Aetna Generation Portfolios, Inc.
The primary objective of each Generation Portfolio is to exceed the return of
the composite index for that Portfolio (specified below), and do so with less
volatility, over the long-term. Returns, net of fund expenses, for the first six
months of the fiscal year ended June 30, 1996, were as follows:
Generation Portfolio Return Composite Index Return
Portfolio
Aetna Ascent 9.09% 6.17%
Aetna Crossroads 7.40% 4.48%
Aetna Legacy 5.65% 2.80%
Asset Class Benchmark Index Return
Large Cap Stocks S&P 500 10.24%
Small Cap Stocks Russell 2000 10.36%
International Stocks MSCI Europe, Australia & Far East 4.67%
Real Estate Stocks NAREIT 6.82%
Domestic Bonds Salomon Broad (1.26)%
International Bonds S.B. Non-U.S. WGBI (1.47)%
Cash Equivalents U.S. 90 Day T-Bill 2.55 %
Stocks have historically tended to provide about a 10% annual return, with
considerable variation around that average, of course. Taking this into account,
you might consider the six month performance for stocks as a year's worth of
return in six months. This return was especially surprising in light of the
upward march of interest rates over the period, as shown by the benchmark 30
Year Treasury Bond which began the year at under 6.0%, and ended the six month
period near 7.0%. However, these rising interest rates took their toll on bond
returns. A strong U.S. dollar prevented international stock and bond investors
from achieving attractive returns.
Due to the divergence of stock and bond performance during the first six months
of 1996, the going-forward expected return spread of stocks over bonds narrowed
considerably. Stocks are normally expected to have a higher return than bonds to
compensate for the higher risk, but by the end of June, this "equity risk
premium" had declined to well below its normal level. Consequently, our
assessment of the outlook for equities changed from quite bullish at the
beginning of the year to moderately bearish by June.
Guided by our asset allocation disciplines, we decreased our equity exposure and
increased our cash equivalent holdings, primarily through the use of futures
contracts. We find that using these financial instruments to effect asset
allocation shifts is very beneficial because their high liquidity makes using
them quicker and less expensive than outright selling of individual stocks. We
carefully assess the relative attractiveness of all alternatives when making an
asset allocation move, including futures, options and stock transactions.
Looking forward to the second half of 1996, we believe that the Generation
Portfolios are well-positioned to provide downside protection should the equity
market weaken, not only through an increased cash position, but also through
participation in asset classes (such as international stocks and bonds and real
estate) which have a relatively low correlation to the U.S. equity market. In
addition, we expect our stock selection disciplines, which favor stocks that
have demonstrated characteristics such as positive earnings surprise, upward
revisions of earnings estimates, low price/earnings, low price/book value, and
high insider ownership, to continue to perform relatively well regardless of the
market environment.
Of course, past performance is no assurance of future returns.
1
<PAGE>
Aetna Generation Portfolios, Inc. (continued)
Portfolio of Notional Value Economic
Aetna Ascent Investments of Futures Exposure *Benchmark Range
Large Cap Stocks 32% (23%) 9% 20% 0 - 60%
Small Cap Stocks 14% (1%) 13% 20% 0 - 40%
International Stocks 18% -- 18% 20% 0 - 40%
Real Estate Stocks 25% -- 25% 20% 0 - 40%
U.S. Dollar Bonds -- 8% 8% 10% 0 - 30%
International Bonds -- 7% 7% 10% 0 - 20%
Cash Equivalents 11% 9% 20% 0% 0 - 30%
----- ---- ----- -----
100% 0% 100% 100%
===== ==== ===== =====
Portfolio of Notional Value Economic
Aetna Crossroads Investments of Futures Exposure *Benchmark Range
Large Cap Stocks 23% (17%) 6% 15% 0 - 45%
Small Cap Stocks 14% (1%) 13% 15% 0 - 30%
International Stocks 14% -- 14% 15% 0 - 30%
Real Estate Stocks 20% -- 20% 15% 0 - 30%
U.S. Dollar Bonds 4% 10% 14% 25% 0 - 70%
International Bonds -- 8% 8% 10% 0 - 20%
Cash Equivalents 25% -- 25% 5% 0 - 30%
----- ---- ----- -----
100% 0% 100% 100%
===== ==== ===== =====
Portfolio of Notional Value Economic
Aetna Legacy Investments of Futures Exposure *Benchmark Range
Large Cap Stocks 19% (14%) 5% 10% 0 - 30%
Small Cap Stocks 8% -- 8% 10% 0 - 20%
International Stocks 10% -- 10% 10% 0 - 20%
Real Estate Stocks 16% -- 16% 10% 0 - 20%
U.S. Dollar Bonds 7% 11% 18% 40% 0 -100%
International Bonds -- 7% 7% 10% 0 - 20%
Cash Equivalents 40% (4%) 36% 10% 0 - 30%
----- ---- ----- -----
100% 0% 100% 100%
===== ==== ===== =====
* "Notional value" refers to the economic value at risk, or the exposure to the
financial instruments underlying the futures positions. "Economic exposure"
reflects the Fund's exposure to both changes in value of the portfolio of
investments as well as the financial instruments underlying the futures
positions.
2
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent
Portfolio of Investments - June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
COMMON STOCKS (88.2%)
United States (70.6%)
Aerospace and Defense (0.1%)
United Technologies Corp. ........................ 200 $ 23,000
-----------
Apparel (1.4%)
Chic By H.I.S., Inc.+ ............................ 50 263
Gap, Inc. ........................................ 400 12,850
Nike, Inc. ....................................... 200 20,550
TJX Companies, Inc. .............................. 200 6,750
Wet Seal, Inc. Class A+ ......................... 10,100 240,505
-----------
280,918
-----------
Autos and Auto Equipment (1.7%)
Chrysler Corp. ................................... 2,000 124,000
Ford Motor Co. ................................... 4,600 148,924
Kaydon Corp. ..................................... 1,300 55,900
Snap-On, Inc. .................................... 200 9,475
-----------
338,299
-----------
Banks (1.0%)
CITICORP ......................................... 400 33,050
City National Corp. .............................. 2,200 34,650
Corus Bankshares, Inc. ........................... 1,600 48,000
First American Corp. (Tenn.) ..................... 700 29,488
First Chicago Corp. .............................. 43 1,682
First Citizens Bancshares, Inc. Class A .......... 100 6,150
Golden West Financial Corp. ...................... 200 11,200
KeyCorp .......................................... 600 23,250
Nations Bank, Inc. ............................... 200 16,525
Riggs National Corp. ............................. 400 4,850
-----------
208,845
-----------
Building Materials and Construction (1.5%)
Beazer Homes USA, Inc.+ .......................... 2,000 32,000
Continental Homes Holding Corp. .................. 200 4,300
Granite Construction, Inc. ....................... 3,750 86,250
Lennar Corp. ..................................... 1,700 42,500
Redman Industries, Inc.+ ......................... 2,400 49,800
Texas Industries, Inc. ........................... 500 34,313
Tredegar Industries, Inc. ........................ 1,950 58,988
-----------
308,151
-----------
Chemicals (0.7%)
Cytec Industries+ ................................ 100 8,550
First Mississippi Corp. .......................... 2,400 53,400
Rexene Corp. ..................................... 7,100 70,113
-----------
132,063
-----------
Computer Software (2.4%)
Boole & Babbage, Inc.+ ........................... 300 7,200
Cadence Design Systems, Inc.+ .................... 4,500 151,874
Cisco Systems, Inc.+ ............................. 3,300 186,862
Computer Associates International, Inc. .......... 250 17,813
Computer Sciences Corp.+ ......................... 300 22,425
Computer Software (continued)
Continum, Inc.+ .................................. 1,386 $ 80,388
Kronos, Inc.+ .................................... 150 5,325
Structural Dynamics Research Corp.+ .............. 400 8,800
-----------
480,687
-----------
Computers and Office Equipment (2.3%)
Boise Cascade Office Product+ .................... 3,400 117,725
Comdisco, Inc. ................................... 1,250 33,281
CompUSA, Inc.+ ................................... 200 6,825
Computervision Corp.+ ............................ 1,600 16,000
Gateway 2000, Inc.+ .............................. 1,100 37,400
HBO & Co. ........................................ 200 13,550
In Focus Systems, Inc.+ .......................... 1,800 43,650
Komag, Inc.+ ..................................... 800 21,100
Mylex Corp.+ ..................................... 200 3,550
Storage Technology Corp.+ ........................ 2,400 91,800
Sun Microsystems, Inc.+ .......................... 400 23,550
United Stationers, Inc. .......................... 2,100 51,450
Western Digital Corp.+ ........................... 500 13,063
-----------
472,944
-----------
Consumer Products (0.6%)
Lewis Galoob Toys, Inc.+ ......................... 1,800 50,850
Liz Claiborne, Inc. .............................. 1,800 62,325
-----------
113,175
-----------
Diversified (1.2%)
Greenbrier Companies, Inc. ....................... 400 5,550
Harsco Corp. ..................................... 900 60,525
Johnson Controls, Inc. ........................... 200 13,900
NACCO Industries, Inc. ........................... 1,000 55,375
Opal, Inc.+ ...................................... 300 3,825
Textron, Inc. .................................... 1,400 111,825
-----------
251,000
-----------
Electrical and Electronics (1.3%)
Esterline Technologies+ .......................... 4,300 107,500
MEMC Electronic Materials, Inc.+ ................. 500 19,375
Novellus Systems, Inc.+ .......................... 800 28,800
Siliconix, Inc.+ ................................. 300 6,450
Symbol Technologies, Inc.+ ....................... 2,100 93,450
Technitrol, Inc. ................................. 200 7,925
-----------
263,500
-----------
Electrical Equipment (1.2%)
Belden Inc. ...................................... 800 24,000
Fore Systems, Inc.+ .............................. 800 28,900
International Rectifier Corp.+ ................... 2,100 33,863
Jabil Circuit, Inc.+ ............................. 2,400 29,400
Raychem Corp. .................................... 400 28,750
SCI Systems, Inc.+ ............................... 200 8,125
Vitesse Semiconductor Corp.+ ..................... 4,100 98,400
-----------
251,438
-----------
See Notes to Portfolio of Investments. 3
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Financial Services (2.9%)
Alex Brown & Sons, Inc. .......................... 900 $ 50,850
Bear Sterns Co., Inc. ............................ 3,150 74,419
BHC Financial, Inc. .............................. 2,800 39,200
Chase Manhattan Corp. ............................ 1,800 127,125
Cityscape Financial Corp.+ ....................... 1,900 97,375
Lehman Brothers Holdings, Inc. ................... 200 4,950
Merrill Lynch & Co., Inc. ........................ 400 26,050
Paine Webber Group, Inc. ......................... 900 21,375
Salomon, Inc. .................................... 2,000 88,000
TR Financial Corp. ............................... 700 19,250
Travelers Group, Inc. ............................ 600 27,375
-----------
575,969
-----------
Foods and Beverages (1.5%)
Campbell Soup Co. ................................ 500 35,250
Hershey Foods Corp. .............................. 100 7,338
Hormel Foods Corp. ............................... 1,200 32,100
Kroger Co. (The)+ ................................ 2,300 90,850
Mondavi (Robert) Corp.+ .......................... 700 22,050
PepsiCo, Inc. .................................... 1,200 42,450
Safeway, Inc.+ ................................... 1,400 46,200
Sara Lee Corp. ................................... 200 6,475
Supervalu, Inc. .................................. 500 15,750
-----------
298,463
-----------
Health Services (2.0%)
Beverly Enterprises+ ............................. 8,300 99,600
Genetics Institute, Inc.+ ........................ 100 6,350
Health Management Associates, Inc.+ .............. 4,650 94,163
HEALTHSOUTH Corp.+ ............................... 1,200 43,200
Invacare Corp. ................................... 1,200 28,200
Lincare Holdings, Inc.+ .......................... 1,500 58,875
Tenet Healthcare Corp.+ .......................... 600 12,825
Universal Health Services, Inc.+ ................. 2,400 62,700
-----------
405,913
-----------
Home Furnishings & Appliances (0.6%)
Bush Industries, Inc., Class A ................... 3,600 122,400
-----------
Hotels and Restaurants (0.3%)
Marriott International, Inc. ..................... 300 16,125
Promus Hotel Corp.+ .............................. 1,200 35,550
-----------
51,675
-----------
Insurance (1.2%)
AMBAC, Inc. ...................................... 200 10,425
American Bankers Insurance Group ................. 1,500 65,438
American National Insurance Co. .................. 700 45,500
CMAC Investment Corp. ............................ 700 40,250
Fremont General Corp. ............................ 900 20,700
Home Beneficial Corp. Class B .................... 400 10,500
Kansas City Life Insurance Co .................... 300 16,350
Orion Capital Corp. .............................. 400 20,400
State Auto Financial Corp. ....................... 500 12,125
-----------
241,688
-----------
Machinery and Equipment (1.4%)
Blount, Inc. Class A ............................. 1,350 $ 42,525
Case Corp. ....................................... 1,000 48,000
Caterpillar, Inc. ................................ 100 6,775
Cooper Cameron Corp.+ ............................ 2,700 118,125
L.S. Starrett Co. Class A ........................ 900 23,400
Lam Research Corp.+ .............................. 400 10,400
Parker-Hannifin Corp. ............................ 900 38,138
-----------
287,363
-----------
Media and Entertainment (1.7%)
AMC Entertainment+ ............................... 900 25,088
Callaway Golf Co. ................................ 2,600 86,450
Coastcast Corp.+ ................................. 4,000 76,000
King World Production, Inc.+ ..................... 500 18,188
Media General, Inc. .............................. 1,000 37,250
Mirage Resorts, Inc.+ ............................ 1,000 54,000
Renaissance Communications+ ...................... 1,300 41,925
-----------
338,901
-----------
Medical Supplies (0.7%)
Baxter International, Inc. ....................... 2,100 103,425
Medtronic, Inc. .................................. 400 22,400
OrNda HealthCorp+ ................................ 500 12,000
OrthoLogic Corp.+ ................................ 200 2,550
-----------
145,100
-----------
Metals and Mining (0.7%)
AK Steel Holding Corp. ........................... 400 15,650
Cleveland-Cliffs, Inc. ........................... 600 23,475
Phelps Dodge Corp. ............................... 300 18,713
Reliance Steel & Aluminum Co ..................... 2,100 76,650
WCI Steel, Inc. .................................. 2,700 14,175
-----------
148,663
-----------
Oil and Gas (4.4%)
Amoco Corp. ...................................... 1,500 6,775
Chevron Corp. .................................... 100 5,900
El Paso Natural Gas Co. .......................... 200 7,700
Exxon Corp. ...................................... 3,600 312,749
Fina Inc. Class A ................................ 900 49,725
Halliburton Co. .................................. 400 22,200
Mobil Corp. ...................................... 400 44,850
Oneok, Inc. ...................................... 3,900 97,500
Phillips Petroleum Co. ........................... 100 4,188
Reading & Bates Corp.+ ........................... 1,600 35,400
Royal Dutch Petroleum Co. ........................ 100 15,375
Smith International, Inc.+ ....................... 1,200 36,150
Sonat Offshore Drilling Co. ...................... 1,100 55,550
Tesoro Petroleum Corp.+ .......................... 5,400 62,100
Texaco, Inc. ..................................... 200 16,775
Tosco Corp. ...................................... 100 5,025
-----------
886,525
-----------
4 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Pharmaceuticals (3.6%)
Abbott Laboratories .............................. 100 $ 4,350
American Home Products Corp ...................... 600 36,075
Becton, Dickinson & Co. .......................... 1,000 80,250
Bristol-Myers Squibb Co. ......................... 500 45,000
Cardinal Health, Inc. ............................ 700 50,488
Dura Pharmaceuticals, Inc.+ ...................... 200 11,200
ICN Pharmaceuticals, Inc. ........................ 4,000 93,000
IDEC Pharmaceuticals Corp.+ ...................... 1,900 43,938
Johnson & Johnson ................................ 1,528 75,636
Jones Medical Industries, Inc. ................... 450 14,963
Merck & Co., Inc. ................................ 300 19,388
Pfizer, Inc. ..................................... 1,100 78,513
Pharmacia & Upjohn, Inc. ......................... 1,900 84,313
Rhone-Poulenc Rorer, Inc. ........................ 800 53,700
Schering Plough .................................. 500 31,375
-----------
722,189
-----------
Printing and Publishing (1.1%)
Gannett Company, Inc. ............................ 1,400 99,050
New York Times Co. ............................... 300 9,788
Times Mirror Co. ................................. 2,500 108,750
Tribune Co. ...................................... 100 7,263
-----------
224,851
-----------
Real Estate Investment Trusts (24.6%)
Ambassador Apartments, Inc. ...................... 14,400 242,999
Associated Estates Realty Corp ................... 11,500 241,499
Beacon Properties Corp. .......................... 11,200 286,999
CALI Realty Corp. ................................ 3,900 94,575
CBL & Associates Properties, Inc. ................ 8,500 190,187
Chelsea GCA Realty, Inc. ......................... 8,900 282,574
Colonial Properties Trust ........................ 10,200 247,349
