175)
Long Gilt Bonds
Futures ........ 2 168,387 March 96 1,602
Topix Index
Future ......... 1 149,647 March 96 5,526
Hang Seng Index
Futures ........ 1 64,923 March 96 627
10 Year Swiss
Bonds Futures .. 1 96,767 March 96 634
Dutch Government
Bonds Futures .. 1 164,058 March 96 764
-----------
$ 14,068
===========
See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Assets and Liabilities-December 31, 1995
- -----------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
------------- -------------- ------------
<S> <C> <C> <C>
Assets:
Investments, at market value (Note 1) .......................... $ 18,747,299 $ 18,724,477 $ 18,118,634
Cash ........................................................... 35,204 2,214 49,608
Cash denominated in foreign currencies ......................... 182,445 126,982 152,404
Receivable for:
Dividends and interest ..................................... 75,915 62,914 59,000
Investments sold ........................................... 58,277 70,370 62,813
Fund shares sold ........................................... 21,220 83,740 --
Recoverable taxes .......................................... 442 283 174
Unrealized gain on forward foreign currency exchange
contracts (Note 4) ......................................... 34,201 24,653 20,210
------------ -------------- ------------
Total assets .......................................... 19,155,003 19,095,633 18,462,843
------------- -------------- ------------
Liabilities:
Payable for:
Investments purchased ........................................ 150,686 95,816 51,521
Fund shares redeemed ......................................... 75,000 108,994 84,000
Variation margin ............................................. 1,772 1,471 100
Unrealized loss on forward foreign currency exchange
contracts (Note 4)........................................ 7,406 5,477 3,544
Accrued investment advisory fees ............................... 8,167 8,129 7,925
Accrued administrative and service fees ........................ 6,132 5,202 6,132
Accrued custodian fees ......................................... 4,000 4,000 4,000
Other liabilities .............................................. 51,954 53,117 52,187
------------- -------------- ------------
Total liabilities ..................................... 305,117 282,206 209,409
------------- -------------- ------------
NET ASSETS ..................................................... $ 18,849,886 $ 18,813,427 $ 18,253,434
============= ============== ============
Net assets represented by:
Paid-in capital ................................................ $ 17,479,680 $ 17,537,475 $ 17,164,688
Unrealized gain................................................. 1,158,199 1,037,670 878,076
Undistributed (Distributions in excess of)
net investment income ...................................... (5,803) 7,137 13,801
Accumulated net realized gain................................... 217,810 231,145 196,869
============= ============== ============
Net Assets ..................................................... $ 18,849,886 $ 18,813,427 $ 18,253,434
============= ============== ============
Capital Shares, $.001 par value:
Outstanding .................................................. 1,746,134 1,751,685 1,715,991
Net asset value per share .................................... $ 10.80 $ 10.74 $ 10.64
Cost of investments ............................................ $ 17,547,279 $ 17,720,494 $ 17,271,413
Cost of foreign currencies ..................................... $ 259,302 $ 126,901 $ 152,127
</TABLE>
See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Operations-For the Period from July 5, 1995 to December 31, 1995
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
------------ ------------ -----------
<S> <C> <C> <C>
Investment income: (Note 1)
Dividends .......................................................... $ 275,791 $ 227,122 $ 183,723
Interest ........................................................... 67,683 141,518 209,484
------------ ------------ -----------
343,474 368,640 393,207
Foreign taxes withheld ............................................. (2,801) (2,085) (1,386)
------------ ------------ -----------
Total investment income ...................................... 340,673 366,555 391,821
------------ ------------ -----------
Investment Expenses: (Note 2)
Investment advisory fee ............................................ 44,673 44,352 43,540
Administrative personnel and service fees .......................... 34,875 35,066 35,066
Custodian and transfer agent fees .................................. 12,177 12,177 12,177
Directors' fees .................................................... 10,000 10,000 10,000
Audit fees ......................................................... 7,667 7,667 7,667
Miscellaneous ...................................................... 31,322 31,555 31,555
------------ ------------ -----------
Total investment expenses ................................. 140,714 140,817 140,005
