Aetna Variable Annuity Funds
BUILD FOR
RETIREMENT. MANAGE
FOR LIFE.(SM)
1998
Semi-Annual
Report
Variable Funds offered through
your Aetna Variable Annuity and Life Contracts.
[Aetna Logo]
SA.INDEX-98(6/98) Retirement Services(R)
<PAGE>
- -------------------------------------------------------------------------------
Table of Contents
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
President's Letter............................................ 1
Index Plus Portfolios:
Investment Review............................................. 2
Portfolios of Investments:
Aetna Index Plus Bond VP.................................... 11
Aetna Index Plus Large Cap VP............................... 13
Aetna Index Plus Mid Cap VP................................. 19
Aetna Index Plus Small Cap VP............................... 23
Statements of Assets and Liabilities.......................... 28
Statements of Operations...................................... 30
Statements of Changes in Net Assets........................... 32
Notes to Financial Statements................................. 36
Financial Highlights.......................................... 41
Generation Portfolios:
Investment Review............................................. 45
Portfolios of Investments:
Aetna Ascent VP............................................. 50
Aetna Crossroads VP......................................... 57
Aetna Legacy VP............................................. 65
Statements of Assets and Liabilities.......................... 73
Statements of Operations...................................... 74
Statements of Changes in Net Assets........................... 75
Notes to Financial Statements................................. 78
Financial Highlights.......................................... 86
</TABLE>
<PAGE>
President's Letter
Dear Valued Client,
Thank you for investing in Aetna variable funds. We are pleased to bring you
this semi-annual report on the funds you have chosen to help you along the road
to your investment goals.
The first half of 1998 proved to be very good for the U.S. economy. It might be
said to have had everything going for it. Interest rates were low. Inflation was
barely detectable. The federal budget deficit disappeared. The portion of the
U.S. population with jobs stood at an all-time high, while unemployment was at
its lowest rate in 28 years. Wages continued to grow, and consumer confidence
soared. All of these factors combined to allow the U.S. stock market to continue
its climb, despite ongoing economic problems in Asia, a dramatic increase in the
U.S. trade deficit, and a deceleration in corporate earnings.
The past six months proved to be an exciting and productive period at Aeltus
Investment Management, Inc., adviser to the Aetna variable funds, as well:
[arrow] Six new Aetna variable funds were introduced in May: Aetna International
VP, Aetna Real Estate Securities VP, Aetna High Yield VP, Aetna Index
Plus Mid Cap VP, Aetna Index Plus Small Cap VP and Aetna Index Plus Bond
VP. The addition of these six funds to the Aetna variable product
line-up opens up new opportunities for investors like you to diversify
their portfolios across a broader range of asset classes and investment
styles.
[arrow] Also in May, the names of eleven existing Aetna variable funds were
changed to make it easier for investors to identify the investment
styles of the funds. For example, Aetna Variable Fund is now known as
Aetna Growth and Income VP.
[arrow] Aetna International VP and Aetna Small Company VP significantly
outperformed their benchmarks, returning 21.92% and 7.13% respectively,
for the six-month period ending June 30, 1998.
[arrow] In February, seven new portfolios were added to the Aetna Series Fund.
There are now nineteen funds in this family of "retail" funds, which are
available through brokers.
[arrow] Investors have increasingly greater access to the Aetna Series Fund,
through representatives of Aetna and Financial Network Investment
Corporation (FNIC). Acquired by Aetna in July of 1997, FNIC is one of
America's most respected financial planning firms - with over 2,600
independent investment representatives ready to serve Aetna clients
across the country.
[arrow] Aeltus investment professionals continued to achieve media recognition.
Followers of Louis Rukeyser's Wall $treet Week on PBS became acquainted
with John Kim, Aeltus' President and Chief Investment Officer, where he
remains a recurring guest panelist. Another weekly PBS program, Dollar
Signs, interviewed Vincent Fioramonti, portfolio manager of Aetna
International VP, and Jim Griffin, Aeltus Investment Strategist. Jim was
also recently featured in Barron's, where he provided an overview of the
U.S. economy as well as the world markets.
Today, Aeltus has over $48 billion in assets under management - placing it among
the country's largest investment management firms. That's important for
investors, because it represents the kind of size and strength that will allow
us to continue refining our existing investment management services and
products, adding new ones, and growing our staff to serve valued customers, like
you.
Thank you for your continued confidence in the Aetna variable funds and Aeltus
Investment Management, Inc.
Sincerely,
/s/ J. Scott Fox
- ----------------
J. Scott Fox
President
1
<PAGE>
Aetna Index Plus Bond VP
Growth of $10,000
Annualized Total Return for the Period Ended June 30, 1998*
Since Inception+
----------------
4.08%
[graphic plot points]
<TABLE>
<CAPTION>
Dec-97 Jun-98
<S> <C> <C> <C> <C>
Aetna Index Plus Bond VP 10,000 10,031 10,182 10,409
Lehman Brothers Aggregate Bond Index 10,000 10,046 10,200 10,439
</TABLE>
[graphic plot points end]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not take into account any separate account charges imposed by Aetna.
+ The Portfolio commenced investment operations on December 18, 1997.
Aetna Index Plus Bond VP
How did the Portfolio perform during the period?
Aetna Index Plus Bond VP (Index Plus Bond) generated a total return of 3.76%,
net of fund expenses, for the six month period ended June 30, 1998. The Lehman
Brothers Aggregate Bond Index(a) returned 3.93% during the same period.
What economic or financial market conditions impacted the Portfolio?
Underperformance was attributable to a very weak corporate environment during
the first half of 1998. The strategy of Index Plus Bond includes a significant
overweight position in corporate bonds. The corporate bond sector weakened in
the fourth quarter of 1997 and continued that underperformance into 1998.
What investments influenced the Portfolio's performance over the past six
months?
Corporate bonds as a whole underperformed comparable duration Treasuries by
0.25% during the first half of 1998. Performance of the corporate sector was
negatively impacted by the significant supply of new issues as well as overall
spread widening due to the weakness in Asia. The industrial sector was the worst
performing sub-sector of the market with 0.56% of underperformance. The finance
sector was the best performing sub-sector, outperforming comparable duration
Treasuries by 0.22%. By rating category, BBB-rated bonds underperformed A-rated
bonds by 0.70% during the first half of 1998.
What is your outlook going forward?
Looking forward, the balance between positive and negative forces should keep
interest rates within a fairly narrow trading range which should also benefit
corporate bonds. Absent another Asian crisis and/or a sharp sell-off in the U.S.
equity market, investor demand for corporate bonds is likely to increase in an
environment characterized by steady economic growth and stable monetary policy.
2 See Definition of Indices.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Quality Ratings % of Portfolio
- -------------------------------------------------------------
<S> <C>
AAA 54.4%
AA 1.8%
A 24.7%
BBB 17.4%
BB 1.7%
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Maturity Distribution % of Portfolio
- -------------------------------------------------------------
<S> <C>
0- 1 years 4.3%
1- 5 years 34.3%
5- 10 years 14.1%
10- 20 years 19.7%
20 + years 27.6%
</TABLE>
3
<PAGE>
Aetna Index Plus Large Cap VP
Growth of $10,000
Average Annual Total Returns for the Period Ended
June 30, 1998*
1 Year Since Inception+
- ------ ----------------
31.24% 36.44%
[graphic plot points]
<TABLE>
<CAPTION>
Sep-96 Jun-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Variable Index Plus Large Cap VP 10,000 10,069 10,964 11,246 13,272 14,285 14,680 16,759 17,420
S&P 500 Index 10,000 10,107 10,834 11,124 13,067 14,045 14,448 16,464 17,007
</TABLE>
[graphic plot points end]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not take into account any separate account charges imposed by Aetna.
+ The Portfolio commenced investment operations on September 16, 1996.
Aetna Index Plus Large Cap VP
How did the Portfolio perform during the period?
Aetna Index Plus Large Cap VP (Index Plus Large Cap) generated a total return of
18.66%, net of fund expenses, for the six month period ended June 30, 1998. The
Standard & Poor's (S&P) 500 Index(b) returned 17.71% for the same period. When
compared against the Morningstar, Inc. universe of variable annuity large blend
funds, the Portfolio ranked in the top 13% (out of 613 funds) for the one year
period ended June 30, 1998.
What economic or financial market conditions impacted the Portfolio?
One of the principal features of the equity market over the last six months (and
over the preceding three years as well) has been the superior performance of the
very largest stocks. This is most clearly illustrated by the relative
performance of the S&P 500 Index (+17.71%) compared to the small cap Russell
2000 Index(e) (+4.93%), but it was also apparent within the S&P 500 as well, as
only the biggest stocks in the index outperformed the index itself. The
Portfolio benefited from this effect because the model used to evaluate the
stocks in the S&P 500 rated the larger issues more favorably and consequently
overweighted them in the Portfolio. It should be noted that these issues were
not favored because they were large per se, but because they generally scored
well on attributes such as low price to earnings, relative performance and
earnings momentum, all of which are important determinants in predicting which
stocks are likely to do well.
What investments influenced the Portfolio's performance over the past six
months?
The Portfolio was overweight in retail stocks (relative to the S&P 500) for the
entire period. This worked to the advantage of the Portfolio as these stocks
outperformed the index by a substantial margin during the first six months. Also
working to the benefit of the Portfolio was an underweighting in the raw
materials sector which was a big underperforming sector during the period.
Detracting from the Portfolio's performance was an underweighting in technology,
a sector that has done quite well.
What is your outlook going forward?
At the end of last year, we expressed the view that what is going on in East
Asia is a big deal, especially when it is taken together with the collapse in
commodity prices, demographic trends that argue for more saving and less
consumption, likely margin squeezes on the profits of U.S. corporations as a
result of low inflation or perhaps even deflation, and the year 2000 computer
program problem which is likely to adversely affect spending on new computer
hardware over the course of the next two years. All of this suggests that the
stock market will be much less ebullient over the course of the next year
relative to the last three and that cyclically exposed issues may fare poorly.
4 See Definition of Indices.
<PAGE>
So far the expectations that cyclical issues would fare poorly, that U.S.
corporations would experience margin squeezes and even that the year 2000
problem might adversely effect spending on new computer hardware, have held up
rather well. Equities, however, in the absence of a hostile Federal Reserve,
have chosen to roar ahead, proving wrong the conclusion that called for a "less
ebullient" stock market. It's a tough business where you get the premises right
and the forecast wrong.
Perhaps in light of the first half forecast, the best action to take is an
agnostic view, something more along these lines: it doesn't matter what the
outlook is because the Portfolio is always fully invested in S&P 500 stocks,
overweighting those with favorable prospects, underweighting those with a poor
outlook and market weighting those where the outlook is indifferent. This
approach has worked well for us in the past and we expect it to continue to
serve us well in the future.
Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% of % of Over/(Under)
Sector Portfolio S&P 500 Weighting
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.0% 5.2% (2.2)%
Commercial Services 1.7% 2.3% (0.6)%
Consumer Discretionary 12.6% 14.5% (1.9)%
Consumer Non-Discretionary 9.5% 10.2% (0.7)%
Energy 6.0% 8.1% (2.1)%
Finance 20.6% 14.3% 6.3 %
Healthcare 13.5% 10.9% 2.6 %
Manufacturing 11.2% 10.2% 1.0 %
Technology 9.8% 13.0% (3.2)%
Utilities 12.1% 11.3% 0.8 %
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Top Ten Equity Holdings % of Portfolio
- ----------------------------------------------------------
<S> <C>
General Electric Co. 3.2%
Microsoft Corp. 2.8%
Pfizer, Inc. 2.6%
Wal-Mart Stores, Inc. 2.3%
Coca-Cola Co. 2.2%
Exxon 1.9%
Merck & Co., Inc. 1.7%
AT&T Corp. 1.7%
Proctor and Gamble 1.3%
Schering Plough 1.3%
</TABLE>
5
<PAGE>
Aetna Index Plus Mid Cap VP
Growth of $10,000
Annualized Total Return for the Period Ended
June 30, 1998*
Since Inception+
----------------
13.38%
[graphic plot points]
<TABLE>
<CAPTION>
Dec-97 June-98
<S> <C> <C> <C> <C>
Aetna Index Plus Mid Cap VP 10,000 10,348 11,459 11,339
S&P Midcap 400 Index 10,000 10,390 11,535 11,288
</TABLE>
[end graphic plot points]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not take into account any separate account charges imposed by Aetna.
+ The Portfolio commenced investment operations on December 16, 1997.
Aetna Index Plus Mid Cap VP
How did the Portfolio perform during the period?
Aetna Index Plus Mid Cap VP (Index Plus Mid Cap) generated a total return of
9.57%, net of fund expenses, for the six month period ended June 30, 1998. The
Standard & Poor's (S&P) Midcap 400 Index(c) returned 8.64% during the same
period.
What economic or financial market conditions impacted the Portfolio?
One of the principal features of the equity market over the last six months (and
over the preceding three years as well) has been the superior performance of the
very largest stocks. This is most clearly illustrated by the relative
performance of the S&P 500 Index(b) (+17.71%) compared to the small cap Russell
2000 Index(e) (+4.93%), but it was also apparent within the S&P 500 as well, as
only the biggest stocks in the index outperformed the index itself. The
Portfolio, because it invests only in stocks that are in the S&P Midcap 400, was
adversely affected in terms of its performance relative to the large cap S&P 500
but, as noted above, performed well relative to the performance of the S&P
Midcap 400 itself.
What investments influenced the Portfolio's performance over the past six
months?
The Portfolio was overweight in transportation stocks (relative to the S&P
Midcap 400) for the period. This worked to the benefit of the Portfolio as these
stocks outperformed the index by a substantial margin during the first six
months. Also working to the benefit of the Portfolio was an underweighting in
the energy sector which was a big underperforming sector during the period.
Detracting from the Portfolio's performance was an overweighting in finance, a
sector that performed poorly.
What is your outlook going forward?
At the end of last year, we expressed the view that what is going on in East
Asia is a big deal, especially when it is taken together with the collapse in
commodity prices, demographic trends that argue for more saving and less
consumption, likely margin squeezes on the profits of U.S. corporations as a
result of low inflation or perhaps even deflation, and the year 2000 computer
program problem which is likely to adversely affect spending on new computer
hardware over the course of the next two years. All of this suggests that the
stock market will be much less ebullient over the course of the next year
relative to the last three and that cyclically exposed issues may fare poorly.
So far the expectations that cyclical issues would fare poorly, that U.S.
corporations would experience margin squeezes and even that the year 2000
problem might adversely effect spending on new computer hardware, have held up
rather well. Equities, however, in the absence of a hostile Federal Reserve,
have chosen to roar ahead, proving wrong the conclusion above that called for a
"less ebullient" stock market. It's a tough business where you get the premises
right and the forecast wrong.
6 See Definition of Indices.
<PAGE>
Perhaps in light of the first half forecast, the best action to take is an
agnostic view, something more along these lines: it doesn't matter what the
outlook is because the Portfolio is always fully invested in S&P Midcap 400
stocks, overweighting those with favorable prospects, underweighting those with
a poor outlook and market weighting those where the outlook is indifferent. This
approach has worked well for us in the past and we expect it to continue to
serve us well in the future.
Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
% of % of Over/(Under)
Sector Portfolio S&P Midcap 400 Weighting
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 5.5% 6.7% (1.2)%
Commercial Services 8.6% 6.7% 1.9 %
Consumer Discretionary 13.8% 16.6% (2.8)%
Consumer Non-Discretionary 3.7% 4.8% (1.1)%
Energy 5.8% 8.1% (2.3)%
Finance 22.0% 13.1% 8.9 %
Healthcare 7.4% 9.7% (2.3)%
Manufacturing 10.0% 9.7% 0.3 %
Technology 10.4% 13.4% (3.0)%
Utilities 12.8% 11.2% 1.6 %
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Top Ten Equity Holdings % of Portfolio
- ----------------------------------------------------------
<S> <C>
America Online, Inc. 2.1%
Coca-Cola Enterprises, Inc. 1.6%
Capital One Financial Corp. 1.6%
SouthTrust Corp. 1.3%
Cadence Design Systems, Inc. 1.3%
Bear Stearns Co., Inc. 1.2%
Kansas City Southern Industries, Inc. 1.1%
USA Waste Services, Inc. 1.1%
Crestar Financial Corp. 1.1%
Marshall & Ilsley Corp. 1.1%
</TABLE>
7
<PAGE>
Aetna Index Plus Small Cap VP
Growth of $10,000
Annualized Total Return for the Period Ended
June 30, 1998*
Since Inception+
----------------
9.01%
[graphic plot points]
<TABLE>
<CAPTION>
Dec-97 June-98
<S> <C> <C> <C> <C>
Aetna Index Plus Small Cap VP 10,000 10,430 11,441 10,901
S&P Smallcap 600 Index 10,000 10,403 11,555 11,040
</TABLE>
[end graphic plot points]
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not take into account any separate account charges imposed by Aetna.
+ The Portfolio commenced investment operations on December 19, 1997.
Aetna Index Plus Small Cap VP
How did the Portfolio perform during the period?
Aetna Index Plus Small Cap VP (Index Plus Small Cap) generated a total return of
4.51%, net of fund expenses, for the six month period ended June 30, 1998. The
Standard & Poor's (S&P) Smallcap 600 Index(d) returned 6.12% for the same
period.
What economic or financial market conditions impacted the Portfolio?
One of the principal features of the equity market over the last six months (and
over the preceding three years as well) has been the superior performance of the
very largest stocks. This is most clearly illustrated by the relative
performance of the S&P 500 Index(b) (+17.71%) compared to the small cap Russell
2000 Index(e) (+4.93%), but it was also apparent within the S&P 500 as well, as
only the biggest stocks in the index outperformed the index itself. The
Portfolio, because it invests only in stocks that are in the S&P Smallcap 600,
was adversely affected in terms of its performance relative to the large cap S&P
500.
What investments influenced the Portfolio's performance over the past six
months?
The Portfolio was overweight in consumer non-durable stocks (relative to the S&P
Smallcap 600) for the period. This worked to the detriment of the Portfolio as
this group underperformed the S&P Smallcap 600 by a substantial margin. Helping
to offset the drag from underweighting the consumer non-durables was an
overweighting in financial stocks which did well over the period.
What is your outlook going forward?
At the end of last year, we expressed the view that what was going on in East
Asia was a big deal, especially when taken together with the collapse in
commodity prices, demographic trends that argued for more saving and less
consumption, likely margin squeezes on the profits of U.S. corporations, and the
year 2000 computer program problem which was likely to adversely affect spending
on new computer hardware. All of this suggested that the stock market would be
much less ebullient over the course of the next year that cyclically exposed
issues might fare poorly.
So far the expectations that cyclical issues would fare poorly, that U.S.
corporations would experience margin squeezes and even that the year 2000
problem might adversely effect spending on new computer hardware, have held up
rather well. Equities, however, in the absence of a hostile Federal Reserve,
have chosen to roar ahead, proving wrong the conclusion above that called for a
"less ebullient" stock market. It's a tough business where you get the premises
right and the forecast wrong.
8 See Definition of Indices.
<PAGE>
Perhaps in light of the first half forecast, the best action to take is an
agnostic view, something more along these lines: it doesn't matter what the
outlook is because the Portfolio is always fully invested in S&P Smallcap 600
stocks, overweighting those with favorable prospects, underweighting those with
a poor outlook and market weighting those where the outlook is indifferent.
Despite the disappointing result in the first half, on balance this approach has
worked well for us in the past and we expect it to continue to serve us well in
the future.
Portfolio Sector Breakdown:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
% of % of Over/(Under)
Sector Portfolio S&P Smallcap 600 Weighting
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.1% 4.4% (1.3)%
Commercial Services 8.8% 7.4% 1.4 %
Consumer Discretionary 23.3% 22.9% 0.4 %
Consumer Non-Discretionary 3.5% 2.7% 0.8 %
Energy 3.9% 6.8% (2.9)%
Finance 22.5% 11.6% 10.9 %
Healthcare 7.9% 11.8% (3.9)%
Manufacturing 13.4% 12.2% 1.2 %
Technology 11.0% 16.6% (5.6)%
Utilities 2.6% 3.6% (1.0)%
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------
Top Ten Equity Holdings % of Portfolio
- ----------------------------------------------------------
<S> <C>
Platinum Technology, Inc. 1.1%
Safeskin Corp. 1.1%
Protective Life Corp. 1.0%
Comair Holdings, Inc. 1.0%
Ross Stores, Inc. 1.0%
CCB Financial Corp. 1.0%
CKE Restaurants, Inc. 0.9%
Centura Banks, Inc. 0.9%
Fremont General Corp. 0.8%
Medimmune, Inc. 0.8%
</TABLE>
9
<PAGE>
Definition of Indices
(a) The Lehman Brothers Aggregate Bond Index is an unmanaged index of corporate,
government and mortgage bonds.
(b) The Standard & Poor's (S&P) 500 Index is a value-weighted, unmanaged index
of 500 widely held stocks that assumes the reinvestment of all dividends and is
considered to be representative of the stock market in general.
(c) The Standard & Poor's (S&P) Midcap 400 Index is a value-weighted, unmanaged
index of 400 common stocks that assumes the reinvestment of all dividends.
(d) The Standard & Poor's (S&P) Smallcap 600 Index is a value-weighted,
unmanaged index of 600 common stocks that assumes the reinvestment of all
dividends.
(e) The Russell 2000 Index consists of the smallest 2000 companies in the
Russell 3000 Index and represents approximately 11% of the Russell 3000 total
market capitalization. The 3000 largest U.S. companies by market capitalization,
representing nearly 98% of the U.S. equity market, comprise the Russell 3000
Index. Both indices assume reinvestment of all dividends and are unmanaged.
10
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Bond
===============================================================================
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- -----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (94.4%)
U.S. Government and Agency Obligations (51.4%)
Agency Mortgage-Backed Securities (26.8%)
Federal Home Loan Mortgage Corp.,
7.00%, 05/01/28...................... $150,000 $ 152,436
Federal Home Loan Mortgage Corp.,
9.00%, 07/01/16...................... 6,644 7,030
Federal Home Loan Mortgage Corp.,
9.00%, 09/01/16...................... 139,449 147,555
Federal National Mortgage Association,
6.00%, 12/01/12...................... 127,567 126,371
Federal National Mortgage Association,
7.50%, 12/01/27...................... 592,927 608,302
Federal National Mortgage Association,
7.50%, 04/01/28...................... 131,159 134,683
Federal National Mortgage Association
- Conventional, 6.50%, 12/01/12...... 776,734 782,071
Federal National Mortgage Asscociation
- Gold, 6.50%, 12/01/27.............. 985,654 983,490
Government National Mortgage
Association, 7.00%, 03/15/27......... 336,664 342,347
Government National Mortgage
Association, 7.00%, 05/15/28......... 74,939 76,204
Government National Mortgage
Association, 7.50%, 10/15/22......... 75,151 77,288
Government National Mortgage
Association, 8.00%, 04/15/17......... 136,682 141,766
Government National Mortgage
Association, 8.00%, 05/15/17......... 266,244 276,144
Government National Mortgage
Association, 8.00%, 07/15/17......... 30,437 31,569
Government National Mortgage
Association, 8.00%, 08/15/17......... 23,360 24,229
Government National Mortgage
Association, 9.50%, 08/15/21......... 251,331 271,673
----------
4,183,158
----------
U.S. Treasuries (24.6%)
U.S. Treasury Bond, 6.13%, 08/15/07.... 525,000 546,329
U.S. Treasury Bond, 6.38%, 01/15/00.... 400,000 405,001
U.S. Treasury Bond, 6.75%, 08/15/26.... 320,000 366,449
U.S. Treasury Bond, 7.25%, 05/15/16.... 690,000 808,592
U.S. Treasury Bond, 8.13%, 05/15/21.... 550,000 716,288
U.S. Treasury Note, 5.75%, 08/15/03.... 175,000 176,913
U.S. Treasury Note, 6.50%, 08/15/05.... 775,000 817,986
----------
3,837,558
----------
Total U.S. Government and Agency
Obligations (cost $7,912,706) 8,020,716
----------
Corporate Bonds (43.0%)
Electric and Telephone Bonds (3.3%)
Airtouch Communications, 7.125%,
07/15/01............................. 250,000 256,465
Puget Sound Energy, Inc., 7.02%,
12/01/27............................. 250,000 256,925
----------
513,390
----------
Principal Market
Amount Value
--------- -----------
Corporate Bonds (continued)
Financial Bonds (22.4%)
Associates Corp. N.A., 6.875%, 11/15/08 $200,000 $ 208,644
Capital One Bank, 6.83%, 05/17/99...... 385,000 387,707
Chase Manhatten Corp., 7.125%, 06/15/09 200,000 211,125
First Maryland Bancorp, 8.375%,
05/15/02............................. 300,000 321,835
Ford Motor Credit Co., 5.75%, 01/25/01. 250,000 248,515
General Motors Acceptance Corp.,
7.375%, 04/15/99..................... 350,000 353,819
Homeside Lending, 6.86%, 07/02/01...... 250,000 255,783
Ikon Capital Resources, 6.52%, 10/29/99 375,000 378,053
International Lease Finance Corp.,
6.375%, 01/18/00..................... 300,000 301,883
Paine Webber Group, Inc., 9.18%,
03/12/99............................. 300,000 306,294
Salomon Smith Barney Holdings, 6.625%,
11/15/03............................. 250,000 254,767
Travelers Group, Inc., 7.875%, 05/15/25 225,000 260,845
----------
3,489,270
----------
Foreign and Supranationals (1.6%)
Panama (Republic of), 7.875%, 02/13/02++ 250,000 245,625
----------
Foreign Bonds (5.3%)
Celulosa Arauco Constitution, 7.50%,
09/15/17............................. 50,000 46,545
Cia. Transporte Energia, 8.625%,
04/01/03++............................ 250,000 243,423
Quebec Province, 7.50%, 07/15/02....... 300,000 315,861
Santander Finance Issuances, 6.375%,
02/15/11............................. 225,000 220,331
----------
826,160
----------
Other Public Corporate Bonds (10.4%)
Conrail, 9.75%, 06/01/00............... 130,000 138,433
Crown Cork & Seal, 6.75%, 04/15/03..... 300,000 305,334
Dayton Hudson Co., 6.625%, 03/01/03.... 175,000 178,372
Dayton Hudson Co., 9.75%, 07/01/02..... 100,000 112,744
Federated Department Stores, 8.125%,
10/15/02............................. 200,000 213,709
Lockheed Martin Corp., 7.25%, 05/15/06. 210,000 223,139
Royal Caribbean, 8.25%, 04/01/05....... 140,000 151,644
Sears Roebuck Acceptance, 7.05%,
09/17/01............................. 300,000 308,823
----------
1,632,198
----------
Total Corporate Bonds (cost $6,676,439) 6,706,643
----------
Total Long-Term Bonds and Notes (cost $14,589,145) 14,727,359
----------
SHORT-TERM INVESTMENTS (4.2%)
Federal Home Loan Mortgage Corp.,
5.60%, 07/01/98...................... 661,000 661,000
----------
Total Short-Term Investments (cost $661,000) 661,000
----------
TOTAL INVESTMENTS (cost $15,250,145)(a) 15,388,359
Other assets less liabilities 213,514
==========
Total Net Assets $15,601,873
==========
</TABLE>
See Notes to Portfolio of Investments.
11
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Bond (continued)
===============================================================================
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses based on identified tax cost at June 30, 1998, are
as follows:
<TABLE>
<S> <C>
Unrealized gains ..................... $ 155,640
Unrealized losses .................... (17,426)
----------
Net unrealized gain ................ $ 138,214
==========
</TABLE>
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
Category percentages are based on net assets.