Cousins Properties, Inc. ......................... 6,000 117,750
Crescent Real Estate Equities, Inc. .............. 7,900 290,324
Developers Diversified Realty Corp. .............. 2,700 86,063
Duke Realty Investments, Inc. .................... 8,600 260,149
Equity Residential Properties Trust .............. 7,000 230,124
Essex Property Trust, Inc. ....................... 13,500 290,249
Evans Withycombe Residential, Inc. ............... 9,600 200,399
Excel Realty Trust, Inc. ......................... 8,200 168,099
Highwood Properties, Inc. ........................ 9,700 267,962
Horizon Group, Inc. .............................. 5,600 114,800
Innkeepers USA Trust ............................. 25,100 250,999
Kimco Realty Corp. ............................... 6,150 173,737
Kranzco Realty Trust ............................. 300 4,238
Mid-America Apartment Communities, Inc. .......... 1,500 38,063
Public Storage, Inc. ............................. 13,900 286,687
Regency Realty Corp. ............................. 11,202 235,249
Security Capital Industrial Trust ................ 1,400 24,675
Smith (Charles E.) Residential Realty Co ......... 2,800 67,200
Walden Residential Properties, Inc. .............. 13,400 273,024
-------
4,965,973
---------
Retail (2.8%)
American Stores Co. .............................. 100 $ 4,125
Carson Pirie Scott & Co.+ ........................ 4,700 125,725
Claire's Stores, Inc. ............................ 200 5,525
Damark International, Inc.+ ...................... 8,200 114,800
Dayton Hudson Corp. .............................. 1,300 134,063
Eckerd Corp.+ .................................... 100 2,263
Family Dollar Stores, Inc. ....................... 200 3,475
Federated Department Stores, Inc.+ ............... 200 6,825
Mercantile Stores Co., Inc. ...................... 400 23,450
Ross Stores, Inc. ................................ 700 24,325
Waban, Inc.+ ..................................... 2,200 52,525
Weis Markets, Inc. ............................... 600 19,575
Zale Corp.+ ...................................... 2,300 38,813
-----------
555,489
-----------
Specialty Consumer Durables (0.3%0
Harley-Davidson, Inc. ............................ 600 24,675
Polaris Industries, Inc. ......................... 1,250 42,656
-----------
67,331
-----------
Telecommunications (0.0%)
360 Communications Co.+ .......................... 133 3,192
LCI International, Inc.+ ......................... 100 3,138
-----------
6,330
-----------
Textiles (0.3%)
Kellwood Co. ..................................... 3,000 55,125
-----------
Transportation (2.1%)
America West Airlines, Inc. Class B+ ............. 400 8,800
AMR Corp.+ ....................................... 1,700 154,699
Canadian National Railway Co ..................... 2,000 36,750
Comair Holdings, Inc. ............................ 1,800 48,600
Continental Airlines, Inc., Class B+ ............. 1,600 98,800
PHH Corp. ........................................ 900 51,300
UAL Corp.+ ....................................... 400 21,500
-----------
420,449
-----------
Utilities - Electric (1.2%)
Consolidated Edison Co. of
New York, Inc. ................................. 700 20,475
DTE Energy Co. ................................... 200 6,175
Entergy Corp. .................................... 1,100 31,213
General Public Utilities Corp .................... 1,200 42,300
Illinova Corp. ................................... 1,800 51,750
Long Island Lighting Corp. ....................... 100 1,675
Nipsco Industries, Inc. .......................... 900 36,225
Portland General Corp. ........................... 900 27,788
Unicom Corp. ..................................... 600 16,725
-----------
234,326
-----------
Utilities - Oil and Gas (0. 5%)
Energen Corp. .................................... 2,200 48,675
Valero Energy Corp. .............................. 1,700 42,500
Washington Gas Light Co. ......................... 600 13,200
-----------
104,375
-----------
5
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Utilities - Telephone (1.3%)
Bell Atlantic Corp. .............................. 100 $ 6,375
BellSouth Corp. .................................. 300 12,713
GTE Corp. ........................................ 3,400 152,149
MCI Communications Corp. ......................... 200 5,125
SBC Communications, Inc. ......................... 200 9,850
Southern New England Telecommunications Corp. .... 1,700 71,400
-------
257,612
-------
Total United States .............................. 14,240,730
-------
Australia (0.4%)
Diversified (0.2%)
Email Ltd. ....................................... 15,000 38,961
-------
Metals and Mining (0.2%)
North Ltd.+ ...................................... 14,000 40,221
-------
Total Australia .................................. 79,182
-------
Austria (0.5%)
Building Materials and Construction (0.2%)
VA Technologie AG ................................ 350 42,865
-------
Electrical and Electronics (0.1%)
Austria Mikro Systeme International .............. 240 22,403
-------
Oil and Gas (0.2%)
Australian Gas Light Co. Ltd ..................... 9,800 40,805
-------
Total Austria .................................... 106,073
-------
Belgium (0.4%)
Building Materials and Construction (0.2%)
Cimenteries CBR Cementbedrijven .................. 400 30,003
-------
Retail (0.2%)
G.I.B. Holdings Ltd. ............................. 1,000 44,877
-------
Total Belgium .................................... 74,880
-------
Canada (0.6%)
Banks (0.1%)
Royal Bank of Canada ............................. 700 16,786
-------
Metals and Mining (0.1%)
Dofasco, Inc. .................................... 1,216 17,899
-------
Oil and Gas (0.1%)
Petro-Canada ..................................... 1,400 17,376
-------
Paper and Containers (0.1%)
Intertape Polymer Group, Inc. .................... 1,400 28,447
-------
Printing and Publishing (0.1%)
Quebecor, Inc. Class B ........................... 1,200 18,760
-------
Utilities - Telephone (0.1%)
BCE, Inc. ........................................ 800 31,486
-------
Total Canada ..................................... 130,754
-------
Denmark (0.6%)
Building Materials and Construction (0.2%)
Lindab AB Class B ................................ 2,600 $ 29,256
-------
Commercial Services (0.2%)
ISS International Service System AS .............. 2,200 49,135
-------
Textiles (0.2%)
Carli Gry International AS+ ...................... 1,300 42,554
-------
Total Denmark .................................... 120,945
-------
Finland (0.3%)
Foods and Beverages (0.1%)
Huhtamaki Group Class I .......................... 700 23,353
-------
Paper and Containers (0.2%)
Metsa-Serla Oy ................................... 3,800 26,990
-------
Total Finland .................................... 50,343
-------
France (0.9%)
Building Materials and Construction (0.2%)
Bouygues ......................................... 300 33,448
-------
Foods and Beverages (0.2%)
Eridania Beghin-Say SA ........................... 200 31,311
-------
Insurance (0.2%)
Union des Assurances Federales ................... 300 37,003
-------
Metals and Mining (0.1%)
Usinor Sacilor ................................... 2,100 30,287
-------
Retail (0.2%)
Docs de France, SA ............................... 200 42,344
-------
Total France ..................................... 174,393
-------
Hong Kong (0.8%)
Banks (0.2%)
HSBC Holdings Plc ................................ 3,027 45,752
-------
Hotels and Restaurants (0.2%)
Regal Hotels International ....................... 140,000 37,528
-------
Real Estate Investment Trusts (0.4%)
Hysan Development Co. Ltd. ....................... 15,000 45,925
New World Development Co. Ltd .................... 8,068 37,417
-------
83,342
-------
Total Hong Kong .................................. 166,622
-------
Indonesia (0.3%)
Metals and Mining (0.1%)
Tambang Timah .................................... 15,000 27,712
-------
Telecommunications (0.2%)
Indosat .......................................... 1,000 33,500
-------
Total Indonesia .................................. 61,212
-------
6 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
Ireland (0.3%)
Foods and Beverages (0.2%)
Golden Vale Plc .................................. 28,000 $ 32,653
-------
Household Products (0.1%)
Waterford Wedgewood Plc .......................... 23,000 30,864
-------
Total Ireland .................................... 63,517
-------
Italy (0.7%)
Financial Services (0.2%)
Istituto Mobiliare
Italiano SpA ..................................... 4,900 40,913
-------
Foods and Beverages (0.1%)
Parmalat Finanziaria SpA ......................... 17,100 22,978
-------
Printing and Publishing (0.2%)
Mondadori (Arnoldo) Editore SpA .................. 4,000 30,267
-------
Utilities - Telephone (0.2%)
Telecom Italia SpA ............................... 20,000 42,988
-------
Total Italy ...................................... 137,146
-------
Japan (4.3%)
Autos and Auto Equipment (0.3%)
Mitsubishi Motors Corp. .......................... 3,000 26,257
Shinmaywa Industries Ltd. ........................ 4,000 40,844
-------
67,101
-------
Building Materials and Construction (0.2%)
Nippon Densetsu Kogyo ............................ 4,000 47,773
-------
Chemicals (0.8%)
Fuji Photo Film+ ................................. 2,000 63,090
Konica Corp. ..................................... 7,000 52,715
Shin-Etsu Chemical Co. ........................... 2,100 40,206
-------
156,011
-------
Computers and Office Equipment (0.2%)
Canon, Inc. ...................................... 2,000 41,574
-------
Consumer Products (0.2%)
AJL PEPS Trust ................................... 1,400 29,575
-------
Electrical and Electronics (0.6%)
Hitachi Koki ..................................... 5,000 49,232
Nintendo Co. Ltd. ................................ 1,000 74,395
-------
123,627
-------
Electrical Equipment (0.4%)
Furukawa Electric Co. ............................ 7,000 41,802
Hitachi Ltd. (Hit Seisakusho) .................... 5,000 46,497
-------
88,299
-------
Financial Services (0.3%)
Sanyo Shinpan Finance Co. ........................ 1,000 63,910
-------
Machinery and Equipment (0.1%)
Tsukishima Kikai ................................. 1,000 21,243
-------
Pharmaceuticals (0.2%)
Daiichi Pharmaceuticals Co. Ltd. ................. 2,000 30,816
-------
Japan (continued)
Printing and Publishing (0.2%)
Toppan Printing Co. Ltd. ......................... 3,000 $ 43,762
-------
Retail (0.3%)
Ito-Yokado Co., Ltd. ............................. 1,000 60,263
-------
Transportation (0.3%)
East Japan Railway Co. ........................... 10 52,423
-------
Utilities - Telephone (0.2%)
Nippon Telegraph &
Telephone Corp. ................................ 6 44,418
-------
Total Japan ...................................... 870,795
-------
Kenya (0.2%)
Utilities - Electric (0.2%)
Empresa Nacional Electricidad SA ADR ............. 1,800 38,700
-------
Total Kenya ...................................... 38,700
-------
Malaysia (0.3%)
Chemicals (0.1%)
Industrial Oxygen, Inc. Bhd ...................... 8,000 24,959
-------
Diversified (0.1%)
Oriental Holdings Bhd ............................ 3,000 19,597
-------
Financial Services (0.0%)
Lion Land Bhd .................................... 10,000 11,181
-------
Transportation (0.1%)
Malaysian International Shipping Bhd ............. 4,000 12,423
-------
Total Malaysia ................................... 68,160
-------
Mexico (0.2%)
Diversified (0.2%)
ALFA, SA de CV ................................... 7,260 32,659
-------
Total Mexico ..................................... 32,659
-------
Netherlands (0.9%)
Banks (0.1%)
ING Groep N.V .................................... 763 22,737
-------
Building Materials and Construction (0.1%)
Koninklijke Volker Stevin N.V .................... 312 24,254
-------
Electrical and Electronics (0.2%)
Philips Electronics N.V .......................... 900 29,262
-------
Electrical Equipment (0.1%)
Draka Holding N.V ................................ 500 15,466
-------
Financial Services (0.1%)
ABN Amro Holding N.V ............................. 510 27,367
-------
Insurance (0.1%)
Aegon N.V ........................................ 602 27,720
-------
Retail (0.2%)
Vendex International N.V ......................... 1,018 35,484
-------
Total Netherlands ................................ 182,290
-------
7
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
Norway (0.8%)
Diversified (0.3%)
Orkla AS Class A ................................. 1,000 $ 52,643
-------
Financial Services (0.2%)
Fokus Banken AS+ ................................. 5,000 27,245
-------
Medical Supplies (0.1%)
Nycomed ASA Class A+ ............................. 1,600 23,027
-------
Printing and Publishing (0.1%)
Schibsted Group .................................. 1,800 23,274
-------
Transportation (0.1%)
Kvaerner AS ...................................... 600 25,352
-------
Total Norway ..................................... 151,541
-------
Philippines (0.3%)
Building Materials and Construction (0.1%)
DMCI Holdings, Inc.+ ............................. 35,000 25,048
-------
Utilities - Telephone (0.2%)
Philippine Long Distance Telephone Co. ........... 700 41,679
-------
Total Philippines ................................ 66,727
-------
Singapore (0.5%)
Banks (0.2%)
Oversea-Chinese Banking Corp. Ltd. (Foreign-
Registered shares) ............................... 3,000 35,069
-------
Electrical Equipment (0.1%)
Clipsal Industries Ltd. .......................... 11,000 30,910
-------
Transportation (0.2%)
Singapore Airlines Ltd. .......................... 4,000 42,225
-------
Total Singapore .................................. 108,204
-------
South Korea (0.2%)
Utilities - Electric (0.2%)
Korea Electric Power Corp. ADR ................... 2,000 48,500
-------
Total South Korea ................................ 48,500
-------
Spain (0.3%)
Building Materials and Construction (0.1%)
Cubiertas Y Mzov SA .............................. 450 29,306
-------
Utilities - Electric (0.2%)
Union Electrica Fenosa SA ........................ 5,600 35,990
-------
Total Spain ...................................... 65,296
-------
Sweden (0.5%)
Electrical Equipment (0.0%)
Allgon AB Class B ................................ 700 11,657
-------
Financial Services (0.2%)
Sparbanken Sverige AB ............................ 2,800 36,289
-------
Metals and Mining (0.2%)
Svenskt Stal AB (SSAB) ........................... 2,600 32,913
-------
Paper and Containers (0.1%)
Stora Kopparbergs ................................ 1,200 15,824
-------
Total Sweden ..................................... 96,683
-------
Switzerland (0.5%)
Insurance (0.3%)
Foods and Beverages (0.3%)
Allied Domecq Plc ................................ 4,000 28,093
Hillsdown Holdings Plc ........................... 10,500 28,388
-------
56,481
-------
Media and Entertainment (0.3%)
Granada Group Plc ................................ 2,800 37,503
Ladbroke Group Plc ............................... 11,210 31,353
-------
68,856
-------
Oil and Gas (0.2%)
Shell Transport & Trading Co. .................... 3,000 43,957
-------
Retail (0.4%)
Asda Group Plc ................................... 20,000 36,204
Burton Group Plc ................................. 20,700 50,014
-------
86,218
-------
Transportation (0.2%)
Peninsular & Orient Steam Navigation Co. ......... 4,400 33,226
-------
Total United Kingdom ............................. 398,619
-------
Germany (0.4%)
Banks (0.2%)
Deutsche Pfandbrief-Hypothekenbank AG ............ 1,000 39,745
-------
8 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
Germany (continued)
Household Products (0.1%)
Leifheit AG ...................................... 600 $ 27,789
-------
Oil and Gas (0.1%)
VEBA AG .......................................... 300 15,944
-------
Total Germany .................................... 83,478
-------
TOTAL COMMON STOCKS
COST $15,938,739) .............................. $17,795,947
-------
PREFERRED STOCKS (0.6%)
United States (0.2%)
Banks (0.2%)
BankAmerica Corp. ................................ 400 30,300
-------
Total United States .............................. 30,300
-------
Austria (0.1%)
Banks (0.1%)
Creditanstalt-Bankverein ......................... 300 15,192
-------
Total Austria .................................... 15,192
-------
Finland (0.2%)
Electrical Equipment (0.2%)
Nokia AB Class A ................................. 1,000 36,805
-------
Total Finland .................................... 36,805
-------
Germany (0.1%)
Textiles (0.1%)
Gerry Weber International AG ..................... 550 28,725
-------
Total Germany .................................... 28,725
-------
TOTAL PREFERRED STOCKS
(COST $130,771) ................................ $ 111,022
-------
Principal Market
Amount Value
--------- -------
LONG-TERM BONDS AND NOTES (0.2%)
Corporate Bonds (0.2%)
Mitsubishi Bank, 3.00%, 11/30/02 ................. $ 40,000 $ 46,652
-------
TOTAL LONG-TERM BONDS AND
NOTES (COST $40,000) ........................... $ 46,652
-------
SHORT-TERM INVESTMENTS (10.8%)
Columbus Trust Certificate/BOCC MT,
Asset-Backed Securities, 5.45%, 07/01/96 ....... 527,000 526,920
Dana Corp., Comm. Paper, 5.60%, 07/01/96 ......... 403,000 403,000
Pennsylvania Power & Light Co., Comm. Paper,
5.60%, 07/05/96 ................................ 683,000 682,250
Renaissance Energy Co., Comm. Paper, 5.55%,
07/01/96 ....................................... 300,000 300,000
SHORT TERM INVESTMENTS (continued)
U.S. Treasury Bill, Time Deposit, 4.94%,
11/14/96++ ..................................... $275,000 $ 269,456
-----------
Total Short-Term Investments
(cost $2,182,028) .............................. $ 2,181,626
-----------
TOTAL INVESTMENTS--(cost $18,291,538)(a) ......... $20,135,247
Other assets less liabilities .................... 36,583
-----------
Total Net Assets
$20,171,830
===========
Notes to Portfolio of Investments
+ Non-income producing security.