------------ ------------ -----------
Net investment income............................................... 199,959 225,738 251,816
------------ ------------ -----------
Realized and unrealized gain (loss): (Notes 1, 3 and 4)
Realized gain on:
Sale of investments .............................................. 152,109 129,071 113,203
Futures and forward currency contracts ........................... 201,756 205,940 164,219
Foreign currencies ............................................... 86,053 5,007 3,223
------------ ------------ -----------
Net realized gain on investments........................... 439,918 340,018 280,645
------------ ------------ -----------
Net change in unrealized gain (loss) on:
Investments ...................................................... 1,200,020 1,003,983 847,221
Futures and forward currency contracts ........................... 35,606 33,940 30,733
Foreign currency related transactions ............................ (77,427) (253) 122
------------ ------------ -----------
Net change in unrealized gain on investments............... 1,158,199 1,037,670 878,076
------------ ------------ -----------
Net realized and change in unrealized gain.......................... 1,598,117 1,377,688 1,158,721
------------ ------------ -----------
Increase in net assets resulting from operations ................... $ 1,798,076 $ 1,603,426 $ 1,410,537
============ ============ ===========
</TABLE>
See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets--For the Period from July 5, 1995 to
December 31, 1995
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
------------- ------------ ------------
<S> <C> <C> <C>
From Operations:
Net investment income........................................... $ 199,959 $ 225,738 $ 251,816
Net realized gain on investments ............................... 439,918 340,018 280,645
Net change in unrealized gain on investments ................... 1,158,199 1,037,670 878,076
------------- -------------- ------------
Increase in net assets resulting from operations ............. 1,798,076 1,603,426 1,410,537
------------- -------------- ------------
Distributions to Shareholders: (Note 1)
From net investment income ..................................... (427,870) (327,474) (321,791)
------------- -------------- -------------
Decrease in net assets from distributions to shareholders .... (427,870) (327,474) (321,791)
------------- -------------- ------------
From Fund Share Transactions:
Proceeds from shares sold ...................................... 24,150,259 23,185,016 21,576,530
Net asset value of shares issued upon reinvestment of
distributions ............................................. 427,870 327,474 321,791
Cost of shares redeemed ........................................ (7,098,449) (5,975,015) (4,733,633)
------------- -------------- ------------
Increase in net assets from fund share transactions ............ 17,479,680 17,537,475 17,164,688
------------- -------------- ------------
Change in net assets ........................................... 18,849,886 18,813,427 18,253,434
Net assets:
Beginning of period ............................................ -- -- --
------------- -------------- ------------
End of period .................................................. $ 18,849,886 $ 18,813,427 $ 18,253,434
============= ============== ============
End of period net assets includes undistributed (distributions
in excess of) net investment income .......................... $ (5,803) $ 7,137 $ 13,801
============= ============== ============
Share Transactions
Shares sold .................................................... 2,378,369 2,288,051 2,138,745
Shares issued upon reinvestment ................................ 39,636 30,491 30,251
Shares redeemed ................................................ (671,871) (566,857) (453,005)
============= ============== ============
Net increase.................................................... 1,746,134 1,751,685 1,715,991
============= ============== ============
</TABLE>
See Notes to Financial Statements.
<PAGE>
Notes to Financial Statements
December 31, 1995
1. Summary of Significant Accounting Policies
Aetna Generation Portfolios, Inc. ("Company") was incorporated in 1994 as a
Maryland Corporation. The Company is an open-end management investment
company and is authorized to issue multiple series of shares, each
representing a diversified portfolio of investments ("Portfolio") with
different investment objectives, policies and restrictions. Currently, the
Company offers Select Class shares of the Aetna Ascent Variable Portfolio
(Aetna Ascent); Aetna Crossroads Variable Portfolio (Aetna Crossroads); and
Aetna Legacy Variable Portfolio (Aetna Legacy. The financial statements
reflect results of the Portfolios for the period from July 5, 1995
(commencement of investment operations) to December 31, 1995. The
Portfolios are asset allocation funds that seek to maximize long-term
investment returns at varying levels of risk.