12 See Notes to Financial Statements.
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Large Cap
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- ----------
<S> <C> <C>
COMMON STOCKS (96.3%)
Air Transport (0.7%)
AMR Corp. +......................... 8,600 $ 715,950
Delta Air Lines, Inc................ 3,900 504,075
Southwest Airlines Co............... 9,250 274,031
US Airways Group, Inc.+............. 4,400 348,700
-----------
1,842,756
-----------
Aluminum (0.2%)
Alcan Aluminum Ltd.................. 6,700 185,088
Aluminum Co. of America............. 4,400 290,125
Reynolds Metals Co.................. 2,200 123,063
-----------
598,276
-----------
Auto Parts and Hardware (0.3%)
Black & Decker Corp................. 2,200 134,200
Briggs & Stratton Corp.............. 100 3,744
Cooper Tire & Rubber Co............. 1,200 24,750
Echlin, Inc......................... 1,500 73,594
Genuine Parts Co.................... 4,100 141,706
Goodyear Tire & Rubber Co. (The).... 4,400 283,525
Snap-On, Inc........................ 1,200 43,500
Stanley Works....................... 2,200 91,438
-----------
796,457
-----------
Automotive (2.4%)
Chrysler Corp....................... 20,000 1,127,500
Dana Corp........................... 4,500 240,750
Eaton Corp.......................... 3,000 233,250
Ford Motor Co....................... 58,400 3,445,599
General Motors Corp................. 19,900 1,329,569
Johnson Controls, Inc............... 3,000 171,563
TRW, Inc............................ 2,700 147,488
-----------
6,695,719
-----------
Banks and Thrifts (9.9%)
Ahmanson (H. F.) & Co............... 4,900 347,900
Banc One Corp....................... 21,960 1,225,643
Bank of New York Co., Inc........... 10,400 631,150
BankAmerica Corp.................... 28,500 2,463,468
BankBoston Corp..................... 12,000 667,500
Bankers Trust New York Corp......... 4,900 568,706
BB&T Corp........................... 5,600 378,700
Chase Manhattan Corp................ 25,600 1,932,799
Citicorp............................ 14,100 2,104,424
Comerica, Inc....................... 7,550 500,188
Fifth Third Bancorp................. 8,325 524,475
First Chicago NBD Corp.............. 15,100 1,338,238
First Union Corp.................... 30,134 1,755,305
Fleet Financial Group, Inc.......... 7,800 651,300
Golden West Financial Corp.......... 2,900 308,306
Huntington Bancshares............... 6,800 227,800
J.P. Morgan & Co.................... 4,900 573,913
Number of Market
Shares Value
---------- ----------
Banks and Thrifts (continued)
KeyCorp............................. 12,900 $ 459,563
Mellon Bank Corp.................... 13,800 960,825
Mercantile Bancorporation, Inc...... 5,600 282,100
National City Corp.................. 9,000 639,000
NationsBank Corp.................... 28,243 2,160,589
Northern Trust Corp................. 4,900 373,625
Norwest Corp........................ 30,200 1,128,725
PNC Bank Corp....................... 12,600 678,038
Republic New York Corp.............. 3,600 226,575
State Street Corp................... 7,700 535,150
Summit Bancorporation............... 9,400 446,500
Suntrust Banks, Inc................. 10,100 821,256
U.S. Bancorp........................ 20,949 900,807
Wachovia Corp....................... 5,800 490,100
Washington Mutual, Inc.............. 15,360 667,200
Wells Fargo & Co.................... 2,500 922,500
-----------
27,892,368
-----------
Biotech and Medical Products (0.8%)
Alza Corp.+......................... 2,100 90,825
Amgen, Inc. +....................... 7,300 477,238
Bausch & Lomb, Inc.................. 800 40,100
Becton, Dickinson & Co.............. 3,200 248,400
Biomet, Inc.+....................... 3,300 109,106
Guidant Corp........................ 7,500 534,844
Mallinckrodt, Inc................... 1,900 56,406
Medtronic, Inc...................... 13,500 860,625
-----------
2,417,544
-----------
Chemicals (1.6%)
Dow Chemical Co..................... 6,400 618,800
Du Pont (E.I.) de Nemours........... 45,800 3,417,824
Eastman Chemical Co................. 1,900 118,275
Hercules, Inc....................... 2,400 98,700
Rohm & Haas Co...................... 1,600 166,300
-----------
4,419,899
-----------
Commercial Services (0.3%)
Cognizant Corp...................... 4,100 258,300
Deluxe Corp......................... 2,000 71,625
Interpublic Group of Co., Inc....... 3,950 239,716
Omnicom Group, Inc.................. 5,700 284,288
RR Donnelley & Sons Co.............. 3,300 150,975
-----------
1,004,904
-----------
Computers (3.5%)
Apple Computer, Inc.+............... 5,400 154,913
Ceridian Corp. +.................... 2,000 117,500
Compaq Computer Corp................ 50,063 1,420,522
Computer Sciences Corp.+............ 5,600 358,400
Dell Computer Corp.+................ 30,400 2,821,499
Gateway 2000, Inc.+................. 4,500 227,813
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Large Cap (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- ----------
<S> <C> <C>
Computers (continued)
Hewlett Packard Co.................. 12,200 $ 730,475
International Business
Machines, Inc..................... 28,100 3,226,230
Sun Microsystems, Inc.+............. 11,100 482,156
Unisys Corp.+....................... 10,900 307,925
-----------
9,847,433
-----------
Conglomerate and Aerospace (4.5%)
Crane Co............................ 1,650 80,128
General Dynamics Corp............... 4,800 223,200
General Electric Co................. 99,900 9,090,899
Goodrich (B.F.) Co.................. 1,700 84,363
Lockheed Martin Corp................ 5,346 566,008
Loews Corp.......................... 5,600 487,900
National Service Industries, Inc.... 1,100 55,963
Northrop Grumman Corp............... 2,600 268,125
Raytheon Co......................... 6,500 384,313
Rockwell International Corp......... 5,700 273,956
Tenneco, Inc........................ 5,200 197,925
Textron, Inc........................ 4,900 351,269
United Technologies Corp. .......... 6,700 619,750
-----------
12,683,799
-----------
Consumer Finance (2.0%)
Associates First Capital Corp....... 14,532 1,117,148
Countrywide Credit Industries, Inc.. 4,900 248,675
Federal Home Loan Mortgage Corp..... 20,400 960,075
Federal National Mortgage
Association....................... 41,500 2,521,124
Household International, Inc........ 9,000 447,750
MBNA Corp........................... 13,350 440,550
Ryder System, Inc................... 1,100 34,719
-----------
5,770,041
-----------
Consumer Products (3.4%)
Alberto-Culver Co................... 200 5,800
American Greetings Corp............. 1,100 56,031
Avon Products, Inc.................. 3,800 294,500
Bestfoods........................... 7,800 452,888
Clorox Co........................... 2,600 247,975
Colgate-Palmolive Co................ 8,700 765,600
Eastman Kodak Co.................... 3,900 284,944
Gillette Co......................... 32,200 1,825,337
International Flavors &
Fragrances, Inc................... 2,600 112,938
Kimberly-Clark Corp................. 6,500 298,188
Procter & Gamble Co................. 39,900 3,633,393
Unilever NV......................... 18,800 1,484,024
-----------
9,461,618
-----------
Consumer Services (1.1%)
Cendant Corp.+...................... 24,727 516,176
Darden Restaurants, Inc............. 4,200 66,675
H & R Block, Inc.................... 3,500 147,438
Harrah's Entertainment, Inc.+....... 1,500 34,875
Number of Market
Shares Value
---------- ----------
Consumer Services (continued)
Hilton Hotels Corp.................. 5,600 $ 159,600
Marriott International, Inc......... 8,000 259,000
McDonald's Corp..................... 19,700 1,359,300
Service Corp. International......... 7,500 321,563
Tricon Global Restaurants, Inc...... 3,640 115,343
-----------
2,979,970
-----------
Consumer Specialties (0.2%)
Brunswick Corp...................... 3,700 91,575
Hasbro, Inc......................... 3,100 121,869
Mattel, Inc......................... 8,400 355,425
-----------
568,869
-----------
Data and Imaging Services (5.3%)
Adobe Systems, Inc.................. 1,600 67,900
Autodesk, Inc....................... 1,600 61,800
Automatic Data Processing, Inc...... 8,500 619,438
Cisco Systems, Inc.+................ 32,400 2,982,824
Computer Associates
International, Inc................ 26,700 1,483,518
EMC/MASS Corp.+..................... 15,000 672,188
Microsoft Corp. +................... 74,600 8,084,774
Novell, Inc.+....................... 11,000 140,250
Oracle Corp. +...................... 30,400 746,700
Parametric Technology Co.+.......... 6,600 179,025
-----------
15,038,417
-----------
Discretionary Retail (6.3%)
AutoZone, Inc.+..................... 3,100 99,006
Circuit City Stores, Inc.+.......... 2,500 117,188
Consolidated Stores Corp.+.......... 2,800 101,500
Costco Companies, Inc. +............ 10,000 630,625
Dayton Hudson Corp.................. 22,300 1,081,550
Dillards, Inc....................... 3,200 132,600
Federated Department Stores, Inc. +. 10,600 570,413
Footstar, Inc. +.................... 28 1,344
Gap, Inc............................ 18,750 1,155,469
Giant Food, Inc..................... 1,300 55,981
Home Depot, Inc..................... 37,550 3,118,996
J.C. Penney Co., Inc................ 10,100 730,356
Kmart Corp. +....................... 16,300 313,775
Lowe's Companies, Inc............... 14,200 575,988
May Department Stores Co............ 7,900 517,450
Mercantile Stores Co., Inc.......... 800 63,150
Nordstrom, Inc...................... 2,500 193,125
Sears, Roebuck & Co................. 12,100 738,856
Tandy Corp.......................... 2,800 148,575
The Limited, Inc.................... 8,500 281,563
TJX Companies, Inc.................. 14,000 337,750
Toys "R" Us, Inc.+.................. 7,300 172,006
Wal-Mart Stores, Inc................ 109,300 6,639,974
-----------
17,777,240
-----------
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Diversified Financial Services (2.9%)
American Express Co................. 14,300 $1,630,199
American General Corp............... 10,321 734,726
Morgan Stanley, Dean Witter,
Discover & Co..................... 30,710 2,806,125
Transamerica Corp................... 1,400 161,175
Travelers Group, Inc................ 48,441 2,936,735
-----------
8,268,960
-----------
Drugs (11.2%)
Abbott Laboratories................. 42,600 1,741,274
Allergan, Inc....................... 1,500 69,563
American Home Products Corp......... 39,400 2,038,949
Baxter International, Inc........... 8,400 452,025
Bristol-Myers Squibb Co............. 29,900 3,436,630
Eli Lilly & Co...................... 32,600 2,153,637
Johnson & Johnson................... 42,000 3,097,499
Merck & Co., Inc.................... 37,000 4,948,749
Pfizer, Inc......................... 68,700 7,466,830
Pharmacia & Upjohn, Inc............. 14,600 673,425
Schering Plough..................... 39,000 3,573,374
Warner Lambert Co................... 24,600 1,706,624
-----------
31,358,579
-----------
Electric Utilities (1.9%)
Ameren Corp......................... 3,200 127,200
American Electric Power Co.......... 4,700 213,263
Baltimore Gas & Electric Co......... 3,500 108,719
Carolina Power & Light Co........... 3,300 143,138
Central & South West Corp........... 11,300 303,688
Cinergy Corp........................ 3,500 122,500
Consolidated Edison................. 12,500 575,781
Dominion Resources, Inc............. 4,600 187,450
DTE Energy Co....................... 6,400 258,400
Edison International................ 9,400 277,888
Entergy Corp........................ 6,800 195,500
FirstEnergy Corp.................... 6,500 199,875
GPU, Inc............................ 3,100 117,219
Houston Industries, Inc............. 8,248 254,657
Northern States Power Co............ 3,600 103,050
PacifiCorp.......................... 8,500 192,313
Peco Energy Co...................... 11,800 344,413
PG&E Corp........................... 9,900 312,469
PP&L Resources, Inc................. 4,100 93,019
Public Service Enterprise
Group, Inc........................ 6,100 210,069
Southern Co......................... 19,800 548,213
Texas Utilities Co.................. 6,867 285,839
Unicom Corp......................... 5,700 199,856
-----------
5,374,519
-----------
Electrical Machinery and Instruments (0.5%)
Harris Corp......................... 2,200 98,313
Pitney Bowes, Inc................... 7,600 365,750
Tektronix, Inc...................... 750 26,531
Number of Market
Shares Value
--------- ----------
Electrical Machinery and Instruments (continued)
Xerox Corp.......................... 9,200 $ 934,950
-----------
1,425,544
-----------
Electronic Media (2.0%)
CBS Corp............................ 21,200 673,100
Clear Channel Communications, Inc.+. 3,500 381,938
Comcast Corp........................ 8,200 332,869
King World Production, Inc.+........ 1,700 43,350
Tele-Communications, Inc.+.......... 24,100 926,344
Time Warner, Inc.................... 6,600 563,888
Viacom, Inc. +...................... 8,400 489,300
Walt Disney Co. (The)............... 20,200 2,122,262
-----------
5,533,051
-----------
Food and Beverage (4.8%)
Anheuser-Busch Co., Inc............. 13,800 651,188
Archer-Daniels-Midland Co........... 16,080 311,550
Brown-Forman Corp................... 600 38,550
Campbell Soup Co.................... 13,200 701,250
Coca-Cola Co........................ 72,000 6,155,999
Conagra, Inc........................ 14,900 472,144
Coors (Adolph) Co................... 900 30,600
Fortune Brands, Inc................. 3,800 146,063
General Mills, Inc.................. 3,800 259,825
Heinz (H.J.) Co..................... 10,000 561,250
Hershey Foods Corp.................. 2,700 186,300
Kellogg Co.......................... 10,600 398,163
PepsiCo, Inc........................ 42,400 1,746,349
Pioneer Hi-Bred International, Inc.. 4,800 198,600
Quaker Oats Co...................... 4,000 219,750
Ralston-Ralston Purina Group........ 2,800 327,075
Sara Lee Corp....................... 13,300 743,969
Wrigley (Wm.) Jr. Co................ 2,300 225,400
-----------
13,374,025
-----------
Food and Drug Retail (1.0%)
Albertson's, Inc.................... 10,400 538,850
American Stores Co.................. 6,000 145,125
CVS Corp............................ 10,400 404,950
Great Atlantic & Pacific Tea Co.,
Inc............................... 100 3,306
Kroger Co. (The).................... 7,400 317,275
Longs Drug Stores, Inc.............. 200 5,775
Rite Aid Corp....................... 6,600 247,913
SUPERVALU, INC...................... 2,000 88,750
Sysco Corp.......................... 8,200 210,125
Walgreen Co......................... 14,200 586,638
Winn-Dixie Stores, Inc.............. 3,700 189,394
-----------
2,738,101
-----------
Forest Products and Building Materials (0.6%)
Armstrong World Industries, Inc..... 600 40,425
Bemis Co., Inc...................... 1,400 57,225
</TABLE>
15
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Large Cap (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Forest Products and Building Materials (continued)
Crown Cork & Seal Co., Inc.......... 2,500 $ 118,750
Fort James Corp..................... 7,400 329,300
International Paper Co.............. 3,800 163,400
Masco Corp.......................... 4,900 296,450
Mead Corp........................... 2,300 73,025
Owens Corning....................... 1,300 53,056
Owens-Illinois, Inc.+............... 4,500 201,375
Sealed Air Corp.+................... 1,957 71,920
Temple-Inland, Inc. ................ 1,100 59,263
Westvaco Corp....................... 2,100 59,325
Weyerhaeuser Co..................... 4,900 226,319
-----------
1,749,833
-----------
Gas Utilities (0.6%)
Coastal Corp. (The)................. 4,200 293,213
Columbia Gas System, Inc............ 2,100 116,813
Consolidated Natural Gas Co......... 1,900 111,863
Eastern Enterprises................. 100 4,288
Enron Corp.......................... 9,400 508,188
NICOR, Inc.......................... 700 28,088
ONEOK, Inc.......................... 100 3,988
People's Energy Corp................ 100 3,863
Sempra Energy+...................... 3,008 83,461
Williams Co., Inc. (The)............ 12,100 408,375
-----------
1,562,140
-----------
Health Services (1.1%)
Cardinal Health, Inc................ 4,300 403,125
Columbia/HCA Healthcare Corp........ 19,100 556,288
HBO & Co............................ 21,200 747,300
HEALTHSOUTH Corp.+.................. 15,800 421,663
Humana, Inc.+....................... 4,300 134,106
Manor Care, Inc..................... 1,600 61,500
Shared Medical Systems Corp......... 1,300 95,469
Tenet Healthcare Corp.+............. 8,600 268,750
United Healthcare Corp.............. 5,200 330,200
-----------
3,018,401
-----------
Heavy Machinery (0.7%)
Case Corp........................... 2,900 139,925
Caterpillar, Inc.................... 17,500 925,313
Cummins Engine Company, Inc......... 1,700 87,125
Deere & Co.......................... 12,100 639,788
NACCO Industries, Inc............... 300 38,775
Navistar International Corp. +...... 1,700 49,088
PACCAR, Inc......................... 3,900 203,775
-----------
2,083,789
-----------
Housing and Furnishings (0.3%)
Centex Corp......................... 1,800 67,950
Fleetwood Enterprises, Inc.......... 1,500 60,000
Kaufman & Broad Home Corp........... 1,700 53,975
Maytag Corp......................... 4,200 207,375
Number of Market
Shares Value
--------- ---------
Housing and Furnishings (continued)
Newell Co........................... 4,500 $ 224,156
Pulte Corp.......................... 200 5,975
Rubbermaid, Inc..................... 2,600 86,288
Whirlpool Corp...................... 3,000 206,250
-----------
911,969
-----------
Industrial Services (0.1%)
Browning-Ferris Industries, Inc..... 4,400 152,900
Fluor Corp.......................... 1,800 91,800
Foster Wheeler Corp................. 100 2,144
Laidlaw, Inc........................ 7,700 93,844
-----------
340,688
-----------
Insurance (4.0%)
Allstate Corp. (The)................ 22,100 2,023,530
American International Group, Inc... 21,500 3,138,999
Aon Corp............................ 4,950 347,738
Chubb Corp.......................... 4,300 345,613
CIGNA Corp.......................... 5,700 393,300
Cincinnati Financial Corp........... 7,000 268,625
Conseco, Inc........................ 8,400 392,700
General Re Corp..................... 2,200 557,700
Hartford Financial Services
Group, Inc........................ 3,100 354,563
Jefferson-Pilot Corp................ 3,450 199,884
Lincoln National Corp............... 4,000 365,500
Marsh & McLennan Co., Inc........... 9,750 589,266
MBIA, Inc........................... 4,900 366,888
MGIC Investment Corp................ 5,100 291,019
Progressive Corp.................... 1,900 267,900
Safeco Corp......................... 3,700 168,119
St. Paul Co., Inc................... 7,102 298,728
SunAmerica, Inc..................... 7,900 453,756
Torchmark Corp...................... 4,600 210,450
UNUM Corp........................... 3,100 172,050
-----------
11,206,328
-----------
Investment Services (1.0%)
Charles Schwab Corp................. 6,550 212,875
Franklin Resources, Inc............. 7,400 399,600
Lehman Brothers Holdings, Inc....... 5,300 411,081
Merrill Lynch & Co., Inc............ 17,100 1,577,474
Providian Financial Corp............ 3,000 235,688
-----------
2,836,718
-----------
Major Telecommunications (7.0%)
Alltel Corp......................... 4,800 223,200
Ameritech Corp...................... 46,400 2,082,199
AT&T Corp........................... 86,000 4,912,749
Bell Atlantic Corp.................. 65,494 2,988,163
BellSouth Corp...................... 40,200 2,698,424
GTE Corp............................ 30,100 1,674,312
MCI Communications Corp............. 17,800 1,034,625
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Major Telecommunications (continued)
SBC Communications, Inc............. 56,964 $2,278,559
Sprint Corp......................... 4,300 303,150
WorldCom, Inc.+..................... 30,100 1,457,968
-----------
19,653,349
-----------
Oil (4.4%)
Amoco Corp.......................... 11,900 495,338
Apache Corp......................... 2,800 88,200
Ashland Oil, Inc.................... 2,700 139,388
Atlantic Richfield Co............... 3,500 273,438
Chevron Corp........................ 7,900 656,194
Exxon Corp.......................... 75,000 5,348,437
Kerr-McGee Corp..................... 800 46,300
Mobil Corp.......................... 9,400 720,275
Occidental Petroleum Corp........... 9,900 267,300
Oryx Energy Co.+.................... 3,000 66,375
Pennzoil Co......................... 1,500 75,938
Phillips Petroleum Co............... 7,500 361,406
Royal Dutch Petroleum Co............ 63,900 3,502,518
Sun Company, Inc.................... 2,800 108,675
USX-Marathon Group.................. 8,500 291,656
-----------
12,441,438
-----------
Oil Services (0.9%)
Baker Hughes, Inc................... 5,000 172,813
Halliburton Co...................... 10,400 463,450
Helmerich & Payne, Inc.............. 2,400 53,400
McDermott International, Inc........ 3,000 103,313
Rowan Co., Inc.+.................... 3,500 68,031
Schlumberger Ltd.................... 20,800 1,420,899
Western Atlas, Inc.+................ 2,400 203,700
-----------
2,485,606
-----------
Other Telecommunications (2.5%)
AirTouch Communications, Inc.+...... 23,600 1,379,125
Andrew Corp.+....................... 2,600 46,963
Frontier Corp....................... 4,200 132,300
General Instrument Corp.+........... 3,400 92,438
Lucent Technologies, Inc............ 38,736 3,222,350
MediaOne Group, Inc.+............... 7,300 320,744
Northern Telecom Ltd................ 6,600 374,550
Scientific Atlanta, Inc............. 1,100 27,913
Tellabs, Inc.+...................... 2,300 164,738
U S WEST, Inc....................... 25,711 1,208,403
-----------
6,969,524
-----------
Print Media (0.8%)
Dow Jones & Co., Inc................ 2,000 111,500
Dun & Bradstreet Corp............... 4,300 155,338
Equifax, Inc........................ 3,900 141,619
Gannett Co., Inc.................... 10,900 774,581
Harcourt General, Inc............... 1,400 83,300
Knight-Ridder, Inc.................. 4,100 225,756
Number of Market
Shares Value
--------- ----------
Print Media (continued)
McGraw-Hill Co., Inc................ 2,900 $ 236,531
Meredith Corp....................... 200 9,388
New York Times Co................... 2,800 221,900
Times Mirror Co..................... 1,400 88,025
Tribune Co.......................... 3,400 233,963
-----------
2,281,901
-----------
Producer Goods (2.6%)
Aeroquip-Vickers, Inc............... 1,400 81,725
Allegheny Teledyne, Inc............. 4,100 93,788
Allied Signal, Inc.................. 15,500 687,813
Avery Dennison Corp................. 2,600 139,750
Cincinnati Milacron, Inc............ 2,000 48,625
Cooper Industries, Inc.............. 4,400 241,725
Corning, Inc........................ 2,300 79,925
Dover Corp.......................... 6,900 236,325
Dresser Industries, Inc............. 4,600 202,688
Ecolab, Inc......................... 3,300 102,300
Emerson Electric Co................. 13,000 784,875
FMC Corp.+.......................... 500 34,094
General Signal Corp................. 1,200 43,200
Grainger (W. W.), Inc............... 2,400 119,550
Honeywell, Inc...................... 3,200 267,400
Ikon Office Solutions, Inc.......... 2,200 32,038
Illinois Tool Works, Inc............ 6,800 453,475
Ingersoll-Rand Co................... 8,000 352,500
ITT Industries, Inc................. 3,500 130,813
Minnesota Mining and Manufacturing
Co................................ 11,900 978,031
Parker-Hannifin Corp................ 5,300 202,063
PPG Industries, Inc................. 4,500 313,031
Raychem Corp........................ 2,100 62,081
Sherwin-Williams Co................. 4,000 132,500
Thermo Electron Corp. +............. 4,600 157,263
Thomas & Betts Corp................. 1,600 78,800
Timken Co........................... 2,700 83,194
Tyco International Ltd.............. 17,500 1,102,500
-----------
7,242,072
-----------
Semiconductors and Electronics (0.6%)
Intel Corp.......................... 19,900 1,475,087
Texas Instruments, Inc.............. 4,700 274,069
-----------
1,749,156
-----------
Specialty Chemicals (0.3%)
Air Products and Chemicals, Inc..... 6,800 272,000
Engelhard Corp...................... 3,200 64,800
Grace (W.R.) & Co.+................. 1,600 27,300
Great Lakes Chemical Corp........... 1,400 55,213
Morton International, Inc........... 3,300 82,500
Nalco Chemical Co................... 1,000 35,125
Praxair, Inc........................ 3,400 159,163
Sigma-Aldrich Corp.................. 2,600 91,325
-----------
787,426
-----------
</TABLE>
17
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Large Cap (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Steel (0.2%)
Armco, Inc.+........................ 3,100 $ 19,763
Barrick Gold Corp................... 3,900 74,831
Bethlehem Steel Corp. +............. 2,500 31,094
Freeport-McMoRan Copper & Gold, Inc. 3,000 45,563
Nucor Corp.......................... 2,100 96,600
USX-US Steel Group, Inc............. 3,600 118,800
Worthington Industries.............. 2,800 42,175
-----------
428,826
-----------
Surface Transport (0.5%)
Burlington Northern Santa Fe Corp... 6,600 648,038
CSX Corp............................ 5,600 254,800
FDX Corp. Holding Co.+.............. 3,700 232,175
Norfolk Southern Corp............... 9,800 292,163
-----------
1,427,176
-----------
Textiles and Apparel (0.2%)
Fruit of the Loom, Inc.+............ 1,600 53,100
Liz Claiborne, Inc.................. 2,400 125,420
Venator Group, Inc.+................ 4,900 93,713
VF Corp............................. 4,500 231,750
-----------
503,983
-----------
Tobacco (1.1%)
Philip Morris Co., Inc.............. 74,400 2,929,499
UST, Inc............................ 9,900 267,300
-----------
3,196,799
-----------
Total Common Stocks (cost $243,098,062) 270,745,211
-----------
PREFERRED STOCKS (0.6%)
Duke Energy Corp. (Electric
Utilities) ....................... 10,271 608,557
FPL Group, Inc. (Electric
Utilities) ....................... 9,600 604,800
Seagram Ltd. (Food and Beverage) ... 4,300 176,031
Union Carbide Corp. (Chemicals) .... 3,000 160,125
-----------
Total Preferred Stocks (cost $1,404,298) 1,549,513
-----------
Principal
Amount
-----------
SHORT-TERM INVESTMENTS (4.6%)
Federal Home Loan Bank, 5.55%,
07/01/98......................... $12,443,000 12,442,999
U.S. Treasury Bill, 5.03%, 08/20/98@ 400,000 397,308
U.S. Treasury Bill, 5.05%, 08/20/98@ 100,000 99,327
-----------
Total Short-Term Investments (cost $12,939,506) 12,939,634
-----------
TOTAL INVESTMENTS (cost $257,441,866)(a) 285,234,358
Other assets less liabilities (4,176,917)
-----------
Total Net Assets $281,057,441
===========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$257,626,586. Unrealized gains and losses, based on identified tax cost at June
30, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains .................... $30,474,385
Unrealized losses ................... (2,866,613)
-----------
Net unrealized gain ............. $27,607,772
===========
</TABLE>
Information concerning open futures contracts at June 30, 1998 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ------- ---------- -----------
Long Contracts
- -------------------
<S> <C> <C> <C> <C>
S & P 500 Index
Futures ........ 3 $ 862,200 Sept. 98 $ (4,977)
========== =========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 1998.
Category percentages are based on net assets.
18 See Notes to Financial Statements.
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Mid Cap
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- --------
<S> <C> <C>
COMMON STOCKS (96.7%)
Air Transport (1.1%)
Airborne Freight Corp................... 800 $ 27,950
Alaska Air Group, Inc.+................. 300 16,369
ASA Holdings, Inc....................... 300 14,888
CNF Transportation, Inc................. 900 38,250
---------
97,457
---------
Auto Parts and Hardware (0.1%)
Carlisle Co., Inc....................... 300 12,919
---------
Automotive (1.8%)
Arvin Industries, Inc................... 300 10,894
Borg Warner Automotive, Inc............. 200 9,613
Federal-Mogul Corp...................... 700 47,250
Harley-Davidson, Inc.................... 1,200 46,500
Meritor Automotive, Inc................. 1,100 26,400
Modine Manufacturing Co................. 300 10,388
Superior Industries International, Inc.. 300 8,456
---------
159,501
---------
Banks and Thrifts (11.8%)
Associated Banc-Corp.................... 1,100 41,388
Charter One Financial, Inc.............. 2,100 70,743
City National Corp...................... 800 29,550
Cracker Barrel Old Country Store, Inc... 400 12,700
Crestar Financial Corp.................. 1,800 98,212
Dime Bancorp, Inc....................... 1,700 50,894
First Security Corp..................... 2,850 61,008
First Tennessee National Corp........... 1,200 37,875
First Virginia Banks, Inc............... 500 25,563
Firststar Corp.......................... 1,300 49,400
Hibernia Corp........................... 1,200 24,225
Marshall & Ilsley Corp.................. 1,900 97,018
Mercantile Bankshares Corp.............. 700 24,369
North Fork Bancorp, Inc................. 2,100 51,319
Old Kent Financial Corp................. 1,575 56,651
Pacific Century Financial Corp.......... 900 21,600
Regions Financial Corp.................. 1,000 41,063
SouthTrust Corp......................... 2,600 113,099
TCF Financial Corp...................... 700 20,650
Union Planters Corp..................... 500 29,406
Wilmington Trust Corp................... 300 18,263
Zion Bancorporation..................... 1,200 63,749
---------
1,038,745
---------
Biotech and Medical Products (3.0%)
DENTSPLY International, Inc............. 400 10,000
Genzyme Corp.+.......................... 700 17,894
Hillenbrand Industries, Inc............. 500 30,000
Mylan Laboratories, Inc................. 1,900 57,119
Quintiles Transnational Corp.+.,........ 600 29,513
Stryker Corp.+.......................... 800 30,700
Sybron International Corp.+............. 800 20,200
Number of Market
Shares Value
---------- --------
Biotech and Medical Products (continued)
Watson Pharmaceuticals, Inc. +.......... 1,400 $ 65,362
---------
260,788
---------
Chemicals (0.6%)
Cytec Industries+....................... 300 13,275
IMC Global, Inc......................... 900 27,113
RPM, Inc................................ 900 15,300
---------
55,688
---------
Commercial Services (3.2%)
AccuStaff, Inc. +....................... 1,001 31,255
ACNielsen Corp.+........................ 1,000 25,250
Cintas Corp............................. 900 45,900
JP Foodservices, Inc.+.................. 500 17,531
Kelly Services, Inc.................... 600 21,225
Ogden Corp.............................. 800 22,150
Paychex, Inc............................ 1,350 54,928
Robert Half International, Inc.+........ 700 39,113
Viad Corp............................... 900 24,975
---------
282,327
---------
Computers (0.5%)
NCR Corp.+.............................. 900 29,250
Sequent Computer Systems, Inc.+......... 700 8,444
Wallace Computer Services, Inc.......... 300 7,125
---------
44,819
---------
Conglomerate and Aerospace (1.8%)
Cordant Technologies, Inc............... 600 27,675
Gencorp, Inc............................ 600 15,150
Lancaster Colony Corp................... 300 11,363
Litton Industries, Inc.+................ 800 47,200
Newport News Shipbuilding, Inc.......... 500 13,375
Pittston Brink's Group.................. 400 14,750
Sundstrand Corp......................... 500 28,625
---------
158,138
---------
Consumer Finance (2.6%)
Capital One Financial Corp.............. 1,100 136,605
Comdisco, Inc........................... 1,200 22,800
Finova Group, Inc. (The)................ 500 28,313
GATX Corp............................... 900 39,488
---------
227,206
---------
Consumer Products (0.3%)
Dial Corp............................... 900 23,344
---------
Consumer Services (1.2%)
Bob Evans Farms, Inc.................... 600 12,713
Brinker International, Inc. +........... 1,200 23,100
Outback Steakhouse, Inc.+............... 800 31,200
Promus Hotel Corp. +.................... 500 19,250
Stewart Enterprises, Inc................ 600 15,975
---------
102,238
---------
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Mid Cap (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Consumer Specialties (0.6%)
Electronic Arts, Inc.+.................. 500 $ 27,000
International Game Technology........... 900 21,825
---------
48,825
---------
Data and Imaging Services (8.5%)
America Online, Inc.+................... 1,700 180,199
BMC Software, Inc.+..................... 1,800 93,487
Cadence Design Systems, Inc.+........... 3,500 109,374
Compuware Corp. +....................... 1,600 81,799
Fiserv, Inc.+........................... 450 19,111
Keane, Inc.+............................ 500 28,000
Mentor Graphics Corp.+.................. 1,100 11,619
Policy Management Systems+.............. 400 15,700
Sterling Commerce, Inc.+................ 700 33,950
Sterling Software, Inc. +............... 600 17,738
Storage Technology Corp.+............... 1,600 69,399
Sungard Data Systems, Inc.+............. 800 30,700
Symantec Corp.+......................... 800 20,900
Symbol Technologies, Inc................ 450 16,988
Synopsys, Inc.+......................... 500 22,875
---------
751,839
---------
Discretionary Retail (7.8%)
Barnes & Noble, Inc..................... 1,100 41,181
Bed, Bath & Beyond, Inc.+............... 700 36,269
Best Buy Co., Inc. +.................... 1,800 65,024
BJ's Wholesale Club, Inc.+.............. 300 12,188
Dollar General Corp..................... 1,550 61,322
Family Dollar Stores, Inc............... 2,800 51,800
Fastenal Co............................. 400 18,575
Fingerhut Companies, Inc................ 900 29,700
Fred Meyer, Inc.+....................... 1,600 67,999
General Nutrition Companies, Inc.+...... 700 21,788
Kohl's Corp.+........................... 1,400 72,624
Office Depot, Inc.+..................... 1,300 41,031
Payless ShoeSource, Inc.+............... 600 44,213
Proffitt's, Inc.+....................... 800 32,300
Staples, Inc.+.......................... 2,050 59,322
Tiffany & Co............................ 300 14,400
Viking Office Products, Inc.+........... 700 21,963
---------
691,699
---------
Drugs (0.9%)
ICN Pharmaceuticals, Inc................ 1,100 50,256
Omnicare, Inc........................... 700 26,688
---------
76,944
---------
Electric Utilities (9.1%)
Allegheny Energy, Inc................... 1,200 36,150
American Water Works Co., Inc........... 1,300 40,300
CMS Energy Corp......................... 900 39,600
Conectiv, Inc........................... 1,825 37,413
Energy East Corp........................ 1,100 45,788
Florida Progress Corp................... 1,600 65,799
Number of Market
Shares Value
--------- ---------
Electric Utilities (continued)
Hawaiian Electric Industries, Inc....... 300 $ 11,906
Idaho Power Co.......................... 300 10,388
Interstate Energy Corp.................. 700 22,750
IPALCO Enterprises, Inc................. 600 26,663
Kansas City Power & Light Co............ 400 11,600
LG&E Corp............................... 1,100 29,769
Midamerican Energy Holdings Corp........ 900 19,463
Minnesota Power & Light Co.............. 500 19,875
Montana Power Co........................ 900 31,275
Nevada Power Co......................... 500 12,875
New Century Energies, Inc............... 900 40,894
New England Electric System............. 500 21,625
Nipsco Industries, Inc.................. 1,200 33,600
Oge Energy Corp......................... 800 21,600
Pinnacle West Capital Corp.............. 1,400 62,999
Potomac Electric Power Co............... 1,100 27,569
Public Service Co. of New Mexico........ 400 9,075
Puget Sound Energy, Inc................. 500 13,406
SCANA Corp.............................. 1,000 29,813
TECO Energy, Inc........................ 1,100 29,494
UtiliCorp United, Inc................... 500 18,844
Wisconsin Energy Corp................... 1,000 30,375
---------
800,908
---------
Electrical Machinery and Instruments (1.5%)
Herman Miller, Inc...................... 700 17,019
Hon Industries, Inc..................... 500 17,000
Lexmark International Group, Inc.+...... 1,100 67,099
SCI Systems, Inc.+...................... 500 18,813
Varian Associates, Inc.................. 200 7,800
---------
127,731
---------
Electronic Media (0.1%)
TCA Cable TV, Inc....................... 200 12,000
---------
Food and Beverage (3.1%)
Coca-Cola Enterprises, Inc.............. 3,500 137,374
Dean Foods Co........................... 400 21,975
Dole Food Company, Inc.................. 500 24,844
Flowers Industries, Inc................. 600 12,263
Hormel Foods Corp....................... 700 24,194
Interstate Bakeries Corp................ 1,200 39,825
Universal Foods Corp.................... 400 8,875
---------
269,350
---------
Food and Drug Retail (0.4%)
Hannaford Brothers Co................... 400 17,600
Ruddick Corp............................ 800 14,500
---------
32,100
---------
Forest Products and Building Materials (2.3%)
Georgia-Pacific Corp.................... 1,500 34,594
Martin Marietta Materials, Inc.......... 700 31,500
Rayoner, Inc............................ 300 13,800
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------
<S> <C> <C>
Forest Products and Building Materials (continued)
Sonoco Products Co...................... 880 $ 26,620
Southdown, Inc.......................... 400 28,550
Vulcan Materials Co..................... 500 53,344
Wausau-Mosinee Paper Corp............... 600 13,725
---------
202,133
---------
Gas Utilities (0.7%)
MarketSpan Corp.+....................... 1,500 44,906
MCN Corp................................ 600 14,925
---------
59,831
---------
Health Services (3.2%)
Allegiance Corp......................... 500 25,625
Bergen Brunswig Corp.................... 400 18,550
Beverly Enterprises, Inc................ 1,700 23,481
Concentra Managed Care, Inc.+........... 700 18,200
First Health Group Corp.+............... 400 11,400
Health Care & Retirement Corp.+......... 400 15,775
Health Management Associates, Inc.+..... 1,100 36,781
McKesson Corp........................... 800 64,999
NovaCare, Inc........................... 1,000 11,750
PSS World Medical, Inc.+................ 1,100 16,088
Quorum Health Group, Inc.+.............. 500 13,250
Total Renal Care Holdings, Inc.+........ 700 24,150
Vencor, Inc.+........................... 600 4,350
---------
284,399
---------
Heavy Machinery (0.1%)
AGCO Corp............................... 600 12,338
---------
Housing and Furnishings (0.7%)
Clayton Homes, Inc...................... 1,100 20,900
Leggett & Platt, Inc.................... 1,800 45,000
---------
65,900
---------
Industrial Services (2.0%)
AES Corp.+.............................. 1,500 78,843
USA Waste Services, Inc.+............... 2,000 98,749
---------
177,592
---------
Insurance (3.7%)
Aflac, Inc.............................. 2,200 66,687
AMBAC, Inc.............................. 1,100 64,349
American Financial Group, Inc........... 500 21,656
Old Republic International Corp......... 2,200 64,487
PMI Group, Inc. (The)................... 600 44,025
Provident Companies, Inc................ 1,300 44,850
Transatlantic Holdings, Inc............. 300 23,194
---------
329,248
---------
Investment Services (3.3%)
Bear Stearns Co., Inc. (The)............ 1,800 102,374
Edwards (A.G.), Inc..................... 1,400 59,763
Paine Webber Group, Inc................. 2,100 90,037
T. Rowe Price Associates................ 1,000 37,563
---------
289,737
---------
Number of Market
Shares Value
--------- --------
Major Telecommunications (0.7%)
Cincinnati Bell, Inc.................... 1,100 $ 31,488
Southern New England Telecommunications
Corp.................................. 500 32,750
---------
64,238
---------
Oil (1.3%)
Lyondell Petrochemical Co............... 600 18,263
Murphy Oil Corp......................... 400 20,275
Tosco Corp.............................. 1,300 38,188
Ultramar Diamond Shamrock Corp.......... 800 25,250
Valero Energy Corp...................... 500 16,625
---------
118,601
---------
Oil Services (4.0%)
BJ Services Co. +....................... 600 17,438
Camco International, Inc................ 500 38,938
Ensco International, Inc................ 2,300 39,963
EVI Weatherford, Inc.+.................. 855 31,742
Global Marine, Inc.+.................... 2,700 50,456
Nabors Industries, Inc.+................ 1,700 33,681
Noble Drilling Corp.+................... 1,100 26,469
Smith International, Inc.+.............. 700 24,369
Transocean Offshore, Inc................ 1,700 75,649
Varco International, Inc.+.............. 900 17,831
---------
356,536
---------
Other Telecommunications (2.3%)
360 Communications Co. +................ 1,800 57,600
ADC Telecommunications, Inc. +.......... 1,100 40,184
Aliant Communications, Inc.............. 900 24,694
Century Telephone Enterprises, Inc...... 1,450 66,518
Comsat Corp............................. 500 14,156
---------
203,152
---------
Print Media (1.0%)
Belo Corp............................... 1,000 24,375
Media General, Inc...................... 200 9,750
Washington Post Co...................... 100 57,600
---------
91,725
---------
Producer Goods (4.1%)
American Power Conversion Corp.+........ 1,600 48,000
AMETEK, Inc............................. 400 11,725
Danaher Corp............................ 1,000 36,688
Donaldson Company, Inc.................. 400 9,450
Ferro Corp.............................. 400 10,125
Flowserve Corp.......................... 300 7,388
Harsco Corp............................. 300 13,744
Kaydon Corp............................. 500 17,656
Kennametal, Inc......................... 400 16,700
Mark IV Industries, Inc................. 900 19,463
Pentair, Inc............................ 400 17,000
Precision Castparts Corp................ 200 10,675
Premark International, Inc.............. 1,000 32,250
Teleflex, Inc........................... 500 19,000
</TABLE>
21
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Mid Cap (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- ---------
<S> <C> <C>
Producer Goods (continued)
Trinity Industries, Inc................. 800 $ 33,200
U.S. Filter Corp. +..................... 1,400 39,288
YORK International Corp................. 400 17,425
---------
359,777
---------
Real Estate Investment Trusts (0.1%)
Ventas, Inc.+........................... 600 8,288
---------
Semiconductors and Electronics (2.0%)
Arrow Electronics, Inc.+................ 900 19,575
Avnet, Inc.............................. 300 16,406
Hubbell, Inc............................ 400 16,650
Linear Technology Corp.................. 600 36,188
Maxim Integrated Products, Inc.......... 1,300 41,194
Solectron Corp.......................... 1,100 46,269
---------
176,282
---------
Specialty Chemicals (1.9%)
Albemarle Corp.......................... 500 11,031
Cabot Corp.............................. 400 12,925
Crompton & Knowles Corp................. 600 15,113
Dexter Corp............................. 200 6,363
Georgia Gulf Corp....................... 600 13,688
Lubrizol Corp........................... 500 15,125
Olin Corp............................... 500 20,844
Solutia, Inc............................ 1,900 54,506
Witco Corp.............................. 500 14,625
---------
164,220
---------
Steel (0.7%)
AK Steel Holding Corp................... 800 14,300
Alumax, Inc.+........................... 500 23,188
Carpenter Technology Corp............... 300 15,075
Cleveland-Cliffs, Inc................... 200 10,725
---------
63,288
---------
Surface Transport (1.6%)
J.B. Hunt Transport Services, Inc....... 600 21,375
Kansas City Southern Industries, Inc.... 2,000 99,249
Tidewater, Inc.......................... 500 16,500
---------
137,124
---------
Textiles and Apparel (0.7%)
Burlington Industries, Inc. +........... 800 11,250
Jones Apparel Group, Inc.+.............. 801 29,259
Unifi, Inc.............................. 600 20,550
---------
61,059
---------
Tobacco (0.3%)
Universal Corp.......................... 700 26,163
---------
Total Common Stocks (cost $8,043,202) 8,526,197
---------
Principal Market
Amount Value
---------- ---------
SHORT-TERM INVESTMENTS (2.2%)
Federal Home Loan Bank, 5.55%, 07/01/98. $193,000 $192,999
---------
Total Short-Term Investments (cost $192,999) 192,999
---------
TOTAL INVESTMENTS (cost $8,236,201)(a) 8,719,196
Other assets less liabilities 94,914
---------
Total Net Assets $8,814,110
=========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$8,256,540. Unrealized gains and losses, based on identified tax cost at June
30, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains ...................... $780,225
Unrealized losses ..................... (317,569)