++ Security pledged to cover initial margin deposits on open futures contracts
at June 30, 1996.
(a) The cost of investments for income tax purposes are identical. Unrealized
gains and losses, based on identified tax cost at June 30, 1996, are as follows:
Unrealized gains ..................... $ 2,184,491
Unrealized losses .................... (340,782)
----------
Net unrealized gain .................. $ 1,843,709
==========
Category percentages are based on net assets.
Information concerning open futures
contracts is shown below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ------- ---------- ----------
Long Contracts
- -------------
U.S. Treasury 10 Year
Note Futures ............ 16 $1,699,938 Sept 96 $20,062
DAX-30 German Stock
Index Future ............ 1 168,494 Sept 96 1,511
Dutch Government
Bonds Future ............ 1 150,719 Sept 96 15
ESP 10 Year Bonds
Future .................. 1 76,000 Sept 96 2,012
FT-SE 100 Index Future .. 1 142,530 Sept 96 39
German Government
Bond Future ............. 4 623,819 Sept 96 788
Italian Government
Bond Future ............. 1 148,822 Sept 96 1,931
Long Gilt Future ........ 4 320,444 Sept 96 6,895
10 Year Canadian
Government Bond Future .. 2 156,414 Sept 96 1,787
10 Year Swiss Bond
Future .................. 2 175,985 Sept 96 2,045
Short Contracts
- ---------------
Russell 2000 Index
Future .................. 1 183,375) Sept 96 9,000
S & P 500 Index Future .. 8 (2,695,100) Sept 96 (12,100)
S & P Mid-Cap 400
Index Future ..... 17 (2,074,644) Sept 96 60,994
--------
$94,979
========
See Notes to Financial Statements. 9
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads
Portfolio of Investments - June 30, 1996 (Unaudited)
- ------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
COMMON STOCKS (66.2%)
United States (53.6%)
Aerospace and Defense (0.1%)
United Technologies Corp. ........................ 200 $ 23,000
-------
Apparel (1.2%)
Chic By H.I.S., Inc.+ ............................ 50 263
Gap, Inc. ........................................ 300 9,638
Nike, Inc. ....................................... 200 20,550
TJX Companies, Inc. .............................. 900 30,375
Wet Seal, Inc. Class A+ .......................... 7,100 169,068
-------
229,894
-------
Autos and Auto Equipment (1.1%)
Chrysler Corp. ................................... 1,400 86,800
Ford Motor Co. ................................... 3,200 103,599
Kaydon Corp. ..................................... 700 30,100
Snap-On, Inc. .................................... 200 9,475
-------
229,974
-------
Banks (1.5%)
CITICORP ......................................... 400 33,050
Corus Bankshares, Inc. ........................... 1,000 30,000
First American Corp. (Tenn.) ..................... 700 29,488
First Chicago Corp. .............................. 543 21,245
First Citizens Bancshares, Inc. Class A .......... 100 6,150
First Union Corp. ................................ 600 36,525
FirstBank Puerto Rico ............................ 500 11,500
Golden West Financial Corp. ...................... 100 5,600
KeyCorp .......................................... 600 23,250
Nations Bank, Inc. ............................... 200 16,525
Riggs National Corp. ............................. 4,400 53,350
Usbancorp, Inc. .................................. 1,200 38,250
-------
304,933
-------
Building Materials and Construction (1.3%)
Beazer Homes USA, Inc.+ .......................... 1,600 25,600
Continental Homes Holding Corp ................... 200 4,300
Granite Construction, Inc. ....................... 3,150 72,450
Lennar Corp. ..................................... 1,100 27,500
Puerto Rican Cement Co., Inc. .................... 700 21,788
Redman Industries, Inc.+ ......................... 2,200 45,650
Texas Industries, Inc. ........................... 400 27,450
Tredegar Industries, Inc. ........................ 1,350 40,838
-------
265,576
-------
Chemicals (1.0%)
Arcadian Corp. ................................... 1,000 19,750
Cytec Industries+ ................................ 100 8,550
First Mississippi Corp. .......................... 2,800 62,300
Rexene Corp. ..................................... 5,300 52,338
Uniroyal Chemical Corp.+ ......................... 4,500 66,938
-------
209,876
-------
Computer Software (2.3%)
Boole & Babbage, Inc.+ ........................... 150 3,600
Computer Software (continued)
Cadence Design Systems, Inc.+ .................... 4,050 $136,687
Cisco Systems, Inc.+ ............................. 2,500 141,562
Computer Associates International, Inc. .......... 250 17,813
Computer Sciences Corp.+ ......................... 300 22,425
Continum, Inc.+ .................................. 1,323 76,734
Kronos, Inc.+ .................................... 150 5,325
Spyglass, Inc.+ .................................. 2,200 47,163
Structural Dynamics Research Corp.+ .............. 400 8,800
-------
460,109
-------
Computers and Office Equipment (1.2%)
Boise Cascade Office Product+ .................... 200 6,925
Comdisco, Inc. ................................... 1,700 45,263
CompUSA, Inc.+ ................................... 200 6,825
Computervision Corp.+ ............................ 2,200 22,000
Gateway 2000, Inc.+ .............................. 900 30,600
In Focus Systems, Inc.+ .......................... 1,500 36,375
Komag, Inc.+ ..................................... 400 10,550
Mylex Corp.+ ..................................... 100 1,775
Sun Microsystems, Inc.+ .......................... 400 23,550
United Stationers, Inc. .......................... 1,700 41,650
Western Digital Corp.+ ........................... 400 10,450
-------
235,963
-------
Consumer Products (0.4%)
Liz Claiborne, Inc. .............................. 2,200 76,175
-------
Diversified (0.8%)
Greenbrier Companies, Inc. ....................... 300 4,163
Harsco Corp. ..................................... 600 40,350
Oakley, Inc.+ .................................... 300 13,650
Opal, Inc.+ ...................................... 200 2,550
Textron, Inc. .................................... 1,100 87,863
VF Corp. ......................................... 100 5,963
-------
154,539
-------
Electrical and Electronics (0.6%)
Cohu, Inc. ....................................... 100 2,025
MEMC Electronic Materials, Inc.+ ................. 1,600 62,000
Novellus Systems, Inc.+ .......................... 1,000 36,000
Siliconix, Inc.+ ................................. 300 6,450
Symbol Technologies, Inc.+ ....................... 200 8,900
Technitrol, Inc. ................................. 200 7,925
-------
123,300
-------
Electrical Equipment (0.4%)
Belden Inc. ...................................... 600 18,000
International Rectifier Corp.+ ................... 1,700 27,413
Raychem Corp. .................................... 400 28,750
SCI Systems, Inc.+ ............................... 200 8,125
-------
82,288
-------
Financial Services (1.3%)
Alex Brown & Sons, Inc. .......................... 800 45,200
Bear Sterns Co., Inc. ............................ 2,625 62,016
BHC Financial, Inc. .............................. 2,700 37,800
10 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
United States (continued)
Financial Services (continued)
Chase Manhattan Corp. ............................ 300 $ 21,188
Lehman Brothers Holdings, Inc. ................... 200 4,950
Merrill Lynch & Co., Inc. ........................ 300 19,538
Paine Webber Group, Inc. ......................... 700 16,625
TR Financial Corp. ............................... 300 8,250
Travelers Group, Inc. ............................ 900 41,063
-------
256,630
-------
Foods and Beverages (0.9%)
Campbell Soup Co. ................................ 400 28,200
Kroger Co. (The)+ ................................ 300 11,850
Mondavi (Robert) Corp.+ .......................... 500 15,750
PepsiCo, Inc. .................................... 1,800 63,675
Safeway, Inc.+ ................................... 1,400 46,200
Supervalu, Inc. .................................. 500 15,750
-------
181,425
-------
Health Services (1.3%)
Genetics Institute, Inc.+ ........................ 100 6,350
Health Management Associates, Inc.+ .............. 3,600 72,900
HEALTHSOUTH Corp.+ ............................... 800 28,800
Invacare Corp. ................................... 1,200 28,200
Lincare Holdings, Inc.+ .......................... 1,300 51,025
Quorum Health Group, Inc.+ ....................... 200 5,275
Tenet Healthcare Corp.+ .......................... 700 14,963
Universal Health Services, Inc.+ ................. 2,000 52,250
-------
259,763
-------
Home Furnishings & Appliances (0.5%)
Bush Industries, Inc., Class A ................... 2,800 95,200
-------
Hotels and Restaurants (0.2%)
Marriott International, Inc. ..................... 300 16,125
Promus Hotel Corp.+ .............................. 900 26,663
-------
42,788
-------
Insurance (0.8%)
AMBAC, Inc. ...................................... 400 20,850
American Bankers Insurance Group ................. 1,400 61,075
Bankers Life Holding Corp. ....................... 100 2,213
Capital American Financial Corp .................. 100 2,513
Fremont General Corp. ............................ 600 13,800
Home Beneficial Corp. Class B .................... 400 10,500
Kansas City Life Insurance Co .................... 300 16,350
Orion Capital Corp. .............................. 400 20,400
Presidential Life Corp. .......................... 400 4,150
State Auto Financial Corp. ....................... 500 12,125
-------
163,976
-------
Machinery and Equipment (0.9%)
Blount, Inc. Class A ............................. 1,350 42,525
Case Corp. ....................................... 800 38,400
Caterpillar, Inc. ................................ 100 6,775
Cooper Cameron Corp.+ ............................ 600 26,250
L.S. Starrett Co. Class A ........................ 700 18,200
Machinery and Equipment (continued)
Lam Research Corp.+ .............................. 400 $10,400
Parker-Hannifin Corp. ............................ 800 33,900
-------
176,450
-------
Media and Entertainment (1.9%)
AMC Entertainment+ ............................... 500 13,938
Callaway Golf Co. ................................ 2,200 73,150
Carmike Cinemas Class A+ ......................... 2,400 64,800
Coastcast Corp.+ ................................. 3,200 60,800
King World Production, Inc.+ ..................... 700 25,463
Media General, Inc. .............................. 1,000 37,250
Mirage Resorts, Inc.+ ............................ 600 32,400
Renaissance Communications+ ...................... 2,400 77,400
-------
385,201
-------
Medical Supplies (0.6%)
Baxter International, Inc. ....................... 100 4,725
Guidant Corp. .................................... 1,700 83,725
Medtronic, Inc. .................................. 200 11,200
OrNda HealthCorp+ ................................ 300 7,200
OrthoLogic Corp.+ ................................ 200 2,550
US Surgical Corp. ................................ 100 3,100
-------
112,500
-------
Metals and Mining (0.7%)
AK Steel Holding Corp. ........................... 300 11,738
Cleveland-Cliffs, Inc. ........................... 600 23,475
Phelps Dodge Corp. ............................... 300 18,713
Reliance Steel & Aluminum Co .................... 2,000 73,000
WCI Steel, Inc. .................................. 2,700 14,175
-------
141,101
-------
Oil and Gas (3.3%)
Amoco Corp. ...................................... 1,200 86,850
Camco International, Inc. ........................ 200 6,775
Chevron Corp. .................................... 200 11,800
El Paso Natural Gas Co. .......................... 100 3,850
Exxon Corp. ...................................... 2,900 251,937
Fina Inc. Class A ................................ 600 33,150
Halliburton Co. .................................. 400 22,200
Mobil Corp. ...................................... 400 44,850
National Fuel Gas Co. ............................ 100 3,600
Oneok, Inc. ...................................... 700 17,500
Phillips Petroleum Co. ........................... 100 4,188
Reading & Bates Corp.+ ........................... 1,200 26,550
Smith International, Inc.+ ....................... 1,100 33,138
Sonat Offshore Drilling Co. ...................... 900 45,450
Tesoro Petroleum Corp.+ .......................... 4,300 49,450
Texaco, Inc. ..................................... 200 16,775
Tosco Corp. ...................................... 100 5,025
-------
663,088
-------
Pharmaceuticals (3.5%)
Abbott Laboratories .............................. 2,700 117,449
American Home Products Corp ...................... 600 36,075
11
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
United States (continued)
Pharmaceuticals (continued)
Becton, Dickinson & Co. .......................... 700 $ 56,175
Bristol-Myers Squibb Co. ......................... 400 36,000
Cardinal Health Inc. ............................. 600 43,275
Dura Pharmaceuticals, Inc.+ ...................... 200 11,200
ICN Pharmaceuticals, Inc. ........................ 3,500 81,375
IDEC Pharmaceuticals Corp.+ ...................... 1,600 37,000
Johnson & Johnson ................................ 1,276 63,162
Jones Medical Industries, Inc. ................... 450 14,963
Merck & Co., Inc. ................................ 400 25,850
Pfizer, Inc. ..................................... 600 42,825
Pharmacia & Upjohn, Inc. ......................... 1,400 62,125
Rhone-Poulenc Rorer, Inc. ........................ 800 53,700
Schering Plough .................................. 500 31,375
-------
712,549
-------
Printing and Publishing (0.7%)
Gannett Company, Inc. ............................ 1,200 84,900
Times Mirror Co. ................................. 1,300 56,550
-------
141,450
-------
Real Estate Investment Trusts (18.8%)