Shares of each Portfolio are owned by insurance companies as depositors of
separate accounts which are used to fund variable annuity contracts and
variable life insurance policies. It is currently expected that all shares
will be held by separate accounts of Aetna Life Insurance and Annuity
Company ("ALIAC") and its subsidiary, Aetna Insurance Company of America on
behalf of their respective separate accounts.
ALIAC is a wholly owned subsidiary of Aetna Life and Casualty Company and
serves as the Investment Adviser and principal underwriter to each
Portfolio.
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial
statements. The policies are in conformity with generally accepted
accounting principles. The preparation of financial statements in
conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect amounts reported
therein. Although actual results could differ from these estimates, any
such differences are expected to be immaterial to the net assets of the
Portfolios.
A. Valuation of Investments
Investments are stated at market values based upon closing sales prices
as reported on national securities exchanges or, for over-the-counter
securities, at the mean of the bid and asked prices. Short-term
investments maturing in more than sixty days for which market
quotations are readily available are valued at current market value.
Short-term investments maturing in less than sixty days are valued at
amortized cost which when combined with accrued interest approximates
market. Securities for which market quotations are not considered to be
readily available are valued in good faith using methods approved by
the Board of Directors.
The accounting records of the Portfolios are maintained in U.S.
dollars. Investment securities and other assets and liabilities
denominated in a foreign currency are translated into U.S. dollars at
the prevailing rates of exchange at the end of the period. Purchases
and sales of securities, income receipts, and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the
respective dates of the transactions.
B. Futures and Forward Foreign Currency Exchange Contracts
A futures contract is an agreement between two parties to buy and sell
a specific amount of a commodity, security or financial instrument
including an index of stocks at a set price on a future date. The
Portfolios use futures contracts as a hedge against declines in the
value of portfolio securities. The Portfolios may also purchase futures
contracts to gain market exposure as it may be more cost effective than
purchasing individual securities. Upon entering into a futures
contract, the Portfolios are required to deposit with a broker, an
amount (initial margin) equal to a percentage of the purchase price
indicated by the futures contract. Subsequent deposits (variation
margin) are received or paid each day by the Portfolios equal to the
daily fluctuation in the market value of the contract. These amounts
are recorded by the Portfolios as unrealized gains or losses. When a
contract is closed, the Portfolios record a realized gain or loss equal
to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
Generally, futures contracts are closed prior to expiration.
<PAGE>
Notes to Financial Statements
December 31, 1995 (continued)
1. Summary of Significant Accounting Policies (continued)
B. Futures and Forward Foreign Currency Exchange Contracts (continued)
A forward foreign currency exchange contract is an agreement to pay or
receive specific amounts of a currency at a future date in exchange for
another currency at an agreed upon exchange rate. The Portfolios may
use forward foreign currency exchange contracts to hedge certain
foreign currency assets. Contracts are recorded at market value and
marked-to-market daily.
The risks associated with futures and foreign currency exchange
contracts may arise from an imperfect correlation between the change in
market value of the securities held by the Portfolios and the price of
the contracts. Risks may also arise from an illiquid secondary market,
or from the inability of counterparties to meet the terms of the
contracts.
Realized and unrealized gains or losses on futures and foreign currency
exchange contracts are reflected in the accompanying financial
statements. For federal income tax purposes, any futures contracts and
forward foreign currency exchange contracts which remain open at year
end are marked-to-market and the resultant net gain or loss is included
in federal taxable income.
C. Illiquid and Restricted Securities
Illiquid securities are securities that are not readily marketable.
Disposing of illiquid investments may involve time-consuming
negotiation and legal expenses, and it may be difficult or impossible
for the Portfolios to sell them promptly at an acceptable price.