---------
Net unrealized gain ................. $462,656
=========
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
22 See Notes to Financial Statements.
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Small Cap
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------
<S> <C> <C>
COMMON STOCKS (96.0%)
Air Transport (2.2%)
Air Express International Corp.......... 600 $ 16,050
Comair Holdings, Inc.................... 2,800 86,449
Expeditors International of
Washington, Inc....................... 1,000 44,000
Fritz Companies, Inc.+.................. 900 12,038
SkyWest, Inc............................ 1,000 28,000
---------
186,537
---------
Auto Parts and Hardware (1.2%)
Barnes Group, Inc....................... 700 18,944
CLARCOR, Inc............................ 900 18,900
SPX Corp.+.............................. 400 25,750
Standard Motor Products, Inc.+.......... 500 11,125
TBC Corp.+.............................. 900 5,963
Toro Co................................. 300 10,275
WD-40 Co................................ 300 8,138
Wynn's International, Inc............... 450 8,663
---------
107,758
---------
Automotive (0.9%)
BREED Technologies, Inc.+............... 600 9,188
Gentex Corp.+........................... 1,400 25,375
Myers Industries, Inc................... 300 7,200
Simpson Industries, Inc................. 900 12,319
Smith (A.O.) Corp....................... 300 15,506
Standard Products Co.................... 400 11,250
---------
80,838
---------
Banks and Thrifts (10.1%)
Astoria Financial Corp.................. 700 37,450
CCB Financial Corp...................... 800 84,999
Centura Banks, Inc...................... 1,200 74,999
Commerce Bancorp, Inc................... 300 17,550
Commercial Federal Corp................. 1,800 56,924
Cullen/Frost Bankers, Inc............... 600 32,550
Downey Financial Corp................... 1,230 40,206
First Commercial Corp................... 700 48,605
FirstBank Puerto Rico................... 1,200 31,200
FirstMerit Corp......................... 1,600 46,600
HUBCO, Inc.............................. 500 17,906
JSB Financial, Inc...................... 300 17,569
Keystone Financial, Inc................. 1,300 48,099
Magna Group, Inc........................ 900 50,849
Provident Financial Group, Inc.......... 800 36,500
Queens County Bancorp, Inc.............. 300 13,088
Riggs National Corp..................... 600 17,531
Sovereign Bancorp, Inc.................. 2,880 47,070
St. Paul Bancorp, Inc................... 900 20,334
Susquehanna Bancshares, Inc............. 900 33,638
U.S. Trust Corp......................... 400 30,500
United Bankshares, Inc.................. 800 27,300
UST Corp................................ 600 15,900
Whitney Holding Corp.................... 400 20,300
---------
867,667
---------
Number of Market
Shares Value
--------- --------
Biotech and Medical Products (3.9%)
Ballard Medical Products................ 500 $ 9,000
Cooper Companies, Inc.+................. 300 10,931
Datascope Corp.+........................ 700 18,594
IDEXX Laboratories, Inc.+............... 700 17,413
Incyte Pharmaceuticals, Inc.+........... 500 17,063
Marquette Medical Systems, Inc.+........ 400 10,263
MedImmune, Inc.+........................ 1,100 68,612
Mentor Corp............................. 1,000 24,250
Protein Design Labs, Inc.+.............. 700 16,866
Respironics, Inc.+...................... 400 6,225
Safeskin Corp.+......................... 2,200 90,474
Steris Corp.+........................... 800 50,874
---------
340,565
---------
Chemicals (0.4%)
MacDermid, Inc.......................... 1,100 31,075
---------
Commercial Services (5.0%)
ABM Industries, Inc..................... 500 13,938
ADVO, Inc.+............................. 1,000 28,188
Billing Information Concepts+........... 1,300 20,150
Bowne & Co., Inc........................ 700 31,500
Catalina Marketing Corp.+............... 400 20,775
Central Parking Corp.................... 1,100 50,049
Consolidated Graphics, Inc.+............ 500 29,500
Devry, Inc.+............................ 1,400 30,713
Fair Isaac & Co., Inc................... 200 7,600
Gerber Scientific, Inc.................. 400 9,100
HA-LO Industries, Inc.+................. 900 28,013
Interim Services, Inc.+................. 900 28,913
Merrill Corp............................ 900 19,856
Norrell Corp............................ 600 11,963
True North Communications, Inc.......... 900 26,325
Valassis Communications, Inc.+.......... 800 30,850
Volt Information Sciences, Inc.+........ 600 16,275
World Color Press, Inc.+................ 800 28,000
---------
431,708
---------
Conglomerate and Aerospace (2.0%)
AAR Corp................................ 750 22,172
Alliant Techsystems, Inc.+.............. 500 31,625
Anixter International, Inc.+............ 1,300 24,781
BE Aerospace, Inc.+..................... 600 17,475
Kaman Corp.............................. 500 9,516
Orbital Sciences Corp.+................. 1,400 52,324
Triarc Co., Inc.+....................... 600 13,163
---------
171,056
---------
Consumer Products (1.0%)
Chiquita Brands International, Inc...... 1,400 19,688
Dekalb Genetics Corp.................... 600 56,774
Thor Industries, Inc.................... 500 13,844
---------
90,306
---------
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Small Cap (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------
<S> <C> <C>
Consumer Services (3.5%)
Applebees International, Inc.+.......... 600 $ 13,425
CapStar Hotel Co.+...................... 1,100 30,800
CKE Restaurants, Inc.................... 1,880 77,549
Foodmaker, Inc.+........................ 800 13,500
Grand Casinos, Inc.+.................... 800 13,400
IHOP Corp.+............................. 300 12,413
Landry's Seafood Restaurants, Inc.+..... 700 12,666
Luby's Cafeterias, Inc.................. 600 10,538
Prime Hospitality Corp.+................ 2,300 40,106
Ruby Tuesday, Inc....................... 1,400 21,700
Ryan's Family Steak Houses, Inc.+....... 900 9,225
Showbiz Pizza Time, Inc.+............... 700 28,219
Sonic Corp.+............................ 750 16,781
TCBY Enterprises, Inc................... 500 4,594
---------
304,916
---------
Consumer Specialties (1.0%)
Huffy Corp.............................. 300 5,438
Polaris Industries, Inc................. 600 22,575
Russ Berrie & Co., Inc.................. 500 12,500
Scotts Co. (The)+....................... 400 14,900
Sola International, Inc.+............... 500 16,344
Sturm, Ruger & Co., Inc................. 700 11,725
---------
83,482
---------
Data and Imaging Services (5.6%)
Acxiom Corp.+........................... 800 19,950
Analysts International Corp............. 500 14,188
BISYS Group, Inc. (The)+................ 500 20,500
Boole & Babbage, Inc.+.................. 1,150 27,456
Ciber, Inc.+............................ 800 30,400
Computer Task Group, Inc................ 900 30,150
Digi International, Inc.+............... 600 12,150
Filenet Corp.+.......................... 1,200 34,650
Harbinger Corp.+........................ 900 21,769
Hyperion Software Corp.+................ 800 22,800
National Computer Systems, Inc.......... 600 14,400
National Data Corp...................... 700 30,625
Platinum Technology, Inc.+.............. 3,300 94,255
Progress Software Corp.+................ 500 20,500
System Software Associates, Inc.+....... 1,600 11,400
Technology Solutions Co.+............... 500 15,844
Telxon Corp............................. 600 19,425
Vantive Corp. (The)+.................... 600 12,300
Xylan Corp.+............................ 900 26,831
---------
479,593
---------
Discretionary Retail (6.0%)
Cash America International, Inc......... 500 7,625
Cato Corp. (The)........................ 1,100 19,147
Discount Auto Parts, Inc.+.............. 700 18,200
Number of Market
Shares Value
--------- --------
Discretionary Retail (continued)
Dress Barn, Inc.+....................... 900 $ 22,388
Footstar, Inc.+......................... 1,100 52,799
Hancock Fabrics, Inc.................... 1,000 12,500
Linens 'n Things, Inc.+................. 1,600 48,899
Men's Wearhouse, Inc.+.................. 900 29,700
Michaels Stores, Inc.+.................. 1,200 42,338
New England Business Service, Inc....... 400 12,900
O'Reilly Automotive, Inc.+.............. 400 14,400
Pier 1 Imports, Inc..................... 2,600 62,074
Regis Corp.............................. 600 17,738
Ross Stores, Inc........................ 2,000 85,999
Shopko Stores, Inc.+.................... 500 17,000
Williams-Sonoma, Inc.+.................. 1,000 31,813
Zale Corp.+............................. 700 22,269
---------
517,789
---------
Diversified Financial Services (0.6%)
AMRESCO, Inc.+.......................... 1,800 52,424
---------
Electric Utilities (1.7%)
Aquarion Co............................. 300 10,256
Central Hudson Gas & Electric Co........ 300 13,763
Central Vermont Public Service.......... 600 8,963
Commonwealth Energy System Co........... 500 18,875
Eastern Utilities Association........... 500 13,125
Orange & Rockland Utilities, Inc........ 400 21,475
Philadelphia Suburban Corp.............. 533 11,659
TNP Enterprises, Inc.................... 300 9,263
United Illuminating Co.................. 400 20,250
United Water Resources, Inc............. 1,000 18,000
---------
145,629
---------
Electrical Machinery and Instruments (1.0%)
Coherent, Inc.+......................... 600 10,294
Daniel Industries....................... 500 9,500
Interface, Inc.......................... 2,000 40,375
Technitrol, Inc......................... 600 23,963
---------
84,132
---------
Electronic Media (0.9%)
Carmike Cinemas+........................ 300 8,081
Hollywood Park, Inc.+................... 1,100 13,888
Primark Corp.+.......................... 1,100 34,444
Westwood One, Inc.+..................... 700 17,653
---------
74,066
---------
Food and Beverage (2.1%)
Canandaigua Brands, Inc.+............... 700 34,431
Corn Products International, Inc.+...... 700 23,713
Earthgrains Co.......................... 900 50,287
Express Scripts, Inc.+.................. 200 16,125
NBTY, Inc.+............................. 1,100 20,213
Owens & Minor, Inc...................... 800 8,000
</TABLE>
24 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------
<S> <C> <C>
Food and Beverage (continued)
Smithfields Foods, Inc.+................ 1,000 $ 30,500
---------
183,269
---------
Food and Drug Retail (1.4%)
Casey's General Stores, Inc............. 1,000 16,563
Fleming Companies, Inc.................. 800 14,050
Nash-Finch Co........................... 600 9,038
Richfood Holdings, Inc.................. 800 16,550
Whole Foods Market, Inc.+............... 1,000 60,499
---------
116,700
---------
Forest Products and Building Materials (2.0%)
AptarGroup, Inc......................... 500 31,094
Caraustar Industries, Inc............... 500 14,438
Delta & Pine Land Co.................... 700 31,150
Lone Star Industries, Inc............... 200 15,413
Medusa Corp............................. 300 18,825
Republic Group, Inc..................... 500 10,500
Shorewood Packaging Corp.+.............. 750 11,906
Thomas Industries, Inc.................. 600 14,663
TJ International, Inc................... 400 12,050
Universal Forest........................ 700 11,463
---------
171,502
---------
Gas Utilities (1.6%)
Connecticut Energy Corp................. 300 8,363
Energen Corp............................ 800 16,100
KN Energy, Inc.......................... 900 48,768
New Jersey Resources Corp............... 500 17,844
Piedmont Natural Gas, Inc............... 600 20,175
Wicor, Inc.............................. 1,000 23,125
---------
134,375
---------
Health Care (0.2%)
Parexel International Corp.+............ 500 18,188
---------
Health Services (3.3%)
Access Health, Inc.+.................... 800 20,400
American Oncology Resources, Inc.+...... 700 8,553
Cerner Corp.+........................... 600 16,988
Integrated Health Services, Inc.+....... 900 33,750
Lincare Holdings, Inc.+................. 1,300 54,680
Mariner Health Group, Inc.+............. 600 9,975
Orthodontic Centers of America, Inc.+... 900 18,844
Patterson Dental Co.+................... 600 21,975
Pediatrix Medical Group, Inc.+.......... 300 11,156
Renal Care Group, Inc.+................. 500 22,031
Sierra Health Services, Inc.+........... 750 18,891
Universal Health Services, Inc.+........ 800 46,700
---------
283,943
---------
Heavy Machinery (1.3%)
Astec Industries, Inc.+................. 400 13,800
Blount, Inc............................. 700 19,950
JLG Industries, Inc..................... 800 16,150
Number of Market
Shares Value
--------- --------
Heavy Machinery (continued)
Lindsay Manufacturing Co................ 300 $ 8,138
Manitowoc Co., Inc. (The)............... 300 12,094
Titan International, Inc................ 1,100 18,700
Wabash National Corp.................... 1,000 25,750
---------
114,582
---------
Housing and Furnishings (4.7%)
Champion Enterprises, Inc.+............. 900 26,325
D.R. Horton, Inc........................ 2,275 47,491
Ethan Allen Interiors, Inc.............. 1,300 64,918
La-Z-Boy, Inc........................... 500 28,250
MDC Holdings, Inc....................... 900 17,775
Mohawk Industries, Inc.+................ 2,000 63,374
Nature's Sunshine Products, Inc......... 400 9,025
Oakwood Homes Corp...................... 900 27,000
Pillowtex Corp.......................... 400 16,050
Ryland Group, Inc....................... 400 10,500
Skyline Corp............................ 400 13,050
Standard Pacific Corp................... 1,600 33,000
Toll Brothers, Inc.+.................... 700 20,081
U.S. Home Corp.+........................ 600 24,750
---------
401,589
---------
Industrial Services (0.5%)
Butler Manufacturing Co................. 400 13,625
Insituform Technologies, Inc.+.......... 1,100 15,228
Stone & Webster, Inc.................... 300 11,888
---------
40,741
---------
Insurance (8.6%)
Allied Group, Inc....................... 600 28,088
Capital RE Corp......................... 600 42,975
CMAC Investment Corp.................... 900 55,349
Delphi Financial Group, Inc.+........... 600 33,788
Enhance Financial Services Group, Inc... 1,600 53,999
Executive Risk, Inc..................... 300 22,125
Fidelity National Financial, Inc........ 940 37,424
First American Financial Corp........... 750 67,499
Fremont General Corp.................... 1,300 70,443
Frontier Insurance Group, Inc........... 770 17,373
Gallagher (Arthur J.) & Co.............. 300 13,425
Life Re Corp............................ 700 57,399
Mutual Risk Management Ltd.............. 800 29,150
NAC Re Corp............................. 600 32,025
Orion Capital Corp...................... 1,200 67,049
Protective Life Corp.................... 2,400 88,049
Selective Insurance Group, Inc.......... 800 17,925
Trenwick Group, Inc..................... 200 7,769
---------
741,854
---------
Investment Services (2.3%)
Dain Rauscher Corp...................... 300 16,425
Eaton Vance Corp........................ 800 37,050
Envoy Corp.+............................ 400 18,950
</TABLE>
25
<PAGE>
Index Plus Portfolios
Portfolio of Investments - June 30, 1998 (Unaudited)
Index Plus Small Cap (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------
<S> <C> <C>
Investment Services (continued)
Legg Mason, Inc......................... 1,100 $ 63,318
Raymond James Financial, Inc............ 2,150 64,365
---------
200,108
---------
Miscellaneous Metals (0.2%)
Amcol International Corp................ 700 8,444
Imco Recycling, Inc..................... 600 11,100
---------
19,544
---------
Oil (0.6%)
Cross Timbers Oil Co.................... 1,600 30,500
Offshore Logistics, Inc.+............... 1,000 17,750
---------
48,250
---------
Oil Services (1.6%)
Input/Output, Inc.+..................... 1,900 33,844
Oceaneering International, Inc.+........ 1,000 17,750
Pool Energy Services Co.+............... 1,000 14,750
Pride International, Inc.+.............. 2,500 42,344
Seitel, Inc.+........................... 900 14,569
Tuboscope Vetco International Corp.+.... 900 17,775
---------
141,032
---------
Other Telecommunications (0.8%)
California Microwave, Inc.+............. 700 12,250
Dialogic Corp.+......................... 300 8,925
Inter-Tel Incorporated & Subsidiaries... 1,100 17,600
P-Com, Inc.+............................ 1,700 15,566
Tel-Save Holdings, Inc.+................ 1,200 17,700
---------
72,041
---------
Print Media (0.7%)
PMT Services, Inc.+..................... 800 20,350
SEI Investments Co...................... 700 43,400
---------
63,750
---------
Producer Goods (6.7%)
Amcast Industrial Corp.................. 400 7,450
Applied Industrial Technologies, Inc.... 600 12,338
Applied Power, Inc...................... 1,200 41,250
Baldor Electric Co...................... 500 12,188
Belden, Inc............................. 500 15,313
BMC Industries, Inc..................... 500 4,375
Brady (W.H.) Co......................... 500 13,906
Buckeye Technologies, Inc.+............. 1,600 37,700
Castle (A.M.) & Co...................... 700 15,400
Commercial Metals Co.................... 600 18,450
Graco, Inc.............................. 600 20,925
Griffon Corp.+.......................... 1,200 15,375
Halter Marine Group, Inc.+.............. 800 12,050
Hughes Supply, Inc...................... 700 25,638
Intermet Corp........................... 1,000 18,125
Juno Lighting, Inc...................... 500 11,813
Kuhlman Corp............................ 400 15,825
Number of Market
Shares Value
--------- --------
Producer Goods (continued)
Lawson Products, Inc.................... 300 $ 7,725
Lilly Industries, Inc................... 600 12,975
Mueller Industries, Inc.+............... 800 29,700
Oak Industries, Inc.+................... 300 10,613
Paxar Corp.+............................ 900 10,350
Regal Beloit............................ 900 25,650
Robbins & Myers, Inc.................... 400 11,625
Roper Industries, Inc................... 600 15,675
SPS Technologies, Inc.+................. 500 29,250
Standex International Corp.............. 300 8,888
Tredegar Industries, Inc................ 500 42,438
Valmont Industries...................... 700 13,978
Wolverine Tube, Inc.+................... 600 22,800
Zebra Technologies, Inc.+............... 800 34,200
ZERO Corp............................... 300 8,513
---------
582,501
---------
Semiconductors and Electronics (5.3%)
Avid Technology, Inc.+.................. 500 16,750
Benchmark Electronics, Inc.+............ 500 10,000
Brightpoint, Inc.+...................... 2,100 30,450
Burr-Brown Corp.+....................... 900 18,900
C-Cube Microsystems, Inc.+.............. 1,600 29,700
Cable Design Technologies+.............. 1,350 27,844
CTS Corp................................ 600 17,700
Dallas Semiconductor Corp............... 600 18,600
Electro Scientific Industries, Inc.+.... 600 18,938
Etec Systems, Inc.+..................... 400 14,075
Hadco Corp.+............................ 300 6,994
Harman International Industries......... 400 15,400
Integrated Circuit Systems, Inc.+....... 700 11,638
Marshall Industries+.................... 300 8,175
Methode Electronics, Inc................ 600 9,300
Park Electrochemical Corp............... 400 8,450
Phototronics, Inc.+..................... 600 13,238
Pioneer Standard Electronics............ 800 7,700
Plexus Corp.+........................... 800 15,900
Sanmina Corp.+.......................... 800 34,700
Tech Data Corp.+........................ 900 38,588
Trimble Navigation Ltd.+................ 400 6,475
Unitrode Corp.+......................... 1,100 12,650
Vanstar Corp.+.......................... 700 10,194
Vicor Corp.+............................ 600 8,325
Vitesse Semiconductor Corp.+............ 1,400 43,225
---------
453,909
---------
Specialty Chemicals (0.6%)
Cambrex Corp............................ 600 15,750
Chemed Corp............................. 200 6,813
ChemFirst, Inc.......................... 400 10,100
OM Group, Inc........................... 400 16,500
---------
49,163
---------
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- ---------
<S> <C> <C>
Steel (0.8%)
Quanex Corp............................. 400 $ 12,125
Steel Technologies, Inc................. 500 5,125
Texas Industries, Inc................... 800 42,400
WHX Corp.+.............................. 800 10,300
---------
69,950
---------
Surface Transport (1.5%)
American Freightways Corp.+............. 800 8,000
Arkanas Best Corp.+..................... 1,000 9,375
Heartland Express, Inc.+................ 600 12,150
Landstar Systems, Inc.+................. 300 10,481
M.S. Carriers, Inc.+.................... 500 13,563
Rollins Truck Leasing Corp.............. 1,650 20,419
U.S. Freightways Corp................... 800 26,275
Werner Enterprises, Inc................. 1,250 23,828
Yellow Corp.+........................... 500 9,281
---------
133,372
---------
Textiles and Apparel (2.1%)
Authentic Fitness Corp.................. 600 9,488
Galey & Lord, Inc.+..................... 600 8,925
Guilford Mills, Inc..................... 1,100 22,000
Justin Industries....................... 700 11,288
Kellwood Co............................. 400 14,300
Nautica Enterprises, Inc.+.............. 700 18,769
Oshkosh B'Gosh, Inc..................... 400 17,800
Oxford Industries, Inc.................. 500 17,469
Stride Rite Corp........................ 1,300 19,581
Timberland Co. (The)+................... 400 28,775
Wolverine World Wide, Inc............... 700 15,181
---------
183,576
---------
Tobacco (0.1%)
Schweitzer-Mauduit International, Inc... 400 11,600
---------
Total Common Stocks (cost $7,969,185) 8,285,080
---------
Principal
Amount
----------
SHORT-TERM INVESTMENTS (2.9%)
Federal Home Loan Mortgage Corp.,
5.60%, 07/01/98....................... $254,000 253,999
---------
Total Short-Term Investments (cost $253,999) 253,999
---------
TOTAL INVESTMENTS (cost $8,223,184)(a) 8,539,079
Other assets less liabilities 90,934
---------
Total Net Assets
$8,630,013
=========
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$8,238,273. Unrealized gains and losses, based on identified tax cost at June
30, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains ...................... $ 728,386
Unrealized losses ..................... (427,580)
-----------
Net unrealized gain ................. $ 300,806
===========
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 27
<PAGE>
Index Plus Portfolios
Statements of Assets and Liabilities
June 30, 1998 (Unaudited)
===============================================================================
<TABLE>
<S> <C>
Assets:
Investments, at market value .........................................
Cash .................................................................
Receivable for:
Dividends and interest .............................................
Investments sold ...................................................
Fund shares sold ...................................................
Reimbursment from Investment Adviser ...............................
Prepaid expenses .....................................................
Total assets ................................................
Liabilities:
Payable for:
Investments purchased ..............................................
Variation margin ...................................................
Accrued investment advisory fees .....................................
Accrued administrative service fees ..................................
Accrued custodian fees ...............................................
Other liabilities ....................................................
Total liabilities ...........................................
NET ASSETS .........................................................
Net assets represented by:
Paid-in capital ......................................................
Net unrealized gain on investments and open futures contracts.........
Undistributed net investment income ..................................
Accumulated net realized gain on investments .........................
NET ASSETS .........................................................
Capital Shares:
Authorized ...........................................................
Par Value ............................................................
Outstanding ..........................................................
Net Asset Value, offering and redemption price per share
(net assets divided by shares outstanding) .........................
Cost of investments ..................................................
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Index Plus Index Plus Index Plus Index Plus
Bond Large Cap Mid Cap Small Cap
------------ ------------- ------------ ------------
<S> <C> <C> <C>
$15,388,359 $285,234,358 $8,719,196 $8,539,079
8,652 1,079 611 535
204,828 242,203 4,775 4,588
-- 2,110,404 125,022 132,955
8,004 1,097,711 7,711 21,433
260 -- 269 304
158 1,107 77 78
------------ ------------- ----------- -----------
15,610,261 288,686,862 8,857,661 8,698,972
------------ ------------- ----------- -----------
-- 7,513,468 36,619 62,153
-- 6,375 -- --
3,589 72,406 2,720 2,612
867 15,241 483 462
994 3,880 952 952
2,938 18,051 2,777 2,780
------------ ------------- ----------- -----------
8,388 7,629,421 43,551 68,959
------------ ------------- ----------- -----------
$15,601,873 $281,057,441 $8,814,110 $8,630,013
============ ============= =========== ===========
$15,124,105 $237,855,901 $7,817,350 $7,965,615
138,214 27,787,515 482,995 315,895
337,389 1,098,228 22,644 10,601
2,165 14,315,797 491,121 337,902
------------ ------------- ----------- -----------
$15,601,873 $281,057,441 $8,814,110 $8,630,013
============ ============= =========== ===========
Two Billion Two Billion Two Billion Two Billion
$ 0.001 $ 0.001 $ 0.001 $ 0.001
1,511,998 16,997,645 777,856 792,694
$ 10.319 $ 16.535 $ 11.331 $ 10.887
$15,250,145 $257,441,866 $8,236,201 $8,223,184
</TABLE>
29
<PAGE>
Index Plus Portfolios
Statements of Operations
Six Month Period Ended June 30, 1998 (Unaudited)
===============================================================================
<TABLE>
<S> <C>
Investment Income:
Dividends ....................................................................
Interest .....................................................................
Foreign taxes withheld on dividends ..........................................
Total investment income .............................................
Investment Expenses:
Investment advisory fee ......................................................
Administrative services fees .................................................
Printing and postage fees ....................................................
Custody fees .................................................................
Transfer agent fees ..........................................................
Audit fees ...................................................................
Registration fees ............................................................
Directors' fees ..............................................................
Miscellaneous expenses .......................................................
Expenses before reimbursement and waiver from Adviser ........................
Expense reimbursement and waiver from Adviser ................................
Total expenses ......................................................
Net investment income ........................................................
Net Realized and Unrealized Gain (Loss):
Net realized gain on:
Sale of investments ........................................................
Written options ............................................................
Futures.....................................................................
Net realized gain on investments ....................................
Net change in unrealized gain or loss on:
Investments ................................................................
Futures.....................................................................
Net change in unrealized gain or loss on investments ................
Net realized and change in unrealized gain or loss on investments ............
Net increase in net assets resulting from operations .........................
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Index Plus Index Plus Index Plus Index Plus
Bond Large Cap Mid Cap Small Cap
---------- ------------ ---------- ----------
<S> <C> <C> <C>
$ -- $ 1,438,711 $ 43,297 $ 31,718
470,805 205,457 5,145 5,536
---------- ------------ --------- ---------
470,805 1,644,168 48,442 37,254
-- (6,042) -- (18)
---------- ------------ --------- ---------
470,805 1,638,126 48,442 37,236
---------- ------------ --------- ---------
22,516 357,573 16,450 16,263
9,351 121,709 6,410 6,376
863 2,801 797 797
997 3,880 955 958
436 507 435 435
1,925 1,814 1,759 1,759
-- 3,183 5 8
64 940 35 35
36 397 20 20
---------- ------------ --------- ---------
36,188 492,804 26,866 26,651
(2,044) -- (1,916) (1,980)
---------- ------------ --------- ---------
34,144 492,804 24,950 24,671
---------- ------------ --------- ---------
436,661 1,145,322 23,492 12,565
---------- ------------ --------- ---------
2,165 13,940,482 478,857 331,648
-- -- -- 6,254
-- 825,819 12,264 --
---------- ------------ --------- ---------
2,165 14,766,301 491,121 337,902
---------- ------------ --------- ---------
130,139 17,768,521 225,753 (3,330)
-- (4,977) -- --
---------- ------------ --------- ---------
130,139 17,763,544 225,753 (3,330)
---------- ------------ --------- ---------
132,304 32,529,845 716,874 334,572
---------- ------------ --------- ---------
$ 568,965 $33,675,167 $740,366 $347,137
========== ============ ========= =========
</TABLE>
31
<PAGE>
Index Plus Portfolios
Statements of Changes in Net Assets
===============================================================================
<TABLE>
<CAPTION>
Index Plus Bond
--------------------------------------
Six Month
Period Ended Period From
June 30, 1998 December 18, 1997 to
(Unaudited) December 31, 1997
------------ -------------------
<S> <C> <C>
From Operations:
Net investment income ...................................................... $ 436,661 $ 32,299
Net realized gain on investments ........................................... 2,165 --
Net change in unrealized gain or loss on investments ....................... 130,139 8,075
------------ ------------
Net increase in net assets resulting from operations ..................... 568,965 40,374
------------ ------------
Distributions to Shareholders:
From net investment income ............................................. (100,071) (31,500)
------------ ------------
Decrease in net assets from distributions to shareholders ................ (100,071) (31,500)
------------ ------------
From Fund Share Transactions:
Proceeds from shares sold .............................................. 124,236 15,000,000
Net asset value of shares issued upon reinvestment of distributions .... 621 --
Payments for shares redeemed ........................................... (752) --
------------ ------------
Net increase in net assets from fund share transactions ................. 124,105 15,000,000
------------ ------------
Change in net assets ....................................................... 592,999 15,008,874
Net Assets:
Beginning of period ........................................................ 15,008,874 --
------------ ------------
End of period .............................................................. $15,601,873 $15,008,874
============ ============
End of period net assets includes undistributed net investment income ...... $ 337,389 $ 799
============ ============
Share Transactions:
Number of shares sold .................................................. 12,011 1,500,000
Number of shares issued upon reinvestment of distributions ............. 60 --
Number of shares redeemed .............................................. (73) --
------------ ------------
Net increase ............................................................. 11,998 1,500,000
============ ============
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Index Plus Large Cap
--------------------------------------
Six Month
Period Ended
June 30, 1998 Year Ended
(Unaudited) December 31, 1997
------------ -----------------
<S> <C> <C>
From Operations:
Net investment income ..................................................... $ 1,145,322 $ 921,019
Net realized gain on investments .......................................... 14,766,301 5,527,485
Net change in unrealized gain or loss on investments ...................... 17,763,544 8,934,413
------------- -------------
Net increase in net assets resulting from operations .................... 33,675,167 15,382,917
------------- -------------
Distributions to Shareholders:
From net investment income ............................................ (100,185) (867,859)
From net realized gains on investments ................................ (1,526,157) (4,427,074)
------------- -------------
Decrease in net assets from distributions to shareholders ............... (1,626,342) (5,294,933)
------------- -------------
From Fund Share Transactions:
Proceeds from shares sold ............................................. 120,701,040 108,547,655
Net asset value of shares issued upon reinvestment of distributions ... 1,626,342 5,294,933
Payments for shares redeemed .......................................... (5,835,284) (10,824,511)
------------- -------------
Net increase in net assets from fund share transactions ................ 116,492,098 103,018,077
------------- -------------
Change in net assets ...................................................... 148,540,923 113,106,061
Net Assets:
Beginning of period ....................................................... 132,516,518 19,410,457
------------- -------------
End of period ............................................................. $281,057,441 $132,516,518
============= =============
End of period net assets includes undistributed net investment income ..... $ 1,098,228 $ 53,091
============= =============
Share Transactions:
Number of shares sold ................................................. 7,818,816 8,195,022
Number of shares issued upon reinvestment of distributions ............ 98,774 377,773
Number of shares redeemed ............................................. (373,839) (898,689)
------------- -------------
Net increase ............................................................ 7,543,751 7,674,106
============= =============
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Index Plus Portfolios
Statements of Changes in Net Assets (continued)
===============================================================================
<TABLE>
<CAPTION>
Index Plus Mid Cap
----------------------------------
Six Month
Period Ended Period From
June 30, 1998 December 16, 1997 to
(Unaudited) December 31, 1997
------------ -----------------
<S> <C> <C>
From Operations:
Net investment income ........................................... $ 23,492 $ 4,777
Net realized gain on investments ................................ 491,121 --
Net change in unrealized gain or loss on investments ............ 225,753 257,242
----------- -----------
Net increase in net assets resulting from operations .......... 740,366 262,019
----------- -----------
Distributions to Shareholders:
From net investment income .................................. -- (5,625)
----------- -----------
Decrease in net assets from distributions to shareholders ..... -- (5,625)
----------- -----------
From Fund Share Transactions:
Proceeds from shares sold ................................... 918,510 7,500,000
Payments for shares redeemed ................................ (601,160) --
----------- -----------
Net increase in net assets from fund share transactions ...... 317,350 7,500,000
----------- -----------
Change in net assets ............................................ 1,057,716 7,756,394
Net Assets:
Beginning of period ............................................. 7,756,394 --
----------- -----------
End of period ................................................... $8,814,110 $7,756,394
=========== ===========
End of period net assets includes undistributed
(distributions in excess of) net investment income ............ $ 22,644 $ (848)
=========== ===========
Share Transactions:
Number of shares sold ....................................... 81,398 750,000
Number of shares redeemed ................................... (53,542) --
----------- -----------
Net increase .................................................. 27,856 750,000
=========== ===========
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Index Plus Small Cap
-------------------------------------
Six Month
Period Ended Period From
June 30, 1998 December 19, 1997 to
(Unaudited) December 31, 1997
------------- --------------------
<S> <C> <C>
From Operations:
Net investment income ................................................ $ 12,565 $ 5,536
Net realized gain on investments ..................................... 337,902 --
Net change in unrealized gain or loss on investments ................. (3,330) 319,225
----------- -----------
Net increase in net assets resulting from operations ............... 347,137 324,761
----------- -----------
Distributions to Shareholders:
From net investment income ....................................... -- (7,500)
----------- -----------
Decrease in net assets from distributions to shareholders .......... -- (7,500)
----------- -----------
From Fund Share Transactions:
Proceeds from shares sold ........................................ 1,023,048 7,500,000
Payments for shares redeemed ..................................... (557,433) --
----------- -----------
Net increase in net assets from fund share transactions ........... 465,615 7,500,000
----------- -----------
Change in net assets ................................................. 812,752 7,817,261
Net Assets:
Beginning of period .................................................. 7,817,261 --
----------- -----------
End of period ........................................................ $8,630,013 $7,817,261
=========== ===========
End of period net assets includes undistributed
(distributions in excess of) net investment income ................. $ 10,601 $ (1,964)
=========== ===========
Share Transactions:
Number of shares sold ............................................ 94,421 750,000
Number of shares redeemed ........................................ (51,727) --
----------- -----------
Net increase ....................................................... 42,694 750,000
=========== ===========
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Index Plus Portfolios
Notes to Financial Statements
June 30, 1998 (Unaudited)
===============================================================================
1. Organization
Aetna Variable Portfolios, Inc. (Fund) is registered under the Investment
Company Act of 1940 (the Act) as an open-end management investment company. It
was incorporated under the laws of Maryland on June 4, 1996. The Articles of
Incorporation permit the Company to offer separate portfolios, each of which has
its own investment objective, policies and restrictions.