Apartment Investment & Management Co. ............ 400 7,500
Associated Estates Realty Corp ................... 4,200 88,200
Beacon Properties Corp. .......................... 9,000 230,624
CALI Realty Corp. ................................ 1,800 43,650
CBL & Associates Properties, Inc. ................ 8,500 190,187
Colonial Properties Trust ........................ 8,500 206,124
Cousins Properties, Inc. ......................... 5,400 105,974
Crescent Real Estate Equities, Inc. .............. 6,300 231,524
Developers Diversified Realty Corp. .............. 2,600 82,875
Duke Realty Investments, Inc. .................... 7,000 211,749
Equity Residential Properties Trust .............. 6,500 213,687
Essex Property Trust, Inc. ....................... 10,300 221,449
Evans Withycombe Residential, Inc. ............... 8,900 185,787
Excel Realty Trust, Inc. ......................... 6,400 131,199
Highwood Properties, Inc. ........................ 7,300 201,662
Horizon Group, Inc. .............................. 5,400 110,699
Innkeepers USA Trust ............................. 18,700 186,999
Kimco Realty Corp. ............................... 7,350 207,637
Kranzco Realty Trust ............................. 300 4,238
Mid-America Apartment Communities, Inc. .......... 4,400 111,649
Oasis Residential, Inc. .......................... 4,300 94,063
Public Storage, Inc. ............................. 11,300 233,062
Regency Realty Corp. ............................. 8,702 182,742
Security Capital Industrial Trust ................ 1,100 19,388
Smith (Charles E.) Residential Realty Co. ........ 2,300 55,200
Walden Residential Properties, Inc. .............. 10,900 222,087
---------
3,779,955
---------
Retail (1.9%)
American Stores Co. .............................. 100 $4,125
Carson Pirie Scott & Co.+ ........................ 3,800 101,649
Claire's Stores, Inc. ............................ 100 2,763
Damark International, Inc.+ ...................... 2,000 28,000
Dayton Hudson Corp. .............................. 1,000 103,124
Eckerd Corp.+ .................................... 100 2,263
Federated Department Stores, Inc.+ ............... 200 6,825
Mercantile Stores Co., Inc. ...................... 100 5,863
Ross Stores, Inc. ................................ 600 20,850
Waban, Inc.+ ..................................... 1,900 45,363
Weis Markets, Inc. ............................... 500 16,313
Zale Corp.+ ...................................... 2,100 35,438
-------
372,576
-------
Specialty Consumer Durables (0.3%)
Harley-Davidson, Inc. ............................ 400 16,450
Polaris Industries, Inc. ......................... 1,350 46,069
-------
62,519
-------
Telecommunications (0.3%)
360 Communications Co.+ .......................... 133 3,192
Cascade Communications Corp.+ .................... 900 61,200
LCI International, Inc.+ ......................... 100 3,138
-------
67,530
-------
Transportation (1.2%)
Alaska Air Group, Inc.+ .......................... 100 2,738
America West Airlines, Inc. Class B+ ............. 400 8,800
AMR Corp.+ ....................................... 1,200 109,199
Atlantic Coast Airlines, Inc.+ ................... 2,500 32,656
Canadian National Railway Co. .................... 1,000 18,375
Comair Holdings, Inc. ............................ 1,650 44,550
Continental Airlines, Inc., Class B+ ............. 200 12,350
PHH Corp. ........................................ 300 17,100
-------
245,768
-------
Utilities - Electric (1.0%)
Consolidated Edison Co. of New York, Inc. ........ 1,000 29,250
DTE Energy Co. ................................... 400 12,350
Entergy Corp. .................................... 900 25,538
General Public Utilities Corp. ................... 1,100 38,775
Illinova Corp. ................................... 1,100 31,625
Long Island Lighting Corp. ....................... 100 1,675
Nipsco Industries, Inc. .......................... 600 24,150
Portland General Corp. ........................... 700 21,613
Unicom Corp. ..................................... 600 16,725
-------
201,701
-------
Utilities - Oil and Gas (0.6%)
Energen Corp. .................................... 2,000 44,250
Valero Energy Corp. .............................. 1,500 37,500
Washington Gas Light Co. ......................... 1,800 39,600
-------
121,350
-------
12 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
United States (continued)
Utilities - Telephone (1.0%)
Bell Atlantic Corp. .............................. 100 $ 6,375
BellSouth Corp. .................................. 2,800 118,649
SBC Communications, Inc. ......................... 500 24,625
Southern New England Telecommunications Corp. .... 1,400 58,800
-------
208,449
-------
Total United States .............................. 10,787,596
-------
Australia (0.3%)
Diversified (0.1%)
Email Ltd. ....................................... 9,000 23,377
-------
Metals and Mining (0.2%)
North Ltd.+ ...................................... 11,000 31,602
-------
Total Australia .................................. 54,979
-------
Austria (0.4%)
Building Materials and Construction (0.1%)
VA Technologie AG ................................ 250 30,618
-------
Electrical and Electronics (0.1%)
Austria Mikro Systeme
International .................................... 160 14,936
-------
Oil and Gas (0.2%)
Australian Gas Light Co. Ltd. .................... 7,800 32,477
-------
Total Austria .................................... 78,031
-------
Belgium (0.2%)
Building Materials and Construction (0.1%)
Cimenteries CBR Cementbedrijven .................. 250 18,752
-------
Retail (0.1%)
G.I.B. Holdings Ltd. ............................. 500 22,439
-------
Total Belgium .................................... 41,191
-------
Canada (0.5%)
Banks (0.1%)
Royal Bank of Canada ............................. 600 14,388
-------
Metals and Mining (0.0%)
Dofasco, Inc. .................................... 505 7,428
-------
Oil and Gas (0.1%)
Petro-Canada ..................................... 1,300 16,135
-------
Paper and Containers (0.1%)
Intertape Polymer Group, Inc. .................... 1,200 24,383
-------
Printing and Publishing (0.1%)
Quebecor, Inc. Class B ........................... 1,100 17,196
-------
Utilities - Telephone (0.1%)
BCE, Inc. ........................................ 700 27,550
-------
Total Canada ..................................... 107,080
-------
Denmark (0.4%)
Building Materials and Construction (0.1%)
Lindab AB Class B ................................ 2,600 29,256
-------
Denmark (continued)
Commercial Services (0.1%)
ISS International Service System AS .............. 700 $15,634
-------
Textiles (0.2%)
Carli Gry International AS+ ...................... 1,000 32,734
-------
Total Denmark .................................... 77,624
-------
Finland (0.2%)
Foods and Beverages (0.1%)
Huhtamaki Group Class I .......................... 600 20,017
-------
Paper and Containers (0.1%)
Metsa-Serla Oy ................................... 2,800 19,888
-------
Total Finland .................................... 39,905
-------
France (0.6%)
Building Materials and Construction (0.1%)
Bouygues ......................................... 200 22,299
-------
Foods and Beverages (0.1%)
Eridania Beghin-Say SA ........................... 150 23,483
-------
Insurance (0.1%)
Union des Assurances Federales ................... 150 18,501
-------
Metals and Mining (0.1%)
Usinor Sacilor ................................... 1,700 24,518
-------
Retail (0.2%)
Docs de France, SA ............................... 150 31,758
-------
Total France ..................................... 120,559
-------
Hong Kong (0.5%)
Banks (0.1%)
HSBC Holdings Plc ................................ 1,757 26,557
-------
Hotels and Restaurants (0.1%)
Regal Hotels International ....................... 78,000 20,909
-------
Real Estate Investment Trusts (0.3%)
Hysan Development Co. Ltd. ....................... 10,000 30,617
New World Development Co. Ltd .................... 4,034 18,709
-------
49,326
-------
Total Hong Kong .................................. 96,792
-------
Indonesia (0.2%)
Metals and Mining (0.1%)
Tambang Timah .................................... 12,000 22,170
-------
Telecommunications (0.1%)
Indosat .......................................... 600 20,100
-------
Total Indonesia .................................. 42,270
-------
Ireland (0.2%)
Foods and Beverages (0.1%)
Golden Vale Plc .................................. 20,000 23,324
-------
Household Products (0.1%)
Waterford Wedgewood Plc .......................... 17,000 22,812
46,136
-------
13
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
Italy (0.5%)
Financial Services (0.1%)
Istituto Mobiliare Italiano SpA .................. 3,500 $ 29,224
-------
Foods and Beverages (0.1%)
Parmalat Finanziaria SpA ......................... 13,000 17,469
-------
Printing and Publishing (0.1%)
Mondadori (Arnoldo) Editore SpA .................. 3,000 22,701
-------
Utilities - Telephone (0.2%)
Telecom Italia SpA ............................... 16,000 34,390
-------
Total Italy ...................................... 103,784
-------
Japan (3.2%)
Autos and Auto Equipment (0.2%)
Mitsubishi Motors Corp. .......................... 2,000 17,505
Shinmaywa Industries Ltd. ........................ 2,000 20,422
-------
37,927
-------
Building Materials and Construction (0.2%)
Nippon Densetsu Kogyo ............................ 3,000 35,830
-------
Chemicals (0.5%)
Fuji Photo Film+ ................................. 1,000 31,545
Konica Corp. ..................................... 6,000 45,184
Shin-Etsu Chemical Co. ........................... 1,050 20,103
-------
96,832
-------
Computers and Office Equipment (0.1%)
Canon, Inc. ...................................... 1,000 20,787
-------
Consumer Products (0.1%)
AJL PEPS Trust ................................... 1,400 29,575
-------
Electrical and Electronics (0.6%)
Hitachi Koki ..................................... 4,000 39,386
Nintendo Co. Ltd. ................................ 1,000 74,395
-------
113,781
-------
Electrical Equipment (0.4%)
Furukawa Electric Co. ............................ 6,000 35,830
Hitachi Ltd. (Hit Seisakusho) ................... 4,000 37,197
-------
73,027
-------
Machinery and Equipment (0.3%)
Komatsu Ltd. ..................................... 4,000 39,386
Tsukishima Kikai ................................. 1,000 21,243
-------
60,629
-------
Pharmaceuticals (0.1%)
Daiichi Pharmaceuticals Co. Ltd. ................. 2,000 30,816
-------
Printing and Publishing (0.1%)
Toppan Printing Co. Ltd. ......................... 2,000 29,174
-------
Retail (0.3%)
Ito-Yokado Co., Ltd. ............................. 1,000 60,263
-------
Transportation (0.2%)
East Japan Railway Co. ........................... 6 31,454
-------
Utilities - Telephone (0.1%)
Nippon Telegraph & Telephone Corp. ............... 3 22,209
-------
Total Japan ...................................... 642,304
-------
Kenya (0.1%)
Utilities - Electric (0.1%)
Empresa Nacional Electricidad SA ADR ............. 600 12,900
-------
Total Kenya ...................................... 12,900
-------
Malaysia (0.2%)
Chemicals (0.1%)
Industrial Oxygen, Inc. Bhd ...................... 14,000 19,413
-------
Diversified (0.1%)
Oriental Holdings Bhd ............................ 3,000 19,597
-------
Financial Services (0.0%)
Lion Land Bhd .................................... 8,000 8,945
-------
Total Malaysia ................................... 47,955
-------
Mexico (0.1%)
Diversified (0.1%)
ALFA, SA de CV ................................... 5,877 26,438
-------
Total Mexico ..................................... 26,438
-------
Netherlands (0.7%)
Banks (0.1%)
ING Groep N.V .................................... 508 15,133
-------
Building Materials and Construction (0.1%)
Koninklijke Volker Stevin N.V .................... 260 20,212
-------
Electrical and Electronics (0.1%)
Philips Electronics N.V .......................... 600 19,508
-------
Electrical Equipment (0.1%)
Draka Holding N.V ................................ 500 15,466
-------
Financial Services (0.1%)
ABN Amro Holding N.V ............................. 408 21,894
-------
Insurance (0.1%)
Aegon N.V ........................................ 402 18,510
-------
Retail (0.1%)
Vendex International N.V ......................... 815 28,408
-------
Total Netherlands ................................ 139,131
-------
Norway (0.5%)
Diversified (0.1%)
Orkla AS Class A ................................. 500 26,321
-------
Financial Services (0.1%)
Fokus Banken AS+ ................................. 3,000 16,347
-------
Medical Supplies (0.0%)
Nycomed ASA Class A+ ............................. 800 11,514
-------
Printing and Publishing (0.1%)
Schibsted Group .................................. 1,300 16,809
-------
Transportation (0.2%)
Kvaerner AS ...................................... 800 33,802
-------
Total Norway ..................................... 104,793
-------
14 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- ------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
Philippines (0.2%)
Utilities - Telephone (0.2%)
Philippine Long Distance Telephone Co. ........... 500 $ 29,771
-------
Total Philippines ................................ 29,771
-------
Singapore (0.6%)
Banks (0.2%)
Oversea-Chinese Banking
Corp. Ltd. (Foreign-Registered shares) ........... 4,000 46,759
-------
Diversified (0.1%)
Wing Tai Holdings ................................ 12,000 25,505
-------
Electrical Equipment (0.1%)
Clipsal Industries Ltd. .......................... 8,000 22,480
-------
Transportation (0.2%)
Singapore Airlines Ltd. .......................... 3,000 31,668
-------
Total Singapore .................................. 126,412
-------
South Korea (0.1%)
Utilities - Electric (0.1%)
Korea Electric Power Corp. .......................