Restricted securities are subject to legal or contractual restrictions
on resale and may not be publicly sold without registration under the
Federal Securities Act of 1933. Each Portfolio may invest up to 15% of
its total assets in illiquid securities. Illiquid and restricted
securities are valued using market quotations when readily available.
In the absence of market quotations, the securities are valued based
upon their fair value determined under procedures approved by the Board
of Directors. The Portfolios will not pay the costs of disposition of
restricted securities other than ordinary brokerage fees, if any.
D. Federal Income Taxes
As a qualified regulated investment company, each Portfolio is relieved
of federal income and excise taxes by distributing its net taxable
investment income and capital gains, if any, in compliance with the
applicable provisions of the Internal Revenue Code.
E. Distributions
The Company distributes all net investment income and net capital
gains, if any, to shareholders semi-annually. Distributions from net
investment income are based on taxable net income. Distributions are
recorded on the ex-dividend date. Income and capital gain distributions
are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences
are primarily due to differing treatments for foreign currency related
transactions and deferred losses on wash sales.
F. Other
Investment transactions are accounted for on the day following trade
date, except same day settlements which are accounted for on the trade
date. Interest income is recorded on an accrual basis. Discounts and
premiums on securities purchased are amortized over the life of the
respective security using a yield to maturity method. Dividend income
is recorded on the ex-dividend date. Realized gains and losses from
investment transactions are determined on an identified cost basis.
<PAGE>
Notes to Financial Statements
December 31, 1995 (continued)
2. Investment Advisory and Administrative Service Fees
Each Portfolio pays the Investment Adviser a monthly fee at an annual rate
of 0.50% of the average daily net assets.
The Company has entered into an administrative services agreement under
which ALIAC acts as administrator and provides certain administrative and
shareholder services and is responsible for the supervision of other
service providers. Each Portfolio pays ALIAC an amount equal to its
allocable cost in providing such services and facilities. Fees paid under
the administrative services agreement for the period from July 5, 1995 to
December 31, 1995 were:
Aetna Ascent $34,875
Aetna Crossroads 35,066
Aetna Legacy 35,066
3. Purchases and Sales of Investment Securities
Cost of purchases and proceeds from sales of investment securities,
excluding short-term investments, for the period from July 5 through
December 31, 1995 were:
Cost of Purchases Proceeds from Sales
Aetna Ascent $22,771,641 $6,507,008
Aetna Crossroads 20,959,718 7,067,768
Aetna Legacy 19,088,406 7,572,090
4. Forward Foreign Currency Exchange Contracts
At December 31, 1995, Aetna Ascent, Aetna Crossroads, and Aetna Legacy had
the following open forward foreign currency exchange contracts that
obligate the Portfolios to deliver currencies at specified future dates.
The unrealized gains of $26,795, $19,176, and $16,666, respectively, on
these contracts is included in the accompanying financial statements. The
terms of the open contracts are as follows:
Aetna Ascent:
<TABLE>
<CAPTION>
Exchange Currency to be U.S. $Value as of Currency to be U.S. $Value as of Unrealized
Date Delivered December 31, 1995 Received December 31, 1995 Gain (Loss)
--------- -------------- ----------------- -------------- ----------------- -----------
<S> <C> <C> <C> <C> <C>
2/22/96 2,674,000 $90,862 92,494 $92,494 $1,632
Belgian Franc U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
2/9/96 123,000 107,369 108,946 108,946 1,577
Swiss Franc U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
2/9/96 7,690 7,690 9,000 7,856 166
U.S. Dollar Swiss Franc
-------------------------------------------------------------------------------------------------------------------------
1/3/96 81,000 14,619 14,519 14,519 (100)
Danish Krone U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/18/96 380,000 68,731 68,117 68,117 (614)
Danish Krone U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
1/3/96 50,000 77,771 77,012 77,012 (759)
British Pound U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
Notes to Financial Statements
December 31, 1995 (continued)
4. Forward Foreign Currency Exchange Contracts (continued)
Aetna Ascent (continued):
<TABLE>
<S> <C> <C> <C> <C> <C>