The Fund currently offers eleven portfolios. This report covers four portfolios:
Aetna Index Plus Bond VP, Aetna Index Plus Large Cap VP (formerly Aetna Index
Plus Portfolio), Aetna Index Plus Mid Cap VP and Aetna Index Plus Small Cap VP
(Portfolios).
The following is each Portfolio's investment objective:
Aetna Index Plus Bond VP (Index Plus Bond) seeks to maximize total return
consistent with preservation of capital primarily through investment in a
diversified portfolio of fixed income securities, which will be chosen to
substantially replicate the characteristics of the Lehman Brothers Aggregate
Bond Index, an unmanaged index comprised of approximately 6,000 securities.
Aetna Index Plus Large Cap VP (Index Plus Large Cap) seeks to outperform the
total return performance of publicly traded common stocks represented in the
Standard and Poor's 500 Composite Stock Price Index.
Aetna Index Plus Mid Cap VP (Index Plus Mid Cap) seeks to outperform the
total return performance of publicly traded common stocks represented in the
Standard and Poor's Midcap 400.
Aetna Index Plus Small Cap VP (Index Plus Small Cap) seeks to outperform the
total return performance of publicly traded common stocks represented in the
Standard and Poor's Smallcap 600 Index.
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.
Effective May 1, 1998, Aeltus Investment Management, Inc. (Aeltus) became the
Investment Adviser to each Portfolio. Prior to May 1, 1998, ALIAC acted as
Investment Adviser and Aeltus served as Sub-Adviser to the Portfolios. ALIAC
serves as the principal underwriter to each Portfolio. Aeltus and ALIAC are both
wholly-owned subsidiaries of Aetna Retirement Holdings, Inc. and are indirect
wholly-owned subsidiaries of Aetna Inc.
2. Summary of Significant Accounting Policies
The accompanying financial statements of the Portfolios have been prepared in
accordance 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 value. Securities and fixed income investments for which
market quotations are not considered to be readily available are valued using
methods approved by the Board of Directors.
36
<PAGE>
===============================================================================
2. Summary of Significant Accounting Policies (continued)
A. Valuation of Investments (continued)
The accounting records of the Portfolios are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. 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. Options Contracts
The Portfolios may purchase and write (sell) call and put options, including
options on securities, indices and futures. Call options on securities may be
written only if covered.
Option contracts are valued daily and unrealized gains or losses are recorded
based upon the last sales price on the principal exchange on which the options
are traded.
The Portfolios will realize a gain or loss upon the expiration or closing of the
option contract. When an option is exercised, the proceeds on sales of the
underlying security for a written call option, the purchase cost of the security
for a written put option, or the cost of the security for a purchased put or
call option is adjusted by the amount of premium received or paid. Realized and
unrealized gains or losses on option contracts are reflected in the accompanying
Financial Statements.
The risk in writing a call option is that the Portfolios give up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Portfolios may incur a
loss if the market price of the security decreases and the option is exercised.
The risk in buying an option is that the Portfolios pay a premium whether or not
the option is exercised. Risks may also arise from an illiquid secondary market
or from the inability of counterparties to meet the terms of the contract.
C. Futures 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 "sell" futures
contracts as a hedge against declines in the value of portfolio securities. 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 fluctuations
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 held by the Portfolios are closed prior to
expiration.
The risks associated with futures 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 are reflected in the
accompanying financial statements. The amounts at risk under such futures may
exceed the amounts reflected in the financial statements. The notional amounts
(economic exposure) of these contracts are disclosed in the Portfolios of
Investments. For federal income tax purposes, any futures contracts which remain
open at year end are marked-to-market and the resultant net gain or loss is
reported to shareholders as federal taxable income.
37
<PAGE>
Index Plus Portfolios
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
===============================================================================
2. Summary of Significant Accounting Policies (continued)
D. 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 those sold pursuant to Rule
144A and Section 4(2) of the Securities Act of 1933 (1933 Act), and are subject
to legal or contractual restrictions on resale and may not be publicly sold
without registration under the 1933 Act. Each Portfolio may invest up to 10% 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.
E. Federal Income Taxes
As a qualified regulated investment company, each Portfolio is relieved of
federal income and excise taxes by distributing all of its net taxable
investment income and capital gains, if any, in compliance with the applicable
provisions of the Internal Revenue Code.
F. Distributions
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 futures and deferred losses on wash
sales.
G. Other
Investment transactions are accounted for on the day following the 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 accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
3. Investment Advisory and Administrative Services Fees
Effective May 1, 1998, Aeltus became the Investment Adviser and Administrator to
the Fund. Prior to that time, ALIAC acted as Investment Advisor and
Administrator to the Fund and Aeltus acted as Sub-Adviser to the Fund.
As Investment Adviser, Aeltus (ALIAC prior to May 1, 1998) is paid a monthly fee
expressed as a percentage of the average daily net assets of each Portfolio.
Below are each Portfolio's Investment Advisory fees as of June 30, 1998:
<TABLE>
<CAPTION>
Advisory
Fee
--------------
<S> <C>
Index Plus Bond 0.30%
Index Plus Large Cap 0.35%
Index Plus Mid Cap 0.40%
Index Plus Small Cap 0.40%
</TABLE>
Prior to May 1, 1998, ALIAC served as Investment Adviser and Aeltus served as
the Sub-Adviser. As Sub-Adviser, Aeltus supervised the investment and
reinvestment of cash and securities and provided certain related administrative
services. For the period January 1, 1998 through April 30, 1998, ALIAC collected
$248,161 from the Portfolios, of which it paid $176,369 to Aeltus.
38
<PAGE>
===============================================================================
3. Investment Advisory and Administrative Services Fees (continued)
Effective May 1, 1998, each Portfolio pays expenses incurred in exchange for
services provided by auditors, legal firms, transfer agents, custodian banks,
and financial printers. Each Portfolio pays its proportionate share of
compensation paid to the Fund's Board of Directors and its proportionate share
of insurance premiums of the Fund. Each Portfolio pays its direct costs incurred
to mail shareholder reports, register its shares with the Securities Exchange
Commission and any other costs incurred by the Portfolio. In addition, each
Portfolio pays Aeltus an administrative services fee in exchange for receiving
certain administrative and shareholder services and to compensate Aeltus for
supervising the Fund's other service providers. Each Portfolio pays Aeltus an
administrative services fee at an annual rate based on average daily net assets
of the Portfolio. The rate is 0.075% on the first $5 billion in Portfolio assets
and 0.050% on all Portfolio assets over $5 billion.
Prior to May 1, 1998, ALIAC acted as Administrator to the Fund. As
Administrator, ALIAC paid all the expenses of the Fund on behalf of the Fund,
supervised the Fund's other service providers and provided the Fund with certain
administrative and shareholder services. In exchange for these services, ALIAC
received an administrative services fee at an annual rate of up to 0.20% of each
Portfolio's average daily net assets. For the period January 1, 1998 through
April 30, 1998, ALIAC collected $108,960 in administrative services fees from
the Portfolios.
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Portfolio in
exchange for fees, payable by Aeltus, of up to 0.20% of the Portfolios' average
daily net assets. For the period May 1, 1998 through June 30, 1998, Aeltus paid
ALIAC $84,443.
4. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 1998 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds from Sales
----------------- -------------------
<S> <C> <C>
Index Plus Bond $ 1,772,106 $ 430,285
Index Plus Large Cap 220,331,231 110,182,156
Index Plus Mid Cap 6,630,612 6,274,418
Index Plus Small Cap 5,347,877 5,070,581
</TABLE>
5. Reimbursement from Investment Adviser
The Investment Adviser may, from time to time, make reimbursements to a
Portfolio for some or all of its operating expenses or it may waive fees.
Reimbursement and waiver arrangements, which may be terminated at any time
without notice, will increase a Portfolio's yield and total return. For the
period ended June 30, 1998, reimbursements were as follows:
<TABLE>
<CAPTION>
Portfolio Total
---------------
<S> <C>
Index Plus Bond $2,044
Index Plus Mid Cap 1,916
Index Plus Small Cap 1,980
</TABLE>
39
<PAGE>
Index Plus Portfolios
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
===============================================================================
6. Options
All Portfolios may use options. For the period ended June 30, 1998, the
following reflects the written covered put and call activity:
<TABLE>
<CAPTION>
Call Options Written
------------------------------------------------
Number of Deferred Premium Realized
Index Plus Small Cap Contracts Received Gain (Loss)
------------------------------------------------
<S> <C> <C> <C>
Outstanding December 31, 1997........... -- $ -- $ --
Written............................. 20 20,189 --
Closed.............................. (20) (20,189) (2,811)
Exercised........................... -- -- --
Expired............................. -- -- --
-------------------------------------------------
Outstanding June 30, 1998............... -- $ -- $(2,811)
=================================================
Put Options Written
-------------------------------------------------
Number of Deferred Premium Realized
Index Plus Small Cap Contracts Received Gain (Loss)
-------------------------------------------------
Outstanding December 31, 1997........... -- $ -- $ --
Written............................. 47 22,146 --
Closed.............................. (47) (22,146) 9,065
Exercised........................... -- -- --
Expired............................. -- -- --
-------------------------------------------------
Outstanding June 30, 1998............... -- $ -- $ 9,065
=================================================
</TABLE>
40
<PAGE>
Index Plus Portfolios
Financial Highlights
Index Plus Bond
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six Month
Period Ended Period From
June 30, 1998 December 18, 1997 to
(Unaudited) December 31, 1997
-------------- --------------------
<S> <C> <C>
Net asset value, beginning of period .............................................. $ 10.006 $ 10.000
--------- ---------
Income from investment operations:
Net investment income ........................................................... 0.289 0.022
Net realized and change in unrealized gain or loss on investments ............... 0.090 0.005
--------- ---------
Total from investment operations .......................................... 0.379 0.027
--------- ---------
Less distributions:
From net investment income ...................................................... (0.066) (0.021)
--------- ---------
Total distributions ....................................................... (0.066) (0.021)
--------- ---------
Net asset value, end of period .................................................... $ 10.319 $ 10.006
========= =========
Total return*...................................................................... 3.76% 0.27%
Net assets, end of period (000's) ................................................. $ 15,602 $ 15,009
Ratio of total expenses to average net assets ..................................... 0.45%(1) 0.45%(1)
Ratio of net investment income to average net assets .............................. 5.79%(1) 5.23%(1)
Ratio of net expense before reimbursement and waiver to average net assets ........ 0.48%(1) --
Ratio of net investment income before reimbursement and waiver to average net
assets .......................................................................... 5.76%(1) --
Portfolio turnover rate ........................................................... 3.09% --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
See Notes to Financial Statements.
41
<PAGE>
Index Plus Portfolios
Financial Highlights (continued)
Index Plus Large Cap
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six Month
Period Ended Year Ended Period From
June 30, 1998 December 31, September 16, 1996 to
(Unaudited) 1997 December 31, 1996
---------------- ---------------- ---------------------
<S> <C> <C> <C>
Net asset value, beginning of period ................................. $ 14.017 $ 10.906 $ 10.000
---------- --------- ----------
Income from investment operations:
Net investment income .............................................. 0.065 0.102 0.047
Net realized and change in unrealized gain or loss on investments .. 2.550 3.594 0.919
---------- --------- ---------
Total from investment operations ............................. 2.615 3.696 0.966
---------- --------- ---------
Less distributions:
From net investment income ......................................... (0.006) (0.096) (0.047)
From net realized gains on investments ............................. (0.091) (0.489) (0.013)
---------- --------- ---------
Total distributions .......................................... (0.097) (0.585) (0.060)
---------- --------- ---------
Net asset value, end of period ....................................... $ 16.535 $ 14.017 $ 10.906
========== ========= =========
Total return*......................................................... 18.66% 33.89% 9.64%
Net assets, end of period (000's) .................................... $ 281,057 $132,517 $ 19,410
Ratio of total expenses to average net assets ........................ 0.48%(1) 0.50% 0.50%(1)
Ratio of net investment income to average net assets ................. 1.11%(1) 1.38% 1.89%(1)
Portfolio turnover rate .............................................. 54.54% 76.83% 5.18%
Average commission rate paid per share on purchases of equity
securities ......................................................... $ 0.0418 $ 0.0372 $ 0.0358
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
See Notes to Financial Statements.
42
<PAGE>
Index Plus Mid Cap
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six Month
Period Ended Period From
June 30, 1998 December 16, 1997 to
(Unaudited) December 31, 1997
------------- --------------------
<S> <C> <C>
Net asset value, beginning of period .............................................. $ 10.342 $ 10.000
--------- ---------
Income from investment operations:
Net investment income ........................................................... 0.029 0.006
Net realized and change in unrealized gain or loss on investments ............... 0.960 0.344
---------- ---------
Total from investment operations .......................................... 0.989 0.350
---------- ---------
Less distributions:
From net investment income ...................................................... -- (0.008)
---------- ---------
Total distributions ....................................................... -- (0.008)
---------- ---------
Net asset value, end of period .................................................... $ 11.331 $ 10.342
========== =========
Total return*...................................................................... 9.57% 3.50%
Net assets, end of period (000's) ................................................. $ 8,814 $ 7,756
Ratio of total expenses to average net assets ..................................... 0.60%(1) 0.60%(1)
Ratio of net investment income to average net assets .............................. 0.57%(1) 1.37%(1)
Ratio of net expense before reimbursement and waiver to average net assets ........ 0.65%(1) --
Ratio of net investment income before reimbursement and waiver to average net
assets .......................................................................... 0.52%(1) --
Portfolio turnover rate ........................................................... 76.84% --
Average commission rate paid per share on equity securities traded ................ $ 0.0249 $ 0.0481
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
See Notes to Financial Statements.
43
<PAGE>
Index Plus Portfolios
Financial Highlights (continued)
Index Plus Small Cap
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six Month
Period Ended Period From
June 30, 1998 December 19, 1997 to
(Unaudited) December 31, 1997
------------- --------------------
<S> <C> <C>
Net asset value, beginning of period .............................................. $ 10.423 $ 10.000
--------- ---------
Income from investment operations:
Net investment income ........................................................... 0.013 0.007
Net realized and change in unrealized gain or loss on investments ............... 0.451 0.426
---------- ---------
Total from investment operations .......................................... 0.464 0.433
---------- ---------
Less distributions:
From net investment income ...................................................... -- (0.010)
---------- ---------
Total distributions ....................................................... -- (0.010)
---------- ---------
Net asset value, end of period .................................................... $ 10.887 $ 10.423
========== =========
Total return*...................................................................... 4.51% 4.33%
Net assets, end of period (000's) ................................................. $ 8,630 $ 7,817
Ratio of total expenses to average net assets ..................................... 0.60%(1) 0.60%(1)
Ratio of net investment income to average net assets .............................. 0.31%(1) 1.90%(1)
Ratio of net expense before reimbursement and waiver to average net assets ........ 0.65%(1) --
Ratio of net investment income before reimbursement and waiver to average net
assets .......................................................................... 0.26%(1) --
Portfolio turnover rate ........................................................... 62.97% --
Average commission rate paid per share on equity securities traded ................ $ 0.0252 $ 0.0797
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
See Notes to Financial Statements.
44
<PAGE>
Aetna Generation Portfolios, Inc.
Aetna Ascent VP
Growth of $10,000
Average Annual Total Returns for the Period Ended
June 30, 1998*
1 Year Since Inception+
------ ----------------
18.78% 21.61%
<TABLE>
<CAPTION>
Jul-95 Jun-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent VP 10,000 10,601 11,045 11,453 12,049 12,654 13,650 13,617 15,103 16,524 16,366 17,917 17,939
Ascent Composite 10,000 10,531 10,949 11,256 11,621 11,921 12,793 12,652 14,036 15,026 14,854 16,012 15,920
</TABLE>
Aetna Crossroads VP
Growth of $10,000
Average Annual Total Returns for the Period Ended
June 30, 1998*
1 Year Since Inception+
------ ----------------
16.79% 18.32%
<TABLE>
<CAPTION>
Jul-95 Jun-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads VP 10,000 10,532 10,930 11,233 11,739 12,207 12,985 12,995 14,151 15,323 15,268 16,408 16,528
Crossroads Composite 10,000 10,433 10,836 11,031 11,318 11,593 12,302 12,184 13,274 14,064 14,106 14,889 14,901
</TABLE>
Aetna Legacy VP
Growth of $10,000
Average Annual Total Returns for the Period Ended
June 30, 1998*
1 Year Since Inception+
------ ----------------
13.97% 14.76%
<TABLE>
<CAPTION>
Jul-95 Jun-98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy VP 10,000 10,451 10,827 11,036 11,403 11,773 12,363 12,347 13,236 14,088 14,156 14,932 15,085
Legacy Composite 10,000 10,334 10,723 10,810 11,021 11,270 11,827 11,729 12,546 13,154 13,223 13,826 13,929
</TABLE>
* Total Return is calculated including reinvestment of income and capital gain
distributions. Past performance is no guarantee of future results. Performance
does not take into account any separate account charges imposed by Aetna.
+ The Portfolios commenced investment operations on July 5, 1995.
See Definition of Indices. 45
<PAGE>
How did the Portfolios perform during the period?
Returns for the six-month period ended June 30, 1998 were favorable as each of
the three Generation Portfolios (the Portfolios) outperformed its relative
benchmark index for the period. These benchmark indices are comprised of the
seven stock and bond indices listed below in weights that correspond to the
particular benchmark weights for each Portfolio.
<TABLE>
<CAPTION>
Benchmark Index Fund Performance
Generation Portfolio Portfolio Return Return Over/(Under)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Ascent 9.62% 7.17% 2.45%
Crossroads 8.25% 6.27% 1.98%
Legacy 6.56% 5.37% 1.19%
</TABLE>
What economic or financial market conditions impacted the Portfolios?
Serving as a backdrop for each of the Portfolio's performance are the returns
for the various indices for each of the asset classes among which the Portfolios
allocate investments (shown below). The combination of these seven indices in
different weights comprise the overall benchmarks against which we measure each
Portfolio's performance (shown above).
<TABLE>
<CAPTION>
Asset Class Benchmark Index Return
- -------------------------------------------------------------------------------------
<S> <C> <C>
Large Cap Stocks S&P 500 (a) 17.71 %
Small Cap Stocks Russell 2000 (b) 4.93 %
International Stocks MSCI EAFE (c) 16.08 %
Real Estate Stocks NAREIT (d) (5.04)%
U.S. Dollar Bonds Salomon Broad (e) 3.97 %
International Bonds S.B. Non-U.S. WGBI (f) 2.09 %
Cash Equivalents U.S. 90 Day T-Bill (g) 2.58 %
</TABLE>
What investments influenced the Portfolios' performance over the past six
months?
For the entire six month period under review, U.S. large cap stocks appeared to
be expensive compared to other equity alternatives, causing us to hold a smaller
allocation of large cap stocks than our benchmark weights. On the other hand, we
held overweight positions in small cap and real estate stocks, largely due to
their attractiveness relative to large cap stocks during the period. Overall,
our asset allocation decisions had a neutral impact on performance. We credit
the Portfolio's outperformance primarily to excellent stock selection results.
Ascent Asset Class Weights Relative to Benchmark Weights
12/31/97
6/30/98
[PLOT POINTS TO COME FOR ABOVE GRAPHIC]
Large Cap Small Cap Real Estate Int'l Stocks Int'l Bonds US Bonds Cash
46 See Definition of Indices.
<PAGE>
Crossroads Asset Class Weights Relative to Benchmark Weights
12/31/97
6/30/98
Large Cap Small Cap Real Estate Int'l Stocks Int'l Bonds US Bonds Cash
[PLOT POINTS TO COME FOR ABOVE GRAPHIC]
Legacy Asset Class Weights Relative to Benchmark Weights
12/31/97
6/30/98
Large Cap Small Cap Real Estate Int'l Stocks Int'l Bonds US Bonds Cash
[PLOT POINTS TO COME FOR ABOVE GRAPHIC]
What is your outlook going forward?
Due to the lagging year-to-date performance of real estate stocks, equity REITs
are attractively valued and we are maintaining our overweight positions.
Relative valuation among domestic equities favors small cap stocks and we remain
overweight there, however, in an effort to reduce risk relative to our
benchmarks, we have increased our large cap holdings to a slightly underweight
position. In order to fund these purchases, we reduced cash and U.S. bond
allocations. The roughly 5% yield on cash and 6.5% yield on corporate bonds was
replaced with the 6% average yield on equity REITs with much better capital
appreciation potential.
We continue to favor selected international equity markets, particularly Europe,
and continue to underweight the Far East. We remain partially hedged against the
major currencies, with a heavier emphasis against the yen. Foreign bonds still
look unattractive to us.
Asset Allocation:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
% of Notional Value* Economic Exposure*
Asset Class Portfolio of Futures 6/30/98 12/31/97 Benchmark Range
- -------------------------------------------------------------------------------------------------------------------
Ascent
- ------
<S> <C> <C> <C> <C> <C> <C>
Large Cap Stocks 15.6% -- 15.6% 14.9% 20.0% 0 - 60%
Small Cap Stocks 26.2% -- 26.2% 24.3% 20.0% 0 - 40%
Real Estate Stocks 31.3% -- 31.3% 15.2% 20.0% 0 - 40%
U.S. Dollar Bonds 4.9% -- 4.9% 14.6% 10.0% 0 - 30%
International Stocks 16.9% -- 16.9% 17.3% 20.0% 0 - 40%
International Bonds -- 1.5 % 1.5% 2.0% 10.0% 0 - 20%
Cash Equivalents 5.1% (1.5)% 3.6% 11.7% -- 0 - 30%
------------- --------- ----------- ---------- -----------
100.0% -- 100.0% 100.0% 100.0%
============= ========= =========== ========== ===========
</TABLE>
47
<PAGE>
Asset Allocation (continued):
<TABLE>
<CAPTION>
% of Notional Value* Economic Exposure*
Asset Class Portfolio of Futures 6/30/98 12/31/97 Benchmark Range
- --------------------------------------------------------------------------------------------------------------------
Crossroads
- ----------
<S> <C> <C> <C> <C> <C> <C>
Large Cap Stocks 11.8% -- 11.8% 11.0% 15.0% 0 - 45%
Small Cap Stocks 19.9% -- 19.9% 19.4% 15.0% 0 - 30%
Real Estate Stocks 22.9% -- 22.9% 11.2% 15.0% 0 - 30%
U.S. Dollar Bonds 17.1% -- 17.1% 29.1% 25.0% 0 - 70%
International Stocks 14.9% 0.1 % 15.0% 14.3% 15.0% 0 - 30%
International Bonds -- 2.3 % 2.3% 2.3% 10.0% 0 - 20%
Cash Equivalents 13.4% (2.4)% 11.0% 12.7% 5.0% 0 - 30%
------------- --------- ----------- ---------- -----------
100.0% -- 100.0% 100.0% 100.0%
============= ========= =========== ========== ===========
Legacy
- ------
Large Cap Stocks 8.1% -- 8.1% 7.0% 10.0% 0 - 30%
Small Cap Stocks 13.1% -- 13.1% 12.8% 10.0% 0 - 20%
Real Estate Stocks 16.8% -- 16.8% 7.0% 10.0% 0 - 20%
U.S. Dollar Bonds 29.8% -- 29.8% 43.1% 40.0% 0 - 100%
International Stocks 11.6% 0.4 % 12.0% 10.3% 10.0% 0 - 20%
International Bonds -- 3.2 % 3.2% 2.4% 10.0% 0 - 20%
Cash Equivalents 20.6% (3.6)% 17.0% 17.4% 10.0% 0 - 30%
------------- --------- ----------- ---------- -----------
100.0% -- 100.0% 100.0% 100.0%
============= ========= =========== ========== ===========
</TABLE>
* Notional value refers to the economic value at risk, or the exposure to the
financial instruments underlying the options and futures positions. Economic
exposure reflects the Portfolios' exposure to both changes in value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
48
<PAGE>
Definition of Indices
- -------------------------------------------------------------------------------
(a) The Standard & Poor's (S&P) 500 Index is a value-weighted unmanaged index of
500 widely held stocks that assumes the reinvestment of all dividends and is
considered to be representative of the stock market in general.
(b) The Russell 2000 Index consists of the smallest 2000 companies in the
Russell 3000 Index and represents approximately 11% of the Russell 3000 total
market capitalization. The 3000 largest U.S. companies by market capitalization,
representing nearly 98% of the U.S. equity market, comprise the Russell 3000
Index. Both indices assume reinvestment of all dividends and are unmanaged.
(c) The Morgan Stanley Capital International-Europe, Australia, Far East (MSCI
EAFE) Index is an unmanaged, market value-weighted average of the performance of
more than 900 securities listed on the stock exchanges of countries in Europe,
Australia and the Far East.
(d) The National Association of Real Estate Investment Trusts (NAREIT) Equity
REIT Index is an unmanaged market-weighted average of the performance for
tax-qualified real estate investment trusts listed on the New York Stock
Exchange, American Stock Exchange and the NASDAQ National Market System.
(e) Salomon Brothers Broad Investment-Grade Bond (Salomon Broad) Index is an
unmanaged, market-weighted index that contains approximately 4,700 individually
priced investment-grade bonds rated BBB or better. The index includes U.S.
Treasury/Agency issues, mortgage pass-through securities and corporate issues.
(f) The Salomon Brothers Non-U.S. World Government Bond (S.B. Non-U.S. WGBI)
Index serves as an unmanaged benchmark to evaluate the performance of government
bonds with a maturity of one year or greater in the following 12 countries:
Japan, United Kingdom, Germany, France, Canada, the Netherlands, Australia,
Denmark, Italy, Belgium, Spain and Sweden.
(g) Three-month Treasury bills (U.S. 90 Day T-Bill) are government-backed
short-term investments considered to be risk-free, and equivalent to cash
because their maturity is only three months.