ADR .............................................. 1,000 24,250
-------
Total South Korea ................................ 24,250
-------
Spain (0.3%)
Building Materials and Construction (0.1%)
Cubiertas Y Mzov SA .............................. 350 22,794
-------
Utilities - Electric (0.2%)
Union Electrica Fenosa SA ........................ 4,200 26,992
-------
Total Spain ...................................... 49,786
-------
Sweden (0.4%)
Electrical Equipment (0.0%)
Allgon AB Class B ................................ 500 8,326
-------
Financial Services (0.2%)
Sparbanken Sverige AB ............................ 2,300 29,808
-------
Metals and Mining (0.1%)
Svenskt Stal AB (SSAB) ........................... 1,400 17,722
-------
Paper and Containers (0.1%)
Stora Kopparbergs ................................ 1,000 13,186
-------
Total Sweden ..................................... 69,042
-------
Switzerland (0.3%)
Insurance (0.2%)
Baloise Holding Ltd. ............................. 10 21,730
Winterthur Schweizerische Versicherungs-
Gesellschaft ................................... 20 11,904
-------
33,634
-------
Retail (0.0%)
Merkur Holding AG ................................ 30 6,303
-------
Utilities - Electric (0.1%)
Electrowatt AG ................................... 70 25,893
-------
Total Switzerland ................................ 65,830
-------
Thailand (0.2%)
Financial Services (0.2%)
Bank of Ayudhya PCL .............................. 2,000 $11,024
Siam Commercial Bank PCL ......................... 2,000 28,976
-------
40,000
-------
Total Thailand ................................... 40,000
-------
United Kingdom (1.4%)
Autos and Auto Equipment (0.1%)
T & N Plc ........................................ 6,600 14,357
-------
Commercial Services (0.1%)
Inchcape Plc ..................................... 6,200 28,323
-------
Diversified (0.0%)
Lonrho Plc ....................................... 4,000 11,498
-------
Financial Services (0.2%)
Barclays Plc ..................................... 2,861 34,363
-------
Foods and Beverages (0.2%)
Allied Domecq Plc ................................ 2,500 17,558
Hillsdown Holdings Plc ........................... 5,700 15,411
-------
32,969
-------
Media and Entertainment (0.3%)
Granada Group Plc ................................ 2,400 32,145
Ladbroke Group Plc ............................... 9,171 25,650
-------
57,795
-------
Oil and Gas (0.2%)
Shell Transport & Trading
Co. .............................................. 2,600 38,096
-------
Retail (0.2%)
Asda Group Plc ................................... 10,000 18,102
Burton Group Plc ................................. 9,300 22,470
-------
40,572
-------
Transportation (0.1%)
Peninsular & Orient Steam
Navigation Co. ................................... 3,900 29,451
-------
Total United Kingdom ............................. 287,424
-------
Germany (0.3%)
Banks (0.1%)
Deutsche Pfandbrief-
Hypothekenbank AG ................................ 700 27,822
-------
Household Products (0.1%)
Leifheit AG ...................................... 500 23,157
-------
Oil and Gas (0.1%)
VEBA AG .......................................... 300 15,944
-------
Total Germany .................................... 66,923
-------
TOTAL COMMON STOCKS (COST $11,879,951) ........... $13,328,906
--------
PREFERRED STOCKS (0.6%)
United States (0.2%)
Banks (0.2%)
BankAmerica Corp. ............................... 400 30,300
-------
Total United States ............................. 30,300
-------
15
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Crossroads
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number
of Market
Shares Value
------ ------
PREFERRED STOCKS (continued)
Austria (0.1%)
Banks (0.1%)
Creditanstalt-Bankverein ......................... 550 $27,852
-------
Total Austria .................................... 27,852
-------
Finland (0.2%)
Electrical Equipment (0.2%)
Nokia AB Class A ................................. 800 29,444
-------
Total Finland .................................... 29,444
-------
Germany (0.1%)
Textiles (0.1%)
Gerry Weber International
AG ............................................... 550 28,725
-------
Total Germany .................................... 28,725
-------
TOTAL PREFERRED STOCKS (COST $132,753) ........... $116,321
-------
Principal Market
Amount Value
------ -------
LONG-TERM BONDS AND NOTES (3.6%)
U.S. Government Obligations (3.4%)
U.S. Treasury Note, 6.50%,
05/15/05 ....................................... $700,000 $ 691,027
--------
Total U.S. Government Obligations
(cost $731,184) ................................ $691,027
--------
Corporate Bonds (0.2%)
Mitsubishi Bank, 3.00%, 11/30/02 ................. 30,000 34,989
--------
Total Corporate Bonds (cost $30,000) ............. $34,989
--------
TOTAL LONG-TERM BONDS AND NOTES (COST $761,184) .. $726,016
--------
SHORT-TERM INVESTMENTS (23.7%)
Columbus Trust Certificate/BOCC MT, Asset-Backed
Securities, 5.45%, 07/01/96 .................... 397,000 396,940
Dana Credit Corp., Comm Paper, 5.62%, 07/23/96 ... 600,000 597,939
FINOVA Capital Corp., Comm. Paper, 5.48%,
07/15/96 ....................................... 501,000 499,932
General American Transportion Corp., Comm. Paper,
5.65%, 07/03/96 ................................ 500,000 499,144
Houston Lighting & Power, Comm. Paper, 5.55%,
07/10/96 ....................................... 662,000 661,081
Mid-Atlantic Fuel Co., Comm. Paper, 5.70%,
07/01/96 ....................................... 290,000 290,000
Sheffield Receivables Corp., Comm. Paper,
5.42%, 07/08/96 ................................ 700,000 699,262
Texas Utilities Electric Co., Comm. Paper, 5.55%,
07/11/96 ....................................... 800,000 799,004
SHORT TERM INVESTMENTS (continued)
U.S. Treasury Bill, Time Deposit, 4.94%,
11/14/96++ ..................................... $330,000 $ 323,347
-----------
Total Short-Term Investments (cost $4,767,132) ... $ 4,766,649
-----------
TOTAL INVESTMENTS--(cost $17,541,020)(a) ......... $18,937,892
Other assets less liabilities .................... 1,196,286
-----------
Total Net Assets ................................. $20,134,178
===========
Notes to Portfolio of Investments
+ Non-income producing security.
++ Security pledged to cover initial margin deposits on open futures contracts
at June 30, 1996.
(a) The cost of investments for federal income tax purposes amounted to
$17,553,287. Unrealized gains and losses, based on identified tax cost at June
30, 1996, are as follows:
Unrealized gains ........................... $ 1,728,476
Unrealized losses .......................... (343,871)
----------
Net unrealized gain ........................ $ 1,384,605
==========
Category percentages are based on net assets.
Information concerning open futures contracts is shown below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ------- ---------- -----------
Long
Contracts
- -------------
Dutch Government
Bond Future ............. 1 $ 150,719 Sept 96 $ 15
ESP 10 Yr Bond Future ... 1 76,000 Sept 96 2,012
German Government
Bonds Future ............ 4 623,819 Sept 96 788
Italian Government
Bond Future ............. 1 148,822 Sept 96 1,931
Long Gilt Future ........ 3 240,333 Sept 96 5,171
10 Year Canada Government
Bond Future 1 78,207 Sept 96 893
10 Year Swiss Bond
Future .................. 2 175,985 Sept 96 2,045
US Treasury 10 Year
Note Future.............. 18 1,910,625 Sept 96 24,375
Short Contracts
- -------------
Russell 2000 Index
Future .................. 1 (177,000) Sept 96 2,625
S & P 500 Index Future .. 6 (2,004,825) Sept 96 (25,575)
S & P Mid-Cap Index
Future .................. 10 (1,220,973) Sept 96 36,473
-------
$50,753
=======
16 See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy
Portfolio of Investments - June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
COMMON STOCKS (52.2%)
United States (42.3%)
Apparel (0.3%)
Gap, Inc. ........................................ 1,000 $ 32,125
Nike, Inc. ....................................... 200 20,550
TJX Companies, Inc. .............................. 100 3,375
-------
56,050
-------
Autos and Auto Equipment (0.8%)
Chrysler Corp. ................................... 700 43,400
Ford Motor Co. ................................... 2,000 64,750
Kaydon Corp. ..................................... 600 25,800
Snap-On, Inc. .................................... 200 9,475
-------
143,425
-------
Banks (0.8%)
CITICORP ......................................... 300 24,788
Corus Bankshares, Inc. ........................... 800 24,000
First American Corp. (Tenn.) ..................... 600 25,275
First Chicago Corp. .............................. 43 1,682
First Citizens Bancshares, Inc. Class A .......... 300 18,450
Golden West Financial Corp ....................... 100 5,600
KeyCorp .......................................... 500 19,375
Nations Bank, Inc. ............................... 200 16,525
Riggs National Corp. ............................. 300 3,638
-------
139,333
-------
Building Materials and Construction (1.1%)
Beazer Homes USA, Inc.+ .......................... 1,100 17,600
Continental Homes Holding Corp ................... 200 4,300
Granite Construction, Inc. ....................... 2,400 55,200
Lennar Corp. ..................................... 700 17,500
Redman Industries, Inc.+ ......................... 1,800 37,350
Texas Industries, Inc. ........................... 400 27,450
Tredegar Industries, Inc. ........................ 1,200 36,300
-------
195,700
-------
Chemicals (0.3%)
Arcadian Corp. ................................... 600 11,850
Cytec Industries+ ................................ 100 8,550
Rexene Corp. ..................................... 3,100 30,613
-------
51,013
-------
Computer Software (2.0%)
Boole & Babbage, Inc.+ ........................... 150 3,600
Cadence Design Systems, Inc.+ .................... 3,300 111,374
Cisco Systems, Inc.+ ............................. 1,700 96,262
Computer Associates International, Inc. .......... 250 17,813
Computer Sciences Corp.+ ......................... 300 22,425
Continum, Inc.+ .................................. 1,071 62,118
Kronos, Inc.+ .................................... 150 5,325
SPSS, Inc.+ ...................................... 900 22,500
Structural Dynamics Research Corp.+ .............. 200 4,400
-------
345,817
-------
Computers and Office Equipment (0.9%)
Comdisco, Inc. ................................... 1,250 33,281
CompUSA, Inc.+ ................................... 200 6,825
Gateway 2000, Inc.+ .............................. 600 20,400
In Focus Systems, Inc.+ .......................... 1,100 26,675
Komag, Inc.+ ..................................... 400 10,550
Mylex Corp.+ ..................................... 100 1,775
Sun Microsystems, Inc.+ .......................... 400 23,550
United Stationers, Inc. .......................... 1,200 29,400
Western Digital Corp.+ ........................... 200 5,225
-------
157,681
-------
Consumer Products (0.2%)
Liz Claiborne, Inc. .............................. 900 31,163
-------
Diversified (0.6%)
Greenbrier Companies, Inc. ....................... 200 2,775
Harsco Corp. ..................................... 500 33,625
Oakley, Inc.+ .................................... 200 9,100
Opal, Inc.+ ...................................... 200 2,550
Textron, Inc. .................................... 600 47,925
-------
95,975
-------
Electrical and Electronics (0.5%)
Cohu, Inc. ....................................... 100 2,025
Esterline Technologies+ .......................... 1,600 40,000
MEMC Electronic Materials, Inc.+ ................. 200 7,750
Novellus Systems, Inc.+ .......................... 500 18,000
Siliconix, Inc.+ ................................. 300 6,450
Symbol Technologies, Inc.+ ....................... 100 4,450
-------
78,675
-------
Electrical Equipment (0.4%)
Belden Inc. ...................................... 600 18,000
International Rectifier Corp.+ ................... 1,200 19,350
Raychem Corp. .................................... 400 28,750
SCI Systems, Inc.+ ............................... 200 8,125
-------
74,225
-------
Financial Services (1.2%)
Alex Brown & Sons, Inc. .......................... 600 33,900
Bear Sterns Co., Inc. ............................ 1,890 44,651
BHC Financial, Inc. .............................. 2,200 30,800
Chase Manhattan Corp. ............................ 300 21,188
Merrill Lynch & Co., Inc. ........................ 500 32,563
Paine Webber Group, Inc. ......................... 400 9,500
Travelers Group, Inc. ............................ 900 41,063
-------
213,665
-------
Foods and Beverages (1.2%)
Campbell Soup Co. ................................ 500 35,250
Kroger Co. (The)+ ................................ 100 3,950
Mondavi (Robert) Corp.+ .......................... 500 15,750
PepsiCo, Inc. .................................... 1,400 49,525
Riser Foods, Inc. Class A ........................ 1,600 38,400
Safeway, Inc.+ ................................... 1,200 39,600
Supervalu, Inc. .................................. 600 18,900
-------
201,375
-------
See Notes to Portfolio of Investments. 17
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Health Services (0.8%)
FPA Medical Management, Inc.+ .................... 2,600 $ 40,463
Health Management Associates, Inc.+ .............. 2,100 42,525
HEALTHSOUTH Corp.+ ............................... 500 18,000
Invacare Corp. ................................... 1,000 23,500
Quorum Health Group, Inc.+ ....................... 100 2,638
Tenet Healthcare Corp.+ .......................... 400 8,550
Universal Health Services, Inc.+ ................. 200 5,225
-------
140,901
-------
Home Furnishings & Appliances (0.4%)
Bush Industries, Inc., Class A ................... 1,900 64,600
-------
Hotels and Restaurants (0.2%)
Marriott International, Inc ...................... 300 16,125
Promus Hotel Corp.+ .............................. 500 14,813
-------
30,938
-------
Insurance (0.7%)
AMBAC, Inc. ..................................... 300 15,638
American Bankers Insurance Group ................. 700 30,538
Fremont General Corp. ............................ 600 13,800
Home Beneficial Corp. Class B .................... 300 7,875
Kansas City Life Insurance Co. ................... 300 16,350
Orion Capital Corp. .............................. 300 15,300
Presidential Life Corp. .......................... 600 6,225
State Auto Financial Corp. ....................... 400 9,700
-------
115,426
-------
Machinery and Equipment (0.8%)
Blount, Inc. Class A ............................. 1,050 33,075
Case Corp. ....................................... 700 33,600
Caterpillar, Inc. ................................ 100 6,775
Cooper Cameron Corp.+ ............................ 600 26,250
L.S. Starrett Co. Class A ........................ 500 13,000
Lam Research Corp.+ .............................. 100 2,600
Parker-Hannifin Corp. ............................ 500 21,188
-------
136,488
-------
Media and Entertainment (1.1%)
AMC Entertainment+ ............................... 100 2,788
Callaway Golf Co. ................................ 1,800 59,850
Coastcast Corp.+ ................................. 2,000 38,000
International Family Entertainment, Inc.+ ........ 200 3,700
King World Production, Inc.+ ..................... 800 29,100
Media General, Inc. .............................. 800 29,800