3/1/96 20,007 20,007 13,000 20,152 145
U.S. Dollar British Pound
-------------------------------------------------------------------------------------------------------------------------
6/14/96 259,000 400,609 395,396 395,396 (5,213)
British Pound U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
6/14/96 61,400 61,400 40,000 61,870 470
U.S. Dollar British Pound
-------------------------------------------------------------------------------------------------------------------------
1/2/96 77,329 77,329 123,850,000 78,198 869
U.S. Dollar Italian Lira
-------------------------------------------------------------------------------------------------------------------------
3/13/96 45,387,000 440,033 455,687 455,687 15,654
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
6/19/96 35,400,000 343,252 356,873 356,873 13,621
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/18/96 196,000 123,006 122,286 122,286 (720)
Dutch Guilder U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/15/96 110,000 78,342 78,409 78,409 67
Singapore Dollar U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
$26,795
====================
</TABLE>
Aetna Crossroads:
<TABLE>
<CAPTION>
Exchange Currency to be U.S. $Value as of Currency to be U.S. $Value as of Unrealized
Date Delivered December 31, 1995 Received December 31, 1995 Gain (Loss)
--------- -------------- ----------------- -------------- ----------------- -----------
<S> <C> <C> <C> <C> <C>
2/22/96 1,958,000 $66,533 67,727 $67,727 $1,194
Belgian Franc U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
2/9/96 101,000 88,165 89,460 89,460 1,295
Swiss Franc U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
2/9/96 8,545 8,545 10,000 8,729 184
U.S. Dollar Swiss Franc
-------------------------------------------------------------------------------------------------------------------------
1/3/96 82,000 14,799 14,698 14,698 (101)
Danish Krone U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/18/96 330,000 59,687 59,155 59,155 (532)
Danish Krone U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
1/3/96 35,000 54,440 53,908 53,908 (532)
British Pound U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
3/1/96 13,851 13,851 9,000 13,952 101
U.S. Dollar British Pound
-------------------------------------------------------------------------------------------------------------------------
6/14/96 188,000 290,789 287,006 287,006 (3,783)
British Pound U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
Notes to Financial Statements
December 31, 1995 (continued)
4. Forward Foreign Currency Exchange Contracts (continued)
Aetna Crossroads (continued):
<TABLE>
<S> <C> <C> <C> <C> <C>
6/14/96 42,980 42,980 28,000 43,309 329
U.S. Dollar British Pound
-------------------------------------------------------------------------------------------------------------------------
1/2/96 50,814 50,814 81,400,000 51,395 581
U.S. Dollar Italian Lira
-------------------------------------------------------------------------------------------------------------------------
3/12/96 22,080,000 214,068 221,576 221,576 7,508
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
3/13/96 23,000,000 222,988 231,040 231,040 8,052
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
6/19/96 13,900,000 134,780 140,128 140,128 5,348
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/18/96 144,000 90,372 89,843 89,843 (529)
Dutch Guilder U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/15/96 100,000 71,220 71,281 71,281 61
Singapore Dollar U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
$19,176
====================
</TABLE>
Aetna Legacy
<TABLE>
<CAPTION>
Exchange Currency to be U.S. $Value as of Currency to be U.S. $Value as of Unrealized
Date Delivered December 31, 1995 Received December 31, 1995 Gain (Loss)
--------- -------------- ----------------- -------------- ----------------- -----------
<S> <C> <C> <C> <C> <C>
2/22/96 1,284,000 $43,630 44,414 $44,414 $784
Belgian Franc U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
2/9/96 77,000 67,215 68,202 68,202 987
Swiss Franc U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
2/9/96 7,690 7,690 9,000 7,856 166
U.S Dollar Swiss Franc
-------------------------------------------------------------------------------------------------------------------------
1/3/96 82,000 14,799 14,697 14,697 (102)
Danish Krone U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/18/96 180,000 32,557 32,266 32,266 (291)
Danish Krone U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
1/3/96 28,000 43,552 43,127 43,127 (425)
British Pound U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
3/1/96 15,390 15,390 10,000 15,502 112