49
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Ascent
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- --------
<S> <C> <C>
COMMON STOCKS (88.9%)
United States (72.9%)
Air Transport (1.1%)
Airborne Freight Corp................. 1,400 $ 48,913
America West Holdings Corp.+.......... 37,200 1,062,525
AMR Corp. +........................... 6,400 532,800
Continental Airlines, Inc.+........... 800 48,700
Delta Air Lines, Inc.................. 3,000 387,750
UAL Corp. +........................... 600 46,800
----------
2,127,488
----------
Auto Parts and Hardware (0.4%)
Black & Decker Corp................... 7,100 433,100
Echlin, Inc........................... 6,800 333,625
----------
766,725
----------
Automotive (0.8%)
Chrysler Corp......................... 10,100 569,388
Ford Motor Co......................... 10,900 643,100
General Motors Corp................... 5,700 380,831
----------
1,593,319
----------
Banks and Thrifts (2.2%)
AmSouth Bancorporation................ 1,000 39,313
BankAmerica Corp...................... 4,300 371,681
Chase Manhattan Corp.................. 8,000 604,000
Comerica, Inc......................... 5,150 341,188
Dime Bancorp, Inc..................... 1,600 47,900
Downey Financial Corp................. 13,650 446,184
First Republic Bank+.................. 3,500 126,438
First Union Corp...................... 644 37,484
FirstFed Financial Corp. +............ 1,600 83,200
Golden West Financial Corp............ 5,000 531,563
NationsBank Corp...................... 7,600 581,400
Republic New York Corp................ 4,600 289,513
Riggs National Corp................... 11,000 321,406
State Street Corp..................... 4,500 312,750
Suntrust Banks, Inc................... 2,300 187,019
Washington Federal.................... 1,500 41,438
WSFS Financial Corp................... 5,500 112,750
----------
4,475,227
----------
Biotech and Medical Products (4.3%)
ADAC Laboratories+.................... 10,200 229,500
Alpharma, Inc......................... 32,000 704,000
Amgen, Inc.+.......................... 4,100 268,038
Arterial Vascular Engineering, Inc.+.. 7,900 282,425
ATL Ultrasound, Inc.+................. 1,400 63,875
Bio-Rad Labs, Inc.+................... 24,000 735,000
Datascope Corp.+...................... 2,100 55,781
Number of Market
Shares Value
--------- --------
Biotech and Medical Products (continued)
Guidant Corp.......................... 2,000 $ 142,625
Hanger Orthopedic Group, Inc.+........ 10,100 205,788
Hillenbrand Industries, Inc........... 900 54,000
Maxxim Medical, Inc.+................. 43,800 1,270,200
OEC Medical Systems, Inc.+............ 4,100 92,250
Quintiles Transnational Corp.+........ 1,200 59,025
Safeskin Corp.+....................... 33,000 1,357,125
Thermo BioAnaylsis Corp.+............. 52,100 944,313
Trex Medical Corp.+................... 42,900 707,850
Visx, Inc.+........................... 21,500 1,279,250
Watson Pharmaceuticals, Inc.+......... 200 9,338
West Company, Inc. (The).............. 5,300 150,056
----------
8,610,439
----------
Chemicals (0.2%)
Dow Chemical Co....................... 1,100 106,356
Eastman Chemical Co................... 4,400 273,900
----------
380,256
----------
Commercial Services (1.4%)
AccuStaff, Inc.+...................... 2,200 68,750
Bowne & Co., Inc...................... 1,300 58,500
Day Runner, Inc.+..................... 3,000 75,563
Deluxe Corp........................... 7,400 265,013
Galileo International, Inc............ 24,800 1,117,550
URS Corp.+............................ 9,600 163,200
Valassis Communications, Inc.+........ 30,000 1,156,875
----------
2,905,451
----------
Computers (0.5%)
Ceridian Corp.+....................... 6,300 370,125
SPR, Inc.+............................ 6,100 189,863
Sun Microsystems, Inc.+............... 11,900 516,906
----------
1,076,894
----------
Conglomerate and Aerospace (0.2%)
Cordant Technologies, Inc............. 1,400 64,575
Goodrich (B.F.) Co.................... 4,300 213,388
Gulfstream Aerospace Corp.+........... 1,200 55,800
Loews Corp............................ 1,900 165,538
----------
499,301
----------
Consumer Finance (0.4%)
Avis Rent A Car, Inc.+................ 2,100 51,975
Countrywide Credit Industries, Inc.... 5,800 294,350
Federal Home Loan Mortgage Corp....... 9,400 442,388
Federal National Mortgage Association. 200 12,150
Leasing Solutions, Inc.+.............. 2,900 83,375
----------
884,238
----------
Consumer Products (0.7%)
American Greetings Corp............... 3,250 165,547
Blyth Industries, Inc.+............... 1,500 49,875
</TABLE>
50 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Consumer Products (continued)
National R.V. Holdings, Inc. +........ 23,800 $1,073,975
Twinlab Corp. +....................... 1,400 61,163
----------
1,350,560
----------
Consumer Services (2.8%)
Anchor Gaming+........................ 7,500 582,188
Applebees International, Inc.+........ 40,500 906,188
Brinker International, Inc.+.......... 500 9,625
Darden Restaurants, Inc............... 17,800 282,575
Foodmaker, Inc.+...................... 22,500 379,688
Grand Casinos, Inc.+.................. 52,500 879,375
Harvey's Casino Resorts............... 5,100 138,338
Marriott International, Inc........... 9,300 301,088
Promus Hotel Corp.+................... 1,372 52,822
RFS Hotel Investeors, Inc............. 16,100 305,900
Service Corp. International........... 4,800 205,800
Showbiz Pizza Time, Inc.+............. 3,200 129,000
Sonic Corp.+.......................... 44,250 990,094
Tricon Global Restaurants, Inc.+...... 11,200 354,900
----------
5,517,581
----------
Consumer Specialties (0.3%)
Brunswick Corp........................ 6,500 160,875
Russ Berrie & Co., Inc................ 13,800 345,000
----------
505,875
----------
Data and Imaging Services (2.8%)
Aspen Technology, Inc. +.............. 700 35,350
Autodesk, Inc......................... 1,700 65,663
Avant! Corp. +........................ 36,300 898,425
BMC Software, Inc. +.................. 2,400 124,650
Cadence Design Systems, Inc. +........ 2,000 62,500
Compuware Corp. +..................... 1,600 81,800
Keane, Inc. +......................... 25,300 1,416,800
Microsoft Corp. +..................... 4,400 476,850
Oracle Corp. +........................ 5,100 125,269
Progress Software Corp. +............. 29,000 1,189,000
QLogic Corp. +........................ 5,200 185,575
Siebel Systems, Inc. +................ 12,600 406,350
Software AG Systems, Inc. +........... 3,600 105,300
Symantec Corp. +...................... 2,600 67,925
Visio Corp. +......................... 7,900 377,225
----------
5,618,682
----------
Discretionary Retail (3.3%)
American Eagle Outfitters, Inc. +..... 30,525 1,177,120
Ames Department Stores, Inc. +........ 17,100 449,944
Cato Corp. (The)...................... 7,600 132,288
Costco Companies, Inc. +.............. 300 18,919
Dayton Hudson Corp.................... 8,000 388,000
Dress Barn, Inc. +.................... 11,100 276,113
Number of Market
Shares Value
--------- ----------
Discretionary Retail (continued)
Eagle Hardware & Garden, Inc. +....... 1,000 $ 23,125
Federated Department Stores, Inc. +... 10,000 538,125
Fingerhut Companies, Inc.............. 2,700 89,100
Footstar, Inc. +...................... 22,300 1,070,400
Goody's Family Clothing, Inc. +....... 600 32,925
Lowe's Co., Inc....................... 10,400 421,850
Maxim Group, Inc. (The) +............. 48,200 957,975
Micro Warehouse, Inc. +............... 3,000 46,500
Musicland Stores Corp. +.............. 6,700 93,800
Office Depot, Inc. +.................. 2,500 78,906
Ross Stores, Inc...................... 10,400 447,200
TJX Companies, Inc.................... 16,600 400,475
Zale Corp. +.......................... 1,100 34,994
----------
6,677,759
----------
Diversified Financial Services (0.7%)
Equitable Co., Inc. (The)............. 1,000 74,938
Morgan Stanley, Dean Witter,
Discover & Co....................... 5,575 509,416
Tower Realty Trust, Inc............... 1,800 40,275
Trammell Crow Co.+.................... 9,000 300,938
Travelers Group, Inc.................. 9,400 569,875
----------
1,495,442
----------
Drugs (1.7%)
Abbott Laboratories................... 13,400 547,725
Eli Lilly & Co........................ 4,300 284,069
Johnson & Johnson..................... 8,400 619,500
Medicis Pharmaceutical Corp. +........ 18,200 664,300
Merck & Co., Inc...................... 4,500 601,875
Rexall Sundown, Inc. +................ 1,300 45,825
Roberts Pharmaceutical Corp. +........ 26,300 604,900
Theragenics Corp. +................... 5,200 135,525
----------
3,503,719
----------
Electrical Machinery and Instruments (0.6%)
Harris Corp........................... 1,800 80,438
Special Devices, Inc. +............... 2,100 74,288
Technitrol, Inc....................... 10,900 435,319
Xerox Corp............................ 5,900 599,588
----------
1,189,633
----------
Electronic Media (1.5%)
Cablevision Systems Corp. +........... 14,300 1,194,050
Gaylord Entertainment Co.............. 25,500 822,375
Midway Games, Inc.+................... 6,300 98,438
Speedway Motorsports, Inc. +.......... 21,400 547,038
Viacom, Inc. +........................ 7,300 425,225
----------
3,087,126
----------
</TABLE>
51
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Ascent (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Food and Beverage (1.5%)
Canandaigua Brands, Inc. +............ 14,000 $ 688,625
J & J Snack Foods Corp.+.............. 10,100 210,838
NBTY, Inc. +.......................... 4,100 75,338
Panamerican Beverages, Inc............ 6,700 210,631
PepsiCo., Inc......................... 14,600 601,338
Ralcorp Holdings, Inc. +.............. 3.300 62,288
Suiza Foods Corp. +................... 17,900 1,068,406
----------
2,917,464
----------
Food and Drug Retail (0.2%)
Kroger Co. (The) +.................... 8,700 373,013
----------
Forest Products and Building Materials (1.0%)
Ball Corp............................. 600 24,113
Centex Construction Products, Inc..... 14,300 550,550
Crown Cork & Seal Co., Inc............ 5,400 256,500
Georgia-Pacific Corp.................. 4,600 249,588
Lone Star Industries, Inc............. 7,200 554,850
Mead Corp............................. 7,300 231,775
Owens Corning......................... 1,800 73,463
Southdown, Inc........................ 700 49,963
----------
1,990,802
----------
Gas Utilities (0.6%)
Columbia Gas System, Inc.............. 3,750 208,594
Energen Corp.......................... 32,600 656,075
Sempra Energy+........................ 10,527 292,113
----------
1,156,782
----------
Health Services (0.8%)
Assisted Living Concepts, Inc. +...... 1,300 22,425
Integrated Health Services, Inc. +.... 29,500 1,106,250
NovaCare, Inc. +...................... 2,800 32,900
Trigon Healthcare, Inc. +............. 11,100 401,681
----------
1,563,256
----------
Heavy Machinery (0.1%)
Navistar International Corp. +........ 9,900 285,863
----------
Housing and Furnishings (2.8%)
Centex Corp........................... 8,400 317,100
Crossman Communities, Inc.+........... 8,900 270,338
D.R. Horton, Inc...................... 58,600 1,223,275
Fleetwood Enterprises, Inc............ 2,700 108,000
Kaufman & Broad Home Corp............. 3,300 104,775
Lennar Corp........................... 5,700 168,150
MDC Holdings, Inc..................... 53,400 1,054,650
Pulte Corp............................ 11,000 328,625
Ryland Group, Inc..................... 36,100 947,625
Standard Pacific Corp................. 58,400 1,204,500
----------
5,727,038
----------
Number of Market
Shares Value
--------- ----------
Industrial Services (0.2%)
Flour Corp............................ 1,400 $ 71,400
Walter Industries, Inc. +............. 16,200 306,788
----------
378,188
----------
Insurance (1.2%)
Allstate Corp. (The).................. 12,100 1,107,906
American Bankers Insurance Group...... 3,100 186,388
CIGNA Corp............................ 300 20,700
Conseco, Inc.......................... 6,700 313,225
Everest Reinsurance Holdings, Inc..... 300 11,531
First American Financial Corp......... 5,800 522,000
Old Republic International Corp....... 1,850 54,228
SunAmerica, Inc....................... 4,100 235,494
----------
2,451,472
----------
Investment Services (0.8%)
Bear Stearns Co., Inc. (The).......... 1,262 71,776
Dames & Moore Group................... 5,100 65,663
Donaldson, Lufkin & Jenrette, Inc..... 1,000 50,813
Lehman Brothers Holdings, Inc......... 8,400 651,525
Merrill Lynch & Co., Inc.............. 4,800 377,100
Providian Financial Corp.............. 3,800 350,550
----------
1,567,427
----------
Major Telecommunications (1.1%)
Alltel Corp........................... 11,100 516,150
AT&T Corp............................. 2,100 119,963
BellSouth Corp........................ 11,100 745,088
MCI Communications Corp............... 7,000 406,875
Sprint Corp........................... 5,100 359,550
----------
2,147,626
----------
Oil (0.9%)
Ashland Oil, Inc...................... 10,900 562,713
Clayton Williams Energy, Inc.+........ 16,700 171,175
Comstock Resources, Inc. +............ 5,400 40,163
Phillips Petroleum Co................. 3,000 144,563
Sun Company, Inc...................... 23,300 904,331
----------
1,822,945
----------
Oil Services (0.8%)
Helmerich & Payne, Inc................ 5,200 115,700
SEACOR SMIT Holdings+................. 13,500 827,719
Seitel, Inc. +........................ 3,000 48,563
Trico Marine Services, Inc............ 24,300 332,606
Veritas DGC, Inc. +................... 6,500 324,594
----------
1,649,182
----------
Other Telecommunications (0.3%)
Century Telephone Enterprises, Inc.... 1,650 75,694
Liberty Media Group+.................. 1,500 58,219
U.S. West, Inc........................ 10,400 488,800
----------
622,713
----------
</TABLE>
52 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Print Media (0.4%)
Dun & Bradstreet Corp................. 1,300 $ 46,963
Knight-Ridder, Inc.................... 6,200 341,388
McClatchy Newspapers, Inc............. 9,175 317,684
----------
706,035
----------
Producer Goods (2.3%)
Aeroquip-Vickers, Inc................. 5,500 321,063
C & D Technologies, Inc............... 13,700 794,600
Cincinnati Milacron, Inc.............. 4,400 106,975
Commercial Intertech Corp............. 20,800 377,000
FMC Corp.+............................ 2,300 156,831
Graco, Inc............................ 14,850 517,894
Honeywell, Inc........................ 3,900 325,894
Ingersoll-Rand Co..................... 6,200 273,188
Kaydon Corp........................... 1,200 42,375
Parker-Hannifin Corp.................. 2,900 110,563
RMI Titanium Co. +.................... 9,100 207,025
Thermo Electron Corp. +............... 1,000 34,188
Thomas & Betts Corp................... 4,800 236,400
Timken Co............................. 6,200 191,038
Tredegar Industries, Inc.............. 10,350 878,456
Trinity Industries, Inc............... 500 20,750
----------
4,594,240
----------
Real Estate Investment Trusts (30.8%)
Alexandria Real Estate Equities, Inc.. 2,100 62,869
AMB Property Corp..................... 2,400 58,800
American General Hosptality Corp...... 14,800 314,500
American Health Properties, Inc....... 12,200 305,000
American Residential Investment
Trust, Inc.......................... 2,500 24,219
Apartment Investment & Management Co.. 54,000 2,133,000
Arden Realty Group, Inc............... 17,600 455,400
Avalon Bay Communities, Inc........... 26,870 1,021,060
Beacon Capital+++...................... 38,400 787,200
Bedford Property Investors, Inc....... 6,000 109,500
Berkshire Realty Co., Inc............. 13,800 161,288
Boykin Lodging Co..................... 8,600 186,513
Bradley Real Estate, Inc.............. 5,300 111,963
Brandywine Realty Trust............... 41,400 926,325
Burnham Pacific Properties, Inc....... 9,000 127,688
Cabot Industrial Trust................ 9,800 209,475
Camden Property Trust................. 30,500 907,375
Capstone Capital Trust, Inc........... 26,600 611,800
Captec Net Lease Realty, Inc.......... 12,200 186,050
Carramerica Realty Corp............... 11,800 334,825
CBL & Associates Properties, Inc...... 14,000 339,500
CCA Prison Realty Trust............... 25,900 793,188
Chateau Communities, Inc.............. 12,000 345,000
Colonial Properties Trust............. 57,900 1,794,900
Cornerstone Properties, Inc........... 30,100 530,513
Cousins Properties, Inc............... 11,900 355,513
Number of Market
Shares Value
--------- ----------
Real Estate Investment Trusts (continued)
Crescent Real Estate Equities, Inc.... 69,500 $2,336,938
Criimi Mae, Inc....................... 30,600 424,575
Developers Diversified Realty Corp.... 3,400 133,238
Duke Realty Investments, Inc.......... 16,400 388,475
Eastgroup Properties, Inc............. 5,700 114,356
Equity Inns, Inc...................... 10,000 131,875
Equity Office Properties Trust........ 115,900 3,288,663
Equity One, Inc....................... 8,900 91,225
Equity Residential Properties Trust... 33,800 1,603,388
Essex Property Trust, Inc............. 12,800 396,800
Felcor Suite Hotels, Inc.............. 21,200 665,150
Franchise Finance Corp. of America.... 16,300 422,781
Gables Residential Trust.............. 9,100 246,838
General Growth Properties............. 18,400 687,700
Glenborough Realty Trust, Inc......... 64,100 1,690,638
Glimcher Realty Trust................. 10,700 207,981
Health and Retirement Property Trust.. 89,800 1,689,363
Health Care REIT, Inc................. 16,000 408,000
Highwood Properties, Inc.............. 24,600 794,888
Home Properties of New York, Inc...... 6,700 178,806
Horizon Group Propertis, Inc. +....... 520 3,429
Hospitality Properties Trust.......... 42,300 1,358,888
Imperial Credit Commercial Mortgage
Investment Corp..................... 3,900 50,944
Innkeepers USA Trust.................. 29,400 371,175
JDN Realty Corp....................... 15,700 500,438
Kilroy Realty Corp.................... 15,300 382,500
Kimco Realty Corp..................... 83,700 3,431,700
Koger Equity, Inc..................... 26,400 532,950
Lexington Corporate Properties Trust.. 8,400 122,850
Liberty Property Trust................ 99,800 2,551,138
LTC Properties, Inc................... 21,600 402,300
Mack-Cali Realty Corp................. 15,900 546,563
Manufactured Home Communities, Inc.... 18,500 446,313
Meditrust Companies................... 51,400 1,435,988
Merry Land & Investment Co., Inc...... 20,100 423,356
Mid-America Apartment Communities,
Inc................................. 9,800 257,863
National Golf Properties, Inc......... 9,800 294,613
OMEGA Healthcare Investors, Inc....... 60,700 2,132,088
Parkway Properties, Inc............... 12,100 356,950
Post Properties, Inc.................. 42,800 1,647,800
Prentiss Properties Trust............. 34,800 846,075
Prime Retail, Inc..................... 10,400 124,150
PS Business Parks, Inc................ 26,000 611,000
Public Storage, Inc................... 37,300 1,044,400
Ramco-Gerhenson Properties Trust...... 8,400 159,600
Reckson Associates Realty Corp........ 36,800 869,400
Reckson Service Industries, Inc.+..... 2,944 9,752
Regency Realty Corp................... 16,800 422,100
Shurgard Storage Centers, Inc......... 10,500 291,375
Simon Debartolo Group, Inc............ 35,800 1,163,500
</TABLE>
53
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Ascent (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Real Estate Investment Trusts (continued)
SL Green Realty Corp.................. 4,400 $ 99,000
Sovran Self Storage, Inc.............. 13,900 392,675
Spieker Properties, Inc............... 35,900 1,391,125
Starwood Financial Trust+............. 317 17,733
Starwood Lodging Trust................ 63,550 3,070,259
Sun Communities, Inc.................. 8,100 268,313
Sunstone Hotel Investors, Inc......... 4,000 53,250
Tanger Factory Outlet Centers, Inc.... 16,400 519,675
TriNet Corporate Realty Trust, Inc.... 7,400 251,600
United Dominion Realty Trust, Inc..... 53,900 747,863
Urban Shopping Centers, Inc........... 23,600 743,400
Vornado Realty Trust.................. 39,900 1,583,500
Walden Residential Properties, Inc.... 10,300 252,350
Weeks Corp............................ 12,300 388,976
----------
61,666,059
----------
Semiconductors and Electronics (0.4%)
Avid Technology, Inc. +............... 22,700 760,450
----------
Specialty Chemicals (0.1%)
Millennium Chemicals, Inc............. 3,100 105,013
----------
Steel (0.2%)
Bethlehem Steel Corp. +............... 13,800 171,638
USX-US Steel Group, Inc............... 5,400 178,200
----------
349,838
----------
Surface Transport (0.1%)
Burlington Northern Santa Fe Corp..... 1,200 117,825
Tidewater, Inc........................ 1,400 46,200
----------
164,025
----------
Textiles and Apparel (0.4%)
Burlington Industries, Inc. +......... 2,700 37,969
Liz Claiborne, Inc.................... 2,400 125,400
Timberland Co. (The) +................ 8,800 633,050
----------
796,419
----------
Total United States 146,061,565
----------
Foreign Common Stocks (16.0%)
Australia (0.7%)
Goodman Fielder Ltd. (Food and
Beverage) .......................... 250,482 364,540
Mayne Nickless Ltd. (Commercial
Services) .......................... 71,000 375,946
Telstra Corp. Ltd. (Other
Telecommunications) +............... 124,000 317,924
Westpac Banking Corp. Ltd. (Banks and
Thrifts) ........................... 55,100 336,116
----------
Total Australia 1,394,526
----------
Belgium (0.2%)
Delhaize-Le Lion, SA (Food and
Beverage)........................... 6,100 426,229
----------
Canada (0.3%)
Canadian Imperial Bank of Commerce
(Banks and Thrifts)................. 9,872 317,536
Canadian National Railway (Surface
Transport).......................... 3,500 185,938
----------
Total Canada 503,474
----------
Number of Market
Shares Value
--------- ----------
Denmark (0.5%)
Carli Gry International A/S
(Textiles and Apparel) ............. 4,800 $ 387,377
Novo-Nordisk A/S (Drugs) ............. 2,400 330,841
Olicom A/S (Computers)+ .............. 5,000 135,233
Tele Danmark A/S
(Major Telecommunications)+ ........ 2,300 220,735
----------
Total Denmark 1,074,186
----------
Finland (0.5%)
Huhtamaki Group (Diversified) ........ 4,900 280,435
Oy Nokia Corp., ADR
(Other Telecommunications) ......... 5,800 420,863
Sampo Insurance Co. (Insurance) ...... 5,300 251,163
----------
Total Finland
952,461
----------
France (2.0%)
Accor SA (Consumer Services) ......... 1,140 319,033
Alcatel Alsthom (Other 2,100 427,570
Telecommunications) ................
Alstom (Producer Goods) +............. 5,900 194,194
Credit Commercial de France (Banks
and Thrifts)........................ 4,600 387,262
Danone (Food and Beverage) ........... 1,300 358,434
Elf Aquitaine SA (Oil) ............... 3,050 428,794
Gemini Sogeti SA (Insurance).......... 3,200 502,809
Lafarge SA
(Forest Products and Building
Materials) ......................... 4,200 434,169
Pernod Ricard (Food and Beverage) .... 5,500 381,159
Rhone-Poulenc (Biotech and Medical
Products)........................... 4,000 225,603
Union des Assurances de Federales
(Insurance)......................... 1,600 252,199
----------
Total France 3,911,226
----------
Germany (1.7%)
BASF AG (Chemicals) .................. 4,800 227,364
Bayerische Hypotheken-und
Wechsel-Bank AG (Banks and Thrifts) 7,200 456,324
BHF Bank AG (Banks and Trifts)........ 5,000 189,332
Daimler-Benz AG (Automotive)......... 5,000 205,522
Deutsche Pfandbrief & Hypothekenbank
AG (Banks and Thrifts) ............. 4,400 351,993
Gehe AG (Health Services) ............ 5,400 289,441
Kardstadt AG (Consumer Specialties) +. 400 194,456
MAN AG (Producer Goods) +............. 800 312,016
Mannesmann AG (Producer Goods) ....... 3,000 308,304
VEBA AG (Electric Utilities) ......... 2,900 197,614
Viag AG (Consumer Services) +......... 550 378,442
Volkswagen AG (Automotive) ........... 323 310,468
----------
Total Germany 3,421,276
----------
Hong Kong (0.1%)
Hutchison Whampoa Ltd.
(Consumer Services) ................ 51,000 269,198
----------
</TABLE>
54 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Ireland (0.3%)
Allied Irish Banks (Banks and
Thrifts) ........................... 14,165 $ 204,503
CRH Plc
(Forest Products and Building
Materials) ......................... 14,000 198,606
Waterford Wedgewood
(Housing and Furnishings) .......... 207,199 268,790
----------
Total Ireland 671,899
----------
Italy (0.5%)
Banca Commerciale Italiana
(Banks and Thrifts) +............... 37,000 221,265
Credito Italiano (Banks and Thrifts) . 54,300 284,246
Istituto Nazionale delle
Assicurazioni (Insurance) +......... 64,000 181,823
Mondadori (Arnoldo) Editore S.p.A.
(Print Media) ...................... 16,500 194,931
Telecom Italia S.p.A.
(Major Telecommunications) ......... 18,700 137,655
----------
Total Italy 1,019,920
----------
Japan (2.2%)
Canon, Inc. (Computers) .............. 13,000 295,061
Fuji Photo Film (Chemicals) .......... 11,000 382,822
Hitachi Ltd. (Semiconductors and
Electronics) ....................... 48,000 313,002
Kao Corp. (Consumer Products) +....... 25,000 385,488
Mineaba Co. Ltd. (Semiconductors and
Electronics)........................ 28,000 278,618
Mizuno Corp. (Consumer Products) ..... 41,000 137,666
Nintendo Co. Ltd.
(Semiconductors and Electronics) ... 5,000 462,946
Nippon Telegraph and Telephone (Major
Telecommunications) +............... 330 273,445
Orix Corp. (Investment Services) ..... 5,000 337,572
Santen Pharmaceutical Co., Ltd.
(Drugs) ............................ 12,000 131,340
Seino Transportation Co., Ltd.
(Surface Transport) ................ 48,000 266,311
Sony Corp. (Semiconductors and
Electronics) +...................... 3,300 284,145
Takefuji Corp. (Banks and Thrifts) ... 8,000 368,916
Terumo Corp. (Biotech and Medical
Products)........................... 25,000 396,296
----------
Total Japan 4,313,628
----------
Mexico (0.1%)
Grupo Financiero Banamex Accival
(Investment Services)+.............. 102,001 193,197
----------
Netherlands (1.0%)
Akzo Nobel NV (Chemicals) ............ 1,600 355,674
Heineken NV (Food and Beverage)+...... 5,400 212,101
Hunter Douglas NV (Consumer Services). 8,525 463,082
ING Groep NV (Banks and Thrifts) ..... 5,804 380,043
Philips Electronics NV
(Semiconductors and Electronics) ... 2,400 201,748
Number of Market
Shares Value
--------- ----------
Netherlands (continued)
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Print Media) ...................... 10,800 $ 392,347
----------
Total Netherlands 2,004,995
----------
New Zealand (0.1%)
Fernz Corp. Ltd. (Chemicals) ......... 62,200 138,835
----------
Norway (1.0%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ................ 63,700 266,470
ContextVision AB (Data and Imaging
Services) +......................... 16,500 273,081
Det Sondenfjelds-Norske
Dampskibsselskab (Oil)+............. 12,000 211,115
Merkantildata ASA (Data and Imaging
Services).......................... 26,300 332,454
Ocean Rig ASA (Oil) +................. 362,500 269,270
Saga Petroleum ASA (Oil) ............. 16,300 250,654
Tandberg Television ASA
(Other Telecommunications) +........ 18,200 152,980
Tomra Systems ASA (Heavy Machinery)... 11,300 338,696
----------
Total Norway 2,094,720
----------
Spain (0.5%)
Banco Santander SA (Banks and
Thrifts) ........................... 13,200 338,428
Iberdrola SA (Electric Utilities) .... 23,800 387,106
Telefonica de Espana
(Major Telecommunications) ......... 6,000 277,876
----------
Total Spain 1,003,410
----------
Sweden (0.8%)
Celsius AB (Conglomerate and
Aerospace) ......................... 12,500 291,538
Industrial & Financial Systems
(Data and Imaging Services)++++..... 30,000 420,379
Kinnevik AB (Industrial Services) .... 4,000 130,158
Kinnevik AB Rights (Industrial
Services) .......................... 4,000 18,057
Mo Och Domsjoe AB
(Forest Products and Building
Materials) ......................... 9,400 268,742
Svenska Handelsbanken (Investment
Services) .......................... 4,700 218,058
WM-Data AB (Computers) ............... 7,600 263,977
----------
Total Sweden 1,610,909
----------
Switzerland (1.3%)
Credit Suisse Group (Banks and 1,800 400,511
Thrifts) ...........................
Fischer (Georg) AG (Auto Parts and 1,050 408,423
Hardware) ..........................
Kuoni Reisen AG (Commercial Services) 80 397,149
Nestle SA Registered Shares
(Food and Beverage) ................ 220 470,804
Novartis AG Registered Shares
(Health Services) .................. 200 332,803
Schweizerische
Rueckversicherungs-Gesillschaft
(Insurance) +....................... 90 227,609
Union Bank of Switzerland AG
(Banks and Thrifts) +............... 1,200 446,199
----------
Total Switzerland 2,683,498
----------
</TABLE>
55
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Ascent (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
----------- -----------
<S> <C> <C>
United Kingdom (2.2%)
Bank of Scotland (Banks and Thrifts) . 24,826 $ 277,943
Cadbury Schweppes Plc (Food and
Beverage)+.......................... 16,500 255,343
Glaxo Wellcome Plc (Drugs) ........... 8,491 254,869
Granada Group Plc (Consumer Services) 23,451 431,190
Kingfisher Plc (Discretionary Retail) 12,500 201,263
National Westminster Bank Plc
(Banks and Thrifts) ................ 16,200 289,488
Pearson Plc (Print Media) ............ 20,200 370,067
Peninsular & Oriental Steam
Navigation Co. (Surface Transport) 21,300 307,235
Railtrack Group Plc (Surface
Transport) +........................ 9,200 226,108
Shell Transport and Trading (Oil)+.... 38,700 272,489
Tesco Plc (Discretionary Retail)+..... 27,600 269,165
Tomkins Plc (Consumer Services) ...... 57,333 311,135
Unilever Plc (Consumer Products) ..... 28,300 301,254
Vodafone Group Plc
(Other Telecommunications) ......... 36,053 457,474
WPP Group Plc (Commerical Services)+.. 30,600 200,523
----------
Total United Kingdom 4,425,546
----------
Total Foreign Common Stocks 32,113,133
----------
Total Common Stocks (cost $160,933,649) 178,174,698
----------
PREFERRED STOCKS (0.6%)
Germany (0.6%)
Henkel KGAA (Chemicals) .............. 5,000 494,451
Hugo Boss AG (Textiles and Apparel) .. 100 220,494
SAP AG (Data and Imaging Services) ... 700 475,060
----------
Total Preferred Stocks (cost
$701,342) 1,190,005
----------
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (4.9%)
U.S. Government Obligations (1.3%)
U.S. Treasury Bond, 6.63%, 02/15/27.. $ 600,000 677,720
U.S. Treasury Note, 5.88%, 02/15/00.. 1,100,000 1,106,189
U.S. Treasury Note, 6.50%, 05/31/02.. 500,000 516,718
U.S. Treasury Note, 7.50%, 11/15/01.. 320,000 339,000
----------
Total U.S. Government Obligations (cost $2,588,922) 2,639,627
----------
U.S. Government Agency Mortgage-Backed Securities (1.5%)
Federal National Mortgage
Association-Convertible Loan,
6.50%, 11/01/27..................... 979,187 976,120
Government National Mortgage
Association, 7.00%, 04/15/26........ 268,988 273,530
Government National Mortgage
Association, 7.00%, 01/15/28........ 847,268 861,570
Government National Mortgage
Association, 7.00%, 02/15/28........ 865,731 880,345
----------
Total U.S. Government Agency
Mortgage-Backed Securities (cost $2,983,942) 2,991,565
----------
Principal Market
Amount Value
----------- ----------
Corporate and Convertible Bonds (2.1%)
Fifth Third Bank, 6.75%, 07/15/05..... $450,000 $ 464,708
GTE Corp., 9.38%, 12/01/00............ 300,000 321,819
Heller Financial, 6.35%,08/15/99++++.. 800,000 801,520
HSBC Americas, Inc., 7.00%,11/01/06... 900,000 928,499
Simon Debartolo Group, Inc., 6.63%,
06/15/03++++........................ 200,000 199,300
Tenet Healthcare Corp., 7.88%,
01/15/03............................ 800,000 821,360
Time Warner, Inc., 9.13%, 01/15/13.... 475,000 578,892
------------
Total Corporate and Convertible Bonds (cost
$3,978,905) 4,116,098
------------
Total Long-Term Bonds and Notes (cost $9,551,769) 9,747,290
------------
SHORT-TERM INVESTMENTS (5.0%)
Federal Home Loan Bank, 5.55%,
07/01/98............................ 7,256,000 7,256,000
PHH Corp., 5.75%, 07/02/98............ 2,000,000 1,999,680
U.S. Treasury Bill, 5.03%, 08/20/98@.. 675,000 670,457
------------
Total Short-Term Investments (cost $9,925,970) 9,926,137
------------
TOTAL INVESTMENTS (cost $181,112,730)(a) 199,038,130
Other assets less liabilities 1,420,525
------------
Total Net Assets $200,458,655
============
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$181,141,613. Unrealized gains and losses, based on identified tax cost
at June 30, 1998, are as follows:
Unrealized gains ..................... $ 22,364,095
Unrealized losses .................... (4,467,578)
-------------
Net unrealized gain ................ $ 17,896,517
=============
</TABLE>
Information concerning open futures contracts at June 30, 1998 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ----- ---- -----------
Long Contracts
- -------------------
<S> <C> <C> <C> <C>
Long-Term German
Government Bond
Futures ........ 15 $2,231,188 Sept 98 $ 37,064
Swiss Government
Bond Futures ... 9 745,016 Sept 98 (7,298)
---------- ---------
$2,976,204 $ 29,766
========== =========
</TABLE>
+ Non-income producing security.
++ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 1998.
Category percentages are based on net assets.