Mirage Resorts, Inc.+ ............................ 400 21,600
-------
184,838
-------
Medical Supplies (0.6%)
Baxter International, Inc. ....................... 100 4,725
Guidant Corp. .................................... 1,300 64,025
Medtronic, Inc. .................................. 600 33,600
OrNda HealthCorp+ ................................ 200 4,800
OrthoLogic Corp.+ ................................ 200 2,550
-------
109,700
-------
Metals and Mining (0.5%)
Chaparral Steel Co. .............................. 700 $9,188
Cleveland-Cliffs, Inc. ........................... 500 19,563
Reliance Steel & Aluminum Co. .................... 1,700 62,050
-------
90,801
-------
Oil and Gas (2.8%)
Amoco Corp. ...................................... 800 57,900
Camco International, Inc. ........................ 200 6,775
Chevron Corp. .................................... 100 5,900
El Paso Natural Gas Co. .......................... 100 3,850
Exxon Corp. ...................................... 1,800 156,374
Fina Inc. Class A ................................ 400 22,100
Halliburton Co. .................................. 400 22,200
Mobil Corp. ...................................... 300 33,638
NUI Corp. ........................................ 1,500 26,813
Phillips Petroleum Co. ........................... 100 4,188
Reading & Bates Corp.+ ........................... 700 15,488
Sonat Offshore Drilling Co ....................... 600 30,300
Tesoro Petroleum Corp.+ .......................... 6,400 73,600
Texaco, Inc. ..................................... 200 16,775
Tosco Corp. ...................................... 100 5,025
-------
480,926
-------
Pharmaceuticals (2.4%)
Abbott Laboratories .............................. 100 4,350
American Home Products Corp ...................... 600 36,075
Becton, Dickinson & Co. .......................... 400 32,100
Bristol-Myers Squibb Co. ......................... 400 36,000
Cardinal Health Inc. ............................. 400 28,850
ICN Pharmaceuticals, Inc. ........................ 2,600 60,450
Johnson & Johnson ................................ 800 39,600
Jones Medical Industries Inc. .................... 450 14,963
Merck & Co., Inc. ................................ 500 32,313
Pfizer, Inc. ..................................... 200 14,275
Pharmacia & Upjohn, Inc. ......................... 1,000 44,375
Rhone-Poulenc Rorer, Inc. ........................ 700 46,988
Schering Plough .................................. 400 25,100
-------
415,439
-------
Printing and Publishing (0.3%)
Gannett Company, Inc. ............................ 800 56,600
-------
Real Estate Investment Trusts (16.2%)
Ambassador Apartments, Inc ....................... 8,300 140,062
Apartment Investment & Management Co. ............ 700 13,125
Beacon Properties Corp. .......................... 7,400 189,624
CALI Realty Corp. ................................ 1,600 38,800
CBL & Associates Properties, Inc. ................ 1,500 33,563
Colonial Properties Trust ........................ 7,100 172,174
Cousins Properties, Inc. ......................... 4,300 84,387
Crescent Real Estate Equities, Inc. .............. 4,500 165,374
Developers Diversified Realty Corp. .............. 2,100 66,938
Duke Realty Investments, Inc ..................... 5,800 175,449
Equity Residential Properties Trust .............. 5,000 164,374
Essex Property Trust, Inc. ....................... 8,300 178,449
18 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United States (continued)
Real Estate Investment Trusts (continued)
Evans Withycombe Residential, Inc. ............... 4,800 $ 100,199
Excel Realty Trust, Inc. ......................... 1,600 32,800
Highwood Properties, Inc. ........................ 5,900 162,987
Horizon Group, Inc. .............................. 5,000 102,499
Innkeepers USA Trust ............................. 16,300 162,999
Kimco Realty Corp. ............................... 5,700 161,024
Kranzco Realty Trust ............................. 300 4,238
Mid-America Apartment Communities, Inc. .......... 1,000 25,375
Oasis Residential, Inc. .......................... 3,600 78,749
Public Storage, Inc. ............................. 9,300 191,812
Regency Realty Corp. ............................. 6,702 140,746
Security Capita Industrial Trust ................. 800 14,100
Smith (Charles E.) Residential Realty Co. ........ 1,300 31,200
Walden Residential Properties, Inc. .............. 8,700 177,262
-------
2,808,309
-------
Retail (1.5%)
American Stores Co. .............................. 100 4,125
Carson Pirie Scott & Co.+ ........................ 100 2,675
Claire's Stores, Inc. ............................ 100 2,763
Cole National Corp.+ ............................. 2,200 44,000
Dayton Hudson Corp. .............................. 500 51,563
Eckerd Corp.+ .................................... 100 2,263
Family Dollar Stores, Inc. ....................... 100 1,738
Federated Department Stores, Inc.+ ............... 100 3,413
Finish Line, Inc.+ ............................... 1,500 42,938
Mercantile Stores Co., Inc ....................... 500 29,313
Ross Stores, Inc. ................................ 500 17,375
Waban, Inc.+ ..................................... 1,400 33,425
Zale Corp.+ ...................................... 1,700 28,688
-------
264,279
-------
Specialty Consumer Durables (0.3%)
Harley-Davidson, Inc. ............................ 300 12,338
Polaris Industries, Inc. ......................... 1,250 42,656
-------
54,994
-------
Telecommunications (0.0%)
360 Communications Co.+ .......................... 200 4,800
-------
Textiles (0.2%)
Kellwood Co. ..................................... 1,500 27,563
-------
Transportation (1.1%)
Alaska Air Group, Inc.+ .......................... 100 2,738
America West Airlines, Inc. Class B+ ............. 1,000 22,000
AMR Corp.+ ....................................... 900 81,899
Canadian National Railway Co ..................... 500 9,188
Comair Holdings, Inc. ............................ 1,350 36,450
Northwest Airlines Corp.+ ........................ 1,100 43,450
-------
195,725
-------
Utilities - Electric (1.1%)
Consolidated Edison Co. of New York, Inc. ........ 1,500 43,875
DTE Energy Co. ................................... 200 6,175
Utilities - Electric (continued)
Entergy Corp. .................................... 600 $17,025
General Public Utilities Corp .................... 800 28,200
Illinova Corp. ................................... 900 25,875
Nipsco Industries, Inc. .......................... 500 20,125
Portland General Corp. ........................... 1,000 30,875
Unicom Corp. ..................................... 600 16,725
-------
188,875
-------
Utilities - Oil and Gas (0.4%)
Energen Corp. .................................... 1,700 37,613
Valero Energy Corp. .............................. 1,000 25,000
Washington Gas Light Co. ......................... 300 6,600
-------
69,213
-------
Utilities - Telephone (0.6%)
BellSouth Corp. .................................. 300 12,713
MCI Communications Corp. ......................... 100 2,563
SBC Communications, Inc. ......................... 700 34,475
Southern New England Telecommunications Corp. .... 1,200 50,400
-------
100,151
-------
Total United States .............................. 7,324,663
-------
Australia (0.3%)
Diversified (0.1%)
Email Ltd. ....................................... 7,000 18,182
-------
Metals and Mining (0.2%)
North Ltd.+ ...................................... 9,000 25,856
-------
Total Australia .................................. 44,038
-------
Austria (0.3%)
Building Materials and Construction (0.1%)
VA Technologie AG ................................ 100 12,247
-------
Electrical and Electronics (0.1%)
Austria Mikro Systeme International .............. 110 10,268
-------
Oil and Gas (0.1%)
Australian Gas Light Co. Ltd. .................... 5,600 23,317
-------
Total Austria .................................... 45,832
-------
Belgium (0.1%)
Building Materials and Construction (0.0%)
Cimenteries CBR Cementbedrijven .................. 150 11,251
-------
Retail (0.1%)
G.I.B. Holdings Ltd. ............................. 300 13,463
-------
Total Belgium .................................... 24,714
-------
Canada (0.5%)
Banks (0.1%)
Royal Bank of Canada ............................. 600 14,388
-------
Metals and Mining (0.1%)
Dofasco, Inc. .................................... 1,015 14,941
-------
Oil and Gas (0.0%)
Petro-Canada ..................................... 400 4,964
-------
19
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
Canada (continued)
Paper and Containers (0.1%)
Intertape Polymer Group, Inc. .................... 1,000 $ 20,319
-------
Printing and Publishing (0.1%)
Quebecor, Inc. Class B ........................... 600 9,380
-------
Utilities - Telephone (0.1%)
BCE, Inc. ........................................ 400 15,743
-------
Total Canada ..................................... 79,735
-------
Denmark (0.3%)
Building Materials and Construction (0.1%)
Lindab AB Class B ................................ 2,000 22,504
-------
Commercial Services (0.1%)
ISS International Service System AS .............. 500 11,167
-------
Textiles (0.1%)
Carli Gry International AS+ ...................... 500 16,367
-------
Total Denmark .................................... 50,038
-------
Finland (0.2%)
Foods and Beverages (0.1%)
Huhtamaki Group Class I .......................... 500 16,681
-------
Paper and Containers (0.1%)
Metsa-Serla Oy ................................... 2,400 17,047
-------
Total Finland .................................... 33,728
-------
France (0.4%)
Building Materials and Construction (0.0%)
Bouygues ......................................... 100 11,149
-------
Foods and Beverages (0.1%)
Eridania Beghin-Say SA ........................... 100 15,656
-------
Insurance (0.1%)
Union des Assurances Federales ................... 100 12,334
-------
Metals and Mining (0.1%)
Usinor Sacilor ................................... 1,000 14,422
-------
Retail (0.1%)
Docs de France, SA ............................... 100 21,172
-------
Total France ..................................... 74,733
-------
Hong Kong (0.3%)
Banks (0.1%)
HSBC Holdings Plc ................................ 1,562 23,609
-------
Hotels and Restaurants (0.1%)
Regal Hotels International ....................... 74,000 19,836
-------
Real Estate Investment Trusts (0.1%)
New World Development Co. Ltd. ................... 3,026 14,034
-------
Total Hong Kong .................................. 57,479
-------
Indonesia (0.2%)
Metals and Mining (0.1%)
Tambang Timah .................................... 10,000 18,475
-------
Indonesia (continued)
Telecommunications (0.1%)
Indosat .......................................... 400 $13,400
-------
Total Indonesia .................................. 31,875
-------
Ireland (0.2%)
Foods and Beverages (0.1%)
Golden Vale Plc .................................. 16,000 18,659
-------
Household Products (0.1%)
Waterford Wedgewood Plc .......................... 12,000 16,103
-------
Total Ireland .................................... 34,762
-------
Italy (0.4%)
Financial Services (0.1%)
Istituto Mobiliare
Italiano SpA ..................................... 2,300 19,204
-------
Foods and Beverages (0.1%)
Parmalat Finanziaria SpA.. ....................... 10,800 14,513
-------
Printing and Publishing (0.1%)
Mondadori (Arnoldo) Editore SpA .................. 2,000 15,134
-------
Utilities - Telephone (0.1%)
Telecom Italia SpA ............................... 12,000 25,793
-------
Total Italy ...................................... 74,644
-------
Japan (2.9%)
Autos and Auto Equipment (0.2%)
Mitsubishi Motors Corp. .......................... 2,000 17,505
Shinmaywa Industries Ltd. ........................ 2,000 20,422
-------
37,927
-------
Building Materials and Construction (0.1%)
Nippon Densetsu Kogyo 2,000 23,887
-------
Chemicals (0.3%)
Konica Corp. 4,000 30,123
Shin-Etsu Chemical Co. 1,050 20,103
-------
50,226
-------
Computers and Office Equipment (0.1%)
Canon, Inc. ...................................... 1,000 20,787
-------
Consumer Products (0.1%)
AJL PEPS Trust ................................... 1,000 21,125
-------
Electrical and Electronics (0.6%)
Hitachi Koki ..................................... 3,000 29,539
Nintendo Co. Ltd. ................................ 1,000 74,394
-------
103,933
-------
Electrical Equipment (0.4%)
Furukawa Electric Co. ............................ 5,000 29,858
Hitachi Ltd. (Hit Seisakusho) .................... 4,000 37,197
-------
67,055
-------
Machinery and Equipment (0.3%)
Komatsu Ltd. ..................................... 3,000 29,539
Tsukishima Kikai ................................. 1,000 21,243
-------
50,782
-------
20 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
Japan (continued)
Pharmaceuticals (0.2%)
Daiichi Pharmaceuticals Co. Ltd. ................. 2,000 $ 30,816
-------
Printing and Publishing (0.1%)
Toppan Printing Co. Ltd. ......................... 1,000 14,587
-------
Real Estate Investment Trusts (0.1%)
Daibiru Corp. .................................... 1,000 13,311
-------
Transportation (0.2%)
East Japan Railway Co. ........................... 7 36,696
-------
Utilities - Telephone (0.2%)
Nippon Telegraph & Telephone Corp. ............... 4 29,612
-------
Total Japan ...................................... 500,744
-------
Kenya (0.1%)
Utilities - Electric (0.1%)
Empresa Nacional Electricidad SA ADR ............. 500 10,750
-------
Total Kenya ...................................... 10,750
-------
Malaysia (0.2%)
Chemicals (0.1%)
Industrial Oxygen, Inc. Bhd ...................... 12,000 16,639
-------
Diversified (0.1%)
Oriental Holdings Bhd ............................ 2,000 13,065
-------
Financial Services (0.0%)
Lion Land Bhd .................................... 4,000 4,472
-------
Total Malaysia ................................... 34,176
-------
Mexico (0.1%)
Diversified (0.1%)
ALFA, SA de CV ................................... 4,494 20,218
-------
Total Mexico ..................................... 20,218
-------
Netherlands (0.5%)
Banks (0.0%)
ING Groep N.V .................................... 252 7,514
-------
Building Materials and Construction (0.1%)
Koninklijke Volker Stevin N.V .................... 156 12,127
-------
Electrical and Electronics (0.1%)
Philips Electronics N.V .......................... 500 16,257
-------
Financial Services (0.1%)
ABN Amro Holding N.V ............................. 282 15,133
-------
Insurance (0.1%)
Aegon N.V ........................................ 402 18,510
-------
Retail (0.1%)
Vendex International N.V ......................... 611 21,297
-------
Total Netherlands ................................ 90,838
-------
Norway (0.2%)
Medical Supplies (0.1%)
Nycomed ASA Class A+ ............................. 1,300 18,710
-------
Printing and Publishing (0.1%)
Schibsted Group .................................. 1,100 14,223
-------
Norway (continued)
Transportation (0.0%)
Kvaerner AS ...................................... 100 $4,225
-------
Total Norway ..................................... 37,158
-------
Philippines (0.1%)
Utilities - Telephone (0.1%)
Philippine Long Distance Telephone Co. ........... 300 17,863
-------
Total Philippines ................................ 17,863
-------
Singapore (0.3%)
Banks (0.1%)
Oversea-Chinese Banking Corp. Ltd.