U.S. Dollar British Pound
-------------------------------------------------------------------------------------------------------------------------
6/14/96 115,000 177,876 175,562 175,562 (2,314)
British Pound U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
6/14/96 33,770 33,770 22,000 34,029 259
U.S. Dollar British Pound
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
Notes to Financial Statements
December 31, 1995 (continued)
4. Forward Foreign Currency Exchange Contracts (continued)
Aetna Legacy (continued):
<TABLE>
<S> <C> <C> <C> <C> <C>
1/2/96 24,329 24,329 39,000,000 24,624 295
U.S. Dollar Italian Lira
-------------------------------------------------------------------------------------------------------------------------
3/13/96 39,380,000 381,794 395,375 395,375 13,581
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
6/19/96 10,400,000 100,842 104,844 104,844 4,002
Japanese Yen U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/18/96 112,000 70,289 69,877 69,877 (412)
Dutch Guilder U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
4/15/96 40,000 28,488 28,512 28,512 24
Singapore Dollar U.S. Dollar
-------------------------------------------------------------------------------------------------------------------------
$16,666
====================
</TABLE>
5. Federal Tax Status of Dividends Declared During the Fiscal Year (Unaudited)
All of the income dividends paid by each Portfolio were ordinary income for
federal income tax purposes. The percentage of income dividends that were
qualifying dividends for the corporate dividends received deduction were:
Aetna Ascent 39.7%
Aetna Crossroads 39.2%
Aetna Legacy 34.0%
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights
For the period from July 5, 1995 to December 31, 1995
Selected data for a fund share outstanding throughout the period:
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
-------- ------------ --------
<S> <C> <C> <C>
Net asset value, beginning of period ..................................... $ 10.000 $ 10.000 $ 10.000
---------- --------- ---------
Income from investment operations:
Net investment income .................................................. 0.116 0.131 0.148
Net realized and change in unrealized gain.............................. 0.929 0.799 0.679
---------- --------- ---------
Total from investment operations ................................. $ 1.045 $ 0.930 $ 0.827
---------- --------- ---------
Less distributions:
From net investment income ............................................. (0.250) (0.190) (0.190)
---------- --------- ---------
Total distributions .............................................. (0.250) (0.190) (0.190)
---------- --------- ---------
Net asset value, end of period ........................................... $ 10.795 $ 10.740 $ 10.637
========== ========= =========
Total return* ............................................................ 10.45% 9.30% 8.27%
Net assets, end of period (000's) ........................................ $ 18,850 $ 18,813 $ 18,253
Ratio of total expenses to average net assets** .......................... 1.59% 1.60% 1.62%
Ratio of net investment income to average net assets** ................... 2.26% 2.56% 2.91%
Portfolio turnover rate* ................................................. 39.77% 49.38% 62.43%
</TABLE>
* Not annualized
** Annualized
Per share data calculated using average number of shares outstanding throughout
the period.
See Notes to Financial Statements
<PAGE>
Independent Auditors' Report
The Shareholders and Board of Directors Aetna Generation Portfolios, Inc.
We have audited the accompanying statements of assets and liabilities of Aetna
Ascent Variable Portfolio, Aetna Crossroads Variable Portfolio and Aetna Legacy
Variable Portfolio, portfolios of Aetna Generation Portfolios, Inc. (the
Portfolios), including the portfolios of investments, as of December 31, 1995,
and the related statements of operations, changes in net assets and financial
highlights for the period from July 5, 1995 (commencement of investment
operations) to December 31, 1995. These financial statements and financial
highlights are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Aetna
Ascent Variable Portfolio, Aetna Crossroads Variable Portfolio and Aetna Legacy
Variable Portfolio as of December 31, 1995, and the results of their operations,
changes in their net assets and financial highlights for the period from July 5,
1995 (commencement of investment operations) to December 31, 1995 in conformity
with generally accepted accounting principles.
KPMG Peat Marwick LLP
Hartford, Connecticut
February 16, 1996