56 See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Crossroads
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- ----------
<S> <C> <C>
COMMON STOCKS (68.7%)
United States (54.4%)
Air Transport (0.9%)
Airborne Freight Corp................. 1,000 $ 34,938
Alaska Air Group, Inc.+............... 700 38,194
America West Holdings Corp. +......... 26,400 754,050
AMR Corp. +........................... 4,400 366,300
Continental Airlines, Inc............. 500 30,438
Delta Air Lines, Inc.................. 2,200 284,350
UAL Corp. +........................... 400 31,200
----------
1,539,470
----------
Auto Parts and Hardware (0.3%)
Black & Decker Corp................... 4,800 292,800
Echlin, Inc........................... 3,400 166,813
----------
459,613
----------
Automotive (0.6%)
Chrysler Corp......................... 6,600 372,075
Ford Motor Co......................... 8,100 477,900
General Motors Corp................... 2,700 180,394
----------
1,030,369
----------
Banks and Thrifts (1.6%)
Amsouth Bancorporation................ 700 27,519
BankAmerica Corp...................... 2,900 250,667
Chase Manhattan Corp. ................ 6,400 483,200
Comerica, Inc......................... 3,350 221,938
Dime Bancorp, Inc..................... 1,100 32,931
Downey Financial Corp................. 10,500 343,219
Fifth Third Bancorp................... 2,050 129,150
First Union Corp. .................... 351 20,446
Golden West Financial Corp............ 3,300 350,831
NationsBank Corp...................... 5,000 382,500
Republic New York Corp................ 3,000 188,813
Riggs National Corp................... 2,800 81,813
State Street Corp..................... 2,800 194,600
Washington Federal.................... 1,000 27,625
WSFS Financial Corp................... 3,900 79,950
----------
2,815,202
----------
Biotech and Medical Products (3.5%)
ADAC Laboratories+.................... 6,500 146,250
Alpharma, Inc......................... 19,700 433,400
Amgen, Inc. +......................... 4,600 300,725
Arterial Vascular Engineering, Inc. +. 5,300 189,475
ATL Ultrasound, Inc. +................ 300 13,688
Bio-Rad Labs, Inc. +.................. 8,100 248,063
Datascope Corp. +..................... 1,400 37,188
Guidant Corp. ........................ 1,300 92,706
Hanger Orthopedic Group, Inc. +....... 24,200 493,075
Hillenbrand Industries, Inc........... 500 30,000
Maxxim Medical, Inc. +................ 29,500 855,500
OEC Medical Systems, Inc.+............ 4,100 92,250
Number of Market
Shares Value
---------- ----------
Biotech and Medical Products (continued)
Quintiles Transnational Corp.+........ 700 $ 34,431
Safeskin Corp. +...................... 20,800 855,400
Serologicals Corp.+................... 10,200 328,950
Thermo Bioanalysis Corp. +............ 37,900 686,938
Trex Medical Corp. +.................. 20,800 343,200
Visx, Inc. +.......................... 15,000 892,500
West Company, Inc. (The).............. 8,200 232,163
----------
6,305,902
----------
Chemicals (0.1%)
Dow Chemical Co. ..................... 700 67,681
Eastman Chemical Co................... 2,200 136,950
----------
204,631
----------
Commercial Services (1.0%)
AccuStaff, Inc. +..................... 1,700 53,125
Boron Lepore & Associates, Inc. +..... 200 7,600
Day Runner, Inc....................... 7,800 196,462
Deluxe Corp........................... 4,800 171,900
Galileo International, Inc............ 17,400 784,088
URS Corp. +........................... 3,800 64,600
Valassis Communications, Inc. +....... 13,100 505,169
----------
1,782,944
----------
Computers (0.4%)
Ceridian Corp. +...................... 4,200 246,750
Gateway 2000, Inc.+ .................. 600 30,375
SPR, Inc. +........................... 4,900 152,512
Sun Microsystems, Inc. +.............. 8,100 351,844
----------
781,481
----------
Conglomerate and Aerospace (0.2%)
Cordant Technologies, Inc. ........... 800 36,900
Goodrich (B.F.) Co.................... 2,900 143,912
Gulfstream Aerospace Corp. +.......... 700 32,550
Kellstrom Industries, Inc. +.......... 1,800 52,144
Loews Corp............................ 1,300 113,263
----------
378,769
----------
Consumer Finance (0.3%)
Avis Rent A Car, Inc. +............... 1,400 34,650
Countrywide Credit Industries, Inc.... 4,000 203,000
Federal Home Loan Mortgage Corp. ..... 6,200 291,788
Federal National Mortgage Association. 600 36,450
Leasing Solutions, Inc. +............. 1,300 37,375
----------
603,263
----------
Consumer Products (0.5%)
American Greetings Corp............... 2,150 109,516
Blyth Industries, Inc. +.............. 1,000 33,250
National R.V. Holdings, Inc. +........ 15,700 708,462
Twinlab Corp. +....................... 1,000 43,688
----------
894,916
----------
Consumer Services (2.8%)
Anchor Gaming+........................ 4,400 341,550
</TABLE>
See Notes to Portfolio of Investments. 57
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Crossroads (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
----------- ----------
<S> <C> <C>
Consumer Services (continued)
Applebees International, Inc. +....... 27,300 $ 610,838
Darden Restaurants, Inc............... 12,500 198,438
Foodmaker, Inc........................ 14,700 248,063
Grand Casinos, Inc. +................. 34,200 572,850
Harvey's Casino Resorts............... 2,900 78,663
Marriott International, Inc. ......... 6,500 210,438
Players International, Inc. +......... 16,600 82,481
Promus Hotel Corp. +.................. 777 29,940
RFS Hotel Investors, Inc.............. 8,600 163,400
Service Corp. International........... 2,200 94,325
Showbiz Pizza Time, Inc. +............ 18,500 745,781
Sonic Corp. +......................... 30,900 691,388
Storage USA, Inc...................... 19,000 665,000
Tricon Global Restaurants, Inc. +..... 7,800 247,160
----------
4,980,315
----------
Consumer Specialties (0.1%)
Brunswick Corp........................ 4,400 108,900
Russ Berrie & Co., Inc................ 4,700 117,500
----------
226,400
----------
Data and Imaging Services (1.8%)
Apex PC Solutions, Inc.+.............. 12,900 359,588
Aspen Technology, Inc. +.............. 500 25,250
Autodesk, Inc. ....................... 1,200 46,350
Avant! Corp. +........................ 21,200 524,700
BMC Software, Inc. +.................. 1,400 72,713
Cadence Design Systems, Inc. +........ 1,300 40,625
Compuware Corp. +..................... 900 46,013
Keane, Inc. +......................... 2,000 112,000
Microsoft Corp. +..................... 2,800 303,450
Mindspring Enterprises, Inc. +........ 1,700 174,885
Oracle Corp. +........................ 3,500 85,969
Progress Software Corp. +............. 15,800 647,800
Siebel Systems, Inc. +................ 8,600 277,350
Software AG Systems, Inc. +........... 5,800 169,650
Symantec Corp. +...................... 1,400 36,575
Synopsys, Inc. ....................... 900 41,175
Veritas Software Corp.+............... 900 37,238
Viasoft, Inc. +....................... 600 9,713
Visio Corp. +......................... 5,200 248,300
----------
3,259,344
----------
Discretionary Retail (2.4%)
American Eagle Outfitters, Inc. +..... 34,800 1,341,975
Ames Department Stores, Inc. +........ 11,500 302,594
Costco Companies, Inc. +.............. 100 6,307
Dayton Hudson Corp.................... 5,400 261,900
Dress Barn, Inc. +.................... 6,600 164,175
Eagle Hardware & Garden, Inc. +....... 2,600 60,125
Federated Department Stores, Inc. +... 6,800 365,925
Fingerhut Companies, Inc.............. 1,700 56,100
Goody's Family Clothing, Inc. +....... 400 21,950
Number of Market
Shares Value
----------- ----------
Discretionary Retail (continued)
Lowe's Co., Inc....................... 7,000 $ 283,938
Maxim Group, Inc. (The) +............. 27,900 554,513
Micro Warehouse, Inc. +............... 800 12,400
Musicland Stores Corp. +.............. 4,800 67,200
Office Depot, Inc. +.................. 1,400 44,188
Renters Choice, Inc. +................ 2,100 59,585
Ross Stores, Inc...................... 10,800 464,400
TJX Companies, Inc.................... 11,200 270,200
Zale Corp. +.......................... 700 22,269
----------
4,359,744
----------
Diversified Financial Services (0.5%)
Equitable Co., Inc. (The)............. 500 37,469
Morgan Stanley, Dean Witter,
Discover & Co....................... 3,675 335,803
Trammell Crow Co.+.................... 5,200 173,875
Travelers Group, Inc.................. 6,200 375,875
----------
923,022
----------
Drugs (1.2%)
Abbott Laboratories................... 9,200 376,050
Johnson & Johnson..................... 5,800 427,750
Eli Lilly & Co........................ 2,900 191,582
Medicis Pharmaceutical Corp. +........ 11,900 434,350
Merck & Co., Inc...................... 2,300 307,625
Rexall Sundown, Inc. +................ 800 28,200
Roberts Pharmaceutical Corp. +........ 14,000 322,000
Theragenics Corp. +................... 500 13,031
----------
2,100,588
----------
Electrical Machinery and Instruments (0.2%)
Harris Corp. ......................... 900 40,219
Xerox Corp............................ 4,000 406,500
----------
446,719
----------
Electronic Media (1.2%)
Cablevision Systems Corp. +........... 10,900 910,150
Gaylord Entertainment Co.............. 17,300 557,925
Midway Games, Inc.+................... 4,300 67,188
Speedway Motorsports, Inc. +.......... 13,100 334,869
Viacom, Inc. +........................ 4,900 285,425
----------
2,155,557
----------
Food and Beverage (1.0%)
Canandaigua Brands, Inc. +............ 9,401 462,362
J&J Snack Foods Corp.+................ 6,200 129,425
NBTY, Inc. +.......................... 2,100 38,588
PepsiCo, Inc. ........................ 10,000 411,875
Ralcorp Holdings, Inc. +.............. 2,200 41,525
Suiza Foods Corp. +................... 11,300 674,469
----------
1,758,244
----------
Food and Drug Retail (0.3%)
CVS Corp.............................. 6,200 241,413
Fleming Companies, Inc................ 2,200 38,637
</TABLE>
58 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Food and Drug Retail (continued)
Kroger Co. (The)+..................... 5,700 $ 244,388
----------
524,438
----------
Forest Products and Building Materials (0.6%)
Ball Corp............................. 400 16,075
Centex Construction Products, Inc..... 4,100 157,850
Crown Cork & Seal Co., Inc............ 3,600 171,000
Florida Rock Industries, Inc.......... 2,700 78,806
Georgia-Pacific Corp.................. 3,000 166,050
Lafarge Corp.......................... 800 31,450
Lone Star Industries, Inc............. 5,600 431,550
Owens Corning......................... 1,200 48,975
Southdown, Inc........................ 500 35,688
----------
1,137,444
----------
Gas Utilities (0.5%)
Columbia Gas System, Inc.............. 2,400 133,500
Energen Corp.......................... 16,200 326,025
NICOR, Inc. .......................... 6,100 244,763
Questar Corp.......................... 1,000 19,625
Sempra Energy+........................ 7,068 196,133
----------
920,046
----------
Health Services (0.7%)
Assisited Living Concepts, Inc. +..... 2,000 34,500
Integrated Health Services, Inc. +.... 19,800 742,500
NovaCare, Inc. +...................... 2,000 23,500
Trigon Healthcare, Inc. +............. 11,300 408,919
----------
1,209,419
----------
Heavy Machinery (0.2%)
Case Corp............................. 2,700 130,275
Navistar International Corp. +........ 6,100 176,138
----------
306,413
----------
Housing and Furnishings (2.0%)
Atria Communities, Inc. +............. 3,800 65,550
Centex Corp........................... 5,600 211,400
Crossmann Communities, Inc............ 12,100 367,538
D. R. Horton, Inc. ................... 3,900 81,413
Fleetwood Enterprises, Inc............ 3,700 148,000
Kaufman & Broad Home Corp............. 2,200 69,850
Lennar Corp........................... 10,400 306,800
MDC Holdings, Inc..................... 37,200 734,700
Pulte Corp............................ 7,400 221,075
Ryland Group, Inc..................... 20,500 538,125
Standard Pacific Corp................. 38,400 792,000
----------
3,536,451
----------
Industrial Services (0.0%)
Fluor Corp............................ 1,000 51,000
----------
Insurance (1.2%)
Allstate Corp. (The).................. 8,100 741,656
CIGNA Corp. .......................... 200 13,800
Conseco, Inc.......................... 4,400 205,700
Number of Market
Shares Value
--------- ----------
Insurance (continued)
First American Financial Corp......... 9,650 $ 868,500
Nymagic, Inc. ........................ 5,500 150,563
Old Republic International Corp....... 1,350 39,572
SunAmerica, Inc....................... 2,950 169,440
----------
2,189,231
----------
Investment Services (0.6%)
Bear Sterns Co., Inc. (The)........... 796 45,273
Dames & Moore Group................... 9,400 121,025
Donaldson, Lufkin & Jenrette, Inc..... 800 40,650
Lehman Brothers Holdings, Inc......... 5,700 442,106
Merrill Lynch & Co., Inc. ............ 2,600 239,850
Providian Financial Corp.............. 3,300 259,256
----------
1,148,160
----------
Major Telecommunications (0.6%)
AT&T Corp............................. 1,400 79,975
Bell Atlantic Corp. .................. 800 36,500
BellSouth Corp........................ 7,500 503,438
MCI Communications Corp............... 4,200 244,125
Sprint Corp........................... 4,400 310,200
----------
1,174,238
----------
Oil (0.7%)
Ashland Oil, Inc...................... 6,800 351,050
Clayton Williams Energy, Inc.......... 10,100 103,525
Comstock Resources, Inc.+............. 3,700 27,518
Phillips Petroleum Co................. 2,100 101,194
Sun Company, Inc...................... 15,800 613,238
----------
1,196,525
----------
Oil Services (0.8%)
Cliffs Drilling Co. .................. 1,200 39,375
Helmerich & Payne, Inc................ 3,200 71,200
SEACOR SMIT Holdings+................. 8,700 533,418
Seitel, Inc. +........................ 30,000 485,625
Trico Marine Services, Inc. +......... 17,300 236,794
Veritas DGC, Inc. +................... 1,700 84,894
----------
1,451,306
----------
Other Telecommunications (0.2%)
Century Telephone Enterprises, Inc.... 1,200 55,050
Liberty Media Group+.................. 900 34,931
U.S. West, Inc........................ 7,000 329,000
----------
418,981
----------
Print Media (0.2%)
Knight-Ridder, Inc.................... 4,100 225,756
McClatchy Newspapers, Inc. ........... 2,100 72,713
----------
298,469
----------
Producer Goods (2.2%)
Aeroquip-Vickers, Inc................. 3,600 210,150
C & D Technologies, Inc............... 9,200 533,600
Cincinnati Milacron, Inc.............. 3,000 72,938
FMC Corp.+............................ 2,500 170,469
</TABLE>
59
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Crossroads (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Producer Goods (continued)
Gleason Corp.......................... 16,300 $ 458,438
Graco, Inc............................ 18,000 627,750
Honeywell, Inc........................ 2,600 217,263
Ingersoll-Rand Co..................... 3,900 171,844
ITT Industries, Inc. ................. 4,100 153,238
Kaydon Corp........................... 800 28,250
Parker-Hannifin Corp.................. 1,900 72,438
RMI Titanium Co. +.................... 4,000 91,000
Thermo Electron Corp. +............... 700 23,931
Thomas & Betts Corp................... 3,300 162,525
Timken Co............................. 4,300 132,491
Tredegar Industries, Inc.............. 6,550 555,931
Trinity Industries, Inc............... 500 20,750
Varlen Corp........................... 10,300 355,350
----------
4,058,356
----------
Real Estate Investment Trusts (22.2%)
Alexandria Real Estate Equities, Inc.. 1,400 41,913
AMB Property Corp..................... 1,400 34,300
American General Hospitality Corp. ... 10,300 218,875
American Health Properties, Inc. ..... 8,400 210,000
American Residential Investment
Trust, Inc.......................... 1,700 16,469
Apartment Investment & Management Co.. 37,100 1,465,450
Arden Realty Group, Inc............... 12,100 313,088
Avalon Bay Communities, Inc. ......... 18,213 692,094
Beacon Capital+++..................... 25,900 530,950
Bedford Property Investors, Inc....... 4,100 74,825
Berkshire Realty Co., Inc............. 9,500 111,031
Boykin Lodging Co..................... 5,800 125,788
Bradley Real Estate, Inc. ............ 3,700 78,163
Brandywine Realty Trust............... 20,100 449,738
Burnham Pacific Properties, Inc....... 6,200 87,963
Cabot Industrial Trust................ 6,300 134,663
Camden Property Trust................. 20,193 600,742
Capstone Capital Trust, Inc........... 25,700 591,100
Captec Net Lease Realty, Inc.......... 7,200 109,800
Carramerica Realty Corp............... 7,900 224,163
CBL & Associates Properties, Inc...... 8,400 203,700
CCA Prison Realty Trust............... 16,800 514,500
Chateau Communities, Inc. ............ 8,200 235,750
Colonial Properties Trust............. 30,800 954,800
Cornerstone Properties, Inc........... 18,300 322,538
Cousins Properties, Inc............... 9,000 268,875
Crescent Operating, Inc............... 520 8,840
Crescent Real Estate Equities, Inc.... 46,200 1,553,475
Criimi Mae, Inc....................... 20,300 281,663
Developers Diversified Realty Corp.... 2,600 101,888
Duke Realty Investments, Inc.......... 12,800 303,200
Eastgroup Properties, Inc............. 3,900 78,244
Equity Inns, Inc...................... 17,100 225,506
Equity Office Properties Trust........ 75,400 2,139,475
Equity One, Inc. ..................... 6,300 64,575
Number of Market
Shares Value
--------- ---------
Real Estate Investment Trusts (continued)
Equity Residential Properties Trust... 16,500 $ 782,719
Essex Property Trust, Inc............. 24,900 771,900
Felcor Suite Hotels, Inc.+ ........... 10,200 320,025
Franchise Finance Corp. of America.... 11,100 287,906
Gables Residential Trust.............. 6,200 168,175
General Growth Properties............. 10,200 381,225
Glenborough Realty Trust, Inc......... 44,300 1,168,413
Glimcher Realty Trust................. 7,300 141,894
Golf Trust of America, Inc............ 4,300 147,813
Health and Retirement Property Trust.. 68,400 1,286,775
Health Care REIT, Inc................. 10,100 257,550
Highwood Properties, Inc. ............ 18,400 594,550
Home Properties of New York, Inc...... 4,600 122,763
Hospitality Properties Trust.......... 29,200 938,050
Imperial Credit Commercial Mortgage
Investment Corp..................... 2,700 35,269
Innkeepers USA Trust.................. 17,600 222,200
Kilroy Realty Corp. .................. 10,200 255,000
Kimco Realty Corp..................... 55,200 2,263,200
Koger Equity, Inc..................... 16,500 333,094
Lexington Corporate Properties Trust.. 4,900 71,663
Liberty Property Trust................ 68,600 1,753,588
LTC Properties, Inc................... 37,400 696,575
Mack-Cali Realty Corp................. 12,500 429,688
Manufactured Home Communities, Inc. .. 10,000 241,250
Meditrust Companies................... 11,500 321,281
Merry Land & Investment Co., Inc...... 13,200 278,025
Mid-America Apartment Communities,
Inc. ............................... 7,300 192,081
National Golf Properties, Inc......... 5,700 171,356
OMEGA Healthcare Investors, Inc....... 41,900 1,471,738
Parkway Properties, Inc............... 17,600 519,200
Post Properties, Inc.................. 29,600 1,139,600
Prentiss Properties Trust............. 23,000 559,188
PS Business Parks, Inc. .............. 23,900 561,650
Public Storage, Inc. ................. 4,200 117,600
Ramco-Gerhenson Properties Trust...... 4,900 93,100
Reckson Associates Realty Corp........ 15,000 354,375
Reckson Service Industries, Inc. +.... 1,200 3,975
Regency Realty Corp................... 10,100 253,763
Shurgard Storage Centers, Inc. ....... 6,900 191,475
Simon DeBartolo Group, Inc. .......... 8,500 276,250
Sorvan Self Storage, Inc.............. 9,600 271,200
Spieker Properties, Inc............... 23,600 914,500
Starwood Financial Trust+............. 217 12,133
Starwood Lodging Trust................ 46,600 2,251,341
Sun Communities, Inc.................. 5,500 182,188
Sunstone Hotel Investors, Inc......... 7,700 102,506
Tanger Factory Outlet Centers, Inc. .. 10,700 339,056
Tower Realty Trust, Inc............... 1,200 26,850
TriNet Corporate Realty Trust, Inc. .. 4,900 166,600
United Dominion Realty Trust, Inc. ... 35,800 496,725
</TABLE>
60 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Real Estate Investment Trusts (continued)
Urban Shopping Centers, Inc........... 8,000 $ 252,000
Vornado Realty Trust.................. 27,300 1,083,469
Walden Residential Properties, Inc.... 11,600 284,200
Weeks Corp............................ 4,800 151,800
Weingarten Realty Investors........... 1,500 62,719
-----------
40,141,373
-----------
Semiconductors and Electronics (0.2%)
Avid Technologies, Inc. +............. 13,000 435,500
-----------
Specialty Chemicals (0.0%)
Millennium Chemicals, Inc............. 1,500 50,812
Wellman, Inc.......................... 1,300 29,494
-----------
80,306
-----------
Steel (0.1%)
Bethlehem Steel Corp. +............... 9,300 115,669
USX-US Steel Group, Inc............... 3,700 122,100
-----------
237,769
-----------
Surface Transport (0.1%)
Burlington Northern Santa Fe Corp. +.. 800 78,550
Tidewater, Inc........................ 900 29,700
U.S. Freightways Corp................. 2,000 65,688
-----------
173,938
-----------
Textiles and Apparel (0.4%)
Burlington Industries, Inc.+.......... 1,800 25,313
Liz Claiborne, Inc.................... 1,500 78,375
Timberland Co. (The) +................ 8,800 633,050
-----------
736,738
-----------
Total United States 98,432,594
-----------
Foreign Common Stocks (14.3%)
Australia (0.6%)
Goodman Fielder Ltd. (Food and
Beverage) .......................... 183,396 266,907
Mayne Nickless Ltd. (Commercial
Services) .......................... 53,600 283,813
Telstra Corp. Ltd. (Other
Telecommunications)+............... 101,100 259,210
Westpac Banking Corp. Ltd. (Banks and
Thrifts) ........................... 40,400 246,444
-----------
Total Australia 1,056,374
-----------
Belgium (0.2%)
Delahaize-Le Lion, SA (Food and
Beverage) .......................... 4,000 279,495
-----------
Canada (0.2%)
Canadian Imperial Bank of Commerce
(Banks and Thrifts) ................ 8,115 261,020
Canadian National Railway Co.
(Surface Transport) ................ 3,000 159,375
-----------
Total Canada 420,395
-----------
Denmark (0.5%)
Carli Gry International A/S
(Textiles and Apparel) ............. 3,200 258,252
Novo-Nordisk A/S (Drugs) ............. 2,000 275,701
Olicom A/S (Computers) +.............. 4,000 108,186
Number of Market
Shares Value
--------- ---------
Denmark (continued)
Tele Danmark A/S
(Major Telecommunications) +........ 3,100 $ 297,513
-----------
Total Denmark 939,652
-----------
Finland (0.7%)
Huhtamaki Group (Diversified) ........ 5,400 309,050
Oy Nokia Corp., ADR
(Other Telecommunications) ......... 3,800 275,738
Sampo Insurance Co. (Insurance) ...... 3,900 184,818
UPM-Kymmene Corp.
(Forest Products and Building
Materials) ......................... 6,600 181,646
Valmet Oyj (Consumer Services) ....... 17,500 301,742
-----------
Total Finland 1,252,994
-----------
France (1.8%)
Accor SA (Consumer Services) ......... 1,050 293,846
Alcatel Alsthom (Other 1,600 325,768
Telecommunications) ................
Alstrom (Producer Goods) +............ 4,400 144,822
Credit Commercial de France
(Banks and Thrifts) ................ 3,000 252,562
Danone (Food and Beverage) ........... 1,200 330,862
Elf Aquitaine SA (Oil) ............... 2,250 316,323
Gemini Sogeti SA (Insurance) ......... 2,500 392,820
Lafarge SA
(Forest Products and Building
Materials) ......................... 3,400 351,470
Pernod Ricard (Food and Beverage) .... 3,700 256,416
Rhone-Poulenc (Biotech and Medical
Products)........................... 5,400 304,564
Union des Assurances de Federales
(Insurance)........................ 1,950 307,367
-----------
Total France 3,276,820
-----------
Germany (1.3%)
BASF AG (Chemicals) .................. 3,500 165,786
Bayerische Hypotheken-und
Wechsel-Bank AG (Banks and Thrifts)+ 2,200 139,432
BHF-Bank AG (Banks and Thrifts) ...... 4,000 151,465
Daimler-Benz AG (Automotive) ......... 1,650 162,255
Deutsche Pfandbrief & Hypothekenbank
AG (Banks and Thrifts) ............. 3,500 279,995
Gehe AG (Health Services) ............ 3,600 192,960
Karstadt AG (Consumer Specialties) +.. 300 145,842
MAN AG (Producer Goods) +............. 700 273,014
Mannesmann AG (Producer Goods)....... 2,000 205,536
VEBA AG (Electric Utilities) ......... 1,900 129,471
Viag AG (Consumer Services) +......... 400 275,230
Volkswagen AG (Automotive) ........... 215 206,660
-----------
Total Germany 2,327,646
-----------
Hong Kong (0.1%)
Hutchison Whampoa Ltd.
(Consumer Services) ................ 42,000 221,692
-----------
Ireland (0.3%)
Allied Irish Banks (Banks and
Thrifts) ........................... 10,118 146,076
</TABLE>
61
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Crossroads (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
Ireland (continued)
CRH Plc
(Forest Products and Building
Materials) ......................... 10,000 $ 141,861
Waterford Wedgewood
(Housing and Furnishings) .......... 140,482 182,241
-----------
Total Ireland 470,178
-----------
Italy (0.5%)
Banca Commerciale Italiana
(Banks and Thrifts) +............... 25,000 149,505
Credito Italiano (Banks and Thrifts) . 56,200 294,191
Istituto Nazionale delle
Assicurazioni (Insurance) +......... 47,000 133,526
Mondadori (Arnoldo) Editore S.p.A
(Print Media)....................... 13,000 153,582
Telecom Italia S.p.A
(Major Telecommunications) +........ 13,800 101,585
-----------
Total Italy 832,389
-----------
Japan (1.8%)
Canon, Inc. (Computers) .............. 11,000 249,667
Fuji Photo Film (Chemicals) .......... 9,000 313,218
Hitachi Ltd. (Semiconductors and
Electronics) ....................... 39,000 254,314
Kao Corp. (Consumer Products) +....... 20,000 308,391
Minebea Co. Ltd.
(Semiconductors and Electronics) ... 18,000 179,110
Mizuno Corp. (Consumer Products) ..... 28,000 94,016
Nintendo Co. Ltd.
(Semiconductors and Electronics) ... 3,000 277,768
Nippon Telegraph & Telephone
(Major Telecommunications) +........ 200 165,724
Orix Corp. (Investment Services) ..... 4,000 270,058
Santen Pharmaceutical Co., Ltd.
(Drugs) ............................ 18,000 197,010
Seino Transportation Co., Ltd.
(Surface Transport) ................ 52,000 288,504
Sony Corp. (Semiconductors and
Electronics) ....................... 2,300 198,040
Takefuji Corp. (Banks and Thrifts) ... 6,000 276,687
Terumo Corp. (Biotech and Medical
Products) .......................... 17,000 296,482
-----------
Total Japan 3,341,989
-----------
Mexico (0.2%)
Grupo Financiero Banamex Accival
(Investment Services) +............. 83,000 157,206
Panamerican Beverages, Inc.
(Food and Beverage) ................ 5,400 169,763
-----------
Total Mexico 326,969
-----------
Netherlands (0.8%)
Akzo Nobel NV (Chemicals) ............ 1,200 266,756
Heineken NV (Food and Beverage) +..... 4,400 172,823
Hunter Douglas NV (Consumer Services) 6,394 347,325
Number of Market
Shares Value
--------- ---------
Netherlands (continued)
ING Groep NV (Banks and Thrifts) +.... 3,920 $ 256,680
Philips Electronics NV
(Semiconductors and Electronics) ... 1,900 159,716
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Print Media) ...................... 7,100 257,932
-----------
Total Netherlands 1,461,232
-----------
New Zealand (0.1%)
Fernz Corp., Ltd. (Chemicals) ........ 43,100 96,202
-----------
Norway (0.8%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ................ 43,000 179,878
Det Sondenfjelds-Norske
Dampskibsselskab (Oil) +............ 16,800 295,561
Merkantildata ASA (Data and Imaging 21,700 274,306
Services)
Ocean Rig ASA (Oil) +................. 272,650 202,528
Saga Petroleum ASA (Oil) ............. 15,800 242,965
Tandberg Television ASA
(Other Telecommunications) +........ 12,000 100,866
Tomra Systems ASA (Heavy Machinery) .. 7,400 221,801
-----------
Total Norway 1,517,905
-----------
Spain (0.4%)
Banco Santander SA (Banks and
Thrifts) ........................... 11,600 297,407
Iberdrola SA (Electric Utilities) .... 15,700 255,360
Telefonica de Espana
(Major Telecommunications) ......... 4,000 185,250
----------
Total Spain 738,017
----------
Sweden (0.9%)
Celsius AB (Conglomerate and
Aerospace) ......................... 9,800 228,566
Industrial & Financial Systems (Data
and Imaging Services)++++........... 20,000 280,253
Kinnevik AB (Industrial Services) .... 3,000 97,618
Kinnevik AB Rights (Industrial
Services) .......................... 3,000 13,542
Mo Och Domsjoe AB
(Forest Products and Building
Materials) ......................... 7,700 220,139
Skandinaviska Enskilda Banken
(Banks and Thrifts) ................ 19,700 337,187
Svenska Handelsbanken (Investment
Services) .......................... 3,600 167,023
WM-Data AB (Computers) ............... 9,400 326,498
----------
Total Sweden 1,670,826
----------
Switzerland (1.1%)
Credit Suisse Group (Banks and
Thrifts) ........................... 1,500 333,759
Fischer (Georg) AG (Auto Parts and
Hardware) .......................... 800 311,179
Kuoni Reisen AG (Commercial Services) 60 297,862
Nestle SA Registered Shares
(Food and Beverage) ................ 140 299,602
</TABLE>
62 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- -----------
<S> <C> <C>
Switzerland (continued)
Novartis AG Registered Shares
(Health Services) .................. 125 $ 208,003
Schweizersche
Rueckversicherungs-Geillschaft
(Insurance) +....................... 70 177,029
Union Bank of Switzerland AG (Banks
and Thrifts) +...................... 1,200 446,199
----------
Total Switzerland 2,073,633
----------
United Kingdom (2.0%)
Bank of Scotland (Banks and Thrifts) . 23,049 258,048
Cadbury Schweppes Plc (Food and
Beverage) +......................... 16,300 252,248
Glaxo Wellcome Plc (Drugs) ........... 11,132 334,142
Granada Group Plc (Consumer Services) 15,165 278,837
Kingfisher Plc (Discretionary Retail) 8,200 132,028
National Westminster Bank Plc
(Banks and Thrifts) ................ 11,000 196,566
Pearson Plc (Print Media) ............ 16,100 294,954
Peninsular & Oriental Steam
Navigation Co. (Surface Transport) 15,600 225,017
Railtrack Group Plc (Surface
Transport) +........................ 7,500 184,328
Shell Transport & Trading Co. (Oil) + 25,800 181,660
Tesco Plc (Discretionary Retail) +.... 31,900 311,101
Tomkins Plc (Consumer Services) ...... 38,356 208,150
Unilever Plc (Consumer Products) ..... 22,500 239,513
Vodafone Group Plc
(Other Telecommunications) ......... 26,184 332,247
WPP Group Plc (Commercial Services) +. 24,900 163,172
----------
Total United Kingdom 3,592,011
----------
Total Foreign Common Stocks 25,896,419
----------
Total Common Stocks (cost $112,743,457) 124,329,013
----------
PREFERRED STOCKS (0.5%)
Germany (0.5%)
Henkel KGAA (Chemicals) .............. 3,300 326,337
Hugo Boss AG (Textiles and Apparel) .. 100 220,495
SAP AG (Data and Imaging Services) ... 500 339,329
----------
Total Preferred Stocks (cost $525,999) 886,161
----------
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (17.0%)
U.S. Government Obligations (5.9%)
U.S. Treasury Bond, 6.63%, 02/15/27.. $ 750,000 847,150
U.S. Treasury Note, 5.88%, 02/15/00.. 2,000,000 2,011,253
U.S. Treasury Note, 6.50%, 05/31/02.. 2,700,000 2,790,278
U.S. Treasury Note, 6.50%, 10/15/06.. 1,400,000 1,486,837
U.S. Treasury Note, 7.50%, 10/31/99.. 200,000 204,999
U.S. Treasury Note, 7.50%, 11/15/01.. 3,025,000 3,204,612
----------
Total U.S. Government Obligations (cost $10,298,409) 10,545,129
----------
Principal Market
Amount Value
--------- ----------
U.S. Government Agency Mortgage-Backed Securities (5.2%)
Federal National Mortgage
Association, 5.75%, 04/15/03........$2,000,000 $ 2,005,625
Federal National Mortgage
Association-Convertible Loan,
6.50%, 02/01/28..................... 2,391,972 2,384,480
Government National Mortgage
Association, 7.00%, 12/15/27........ 105,564 107,346
Government National Mortgage
Association, 7.00%, 01/15/28........ 741,834 754,356
Government National Mortgage
Association, 7.00%, 02/15/28........ 4,133,885 4,203,668
----------
Total U.S. Government Agency
Mortgage-Backed Securities (cost $9,425,781) 9,455,475
----------
Corporate and Convertible Bonds (5.9%)
American Re Corp., 7.45%, 12/15/26.... 600,000 669,906
Enron Oil & Gas, 6.50%,12/01/07....... 800,000 808,760
Fifth Thrid Bank, 6.75%, 07/15/05..... 250,000 258,171
Heller Financial, 6.35%, 08/15/99++++. 200,000 200,380
GTE Corp., 9.375%,12/01/00............ 900,000 965,457
HSBC Americas, Inc., 7.00%, 11/01/06.. 1,400,000 1,444,331
Korea Development Bank, 7.13%,
09/17/01............................ 700,000 624,278
National Australia Bank, 6.40%,
12/10/07............................ 1,000,000 1,009,503
Simon DeBartolo, 6.63%, 06/15/03++++.. 1,000,000 996,500
TCI Communications, Inc., 6.38%,
09/15/99............................ 1,500,000 1,507,335
Tenet Healthcare Corp., 7.88%,
01/15/03............................ 750,000 770,025
Time Warner, Inc., 9.13%, 01/15/13.... 625,000 761,700
Zurich Capital Trust, 8.38%,
06/01/37++++........................ 625,000 693,781
-----------
Total Corporate and Convertible Bonds (cost
$10,503,650) 10,710,127
-----------
Total Long-Term Bonds and Notes (cost $30,227,840) 30,710,731
-----------
SHORT-TERM INVESTMENTS (13.2%)
Dakota Certificates-Standard Credit
Card Master Trust-1, 5.80%,
07/07/98++++....................... 4,900,000 4,895,263
Federal Home Loan Mortgage
Corp.,5.55%, 07/01/98.............. 15,394,000 15,394,000
PHH Corp.,5.75%, 07/02/98............ 3,000,000 2,999,521
U.S. Treasury Bill, 5.03%, 08/20/98@. 525,000 521,467
-----------
Total Short-Term Investments (cost $23,810,120) 23,810,251
-----------
TOTAL INVESTMENTS (cost $167,307,416)(a) 179,736,156
Other assets less liabilities 1,271,657
-----------
Total Net Assets $181,007,813
===========
</TABLE>
63
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Crossroads (continued)
===============================================================================
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$167,388,189. Unrealized gains and losses, based on identified tax cost at June
30, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains ..................... $15,709,815
Unrealized losses .................... (3,361,848)
-----------
Net unrealized gain ................ $12,347,967
===========
</TABLE>
Information concerning open futures contracts at June 30, 1998 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
Long Contracts
- -------------------
<S> <C> <C> <C> <C>
Long-Term German
Government Bond
Futures ........ 22 $3,271,653 Sept. 98 $ 56,288
FTSE 100 Index
Future 2 199,039 Sept. 98 (1,802)
Swiss Government
Bond Futures ... 9 745,016 Sept. 98 (7,298)
---------- ---------
$4,215,708 $ 47,188
========== =========
</TABLE>
+ Non-income producing security.
++ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 1998.
Category percentages are based on net assets.