(Foreign-Registered shares) ...................... 1,000 11,690
-------
Electrical Equipment (0.1%)
Clipsal Industries Ltd. .......................... 6,000 16,860
-------
Transportation (0.1%)
Singapore Airlines Ltd. .......................... 2,000 21,112
-------
Total Singapore .................................. 49,662
-------
Spain (0.2%)
Building Materials and Construction (0.1%)
Cubiertas Y Mzov SA .............................. 250 16,281
-------
Utilities - Electric (0.1%)
Union Electrica Fenosa SA ........................ 2,500 16,067
-------
Total Spain ...................................... 32,348
-------
Sweden (0.3%)
Financial Services (0.1%)
Sparbanken Sverige AB ............................ 2,000 25,920
-------
Metals and Mining (0.1%)
Svenskt Stal AB (SSAB) ........................... 1,000 12,659
-------
Paper and Containers (0.1%)
Stora Kopparbergs ................................ 800 10,549
-------
Total Sweden ..................................... 49,128
-------
Switzerland (0.3%)
Insurance (0.2%)
Baloise Holding Ltd. ............................. 10 21,730
Winterthur Schweizerische
Versicherungs -
Gesellschaft ................................... 20 11,904
-------
33,634
-------
Retail (0.0%)
Merkur Holding AG ................................ 25 5,253
-------
Utilities - Electric (0.1%)
Electrowatt AG ................................... 50 18,495
-------
Total Switzerland ................................ 57,382
-------
United Kingdom (1.2%)
Autos and Auto Equipment (0.1%)
T & N Plc ........................................ 3,900 8,484
-------
21
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Number of Market
Shares Value
--------- -----------
United Kingdom (continued)
Commercial Services (0.1%)
Inchcape Plc ..................................... 3,600 $ 16,445
-------
Diversified (0.1%)
Lonrho Plc ....................................... 6,000 17,247
-------
Financial Services (0.1%)
Barclays Plc ..................................... 2,044 24,550
-------
Foods and Beverages (0.1%)
Allied Domecq Plc ................................ 2,000 14,046
Hillsdown Holdings Plc ........................... 3,400 9,192
-------
23,238
-------
Media and Entertainment (0.3%)
Granada Group Plc ................................ 1,800 24,109
Ladbroke Group Plc ............................... 9,133 25,544
-------
49,653
-------
Oil and Gas (0.2%)
Shell Transport & Trading Co. .................... 1,800 26,374
-------
Retail (0.2%)
Asda Group Plc ................................... 8,000 14,481
Burton Group Plc ................................. 7,000 16,913
-------
31,394
-------
Transportation (0.0%)
Peninsular & Orient Steam Navigation Co. ......... 1,000 7,551
-------
Total United Kingdom ............................. 204,936
-------
Germany (0.3%)
Banks (0.1%)
Deutsche Pfandbrief-Hypothekenbank AG ............ 500 19,873
-------
Household Products (0.1%)
Leifheit AG ...................................... 400 18,526
-------
Oil and Gas (0.1%)
VEBA AG .......................................... 300 15,944
-------
Total Germany .................................... 54,343
-------
TOTAL COMMON STOCKS (COST $8,075,790) ............ $9,035,787
-------
PREFERRED STOCKS (0.5%)
United States (0.1%)
Banks (0.1%)
BankAmerica Corp. ................................ 300 22,725
-------
Total United States .............................. 22,725
-------
Austria (0.1%)
Banks (0.1%)
Creditanstalt-Bankverein ......................... 300 15,192
-------
Total Austria .................................... 15,192
-------
Finland (0.1%)
Electrical Equipment (0.1%)
Nokia AB Class A ................................. 500 18,403
-------
Total Finland .................................... 18,403
-------
PREFERRED STOCKS (continued)
Germany (0.2%)
Textiles (0.2%)
Gerry Weber International AG ..................... 450 $23,502
-------
Total Germany .................................... 23,502
-------
TOTAL PREFERRED STOCKS (COST $88,731) ............ $79,822
-------
Principal Market
Amount Value
--------- -------
LONG-TERM BONDS AND NOTES (7.0%)
U.S. Government Obligations (6.9%)
U.S. Treasury Note, 6.50%, 05/15/05 .............. $1,200,000 $1,184,618
-----------
Total U.S. Government Obligations
(cost $1,253,459) .............................. $1,184,618
-----------
Corporate Bonds (0.1%)
Mitsubishi Bank, 3.00%, 11/30/02 ................. 20,000 23,326
-----------
Total Corporate Bonds (cost $20,000) ............. $23,326
-----------
TOTAL LONG-TERM BONDS AND NOTES (COST $1,273,459) $1,207,944
-----------
SHORT-TERM INVESTMENTS (39.5%)
Baxter International, Inc., Comm. Paper, 5.60%,
07/18/96 ....................................... 400,000 399,420
Columbia/HCA Healthcare
Corp., Comm. Paper, 5.59%, 08/12/96 ............ 508,000 506,900
Columbus Trust Certificate/BOCC MT, Asset-Backed
Securities, 5.45%, 07/01/96 .................... 700,000 699,894
Dresser Industries, Inc., Comm. Paper, 5.40%,
07/18/96 ....................................... 550,000 548,598
Finova Capital Corp., Comm. Paper, 5.51%,
07/02/96 ....................................... 700,000 698,508
General American Transportion Corp., Comm. Paper,
5.65%, 07/03/96 ................................ 500,000 499,144
Mid-Atlantic Fuel Co., Comm. Paper, 5.70%,
07/01/96 ....................................... 740,000 740,000
Pennsylvania Power & Light Co., Comm. Paper,
5.60%, 07/05/96 ................................ 700,000 699,231
Public Service Electric & Gas, Comm. Paper,
5.60%, 07/17/96 ................................ 380,000 379,054
Sheffield Receivables Corp., Comm. Paper,
5.42%, 07/08/96 ................................ 700,000 699,262
Texas Utilities Electric Co., Comm. Paper,
5.55%, 07/11/96 700,000 698,921
U.S. Treasury Bill, Time Deposit, 4.94%,
11/14/96 ++ 275,000 269,456
-----------
Total Short-Term Investments (cost $6,838,790) ... $6,838,388
-----------
TOTAL INVESTMENTS--(cost $16,276,770)(a) ......... $17,161,941
Other assets less liabilities 147,653
-----------
Total Net Assets $17,309,594
===========
22 See Notes to Portfolio of Investments.
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Legacy
Portfolio of Investments - June 30, 1996 (Unaudited) - continued
- --------------------------------------------------------------------------------
Notes to Portfolio of Investments
+ Non-income producing security.
++ Security pledged to cover initial margin deposits on open futures contracts
at June 30, 1996.
(a) The cost of investments for income tax purposes are identical. Unrealized
gains and losses, based on identified tax cost at June 30, 1996, are as follows:
Unrealized gains ............................ $1,135,656
Unrealized losses ........................... (250,485)
----------
Net unrealized gain ......................... $ 885,171
==========
Category percentages are based on net assets.
Information concerning open futures contracts is shown below:
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ------- ---------- ------------
Long
Contracts
- -------------
Dutch Government
Bond Future ............. 1 $ 150,719 Sept 96 $ 15
German Government
Bond Future ............. 3 467,777 Sept 96 641
Italian Government
Bond Future ............. 1 148,822 Sept 96 1,931
Long Gilt Future ........ 3 240,333 Sept 96 5,171
10 Year Canadian
Government Bond Future .. 1 78,207 Sept 96 893
10 Year Swiss
Bond Future ............. 2 175,985 Sept 96 2,045
US Treasury 10 Year
Note Future ............. 18 1,909,313 Sept 96 25,685
Short Contracts
- -------------
Russell 2000 Index
Future .................. 1 (177,000) Sept 96 2,625
S & P 500 Index Future .. 4 (1,343,625) Sept 96 (9,975)
S & P Mid-Cap Index
Future .................. 8 (977,400) Sept 96 29,800
-------
$58,831
=======
See Notes to Financial Statements. 23
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Assets and Liabilities
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
-------- --------- ---------
<S> <C> <C> <C>
Assets:
Investments, at market value (Note 1) ........ $20,135,247 $18,937,892 $17,161,941
Cash ......................................... 4,224 3,574 2,897
Cash denominated in foreign currencies ....... 143,807 144,776 166,605
Receivable for:
Dividends and interest .................... 60,369 41,970 36,174
Investments sold .......................... 258,181 200,012 137,544
Fund shares sold .......................... 144,606 1,027,501 67,427
Variation margin .......................... -- -- 1,427
Recoverable taxes ......................... 5,803 2,182 1,429
Gross unrealized gain on forward foreign
currency exchange contracts (Note 4) ....... 35,018 30,359 20,532
----------- ----------- -----------
Total assets ........................... 20,787,255 20,388,266 17,595,976
----------- ----------- -----------
Liabilities:
Payable for:
Investments purchased ..................... 390,926 231,034 273,347
Fund shares redeemed ...................... 192,000 -- --
Variation margin .......................... 14,309 3,367 --
Gross unrealized loss on forward foreign
currency exchange contracts (Note 4) ....... 6,639 8,477 3,651
Accrued investment advisory fees ............. 7,698 7,484 6,418
Accrued administrative service fees .......... 3,853 3,726 2,966
----------- ----------- -----------
Total liabilities ...................... 615,425 254,088 286,382
----------- ----------- -----------
NET ASSETS ................................... $20,171,830 $20,134,178 $17,309,594
=========== =========== ===========
Net assets represented by:
Paid-in capital .............................. $17,120,751 $17,510,668 $15,265,412
Unrealized gain .............................. 1,966,950 1,469,714 961,680
Undistributed net investment income .......... 259,633 296,773 378,057
Accumulated net realized gain ................ 824,496 857,023 704,445
----------- ----------- -----------
Net Assets ................................... $20,171,830 $20,134,178 $17,309,594
=========== =========== ===========
Capital Shares, $.001 par value:
Outstanding ................................ 1,712,917 1,745,463 1,540,256
Net Assets ................................. $20,171,830 $20,134,178 $17,309,594
Net Asset Value per share .................. $ 11.78 $ 11.54 $ 11.24
Cost of Investments .......................... $18,291,538 $17,541,020 $16,276,770
Cost of foreign currencies ................... $ 142,876 $ 143,488 $ 165,192
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Operations
Six Month Period ended June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Aetna Aetna
Ascent Crossroads Legacy
-------- ------- -------
<S> <C> <C> <C>
Investment income: (Note 1)
Dividends ........................................ $ 338,164 $ 247,435 $187,210
Interest ......................................... 30,849 130,449 256,136
-------- -------- -------
369,013 377,884 443,346
Foreign taxes withheld ........................... (8,001) (5,695) (3,595)
-------- -------- -------
Total investment income ...................... 361,012 372,189 439,751
-------- -------- -------
Investment Expenses: (Note 2)
Investment advisory fee .......................... 47,758 46,631 43,177
Administrative services fees ..................... 12,134 5,495 5,213
Custodian and transfer agent fees ................ 17,690 16,830 13,570
Audit fees ....................................... 6,360 6,360 6,360
Printing and postage fees ........................ 9,713 7,237 7,175
Miscellaneous .................................... 1,921 -- --
-------- -------- -------
Total investment expenses .................... 95,576 82,553 75,495
-------- -------- -------
Net investment income ............................ 265,436 289,636 364,256
-------- -------- -------
Realized and unrealized gain (loss): (Notes 1, 3 and 4)
Realized gain (loss) on:
Sale of investments ............................ 602,934 564,357 471,647
Futures and forward currency contracts ......... 84,014 63,356 40,284
Foreign currency transactions .................. (80,262) (1,835) (4,355)
-------- -------- -------
Net realized gain on investments ........... 606,686 625,878 507,576
-------- -------- -------
Net change in unrealized gain (loss) on:
Investments .................................... 643,689 392,889 37,950
Futures and forward currency contracts ......... 87,752 38,696 44,980
Foreign currency transactions .................. 77,310 459 674
-------- -------- -------
Net change in unrealized gain on
investments .............................. 808,751 432,044 83,604
-------- -------- -------
Net realized and change in unrealized gain ....... 1,415,437 1,057,922 591,180
-------- -------- -------
Increase in net assets resulting from operations $1,680,873 $1,347,558 $955,436
======== ======== =======
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Ascent
--------------------------
Six Month
Period Ended Period from
June 30, 1996 July 5, 1995 to
(Unaudited) December 31, 1995
--------- ------------
<S> <C> <C>
From Operations:
Net investment income ................................... $ 265,436 $ 199,959
Net realized gain on investments ....................... 606,686 439,918
Net change in unrealized gain on investments ........... 808,751 1,158,199
--------- ---------
Increase in net assets resulting from operations ..... 1,680,873 1,798,076
--------- ---------
Distributions to Shareholders: (Note 1)
From net investment income .............................. -- (427,870)
--------- ---------
Decrease in net assets from distributions to
shareholders ......................................... -- (427,870)
--------- ---------
From Fund Share Transactions:
Proceeds from shares sold ............................... 11,264,521 24,150,259
Net asset value of shares issued to shareholders
upon reinvestment of distributions .................... -- 427,870
Cost of shares redeemed ................................. (11,623,450) (7,098,449)
--------- ---------
Increase (decrease) in net assets from fund share
transactions .......................................... (358,929) 17,479,680
--------- ---------
Change in net assets .................................... 1,321,944 18,849,886
Net Assets:
Beginning of period ..................................... 18,849,886 --
---------- ---------
End of period ........................................... $20,171,830 $18,849,886
========= =========
End of period net assets includes undistributed
(distributions in excess of) net investment income .... $259,633 $(5,803)
========= =========
Share Transactions:
Shares sold ............................................. 1,005,355 2,378,369
Shares issued upon reinvestment ......................... -- 39,636
Shares redeemed ......................................... (1,038,572) (671,871)
--------- ---------
Net increase (decrease) ................................. (33,217) 1,746,134
========= =========
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Crossroads
--------------------------
Six Month
Period Ended Period from
June 30, 1996 July 5, 1995 to
(Unaudited) December 31, 1995
--------- ------------
<S> <C> <C>
From Operations:
Net investment income ................................... $ 289,636 $ 225,738
Net realized gain on investments ....................... 625,878 340,018
Net change in unrealized gain on investments ........... 432,044 1,037,670
--------- ---------
Increase in net assets resulting from operations ..... 1,347,558 1,603,426
--------- ---------
Distributions to Shareholders: (Note 1)
From net investment income .............................. -- (327,474)
--------- ---------
Decrease in net assets from distributions to
shareholders ......................................... -- (327,474)
--------- ---------
From Fund Share Transactions:
Proceeds from shares sold ............................... 14,483,722 23,185,016
Net asset value of shares issued to shareholders
upon reinvestment of distributions .................... -- 327,474
Cost of shares redeemed ................................. (14,510,529) (5,975,015)
--------- ---------
Increase (decrease) in net assets from fund share
transactions .......................................... (26,807) 17,537,475
--------- ---------
Change in net assets .................................... 1,320,751 18,813,427
Net Assets:
Beginning of period ..................................... 18,813,427 --
--------- ---------
End of period ........................................... $20,134,178 $18,813,427
========= =========
End of period net assets includes undistributed net
investment income ..................................... $ 296,773 $ 7,137
========= =========
Share Transactions:
Shares sold ............................................. 1,306,534 2,288,051
Shares issued upon reinvestment ......................... -- 30,491
Shares redeemed ......................................... (1,312,756) (566,857)
--------- ---------
Net increase (decrease) ................................. (6,222) 1,751,685
========= =========
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Legacy
--------------------------
Six Month
Period Ended Period from
June 30, 1996 July 5, 1995 to
(Unaudited) December 31, 1995
--------- ------------
<S> <C> <C>
From Operations:
Net investment income ................................... $ 364,256 $ 251,816
Net realized gain on investments ....................... 507,576 280,645
Net change in unrealized gain on investments ........... 83,604 878,076
--------- ---------
Increase in net assets resulting from operations ..... 955,436 1,410,537
--------- ---------
Distributions to Shareholders: (Note 1)
From net investment income .............................. -- (321,791)
--------- ---------
Decrease in net assets from distributions to
shareholders ......................................... -- (321,791)
--------- ---------
From Fund Share Transactions:
Proceeds from shares sold ............................... 15,278,966 21,576,530
Net asset value of shares issued to shareholders
upon reinvestment of distributions .................... -- 321,791
Cost of shares redeemed ................................. (17,178,242) (4,733,633)
--------- ---------
Increase (decrease) in net assets from fund share
transactions .......................................... (1,899,276) 17,164,688
--------- ---------
Change in net assets .................................... (943,840) 18,253,434
Net Assets:
Beginning of period ..................................... 18,253,434 --
--------- ---------
End of period ........................................... $17,309,594 $18,253,434
========= =========
End of period net assets includes undistributed net
investment income ..................................... $ 378,057 $ 13,801
========= =========
Share Transactions:
Shares sold ............................................. 1,410,549 2,138,745
Shares issued upon reinvestment ......................... -- 30,251
Shares redeemed ......................................... (1,586,284) (453,005)
--------- ---------
Net increase (decrease) ................................. (175,735) 1,715,991
========= =========
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
1. Summary of Significant Accounting Policies
Aetna Generation Portfolios, Inc. (the "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 shares of
the Aetna Ascent Variable Portfolio (Aetna Ascent); Aetna Crossroads Variable
Portfolio (Aetna Crossroads); and Aetna Legacy Variable Portfolio (Aetna
Legacy). The Company commenced investment operations on July 5, 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 serves as the Investment Adviser and principal underwriter to each
Portfolio. It is an indirectly wholly-owned subsidiary of Aetna Retirement
Services, Inc. which is in turn a wholly-owned subsidiary of Aetna Inc.
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 may enter into
futures contracts to manage the risk of changes in interest rates, equity
prices, currency exchange rates or in anticipation of future purchases and sales
of portfolio 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.
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
29
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
B. Futures and Forward Foreign Currency Exchange Contracts (continued)
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 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.
2. Investment Advisory and Administrative Services Fees (See Note 5)
For the six month period ended June 30, 1996, the Portfolios each paid ALIAC an
investment advisory fee at an annual rate of .50% of average daily net assets.
On June 17, 1996, the shareholders of each Portfolio voted to approve a new
Investment Advisory Agreement, effective August 1, 1996, which provides for an
increase in the annual advisory fee to .60% of average daily net assets for each
Portfolio.
30
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
2. Investment Advisory and Administrative Services Fees (See Note 5) (continued)
The Portfolios have entered into an administrative services agreement (the
"Agreement") with ALIAC whereby ALIAC is reimbursed for a share of its overhead
related to managing the Portfolios. In addition, ALIAC has been paying, and the
Portfolios have been reimbursing ALIAC for, the Portfolios' ordinary, recurring
expenses such as legal fees, Directors' fees, custodial fees and insurance
premiums. Effective May 1, 1996, the Agreement was modified to enable each
Portfolio to fix the amount of its costs and expenses. Under the terms of the
new Agreement, ALIAC will receive a fixed fee in exchange for providing the
services described above including reimbursement of its overhead related to
managing the Portfolios. The new Agreement provides for ALIAC to receive a fixed
fee at an annual rate of .15% of average daily net assets for each Portfolio.
On June 17, 1996, the shareholders of each Portfolio voted to approve a
subadvisory agreement (the "Subadvisory Agreement") among the Portfolios, ALIAC
and ALIAC's affiliate, Aeltus Investment Management, Inc. ("Aeltus"). Under the
terms of the Subadvisory Agreement, Aeltus will supervise the investment and
reinvestment of cash and securities and provide certain related administrative
services for each Portfolio in exchange for fees of up to .35% of each
Portfolios' average daily net assets.
3. Purchases and Sales of Investment Securities
Cost of purchases and proceeds from sales of investment securities, excluding
short-term investments, for the six month period ended June 30, 1996 were:
Cost of Purchases Proceeds from Sales
----------------- -------------------
Aetna Ascent $8,723,280 $9,633,124
Aetna Crossroads 6,096,362 7,904,910
Aetna Legacy 3,770,696 6,429,050
4. Forward Foreign Currency Exchange Contracts
At June 30, 1996, 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 $28,379, $21,882, and $16,881, respectively, on these contracts is included
in the accompanying financial statements. The terms of the open contracts are as
follows:
Aetna Ascent:
<TABLE>
<CAPTION>
Exchange Currency to be U.S.$ Value as of Currency to be U.S.$ Value as of Unrealized
Date Delivered June 30, 1996 Received June 30, 1996 Gain (Loss)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Contracts to Buy
8/9/96 8,424 $8,424 10,000 $8,017 $(407)
U.S. Dollar Swiss Franc
- ------------------------------------------------------------------------------------------------
6/28/96 48,273 48,273 248,000 48,165 (108)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------
8/13/96 24,000 24,000 120,000 23,360 (640)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------
9/13/96 276,878 276,878 29,460,000 271,571 (5,307)
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------------------
8/9/96 97,000 77,767 81,705 81,705 3,938
Swiss Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------
31
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
4. Forward Foreign Currency Exchange Contracts (continued)
Aetna Ascent (continued):
Exchange Currency to be U.S.$ Value as of Currency to be U.S.$ Value as of Unrealized
Date Delivered June 30, 1996 Received June 30, 1996 Gain (Loss)
- ------------------------------------------------------------------------------------------------
Contracts to Sell
9/3/96 105,000 $69,263 69,991 $69,991 $728
German U.S. Dollar
Deutschemark
- ------------------------------------------------------------------------------------------------
8/13/96 740,000 144,047 145,955 145,955 1,908
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------
9/13/96 55,940,000 515,671 541,570 541,570 25,899
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------
10/25/96 28,900,000 268,020 268,525 268,525 505
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------
10/18/96 211,000 124,601 126,464 126,464 1,863
Dutch Guilder U.S. Dollar
- ------------------------------------------------------------------------------------------------
$28,379
========
Aetna Crossroads:
Contracts to Buy
8/9/96 8,424 8,424 10,000 $8,017 (407)
U.S. Dollar Swiss Franc
- ------------------------------------------------------------------------------------------------
6/28/96 41,655 41,655 214,000 41,561 (94)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------
8/13/96 14,000 14,000 70,000 13,626 (374)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------
9/13/96 335,115 335,115 35,540,000 327,619 (7,496)
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------------------
8/9/96 63,000 50,508 53,066 53,066 2,558
Swiss Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------
Contracts to Sell
9/3/96 73,000 48,153 48,773 48,773 620
German U.S. Dollar
Deutschemark
- ------------------------------------------------------------------------------------------------
8/13/96 465,000 90,516 91,712 91,712 1,196
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------
9/13/96 55,040,000 507,378 531,425 531,425 24,047
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------
10/25/96 20,810,000 192,993 193,357 193,357 364
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------
32
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
4. Forward Foreign Currency Exchange Contracts (continued)
Aetna Crossroads (continued):
Exchange Currency to be U.S.$ Value as of Currency to be U.S.$ Value as of Unrealized
Date Delivered June 30, 1996 Received June 30, 1996 Gain (Loss)
- ------------------------------------------------------------------------------------------------
Contracts to Sell
10/18/96 150,000 $88,579 90,047 $90,047 $1,468
Dutch Guilder U.S. Dollar
- ------------------------------------------------------------------------------------------------
$21,882
========
Aetna Legacy:
Contracts to Buy
8/9/96 8,424 8,424 10,000 8,017 (407)
U.S. Dollar Swiss Franc
- ------------------------------------------------------------------------------------------------
6/28/96 27,640 27,640 142,000 27,578 (62)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------
8/13/96 8,000 8,000 40,000 7,786 (214)
U.S. Dollar French Franc
- ------------------------------------------------------------------------------------------------
9/13/96 159,784 159,784 17,020,000 156,896 (2,888)
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------------------
Contracts to Sell
8/9/96 58,000 46,500 48,854 48,854 2,354
Swiss Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------
9/3/96 57,000 37,600 38,063 38,063 463
German U.S. Dollar
Deutschemark
- ------------------------------------------------------------------------------------------------
8/13/96 270,000 52,557 53,254 53,254 697
French Franc U.S. Dollar
- ------------------------------------------------------------------------------------------------
9/13/96 32,320,000 297,935 313,609 313,609 15,674
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------
10/25/96 16,340,000 151,538 151,823 151,823 285
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------------
10/18/96 100,000 59,052 60,031 60,031 979
Dutch Guilder U.S. Dollar
- ------------------------------------------------------------------------------------------------
$16,881
========
</TABLE>
5. Special Shareholder Meeting
A Special Shareholder Meeting was held for shareholders in each Portfolio on
June 17, 1996. Shareholders of record on April 30, 1996 were entitled to vote at
the meeting. Shareholders voted to elect nine Directors, approve a subadvisory
agreement among each of the Portfolios, ALIAC and Aeltus, and approve a new
Investment Advisory Agreement between each Portfolio and ALIAC.
33
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
5. Special Shareholder Meeting (continued)
A. Election of Directors
The following individuals were elected to serve as Directors for each of the
Portfolios. Every individual named served as a Director in each Portfolio prior
to this election. There are no other individuals currently serving as Directors
to any Portfolio.
<TABLE>
<CAPTION>
Director Votes Cast Votes Director Votes Cast Votes
Portfolio For Withheld Portfolio For Withheld
- ------------------------------------------ ------------------------------------------
<S> <C> <C> <C> <C> <C>
Morton Ehrlich Sidney Koch
Aetna Ascent 1,415,097 38,376 Aetna Ascent 1,414,103 39,370
Aetna Crossroads 1,280,993 11,444 Aetna Crossroads 1,280,947 11,490
Aetna Legacy 934,860 9,938 Aetna Legacy 930,929 13,869
Maria T. Fighetti Shaun P. Mathews
Aetna Ascent 1,415,097 38,376 Aetna Ascent 1,415,097 38,376
Aetna Crossroads 1,280,993 11,444 Aetna Crossroads 1,280,993 11,444
Aetna Legacy 934,860 9,938 Aetna Legacy 934,860 9,938
David L. Grove Corine T. Norgard
Aetna Ascent 1,400,740 52,733 Aetna Ascent 1,403,031 50,442
Aetna Crossroads 1,280,993 11,444 Aetna Crossroads 1,280,993 11,444
Aetna Legacy 929,843 14,955 Aetna Legacy 934,860 9,938
Timothy A. Holt Richard G. Scheide
Aetna Ascent 1,415,097 38,376 Aetna Ascent 1,414,146 39,327
Aetna Crossroads 1,280,993 11,444 Aetna Crossroads 1,280,993 11,444
Aetna Legacy 934,860 9,938 Aetna Legacy 930,929 13,869
Daniel P. Kearney
Aetna Ascent 1,289,584 163,889
Aetna Crossroads 1,236,955 55,482
Aetna Legacy 933,643 11,155
</TABLE>
B. Approval of Subadvisory Agreement
The shareholders of each Portfolio voted to approve a Subadvisory Agreement
among each of the Portfolios, ALIAC and Aeltus. (See Note 2 for a description of
the services provided and the compensation arrangement defined by the terms of
the agreement.)
Results of the vote were:
Votes Cast Votes Cast
Portfolio For Against Abstentions
- --------------------------------------------------------
Aetna Ascent 1,182,670 201,056 69,747
Aetna Crossroads 1,207,887 29,802 54,748
Aetna Legacy 903,621 28,782 12,395
34
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1996 (Unaudited) - continued
- -------------------------------------------------------------------------------
5. Special Shareholder Meeting (continued)
C. Approval of New Investment Advisory Agreement
Shareholders in each Portfolio voted to approve a new Investment Advisory
Agreement (the "Agreement") between each Portfolio and ALIAC. The Agreement was
updated in the following respects: the language was simplified where possible;
the liability provisions made it clear that ALIAC is liable to the Portfolio for
ALIAC's negligence, and it expanded ALIAC's ability to use brokerage commissions
to pay Portfolio expenses.
Additionally, shareholders of each Portfolio voted to increase the annual
investment advisory fee from 0.50% of average daily net assets to 0.60% of
average daily net assets.
Results of the vote were:
Votes Cast Votes Cast
Portfolio For Against Abstentions
- --------------------------------------------------------
Aetna Ascent 1,293,052 90,893 69,528
Aetna Crossroads 1,198,934 37,539 55,964
Aetna Legacy 911,365 26,410 7,023
35
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights
Selected data for a fund share outstanding throughout the period:
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Ascent
------------------------
Six Month
Period Ended Period from
June 30, 1996 July 5, 1995 to
(Unaudited) December 31, 1995
--------- ------------
<S> <C> <C>
Net asset value, beginning of period ........................ $10.795 $10.000
------- -------
Income from investment operations:
Net investment income ..................................... 0.155 0.116
Net realized and change in unrealized gain ................ 0.826 0.929
------- -------
Total from investment operations ....................... 0.981 1.045
------- -------
Less distributions:
From net investment income ................................ -- (0.25)
------- -------
Total distributions .................................... -- (0.25)
------- -------
Net asset value, end of period .............................. $11.776 $10.795
======== =======
Total return* ............................................... 9.09% 10.45%
Net assets, end of period (000's) ........................... $20,172 $18,850
Ratio of total expenses to average net assets** ............. 1.00% 1.59%
Ratio of net investment income to average net assets** ...... 2.78% 2.26%
Portfolio turnover rate** ................................... 101.1% 39.77%
Average commission rate paid per share ...................... $0.0283 --
</TABLE>
* Not annualized.
** Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
36
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights
Selected data for a fund share outstanding throughout the period:
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Crossroads
------------------------
Six Month
Period Ended Period from
June 30, 1996 July 5, 1995 to
(Unaudited) December 31, 1995
--------- ------------
<S> <C> <C>
Net asset value, beginning of period ........................ $10.740 $10.000
------- -------
Income from investment operations:
Net investment income ..................................... 0.171 0.131
Net realized and change in unrealized gain ................ 0.624 0.799
------- -------
Total from investment operations ....................... 0.795 0.930
------- -------
Less distributions:
From net investment income ................................ -- (0.19)
------- -------
Total distributions .................................... -- (0.19)
------- -------
Net asset value, end of period .............................. $11.535 $10.740
======== =======
Total return* ............................................... 7.40% 9.30%
Net assets, end of period (000's) ........................... $20,134 $18,813
Ratio of total expenses to average net assets** ............. 0.89% 1.60%
Ratio of net investment income to average net assets** ...... 3.11% 2.56%
Portfolio turnover rate** ................................... 84.02% 49.38%
Average commission rate paid per share ...................... $0.0303 --
</TABLE>
* Not annualized.
** Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
37
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights
Selected data for a fund share outstanding throughout the period:
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aetna Legacy
------------------------
Six Month
Period Ended Period from
June 30, 1996 July 5, 1995 to
(Unaudited) December 31, 1995
--------- ------------
<S> <C> <C>
Net asset value, beginning of period ........................ $10.637 $10.000
Income from investment operations:
Net investment income ..................................... 0.228 0.148
Net realized and change in unrealized gain ................ 0.373 0.679
------- -------
Total from investment operations ....................... 0.601 0.827
------- -------
Less distributions:
From net investment income ................................ -- (0.19)
------- -------
Total distributions .................................... -- (0.19)
------- -------
Net asset value, end of period .............................. $11.238 $10.637
======= =======
Total return* ............................................... 5.65% 8.27%
Net assets, end of period (000's) ........................... $17,310 $18,253
Ratio of total expenses to average net assets** ............. 0.87% 1.62%
Ratio of net investment income to average net assets** ...... 4.22% 2.91%
Portfolio turnover rate** ................................... 64.67% 62.43%
Average commission rate paid per share ...................... $0.0279 --
</TABLE>
* Not annualized.
** Annualized for periods of less than one year.
Per share data calculated using average number of shares outstanding throughout
the period.
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