64 See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Legacy
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- -----------
<S> <C> <C>
COMMON STOCKS (48.8%)
United States (37.7%)
Air Transport (0.5%)
Airborne Freight Corp................. 300 $ 10,481
America West Holdings Corp. +......... 11,200 319,900
AMR Corp. +........................... 2,200 183,150
Continental Airlines, Inc.+........... 100 6,088
Delta Air Lines, Inc.................. 1,000 129,250
UAL Corp+............................. 100 7,800
----------
656,669
----------
Auto Parts and Hardware (0.2%)
Black & Decker Corp................... 2,600 158,600
Echlin, Inc........................... 1,100 53,969
----------
212,569
----------
Automotive (0.4%)
Chrysler Corp......................... 3,000 169,125
Ford Motor Co......................... 3,900 230,100
General Motors Corp................... 1,700 113,581
----------
512,806
----------
Banks and Thrifts (1.1%)
BankAmerica Corp...................... 1,300 112,369
Chase Manhattan Corp. ................ 3,200 241,600
Comerica, Inc......................... 1,350 89,438
Dime Bancorp, Inc..................... 300 8,981
Downey Financial Corp................. 4,095 133,855
Fifth Third Bancorp................... 1,000 63,000
First Union Corp...................... 117 6,815
Golden West Financial Corp............ 1,700 180,731
NationsBank Corp...................... 2,300 175,950
Republic New York Corp................ 1,400 88,113
Riggs National Corp................... 1,200 35,063
State Street Corp..................... 1,400 97,300
Washington Federal.................... 300 8,288
Webster Financial Corp................ 5,400 179,550
WSFS Financial Corp................... 1,900 38,950
----------
1,460,003
----------
Biotech and Medical Products (2.4%)
ADAC Laboratories+.................... 6,700 150,750
Alpharma, Inc......................... 10,400 228,800
Amgen, Inc. +......................... 2,100 137,288
Arterial Vascular Engineering, Inc. +. 2,400 85,800
Bio-Rad Laboratories, Inc. +.......... 8,400 257,250
Datascope Corp. +..................... 500 13,281
Guidant Corp.......................... 600 42,788
Hanger Orthopedic Group, Inc. +....... 17,400 354,525
Hillenbrand Industries, Inc........... 200 12,000
Maxxim Medical, Inc. +................ 14,600 423,400
OEC Medical Systems, Inc. +........... 8,000 180,000
Osteotech, Inc. +..................... 2,600 46,150
Quintiles Transnational Corp. +....... 200 9,838
Number of Market
Shares Value
---------- -----------
Biotech and Medical Products (continued)
Safeskin Corp. +...................... 9,800 $ 403,025
Serologicals Corp.+................... 3,400 109,650
Thermo Bioanalysis Corp. +............ 16,800 304,500
Visx, Inc. +.......................... 5,700 339,150
West Company, Inc. (The).............. 3,200 90,600
----------
3,188,795
----------
Chemicals (0.1%)
Dow Chemical Co....................... 300 29,006
Eastman Chemical Co................... 1,300 80,925
----------
109,931
----------
Commercial Services (0.7%)
AccuStaff, Inc........................ 500 15,625
Deluxe Corp........................... 2,300 82,369
Galileo International, Inc............ 7,400 333,463
URS Corp. +........................... 9,300 158,100
Valassis Communications, Inc. +....... 8,200 316,213
----------
905,770
----------
Computers (0.4%)
Ceridian Corp. +...................... 2,000 117,500
Pomeroy Computer Resources, Inc.+..... 9,000 234,563
Sun Microsystems, Inc. +.............. 3,900 169,406
----------
521,469
----------
Conglomerate and Aerospace (0.1%)
Cordant Technologies, Inc............. 300 13,838
Goodrich (B.F.) Co.................... 1,400 69,475
Gulfstream Aerospace Corp. +.......... 500 23,250
Loews Corp............................ 600 52,275
----------
158,838
----------
Consumer Finance (0.3%)
Countrywide Credit Industries, Inc.... 1,900 96,425
Federal Home Loan Mortgage Corp....... 2,300 108,244
Federal National Mortgage Association. 2,100 127,575
Leasing Solutions, Inc. +............. 1,300 37,375
----------
369,619
----------
Consumer Products (0.3%)
American Greetings Corp............... 1,000 50,938
Blyth Industries, Inc. +.............. 300 9,975
National R.V. Holdings, Inc. +........ 7,500 338,438
Twinlab Corp. +....................... 600 26,213
----------
425,564
----------
Consumer Services (1.5%)
Anchor Gaming+........................ 3,300 256,163
Applebees International, Inc. +....... 12,900 288,638
Brinker International, Inc. +......... 100 1,925
Darden Restaurants, Inc............... 5,800 92,075
Foodmaker, Inc. +..................... 6,700 113,063
Grand Casinos, Inc. +................. 15,600 261,300
Harveys Casinos Resorts .............. 6,000 162,750
</TABLE>
See Notes to Portfolio of Investments. 65
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Legacy (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- -----------
United States (continued)
Consumer Services (continued)
<S> <C> <C>
Marriott International, Inc........... 3,100 $ 100,363
Players International, Inc. +......... 700 3,478
Promus Hotel Corp. +.................. 270 10,395
Red Roof Inns, Inc. +................. 1,200 20,325
RFS Hotel Investors, Inc.............. 4,500 85,500
Service Corp. International........... 800 34,300
Sonic Corp. +......................... 13,050 291,994
Storage USA, Inc...................... 3,900 136,500
Tricon Global Restaurants, Inc. +..... 3,600 114,075
----------
1,972,844
----------
Consumer Specialties (0.1%)
Brunswick Corp........................ 2,200 54,450
Russ Berrie & Co., Inc................ 2,400 60,000
----------
114,450
----------
Data and Imaging Services (1.3%)
Aspen Technology, Inc. +.............. 200 10,100
Autodesk, Inc......................... 600 23,175
Avant! Corp. +........................ 600 200,475
BMC Software, Inc. +.................. 600 31,163
Cadence Design Systems, Inc. +........ 400 12,500
Keane, Inc. +......................... 2,800 156,800
Microsoft Corp. +..................... 1,300 140,888
Mindspring Enterprises, Inc. +........ 3,400 349,775
Oracle Corp. +........................ 1,700 41,756
Progress Software Corp................ 8,700 356,700
Project Software & Development,
Inc.+............................... 900 18,056
QLogic Corp. +........................ 500 17,844
Siebel Systems, Inc. +................ 2,400 77,400
Software Ag Systems, Inc. +........... 2,900 84,825
Symantec Corp. +...................... 600 15,675
Synopsys, Inc.+....................... 300 13,725
3Dfx Interactive, Inc. +.............. 100 1,713
Veritas Software Corp.+............... 300 12,413
Visio Corp+........................... 2,300 109,825
----------
1,674,808
----------
Discretionary Retail (1.6%)
American Eagle Outfitters, Inc. +..... 12,450 480,103
Ames Department Stores, Inc. +........ 5,500 144,719
Cato Corp. (The)...................... 14,300 248,909
Costco Companies, Inc. +.............. 100 6,306
Dayton Hudson Corp.................... 2,300 111,550
Dress Barn, Inc. +.................... 3,200 79,600
Eagle Hardware & Garden, Inc. +....... 300 6,938
Federated Department Stores, Inc. +... 3,200 172,200
Fingerhut Companies, Inc.............. 700 23,100
Goody's Family Clothing, Inc. +....... 200 10,975
Lowe's Co., Inc....................... 3,200 129,800
Number of Market
Shares Value
---------- -----------
Discretionary Retail (continued)
Maxim Group, Inc. (The) +............. 13,900 $ 276,263
Micro Warehouse, Inc. +............... 700 10,850
Musicland Stores Corp. +.............. 2,300 32,200
Office Depot, Inc. +.................. 500 15,781
Ross Stores, Inc...................... 3,300 141,900
TJX Companies, Inc.................... 9,000 217,125
Zale Corp. +.......................... 300 9,544
----------
2,117,863
----------
Diversified Financial Services (0.5%)
Capstone Capital Trust, Inc........... 6,800 156,400
Equitable Co., Inc. (The)............. 200 14,988
Morgan Stanley, Dean Witter,
Discover & Co....................... 1,700 155,338
Tower Realty Trust, Inc............... 500 11,188
Trammell Crow Co.+.................... 2,100 70,219
Travelers Group, Inc.................. 3,000 181,875
----------
590,008
----------
Drugs (0.8%)
Abbott Laboratories................... 4,400 179,850
Eli Lilly & Co........................ 1,700 112,306
Johnson & Johnson..................... 2,700 199,125
Medicis Pharmaceutical Corp. +........ 3,100 113,150
Merck & Co., Inc...................... 1,900 254,125
Rexall Sundown, Inc. +................ 200 7,050
Roberts Pharmaceutical Corp. +........ 10,300 236,900
Theragenics Corp. +................... 200 5,213
----------
1,107,719
----------
Electrical Machinery and Instruments (0.3%)
Technitrol, Inc....................... 3,600 143,775
Xerox Corp............................ 2,000 203,250
----------
347,025
----------
Electronic Media (0.8%)
Cablevision Systems Corp. +........... 5,900 492,650
Gaylord Entertainment Co.............. 7,400 238,650
Midway Games, Inc.+................... 2,100 32,813
Speedway Motorsports, Inc. +.......... 5,600 143,150
Viacom, Inc. +........................ 2,300 133,975
----------
1,041,238
----------
Food and Beverage (0.7%)
Canandaigua Brands, Inc. +............ 1,900 93,456
J & J Snack Foods Corp.+.............. 10,100 210,838
NBTY, Inc. +.......................... 5,800 106,575
PepsiCo, Inc.......................... 4,700 193,581
Ralcorp Holdings, Inc. +.............. 1,000 18,875
Suiza Foods Corp. +................... 5,800 346,188
----------
969,513
----------
Food and Drug Retail (0.1%)
Fleming Companies, Inc................ 1,000 17,563
Kroger Co. (The) +.................... 2,500 107,188
----------
124,751
----------
</TABLE>
66 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ---------
<S> <C> <C>
United States (continued)
Forest Products and Building Materials (0.4%)
Ball, Corp............................ 200 $ 8,038
Centex Construction Products, Inc..... 1,400 53,900
Crown Cork & Seal Co., Inc............ 1,600 76,000
Florida Rock Industries, Inc.......... 2,400 70,050
Georgia-Pacific Corp.................. 1,400 78,925
Lafarge Corp.......................... 200 7,863
Lone Star Industries, Inc............. 3,000 231,188
Martin Marietta Materials, Inc........ 100 4,500
Owens Corning......................... 600 24,488
Southdown, Inc........................ 100 7,138
----------
562,090
----------
Gas Utilities (0.3%)
Columbia Gas System, Inc.............. 1,200 66,750
Energen Corp.......................... 7,400 148,925
NICOR, Inc............................ 2,800 112,350
Sempra Energy+........................ 3,308 91,807
Southwestern Energy Co................ 2,500 22,969
----------
442,801
----------
Health Services (0.4%)
Assisted Living Concepts, Inc.+....... 1,700 29,325
Integrated Health Services, Inc. +.... 7,100 266,250
NovaCare, Inc. +...................... 600 7,050
Trigon Healthcare, Inc. +............. 6,600 238,838
----------
541,463
----------
Heavy Machinery (0.1%)
Case Corp............................. 1,200 57,900
Navistar International Corp........... 2,900 83,738
PACCAR, Inc........................... 700 36,575
----------
178,213
----------
Housing and Furnishings (1.3%)
Centex Corp........................... 2,400 90,600
Crossmann Communities, Inc.+.......... 800 24,300
D.R. Horton, Inc...................... 17,800 371,575
Fleetwood Enterprises, Inc............ 1,700 68,000
Kaufman & Broad Home Corp............. 1,000 31,750
Lennar Corp........................... 1,700 50,150
MDC Holdings, Inc..................... 16,100 317,975
Pulte Corp............................ 3,200 95,600
Ryland Group, Inc..................... 10,100 265,125
Standard Pacific Corp................. 16,400 338,250
----------
1,653,325
----------
Industrial Services (0.1%)
Fluor Corp............................ 500 25,500
Walter Industries, Inc. +............. 2,000 37,875
----------
63,375
----------
Insurance (0.6%)
Allstate Corp. (The).................. 3,500 320,469
CIGNA Corp. .......................... 100 6,900
Number of Market
Shares Value
--------- ---------
Insurance (continued)
Conseco, Inc.......................... 2,000 $ 93,500
Everest Reinsurance Holdings, Inc..... 100 3,844
First American Financial Corp......... 3,350 301,500
Old Republic International Corp....... 400 11,725
SunAmerica, Inc....................... 1,250 71,797
----------
809,735
----------
Investment Services (0.4%)
Bear Stearns Co., Inc. (The).......... 330 18,720
Dames & Moore Group................... 8,200 105,575
Lehman Brothers Holdings, Inc......... 2,700 209,419
Merrill Lynch & Co., Inc.............. 1,200 110,700
Providian Financial Corp.............. 1,500 117,844
----------
562,258
----------
Major Telecommunications (0.6%)
Alltel Corp........................... 3,700 172,050
AT&T Corp............................. 600 34,275
Bell Atlantic Corp.................... 2,000 91,250
BellSouth Corp........................ 3,300 221,513
MCI Communications Corp............... 1,600 93,000
Sprint Corp........................... 2,100 148,050
----------
760,138
----------
Oil (0.4%)
Ashland Oil, Inc...................... 3,000 154,875
Clayton Williams Energy, Inc.+........ 4,800 49,200
Phillips Petroleum Co................. 1,000 48,188
Sun Company, Inc...................... 7,100 275,569
----------
527,832
----------
Oil Services (0.5%)
Cliffs Drilling Co.+.................. 2,500 82,031
Helmerich & Payne, Inc................ 1,400 31,150
SEACOR SMIT Holdings+................. 3,900 239,119
Seitel, Inc. +........................ 11,300 182,919
Trico Marine Services, Inc. +......... 5,100 69,806
Veritas DGC, Inc. +................... 400 19,975
----------
625,000
----------
Other Telecommunications (0.2%)
Century Telephone Enterprises, Inc.... 450 20,644
Liberty Media Group, Inc.+............ 300 11,644
Premisys Communications, Inc.+........ 1,000 24,875
U.S. West, Inc........................ 2,900 136,300
----------
193,463
----------
Print Media (0.3%)
Dun & Bradstreet Corp................. 2,700 97,538
Knight-Ridder, Inc.................... 1,900 104,619
McClatchy Newspapers, Inc............. 2,575 89,159
Tribune Co............................ 700 48,169
----------
339,485
----------
</TABLE>
67
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Legacy (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
United States (continued)
Producer Goods (1.2%)
Aeroquip-Vickers, Inc................. 1,700 $ 99,238
C & D Technologies, Inc............... 4,500 261,000
Cincinnati Milacron, Inc.............. 1,600 38,900
Commercial Intertech Corp............. 800 14,500
FMC Corp.+............................ 1,100 75,006
Gleason Corp.......................... 1,600 45,000
Graco, Inc............................ 6,750 235,406
Honeywell, Inc........................ 900 75,206
Ingersoll-Rand Co..................... 1,700 74,906
ITT Industries, Inc................... 1,100 41,113
Kaydon Corp........................... 200 7,063
Parker-Hannifin Corp.................. 900 34,313
RMI Titanium Co. +.................... 3,600 81,900
Thermo Electron Corp. +............... 300 10,256
Thomas & Betts Corp................... 1,500 73,875
Timken Co............................. 2,100 64,706
Tredegar Industries, Inc.............. 2,800 237,650
Trinity Industries, Inc............... 100 4,150
Varlen Corp........................... 4,600 158,700
----------
1,632,888
----------
Real Estate Investment Trusts (16.3%)
Alexandria Real Estate Equities, Inc.. 600 17,963
AMB Property Corp..................... 600 14,700
American General Hospitality Corp..... 4,800 102,000
American Health Properties, Inc....... 4,300 107,500
American Residential Investment
Trust, Inc.......................... 700 6,781
Apartment Investment & Management Co.. 17,500 691,250
Arden Realty Group, Inc............... 5,800 150,075
Avalon Bay Communities, Inc........... 9,518 361,684
Beacon Capital+++..................... 11,300 231,650
Bedford Property Investors, Inc....... 1,600 29,200
Berkshire Realty Co., Inc............. 3,800 44,413
Bradley Real Estate, Inc.............. 1,800 38,025
Brandywine Realty Trust............... 19,300 431,838
Burlington Northern Santa Fe Corp..... 400 39,275
Burnham Pacific Properties, Inc....... 2,800 39,725
Cabot Industrial Trust................ 2,600 55,575
Camden Property Trust................. 11,210 333,498
Captec Net Lease Realty, Inc.......... 3,000 45,750
CBL & Associates Properties, Inc...... 15,900 385,575
Chateau Communities, Inc.............. 4,200 120,750
Colonial Properties Trust............. 6,700 207,700
Cousins Properties, Inc............... 4,200 125,475
Crescent Real Estate Equities, Inc.... 25,100 843,988
Criimi Mae, Inc....................... 11,100 154,013
Developers Diversified Realty Corp.... 900 35,269
Duke Realty Investments, Inc.......... 6,600 156,338
Eastgroup Properties, Inc............. 1,500 30,094
Number of Market
Shares Value
--------- ----------
Real Estate Investment Trusts (continued)
Equity Inns, Inc...................... 31,300 $ 412,769
Equity Office Properties Trust........ 40,000 1,135,000
Equity One, Inc....................... 3,200 32,800
Equity Residential Properties Trust... 7,850 372,384
Essex Property Trust, Inc............. 7,700 238,700
Felcor Suite Hotels, Inc.+............ 9,300 291,788
Franchise Finance Corp. of America.... 5,600 145,250
Gables Residential Trust.............. 3,200 86,800
General Growth Properties............. 3,200 119,600
Glenborough Realty Trust, Inc......... 20,100 530,138
Glimcher Realty Trust................. 3,900 75,806
Health and Retirement Property Trust.. 30,800 579,425
Health Care REIT, Inc................. 34,100 869,550
Highwood Properties, Inc.............. 10,400 336,050
Home Properties of New York, Inc...... 1,500 40,031
Horizon Group Properties, Inc. +...... 215 1,418
Hospitality Properties Trust.......... 10,300 330,888
Imperial Credit Commercial Mortgage
Investment Corp..................... 800 10,450
Innkeepers USA Trust.................. 8,400 106,050
Kilroy Realty Corp.................... 5,600 140,000
Kimco Realty Corp..................... 30,200 1,238,200
Koger Equity, Inc..................... 7,500 151,406
Lexington Corporate Properties Trust.. 2,000 29,250
Liberty Property Trust................ 32,500 830,781
LTC Properties, Inc................... 16,200 301,725
Mack-Cali Realty Corp................. 6,200 213,125
Manufactured Home Communities, Inc.... 5,400 130,275
Meditrust Companies................... 5,000 139,688
Merry Land & Investment Co., Inc...... 7,300 153,756
OMEGA Healthcare Investors, Inc....... 20,500 720,050
Parkway Properties, Inc............... 7,500 221,250
Post Properties, Inc.................. 13,400 515,900
Prentiss Properties Trust............. 12,400 301,475
Prime Retail, Inc..................... 4,300 51,331
PSS Business Parks, Inc............... 21,400 502,900
Public Storage, Inc................... 12,500 350,000
Ramco-Gerhenson Properties Trust...... 1,300 24,700
Reckson Associates Realty Corp. +..... 13,000 307,125
Reckson Service Industries, Inc....... 1,040 3,445
Regency Realty Corp................... 11,500 288,938
Shurgard Storage Centers, Inc......... 4,900 135,975
Simon Debartolo Group, Inc............ 12,600 409,500
Sovran Self Storage, Inc.............. 6,200 175,150
Spieker Properties, Inc............... 13,000 503,750
Starwood Financial Trust+............. 117 6,533
Starwood Lodging Trust................ 23,400 1,130,500
Sun Communities, Inc.................. 2,400 79,500
Sunstone Hotel Investors, Inc......... 3,300 43,931
Tanger Factory Outlet Centers, Inc.... 5,100 161,606
TriNet Corporate Realty Trust, Inc.... 2,600 88,400
</TABLE>
68 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
---------- ---------
<S> <C> <C>
United States (continued)
Real Estate Investment Trusts (continued)
United Dominion Realty Trust, Inc..... 19,400 $ 269,175
Urban Shopping Centers, Inc........... 3,800 119,700
Vornado Realty Trust.................. 14,300 567,531
Walden Residential Properties, Inc.... 4,200 102,900
Weeks Corp............................ 16,200 512,325
----------
21,436,797
----------
Semiconductors and Electronics (0.2%)
Avid Technology, Inc. +............... 8,300 278,050
----------
Specialty Chemicals (0.0%)
Millennium Chemicals, Inc............. 700 23,713
----------
Steel (0.1%)
Bethlehem Steel Corp. +............... 4,300 53,481
USX-US Steel Group, Inc............... 1,700 56,100
----------
109,581
----------
Surface Transport (0.0%)
Tidewater, Inc........................ 300 9,900
----------
9,900
----------
Textiles and Apparel (0.1%)
Burlington Industries, Inc. +......... 600 8,438
Timberland Co. (The) +................ 1,600 115,100
----------
123,538
----------
Total United States 49,455,897
----------
Foreign Common Stocks (11.1%)
Australia (0.4%)
Goodman Fielder Ltd. (Food and
Beverage) .......................... 94,209 137,108
Mayne Nickless Ltd. (Commercial
Services) .......................... 27,500 145,613
Telstra Corp. Ltd. (Other
Telecommunications) +............... 71,500 183,319
Westpac Banking Corp. Ltd. (Banks and
Thrifts) ........................... 20,700 126,272
----------
Total Australia 592,312
----------
Belgium (0.1%)
Delhaize-Le Lion, SA
(Food and Beverage) ................ 1,900 132,760
----------
Canada (0.1%)
Canadian Imperial Bank of Commerce
(Banks and Thrifts) ................ 4,252 136,751
Canadian National Railway Co.
(Surface Transport) ................ 1,400 74,375
----------
Total Canada 211,126
----------
Denmark (0.4%)
Carli Gry International A/S
(Textiles and Apparel) ............. 1,500 121,055
Novo-Nordisk A/S (Drugs) ............. 1,200 165,421
Olicom A/S (Computers) +.............. 3,000 81,140
Tele DanmarkA/S(Major
Telecommunications) + 1,600 153,555
----------
Total Denmark 521,171
----------
Number of Market
Shares Value
---------- ---------
Finland (0.6%)
Huhtamaki Group (Diversified) ........ 3,200 $ 183,141
Oy Nokia Corp., ADR
(Other Telecommunications) ......... 2,500 181,406
Sampo Insurance Co. (Insurance)....... 2,000 94,778
UPM-Kymmene
(Forest Products and Building
Materials) ......................... 4,600 126,602
Valmet Oyj (Consumer Services) +...... 9,000 155,181
----------
Total Finland 741,108
----------
France (1.3%)
Accor SA (Consumer Services) ......... 550 153,919
Alcatel Alsthom (Other
Telecommunications) ................ 800 162,884
Alstom (Producer Goods) +............. 3,000 98,743
Credit Commercial de France
(Banks and Thrifts) ................ 1,700 143,119
Danone (Food and Beverage) ........... 600 165,431
Elf Aquitaine SA (Oil) ............... 1,100 154,647
Gemini Sogeti SA (Insurance) ......... 1,200 188,554
Lafarge SA
(Forest Products and Building
Materials) ......................... 1,500 155,060
Pernod Ricard (Food and Beverage) .... 1,800 124,743
Rhone-Poulenc
(Biotech and Medical Products) ..... 3,100 174,842
Union des Assurances de Federales
(Insurance)......................... 1,200 189,149
----------
Total France 1,711,091
----------
Germany (1.1%)
BASF AG (Chemicals)................... 3,600 170,523
Bayerische Hypotheken-und
Wechsel-Bank AG (Banks and Thrifts) 2,800 177,459
BHF Bank AG (Banks and Thrifts) ...... 2,200 83,306
Daimler-Benz AG (Automotive) ......... 880 86,536
Deutsche Pfandbrief & Hypothekenbank
AG (Banks and Thrifts) ............. 2,000 159,997
Gehe AG (Health Services) ............ 2,900 155,440
Karstadt AG (Consumer Specialties) +.. 200 97,228
MAN AG (Producer Goods) +............. 400 156,008
Mannesmann AG (Producer Goods) ....... 1,000 102,768
VEBA AG (Electric Utilities) ......... 1,000 68,143
Viag AG (Consumer Services) +......... 100 68,808
Volkswagen AG (Automotive) ........... 107 102,849
----------
Total Germany 1,429,065
----------
Hong Kong (0.1%)
Hutchison Whampoa Ltd.
(Consumer Services) ................ 25,000 131,960
----------
</TABLE>
69
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Legacy (continued)
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Ireland (0.3%)
Allied Irish Banks (Banks and
Thrifts) ........................... 12,047 $ 173,925
CRH Plc
(Forest Products and Building
Materials) ......................... 12,000 170,234
Waterford Wedgewood
(Housing and Furnishings) .......... 67,895 88,077
----------
Total Ireland 432,236
----------
Italy (0.3%)
Banca Commerciale Italiana
(Banks and Thrifts) +............... 12,000 71,762
Credito Italiano (Banks and Thrifts) . 30,000 157,042
Istituto Nazionale delle
Assicurazioni (Insurance) +......... 26,000 73,866
Mondadori (Arnoldo) Editore S.p.A.
(Print Media) ...................... 7,500 88,605
Telecom Italia S.p.A.
(Major Telecommunications) ......... 7,500 55,209
----------
Total Italy 446,484
----------
Japan (1.5%)
Canon, Inc (Computers) ............... 6,000 136,182
Fuji Photo Film (Chemicals) .......... 5,000 174,010
Hitachi Ltd. (Semiconductors and
Electronics) ....................... 23,000 149,980
Kao Corp. (Consumer Products)+........ 11,000 169,615
Minebea Co. Ltd.
(Semiconductors and Electronics) ... 15,000 149,260
Mizuno Corp. (Consumer Products) ..... 13,000 43,650
Nintendo Corp. Ltd. (Semiconductors
and Electronics).................... 2,000 185,178
Nippon Telegraph & Telephone
(Major Telecommunications) +........ 150 124,293
Orix Corp. (Investment Services) ..... 2,000 135,029
Santen Pharmaceutical Co., Ltd.
(Drugs) ............................ 16,000 175,120
Seino Transportation Co., Ltd.
(Surface Transport) ................ 27,000 149,800
Sony Corp. (Semiconductors and
Electronics) +...................... 1,100 94,715
Takefuji Corp. (Banks and Thrifts) ... 3,200 147,566
Terumo Corp. (Biotech and Medical
Products) .......................... 9,000 142,667
----------
Total Japan 1,977,065
----------
Mexico (0.2%)
Grupo Financiero Banamex
(Investment Services) +............. 59,000 111,749
Panamerican Beverages, Inc.
(Food and Beverage) ................ 4,200 132,038
----------
Total Mexico 243,787
----------
Netherlands (0.6%)
Akzo Nobel NV (Chemicals) ............ 700 155,607
Heineken NV (Food and Beverages) +.... 2,500 98,195
Hunter Douglas NV (Consumer Services) 3,349 181,919
ING Groep NV (Banks and Thrifts)...... 2,113 138,358
Philips Electronics NV
(Semiconductors and Electronics) ... 1,100 92,468
Number of Market
Shares Value
--------- ----------
Netherlands (continued)
VNU-Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Print Media) ...................... 3,200 $ 116,251
----------
Total Netherlands 782,798
----------
New Zealand (0.0%)
Fernz Corp., Ltd. (Chemicals) ........ 19,300 43,079
----------
Norway (0.6%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ................ 20,600 86,174
Det Sondenfjelds-Norske
Dampskibsselskab (Oil)+............. 8,000 140,743
Merkantildata ASA (Data and Imaging 11,500 145,370
Services)
Ocean Rig ASA (Oil) +................. 110,550 82,118
Saga Petroleum ASA (Oil) +............ 9,200 141,474
Tandberg Television ASA
(Other Telecommunications) +........ 5,700 47,911
Tomra Systems ASA
(Heavy Machinery)+.................. 3,300 98,911
----------
Total Norway 742,701
----------
Spain (0.3%)
Banco Santander (Banks and Thrifts) .. 6,000 153,831
Iberdrola SA (Electric Utilities) .... 7,100 115,481
Telefonica de Espana
(Major Telecommunications) ......... 2,000 92,625
----------
Total Spain 361,937
----------
Sweden (0.8%)
Celsius AB (Conglomerate and
Aerospace).......................... 6,900 160,929
Industrial & Financial Systems
(Data and Imaging Services)++++..... 8,100 113,502
Kinnevik AB (Industrial Services) .... 3,700 120,396
Kinnevik AB Rights (Industrial
Services) .......................... 3,700 16,702
Mo Och Domsjoe AB
(Forest Products and Building
Materials) ......................... 5,400 154,383
Skandinaviska Enskilda Banken
(Banks and Thrifts) ................ 10,300 176,296
Svenska Handelsbanken (Investment
Services) .......................... 2,100 97,430
WM-Data AB (Computers)................ 4,700 163,249
----------
Total Sweden 1,002,887
----------
Switzerland (0.9%)
Credit Suisse Group (Banks and
Thrifts) ........................... 650 144,629
Fischer (Georg) AG (Auto Parts and
Hardware) .......................... 450 175,038
Kuoni Reisen AG (Commercial Services) 35 173,753
Nestle SA Registered Shares
(Food and Beverage) ................ 90 192,601
Novartis AG Registered Shares
(Health Services) .................. 95 158,082
Schweizerische Rueckversicherungs-
Gesillschaft (Insurance)+........... 50 126,450
</TABLE>
70 See Notes to Portfolio of Investments.
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Number of Market
Shares Value
--------- ----------
<S> <C> <C>
Switzerland (continued)
Union Band of Switzerland AG
(Banks and Thrifts) +............... 600 $ 223,100
----------
Total Switzerland 1,193,653
----------
United Kingdom (1.5%)
Bank of Scotland (Banks and Thrifts) . 12,600 141,065
Cadbury Schweppes Plc (Food and
Beverage)+.......................... 8,200 126,898
Computer Center (Discretionary
Retail) +........................... 10,000 125,638
Glaxo Wellcome Plc (Drugs) ........... 6,389 191,774
Granada Group Plc (Consumer Services) 6,272 115,322
Kingfisher Plc (Discretionary Retail) 3,900 62,794
National Westminster Bank Plc
(Banks and Thrifts) ................ 5,300 94,709
Pearson Plc (Print Media) ............ 8,900 163,049
Peninsular & Oriental Steam
Navigation Co. (Surface Transport) 8,500 122,606
Railtrack Group Plc (Surface
Transport) +........................ 4,300 105,681
Shell Transport & Trading (Oil) +..... 11,700 82,381
Tesco Plc (Discretionary Retail) ..... 16,700 162,865
Tomkins Plc (Consumer Services) ...... 14,535 78,878
Unilever Plc (Consumer Products) ..... 12,500 133,063
Vodafone Group Plc
(Other Telecommunications) ......... 12,689 161,010
WPP Group Plc ( Consumer Services) +.. 14,300 93,708
----------
Total United Kingdom 1,961,441
----------
Total Foreign Common Stocks 14,658,661
----------
Total Common Stocks (cost $58,832,757) 64,114,558
----------
PREFERRED STOCKS (0.3%)
Germany (0.3%)
Henkel KGAA (Chemicals) .............. 1,500 148,335
Hugo Boss AG (Textiles and Apparel) .. 50 110,247
SAP AG (Data and Imaging Services) ... 250 169,664
----------
Total Preferred Stocks (cost $251,505) 428,246
----------
Principal
Amount
---------
LONG-TERM BONDS AND NOTES (29.5%)
U.S. Government Obligations (13.0%)
U.S. Treasury Bond, 6.63%, 02/15/27.. $2,000,000 2,259,065
U.S. Treasury Note, 5.88%, 02/15/00.. 3,150,000 3,167,723
U.S. Treasury Note, 6.50%, 05/31/02.. 3,600,000 3,720,371
U.S. Treasury Note, 6.50%, 10/15/06.. 2,000,000 2,124,053
U.S. Treasury Note, 7.50%, 10/31/99.. 1,450,000 1,486,245
U.S. Treasury Note, 7.50%, 11/15/01.. 4,090,000 4,332,847
----------
Total U.S. Government Obligations (cost $16,707,669) 17,090,304
----------
Number of Market
Shares Value
--------- ----------
U.S. Government Agency Mortgage-Backed Securities (7.3%)
Federal National Mortgage Association,
5.75%, 04/03/27.................... $2,000,000 $ 2,005,625
Federal National Mortgage Association,
6.50%, 04/15/27.................... 2,466,030 2,458,306
Government National Mortgage
Association, 7.00%, 04/15/27....... 398,275 404,998
Government National Mortgage
Association, 7.00%, 01/15/28....... 996,367 1,013,186
Government National Mortgage
Association, 7.00%, 02/15/28....... 3,585,973 3,646,505
-----------
Total U.S. Government Agency
Mortgage-Backed Securities (cost $9,498,498) 9,528,620
-----------
Corporate and Convertible Bonds (9.2%)
American Re Corp., 7.45%, 12/15/26.... 700,000 781,557
Capital One Bank., 6.66%, 06/19/00.... 700,000 706,069
Enron Oil & Gas, 6.50%, 12/01/07...... 700,000 707,665
Fifth Third Bank., 6.75%, 07/15/05.... 300,000 309,805
GTE Corp., 9.38%, 12/01/00............ 1,000,000 1,072,730
Heller Financial, 6.35%, 08/15/99++++. 500,000 500,950
HSBC Americas, Inc., 7.00%, 11/01/06.. 1,000,000 1,031,665
Korea Development Bank., 7.12%,
09/17/01............................ 700,000 624,278
National Australia Bank, 6.40%,
12/10/07............................ 2,000,000 2,019,006
Simon De Bartolo, 6.63%, 06/15/03++++. 1,200,000 1,195,800
TCI Communications, Inc., 6.38%,
09/15/99............................ 1,500,000 1,507,335
Tenet Healthcare Corp., 7.88%,
01/15/03............................ 425,000 436,348
Time Warner, Inc., 9.13%, 01/15/13.... 625,000 761,700
Zurich Capital Trust, 8.38%,
06/01/37++++........................ 375,000 416,268
-----------
Total Corporate and Convertible Bonds (cost
$11,893,888) 12,071,176
-----------
Total Long-Term Bonds and Notes (cost
$38,100,055) 38,690,100
-----------
SHORT-TERM INVESTMENTS (20.3%)
Cooperative Assoc. Of Tractor
Dealers, 5.90%, 07/16/98............ 2,100,000 2,098,279
Dakota Certificates-Standard Credit
Card, Master Trust-1, 5.80%,
07/07/98++++........................ 4,100,000 4,096,037
Federal Home Loan Bank, 5.55%,
07/01/98............................15,056,000 15,056,000
PHH Corp., 5.75%, 07/02/98............ 5,000,000 4,999,201
U.S. Treasury Bill, 5.03%, 08/20/98@.. 350,000 347,642
-----------
Total Short-Term Investments (cost $26,597,074) 26,597,159
-----------
TOTAL INVESTMENTS (cost $123,781,391)(a) 129,830,063
Other assets less liabilities 1,483,840
-----------
Total Net Assets $131,313,903
===========
</TABLE>
71
<PAGE>
Aetna Generation Portfolios, Inc.
Portfolio of Investments - June 30, 1998 (Unaudited)
Legacy (continued)
===============================================================================
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$123,842,648. Unrealized gains and losses, based on identified tax cost at June
30, 1998, are as follows:
<TABLE>
<S> <C>
Unrealized gains ..................... $7,815,564
Unrealized losses .................... (1,828,149)
----------
Net unrealized gain ................ $5,987,415
==========
</TABLE>
Information concerning open futures contracts at June 30, 1998 is shown below:
<TABLE>
<CAPTION>
No. of Initial Expiration Unrealized
Contracts Value Date Gain/(Loss)
--------- ---------- ---------- -----------
Long Contracts
- -------------------
<S> <C> <C> <C> <C>
Long-Term German
Government Bond
Futures ........ 23 $3,422,749 Sept. 98 $ 54,072
FTSE 100 Index
Future.......... 2 199,039 Sept. 98 (1,802)
Swiss Government
Bond Futures ... 8 662,237 Sept. 98 (6,487)
Topix Index
Futures ........ 3 255,110 Sept. 98 6,593
---------- --------
$4,539,135 $ 52,376
========== ========
</TABLE>
+ Non-income producing security.
++ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
++++ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at June 30, 1998.
Category percentages are based on net assets.
72 See Notes to Financial Statements.
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Assets and Liabilities
June 30, 1998 (Unaudited)
===============================================================================
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
------------- -------------- -------------
<S> <C> <C> <C>
Assets:
Investments, at market value ................................... $199,038,130 $179,736,156 $129,830,063
Cash ........................................................... 5,780 859 424
Cash denominated in foreign currencies ......................... 518,197 428,031 241,324
Receivable for:
Dividends and interest ..................................... 617,762 687,310 614,588
Investments sold ........................................... 1,190,694 809,658 793,284
Fund shares sold ........................................... 7,376 117,484 283,780
Recoverable foreign taxes .................................. 53,263 41,315 22,867
Prepaid expenses ............................................... 1,621 1,378 877
Gross unrealized gain on forward foreign currency exchange
contracts .................................................... 228,804 150,168 96,511
------------- -------------- -------------
Total assets .......................................... 201,661,627 181,972,359 131,883,718
------------- -------------- -------------
Liabilities:
Payable for:
Investments purchased ...................................... 967,232 759,812 454,050
Fund shares redeemed ....................................... 63 25 72
Variation margin ........................................... 2,768 5,580 416
Accrued investment advisory fees ............................... 89,583 81,176 59,564
Accrued administrative service fees ............................ 10,886 9,894 7,281
Accrued custodian fees ......................................... 10,482 9,376 6,825
Other liabilities .............................................. 14,566 12,829 9,264
Gross unrealized loss on forward foreign currency exchange
contracts .................................................... 107,392 85,854 32,343
------------- -------------- -------------
Total liabilities ..................................... 1,202,972 964,546 569,815
------------- -------------- -------------
NET ASSETS ................................................... $200,458,655 $181,007,813 $131,313,903
============= ============== =============
Net assets represented by:
Paid-in capital ................................................ $173,599,044 $161,227,308 $120,831,719
Net unrealized gain on investments, open futures contracts and
foreign currency related transactions ........................ 18,072,225 12,539,233 6,162,826
Undistributed net investment income ............................ 1,959,100 2,185,891 1,909,759
Accumulated net realized gain on investments ................... 6,828,286 5,055,381 2,409,599
------------- -------------- -------------
NET ASSETS ................................................... $200,458,655 $181,007,813 $131,313,903
============= ============== =============
Capital Shares
Authorized ..................................................... Two Billion Two Billion Two Billion
Par value ...................................................... $ 0.001 $ 0.001 $ 0.001
Outstanding .................................................... 13,059,323 12,830,497 10,221,787
Net Asset Value, offering and redemption price per share (net
assets divided by shares outstanding) ........................ $ 15.350 $ 14.108 $ 12.846
Cost of investments ............................................ $181,112,730 $167,307,416 $123,781,391
Cost of cash denominated in foreign currencies ................. $ 519,569 $ 428,172 $ 241,909
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Operations
Six Month Period Ended June 30, 1998 (Unaudited)
===============================================================================
<TABLE>
<CAPTION>
Ascent Crossroads Legacy
------------ ------------ -----------
<S> <C> <C> <C>
Investment Income:
Dividends ........................................................... $ 1,911,470 $ 1,322,382 $ 658,477
Interest ............................................................ 986,132 1,754,939 1,811,694
------------ ------------ -----------
2,897,602 3,077,321 2,470,171
Foreign taxes withheld on dividends ................................. (48,600) (37,438) (19,264)
------------ ------------ -----------
Total investment income ....................................... 2,849,002 3,039,883 2,450,907
------------ ------------ -----------
Expenses:
Investment advisory fee ............................................. 517,426 457,648 312,961
Administrative services fees ........................................ 105,695 93,147 63,003
Custody fees ........................................................ 10,521 9,430 6,873
Transfer agent fees ................................................. 473 473 465
Registration fees ................................................... 1,520 1,502 1,195
Audit fees .......................................................... 1,664 1,657 1,641
Printing and postage fees ........................................... 3,182 2,863 2,161
Directors' fees ..................................................... 801 701 469
Miscellaneous expenses .............................................. 481 414 282
------------ ------------ -----------
Total expenses ................................................ 641,763 567,835 389,050
------------ ------------ -----------
Net investment income ............................................... 2,207,239 2,472,048 2,061,857
------------ ------------ -----------
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Sale of investments ............................................... 6,462,099 4,610,844 2,192,067
Futures and forward currency exchange contracts ................... 644,845 520,514 290,033
Foreign currency related transactions ............................. (71,505) (16,645) (9,910)
------------ ------------ -----------
Net realized gain on investments ........................... 7,035,439 5,114,713 2,472,190
------------ ------------ -----------
Net change in unrealized gain or loss on:
Investments ....................................................... 6,288,043 4,257,576 1,761,912
Futures and forward currency exchange contracts ................... (60,386) (15,185) 41,666
Foreign currency related transactions ............................. 4,524 2,989 1,055
------------ ------------ -----------
Net change in unrealized gain or loss on investments ....... 6,232,181 4,245,380 1,804,633
------------ ------------ -----------
Net realized and change in unrealized gain or loss on investments ... 13,267,620 9,360,093 4,276,823
------------ ------------ -----------
Net increase in net assets resulting from operations ................ $15,474,859 $11,832,141 $6,338,680
============ ============ ===========
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets
===============================================================================
<TABLE>
<CAPTION>
Ascent
--------------------------------------
Six Month
Period Ended
June 30, 1998 Year Ended
(Unaudited) December 31, 1997
----------- --------------
<S> <C> <C>
Operations:
Net investment income ....................................................... $ 2,207,239 $ 2,436,420
Net realized gain on investments ............................................ 7,035,439 7,553,548
Net change in unrealized gain or loss on investments ........................ 6,232,181 7,203,813
------------- -------------
Net increase in net assets resulting from operations ...................... 15,474,859 17,193,781
------------- -------------
Distributions to Shareholders:
From net investment income .................................................. (650,306) (2,979,730)
From net realized gains ..................................................... (953,524) (6,365,007)
------------- -------------
Decrease in net assets from distributions to shareholders ................. (1,603,830) (9,344,737)
------------- -------------
Fund Share Transactions:
Proceeds from shares sold ................................................... 39,238,736 91,118,652
Net asset value of shares issued upon reinvestment of distributions ......... 1,603,830 9,344,736
Payments for shares redeemed ................................................ (3,065,337) (4,657,488)
------------- -------------
Net increase in net assets from fund share transactions ................... 37,777,229 95,805,900
------------- -------------
Net change in net assets .................................................... 51,648,258 103,654,944
Net Assets:
Beginning of period ......................................................... 148,810,397 45,155,453
------------- -------------
End of period ............................................................... $200,458,655 $148,810,397
============= =============
End of period net assets includes undistributed net investment income ....... $ 1,959,100 $ 402,167
============= =============
Share Transactions:
Number of shares sold ....................................................... 2,613,659 6,640,539
Number of shares issued upon reinvestment of distributions .................. 106,253 665,526
Number of shares redeemed ................................................... (200,567) (344,396)
------------- -------------
Net increase .............................................................. 2,519,345 6,961,669
============= =============
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
Aetna Generation Portfolios, Inc.
Statements of Changes in Net Assets (continued)
===============================================================================
<TABLE>
<CAPTION>
Crossroads
--------------------------------------
Six Month
Period Ended
June 30, 1998 Year Ended
(Unaudited) December 31, 1997
----------- --------------
<S> <C> <C>
Operations:
Net investment income ......................................................... $ 2,472,048 $ 2,629,353
Net realized gain on investments .............................................. 5,114,713 5,606,557
Net change in unrealized gain or loss on investments .......................... 4,245,380 5,042,978
------------- -------------
Net increase in net assets resulting from operations ........................ 11,832,141 13,278,888
------------- -------------
Distributions to Shareholders:
From net investment income .................................................... (549,398) (3,038,631)
From net realized gains ....................................................... (172,559) (5,215,788)
------------- -------------
Decrease in net assets from distributions to shareholders ................... (721,957) (8,254,419)
------------- -------------
Fund Share Transactions:
Proceeds from shares sold ..................................................... 47,760,718 77,759,711
Net asset value of shares issued upon reinvestment of distributions ........... 721,957 8,254,419
Payments for shares redeemed .................................................. (1,574,794) (5,739,228)
------------- -------------
Net increase in net assets from fund share transactions ..................... 46,907,881 80,274,902
------------- -------------
Net change in net assets ...................................................... 58,018,065 85,299,371
Net Assets:
Beginning of period ........................................................... 122,989,748 37,690,377
------------- -------------
End of period ................................................................. $181,007,813 $122,989,748
============= =============
End of period net assets includes undistributed net investment income ......... $ 2,185,891 $ 263,241
============= =============
Share Transactions:
Number of shares sold ......................................................... 3,496,175 6,075,990
Number of shares issued upon reinvestment of distributions .................... 51,836 634,014
Number of shares redeemed ..................................................... (116,644) (457,343)
------------- -------------
Net increase ................................................................ 3,431,367 6,252,661
============= =============
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
===============================================================================
<TABLE>
<CAPTION>
Legacy
--------------------------------------
Six Month
Period Ended
June 30, 1998 Year Ended
(Unaudited) December 31, 1997
----------- --------------
<S> <C> <C>
Operations:
Net investment income ......................................................... $ 2,061,857 $ 1,966,118
Net realized gain on investments .............................................. 2,472,190 2,559,961
Net change in unrealized gain or loss on investments .......................... 1,804,633 2,635,248
------------- ------------
Net increase in net assets resulting from operations ........................ 6,338,680 7,161,327
------------- ------------
Distributions to Shareholders:
From net investment income .................................................... (249,574) (2,194,825)
From net realized gains ....................................................... (233,275) (2,305,682)
------------- ------------
Decrease in net assets from distributions to shareholders ................... (482,849) (4,500,507)
------------- ------------
Fund Share Transactions:
Proceeds from shares sold ..................................................... 44,788,344 50,159,922
Net asset value of shares issued upon reinvestment of distributions ........... 482,849 4,500,507
Payments for shares redeemed .................................................. (1,462,631) (3,425,545)
------------- ------------
Net increase in net assets from fund share transactions ..................... 43,808,562 51,234,884
------------- ------------
Net change in net assets ...................................................... 49,664,393 53,895,704
Net assets:
Beginning of period ........................................................... 81,649,510 27,753,806
------------- ------------
End of period ................................................................. $131,313,903 $81,649,510
============= ============
End of period net assets includes undistributed net investment income ........ $ 1,909,759 $ 97,476
============= ============
Share Transactions:
Number of shares sold ......................................................... 3,551,759 4,187,047
Number of shares issued upon reinvestment of distributions .................... 37,924 373,934
Number of shares redeemed ..................................................... (115,760) (279,146)
------------- ------------
Net increase ................................................................ 3,473,923 4,281,835
============= ============
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements
June 30, 1998 (Unaudited)
===============================================================================
1. Organization
Aetna Generation Portfolios, Inc. (Company) is registered under the Investment
Company Act of 1940 (the Act) as an open-end management investment company. It
was incorporated under the laws of Maryland on October 14, 1994 and is
authorized to issue multiple series of shares, each representing a diversified
portfolio of investments (individually, a Portfolio and collectively, the
Portfolios) with its own investment objective, policies and restrictions.
Currently, the Company offers shares of the Aetna Ascent VP, Aetna Crossroads VP
and Aetna Legacy VP. Each of these diversified Portfolios 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.
The following is each Portfolio's investment objective:
Aetna Ascent VP (Ascent) seeks to provide capital appreciation.
Aetna Crossroads VP (Crossroads) seeks to provide total return (i.e., income
and capital appreciation, both realized and unrealized).
Aetna Legacy VP (Legacy) seeks to provide total return consistent with
preservation of capital.
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.
Effective May 1, 1998, Aeltus Investment Management, Inc. (Aeltus) became the
Investment Adviser to the Portfolios. Prior to May 1, 1998, ALIAC acted as
Investment Adviser and Aeltus served as Sub-Adviser to the Portfolios. ALIAC
serves as the principal underwriter to each Portfolio. Aeltus and ALIAC are both
wholly-owned subsidiaries of Aetna Retirement Holdings, Inc. and are indirect
wholly-owned subsidiaries of Aetna Inc.
2. Summary of Significant Accounting Policies
The accompanying financial statements of the Portfolios have been prepared in
accordance 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 value. Securities and fixed income investments for which
market quotations are not considered to be readily available are valued 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 foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day. 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.
78
<PAGE>
===============================================================================
2. Summary of Significant Accounting Policies (continued)
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 "sell" futures
contracts as a hedge against declines in the value of portfolio securities. 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 held by the Portfolios 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, where authorized, may use
forward foreign currency exchange contracts to hedge certain foreign currency
assets. Contracts are recorded at market value and marked-to-market daily.
The risks associated with futures and forward 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 forward foreign currency
exchange contracts are reflected in the accompanying financial statements. The
amounts at risk under such futures and forward foreign currency exchange
contracts may exceed the amounts reflected in the financial statements. The
notional amounts (economic exposure) of these contracts are disclosed in the
Portfolios of Investments and elsewhere in the Notes to 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 reported to shareholders as 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 those sold pursuant to Rule
144A and Section 4(2) of the Securities Act of 1933 (1933 Act), and are subject
to legal or contractual restrictions on resale and may not be publicly sold
without registration under the 1933 Act. 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 all of its net taxable
investment income and capital gains, if any, in compliance with the applicable
provisions of the Internal Revenue Code.
79
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
===============================================================================
2. Summary of Significant Accounting Policies (continued)
E. Distributions
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 futures and foreign currency
transactions and losses deferred due to wash sales.
F. Other
Investment transactions are accounted for on the day following the 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 accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
3. Investment Advisory and Administrative Services Fees
Effective May 1, 1998, Aeltus became the Investment Adviser and Administrator to
the Portfolios. Prior to that time, ALIAC acted as Investment Adviser and
Administrator to the Portfolios and Aeltus acted as Sub-Adviser to the
Portfolios.
As Investment Adviser, Aeltus (ALIAC prior to May 1, 1998) is paid a monthly fee
expressed as a percentage of the average daily net assets of each Portfolio. As
of June 30, 1998, each Portfolio's Investment Advisory fee was 0.60%.
Prior to May 1, 1998, ALIAC served as Investment Adviser and Aeltus served as
the Sub-Adviser to the Portfolios. As Sub-Adviser, Aeltus supervised the
investment and reinvestment of cash and securities and provided certain related
administrative services. For the period January 1, 1998 through April 30, 1998,
ALIAC collected $812,549 from the Portfolios, of which it paid $468,975 to
Aeltus.
Effective May 1, 1998, each Portfolio pays expenses incurred in exchange for
services provided by auditors, legal firms, transfer agents, custodian banks and
financial printers. Each Portfolio pays its proportionate share of compensation
paid to the Portfolio's Board of Directors and its proportionate share of
insurance premiums of the Portfolios. Each Portfolio pays its direct costs
incurred to mail shareholder reports, register its shares with the Securities
Exchange Commission and any other costs incurred by the Portfolio. In addition,
each Portfolio pays Aeltus an administrative services fee in exchange for
receiving certain administrative and shareholder services and to compensate
Aeltus for supervising the Portfolio's other service providers. Each Portfolio
pays Aeltus an administrative services fee at an annual rate based on average
daily net assets of the Portfolio. The rate is 0.075% on the first $5 billion of
Portfolio assets and 0.050% on all Portfolio assets over $5 billion.
Prior to May 1, 1998, ALIAC acted as Administrator to the Portfolios. As
Administrator, ALIAC paid all the expenses of the Portfolio on behalf of the
Portfolios, supervised each of the Portfolios' other service providers and
provided the Portfolios with certain administrative and shareholder services. In
exchange for these services, ALIAC received an administrative services fee at an
annual rate of up to 0.15% of each Portfolio's average daily net assets. For the
period January 1, 1998 through April 30, 1998, ALIAC collected $203,137 in
administrative services fees from the Portfolios.
Aeltus has entered into a Service Agreement with ALIAC under which ALIAC will
provide various administrative and shareholder services for each Portfolio in
exchange for fees, payable by Aeltus, of up to 0.30% of each Portfolio's average
daily net assets. For the period May 1, 1998 through June 30, 1998, Aeltus paid
ALIAC $244,582.
80
<PAGE>
===============================================================================
4. Purchases and Sales of Investment Securities
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 1998 were:
<TABLE>
<CAPTION>
Cost of Purchases Proceeds from Sales
----------------- -------------------
<S> <C> <C>
Ascent $146,630,508 $97,438,035
Crossroads 122,602,040 78,984,442
Legacy 83,962,235 49,174,398
</TABLE>
5. Forward Foreign Currency Exchange Contracts
At June 30, 1998, Ascent, Crossroads and Legacy had the following open forward
foreign currency exchange contracts that obligate the Portfolios to deliver
currencies at specified future dates. The net unrealized gain of $121,412,
$64,314 and $64,168, respectively on these contracts, are included in the
accompanying financial statements. The terms of the open contracts are as
follows:
<TABLE>
<CAPTION>
Ascent
- ------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1998 be Received June 30, 1998 Gain (Loss)
---- ------------- -------------- ------------ -------------- -----------
Contracts to Buy
- ----------------
<S> <C> <C> <C> <C> <C>
7/3/98 78,822 $78,822 130,000 $79,242 $420
U.S. Dollar Australian Dollar
- -----------------------------------------------------------------------------------------------------------------------------
7/20/98 733,176 733,176 440,000 733,465 289
U.S. Dollar British Pound
- -----------------------------------------------------------------------------------------------------------------------------
8/24/98 162,185 162,185 328,000 161,837 (348)
U.S. Dollar Dutch Guilder
- -----------------------------------------------------------------------------------------------------------------------------
7/15/98 181,513 181,513 1,082,000 178,712 (2,801)
U.S. Dollar French Franc
- -----------------------------------------------------------------------------------------------------------------------------
7/9/98 10,481 10,481 19,000 10,499 18
U.S. Dollar German Deutschemark
- -----------------------------------------------------------------------------------------------------------------------------
2/19/99 180,939 180,939 1,440,000 185,601 4,662
U.S. Dollar Hong Kong Dollar
- -----------------------------------------------------------------------------------------------------------------------------
7/27/98 449,038 449,038 62,670,000 452,331 3,293
U.S. Dollar Japanese Yen
- -----------------------------------------------------------------------------------------------------------------------------
8/26/98 1,024 1,024 140,000 1,017 (7)
U.S. Dollar Japanese Yen
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
81
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
===============================================================================
5. Forward Foreign Currency Exchange Contracts (continued)
Ascent (continued)
- ------------------
<TABLE>
<CAPTION>
Ascent (continued)
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1998 be Received June 30, 1998 Gain (Loss)
---- ------------- -------------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C>
Contracts to Sell
- -----------------
7/7/98 101,000 $ 168,254 168,165 $ 168,165 ($89)
British Pound U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/7/98 440,000 733,465 713,508 713,508 (19,957)
British Pound U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/1/98 323,000 158,072 159,589 159,589 1,517
Dutch Guilder U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/20/98 1,503,000 738,740 753,799 753,799 15,059
Dutch Guilder U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
8/24/98 681,000 336,009 339,515 339,515 3,506
Dutch Guilder U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/6/98 97,000 15,989 16,054 16,054 65
French Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/15/98 6,409,000 1,058,560 1,078,356 1,078,356 19,796
French Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
8/21/98 5,638,000 935,707 930,517 930,517 (5,190)
French Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/1/98 37,000 20,409 20,400 20,400 (9)
German Deutschemark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/9/98 1,423,000 786,318 777,596 777,596 (8,722)
German Deutschemark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/9/98 284,000 156,932 159,829 159,829 2,897
German Deutschemark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
8/3/98 2,009,000 1,115,586 1,137,599 1,137,599 22,013
German Deutschemark U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/2/98 21,800,000 154,201 159,264 159,264 5,063
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/27/98 191,920,000 1,385,214 1,476,617 1,476,617 91,403
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/27/98 68,940,000 497,586 494,940 494,940 (2,646)
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
8/26/98 112,170,000 814,434 836,495 836,495 22,061
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
9/17/98 165,020,000 1,201,738 1,143,114 1,143,114 (58,624)
Japanese Yen U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
2/19/99 2,550,000 328,668 319,669 319,669 (8,999)
Hong Kong Dollar U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/1/98 42,620,000 277,025 278,826 278,826 1,801
Spanish Peseta U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
7/2/98 1,484,000 973,125 1,008,066 1,008,066 34,941
Swiss Franc U.S. Dollar
- ---------------------------------------------------------------------------------------------------------------------------------
$121,412
===========================
</TABLE>
82
<PAGE>
5. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Crossroads
- ---------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1998 be Received June 30, 1998 Gain (Loss)
---- ------------- -------------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C>
Contracts to Buy
- ----------------
7/3/98 64,876 $ 64,876 107,000 $ 65,222 $346
U.S. Dollar Australian Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/20/98 533,219 533,219 320,000 533,429 210
U.S. Dollar British Pounds
- ----------------------------------------------------------------------------------------------------------------------------------
8/24/98 122,706 122,706 248,000 122,364 (342)
U.S. Dollar Dutch Guilder
- ----------------------------------------------------------------------------------------------------------------------------------
7/15/98 9,562 9,562 57,000 9,415 (147)
U.S. Dollar French Franc
- ----------------------------------------------------------------------------------------------------------------------------------
7/9/98 7,171 7,171 13,000 7,184 13
U.S. Dollar German Deutschemark
- ----------------------------------------------------------------------------------------------------------------------------------
2/19/98 16,335 16,335 130,000 16,756 421
U.S. Dollar Hong Kong Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/27/98 360,549 360,549 50,320,000 363,193 2,644
U.S. Dollar Japanese Yen
- ----------------------------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
7/2/98 24,000 39,971 40,030 40,030 59
British Pound U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/7/98 80,000 133,271 133,200 133,200 (71)
British Pound U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/20/98 320,000 533,429 519,029 519,029 (14,400)
British Pound U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/1/98 341,000 166,881 168,482 168,482 1,601
Dutch Guilder U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/20/98 950,000 466,935 476,453 476,453 9,518
Dutch Guilder U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
8/24/98 688,000 339,462 343,005 343,005 3,543
Dutch Guilder U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/6/98 60,000 9,890 9,930 9,930 40
French Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/15/98 5,052,000 834,428 849,875 849,875 15,447
French Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
8/21/98 4,342,000 720,617 716,620 716,620 (3,997)
French Franc U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/1/98 26,000 14,341 14,335 14,335 (6)
German Deutschemark U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/9/98 971,000 536,553 530,601 530,601 (5,952)
German Deutschemark U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
7/9/98 247,000 136,487 139,010 139,010 2,523
German Deutschemark U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
8/3/98 1,386,000 769,638 784,824 784,824 15,186
German Deutschemark U.S. Dollar
- ----------------------------------------------------------------------------------------------------------------------------------
83
</TABLE>
<PAGE>
Aetna Generation Portfolios, Inc.
Notes to Financial Statements (continued)
June 30, 1998 (Unaudited)
===============================================================================
<TABLE>
<CAPTION>
Crossroads (continued)
- ---------------------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1998 be Received June 30, 1998 Gain (Loss)
---- ------------- -------------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C>
Contracts to Sell (continued)
- -----------------------------
7/2/98 14,530,000 $102,777 106,151 $ 106,151 $ 3,374
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/27/98 106,660,000 769,836 816,680 816,680 46,844
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/27/98 57,180,000 412,706 410,551 410,551 (2,155)
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
8/26/98 112,640,000 817,845 839,557 839,557 21,712
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
9/17/98 14,789,000 1,076,991 1,024,453 1,024,453 (52,538)
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
2/19/99 1,770,000 228,135 221,889 221,889 (6,246)
Hong Kong Dollar U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/1/98 25,390,000 165,032 166,105 166,105 1,073
Spanish Peseta U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/2/98 1,088,000 713,450 739,064 739,064 25,614
Swiss Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
$64,314
=================
Legacy
- ------
Contracts to Buy
- ----------------
7/3/98 69,727 69,727 115,000 70,099 372
U.S. Dollar Australian Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/20/98 266,610 266,610 160,000 266,715 105
U.S. Dollar British Pound
- -----------------------------------------------------------------------------------------------------------------------------------
8/24/98 37,178 37,178 75,000 37,005 (173)
U.S. Dollar French Franc
- -----------------------------------------------------------------------------------------------------------------------------------
7/15/98 1,342 1,342 8,000 1,321 (21)
U.S. Dollar French Franc
- -----------------------------------------------------------------------------------------------------------------------------------
7/9/98 4,965 4,965 9,000 4,973 8
U.S. Dollar German Deutschemark
- -----------------------------------------------------------------------------------------------------------------------------------
2/19/99 8,796 8,796 70,000 9,022 226
U.S. Dollar Hong Kong Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/27/98 102,031 102,031 14,240,000 102,780 749
U.S. Dollar Japanese Yen
- -----------------------------------------------------------------------------------------------------------------------------------
Contracts to Sell
- -----------------
7/2/98 19,000 31,644 31,691 31,691 47
British Pound U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/7/98 44,000 73,299 73,260 73,260 (39)
British Pound U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
84
<PAGE>
5. Forward Foreign Currency Exchange Contracts (continued)
<TABLE>
<CAPTION>
Legacy (continued)
- -----------------
Exchange Currency to U.S. $ Value Currency to U.S. $ Value Unrealized
Date be Delivered June 30, 1998 be Received June 30, 1998 Gain (Loss)
---- ------------- -------------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C>
Contracts to Sell (continued)
- ----------------------------
7/20/98 160,000 $266,715 259,595 $259,595 ($7,120)
British Pound U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/1/98 187,000 91,515 92,394 92,394 879
Dutch Guilder U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/20/98 435,000 213,807 218,165 218,165 4,358
Dutch Guilder U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
8/24/98 337,000 166,277 168,013 168,013 1,736
Dutch Guilder U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/6/98 33,000 5,439 5,462 5,462 23
French Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/15/98 2,932,600 484,371 493,307 493,307 8,936
French Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
8/21/98 1,974,000 327,613 325,796 325,796 (1,817)
French Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/1/98 18,000 9,929 9,924 9,924 (5)
German Deutschemark U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/9/98 347,000 191,744 189,617 189,617 (2,127)
German Deutschemark U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/9/98 141,000 77,913 79,355 79,355 1,442
German Deutschemark U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
8/3/98 1,134,000 629,704 642,129 642,129 12,425
German Deutschemark U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
2/19/99 900,000 116,000 112,824 112,824 (3,176)
Hong Kong Dollar U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/2/98 5,580,000 39,470 40,766 40,766 1,296
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/27/98 65,750,000 474,561 502,849 502,849 28,288
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/27/98 15,970,000 115,266 115,199 115,199 (67)
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
8/26/98 104,810,000 760,995 781,590 781,590 20,595
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
9/17/98 50,100,000 364,847 347,049 347,049 (17,798)
Japanese Yen U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/1/98 12,700,000 82,549 83,085 83,085 536
Spanish Peseta U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
7/2/98 616,000 403,939 418,429 418,429 14,490
Swiss Franc U.S. Dollar
- -----------------------------------------------------------------------------------------------------------------------------------
$64,168
==================
</TABLE>
85
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights
Ascent
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six Month Period from
Period Ended Year Ended Year Ended July 5, 1995 to
June 30, 1998 December 31, December 31, December 31,
(Unaudited) 1997 1996 1995+
-------------- ------------ ------------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period .................................. $ 14.119 $ 12.619 $10.795 $10.000
--------- --------- -------- --------
Income from investment operations:
Net investment income ............................................... 0.162 0.248 0.225 0.116
Net realized and change in unrealized gain or loss on investments ... 1.193 2.247 2.286 0.929
--------- --------- -------- --------
Total from investment operations .............................. 1.355 2.495 2.511 1.045
--------- --------- -------- --------
Less distributions:
From net investment income .......................................... (0.050) (0.339) (0.230) (0.250)
From net realized gains on investments .............................. (0.074) (0.656) (0.457) --
--------- --------- -------- --------
Total distributions ........................................... (0.124) (0.995) (0.687) (0.250)
--------- --------- -------- --------
Net asset value, end of period ........................................ $ 15.350 $ 14.119 $12.619 $10.795
========= ========= ======== ========
Total return* ......................................................... 9.62% 19.90% 23.58% 10.45%
Net assets, end of period (000's) ..................................... $200,459 $148,810 $45,155 $18,850
Ratio of total expenses to average net assets ......................... 0.74%(1) 0.75% 0.84% 1.59%(1)
Ratio of net investment income to average net assets .................. 2.54%(1) 2.51% 2.53% 2.26%(1)
Portfolio turnover rate ............................................... 62.97% 124.82% 109.77% 39.77%
Average commission rate paid per share on equity securities traded .... $ 0.0359 $ 0.0311 $0.0296 --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements.
86
<PAGE>
Crossroads
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six Month Period from
Period Ended Year Ended Year Ended July 5, 1995 to
June 30, 1998 December 31, December 31, December 31,
(Unaudited) 1997 1996 1995+
-------------- ------------ ------------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ............................... $ 13.085 $ 11.979 $10.740 $10.000
--------- --------- -------- --------
Income from investment operations:
Net investment income ............................................ 0.186 0.303 0.270 0.131
Net realized and change in unrealized gain or loss
on investments .................................................. 0.894 1.786 1.722 0.799
--------- --------- -------- --------
Total from investment operations ........................... 1.080 2.089 1.992 0.930
--------- --------- -------- --------
Less distributions:
From net investment income ....................................... (0.043) (0.383) (0.300) (0.190)
From net realized gains on investments ........................... (0.014) (0.600) (0.453) --
--------- --------- -------- --------
Total distributions ........................................ (0.057) (0.983) (0.753) (0.190)
--------- --------- -------- --------
Net asset value, end of period ..................................... $ 14.108 $ 13.085 $11.979 $10.740
========= ========= ======== ========
Total return* ...................................................... 8.25% 17.57% 18.81% 9.30%
Net assets, end of period (000's) .................................. $181,008 $122,990 $37,690 $18,813
Ratio of total expenses to average net assets ...................... 0.74%(1) 0.75% 0.80% 1.60%(1)
Ratio of net investment income to average net assets ............... 3.22%(1) 3.20% 3.01% 2.56%(1)
Portfolio turnover rate ............................................ 60.97% 103.08% 105.66% 49.38%
Average commission rate paid per share on equity securities traded . $ 0.0368 $ 0.0325 $0.0284 --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements.
87
<PAGE>
Aetna Generation Portfolios, Inc.
Financial Highlights (continued)
Legacy
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
Six Month Period from
Period Ended Year Ended Year Ended July 5, 1995 to
June 30, 1998 December 31, December 31, December 31,
(Unaudited) 1997 1996 1995+
-------------- ------------ ------------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period .................................. $ 12.100 $11.255 $10.637 $10.000
--------- -------- -------- --------
Income from investment operations:
Net investment income ............................................... 0.197 0.355 0.334 0.148
Net realized and change in unrealized gain or loss on investments ... 0.597 1.263 1.150 0.679
--------- -------- -------- --------
Total from investment operations .............................. 0.794 1.618 1.484 0.827
--------- -------- -------- --------
Less distributions:
From net investment income .......................................... (0.025) (0.392) (0.363) (0.190)
From net realized gains on investments .............................. (0.023) (0.381) (0.503) --
--------- -------- -------- --------
Total distributions ........................................... (0.048) (0.773) (0.866) (0.190)
--------- -------- -------- --------
Net asset value, end of period ........................................ $ 12.846 $12.100 $11.255 $10.637
========= ======== ======== ========
Total return* ......................................................... 6.56% 14.50% 14.19% 8.27%
Net assets, end of period (000's) ..................................... $131,314 $81,650 $27,754 $18,253
Ratio of total expenses to average net assets ......................... 0.74%(1) 0.75% 0.80% 1.62%(1)
Ratio of net investment income to average net assets .................. 3.93%(1) 3.75% 3.45% 2.91%(1)
Portfolio turnover rate ............................................... 59.53% 85.01% 111.11% 62.43%
Average commission rate paid per share on equity securities traded .... $ 0.0339 $0.0297 $0.0274 --
</TABLE>
(1) Annualized.
* The total return percentage does not reflect any separate account charges
under variable annuity contracts and life policies.
+ Per share data calculated using weighted average number of shares
outstanding throughout the period.
See Notes to Financial Statements.
88
<PAGE>
[Aetna Logo]
Retirement Services(R)
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Hartford, CT 06156-8972
----------------
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----------------
Insurance products issued by Aetna Life Insurance and Annuity
Company, Aetna Insurance Company of America and Aetna Life
Insurance Company. Mutual funds and variable products are avail-
able through local representatives of Aetna Investment Services,
Inc., 151 Farmington Avenue, Hartford, Connecticut 06156 and other
broker-dealers that have an agreement with Aetna Life Insurance
and Annuity Company.
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when preceded or accompanied by a current, effective prospectus
or disclosure booklet for that product which gives sales expense and
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