PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in Aetna variable funds. Since there are so many
investment choices available in today's market, we are particularly appreciative
of the confidence you have placed in us to help you reach your investment goals.
The following pages of this Semi-Annual Report will provide you with detailed
information on the performance of the funds you have chosen.
The financial market environment has continued to improve dramatically since you
received the Annual Report last winter. That report focused on all of 1998, a
year marked by high market volatility. As confidence in the global economic
outlook was shaken, a sharp sell-off took place in U.S. and global stock
markets. In the last months of the year, however, the situation began to
improve. Despite all of the events negatively affecting the market at various
times in 1998, the S&P 500 Index and the Dow Jones Industrial Average both
finished the year with double-digit returns - for the fourth year in a row! (Of
course, this unprecedented performance is no guarantee of future results.)
The past two years witnessed a "flight to quality" that has benefited the few at
the expense of the many. It is fair to characterize the past two years as a
narrow bull market, or a stealth bear market, or both. U.S. dollar investments
have prospered vs. those of most other currencies; U.S. Treasury bonds have
outperformed other fixed income instruments; and the so-called "nifty fifty"
leading large-cap growth stocks, as exemplified by the New Nifty Fifty Index,
have generated a highly disproportionate share of record-setting equity market
returns. Economic and financial market developments so far this year provide a
sound basis for hope that the world is returning to a semblance of normalcy
after two years of extraordinary turbulence.
During the second quarter of this year, signs of financial improvement, such as
rebounds in emerging markets, became clear. Economic recoveries in Asia and
Europe and stabilization in Latin America caused yields on fixed income
investments to move up around the world. Credit spreads (the yield difference
between A-rated corporate and U.S. Treasury bonds) have closed only marginally
due to lingering concerns around the future of local businesses and a greater
number of corporate bonds entering the market at a time when government bonds
are being retired. Within the U.S. equity market, these signs took the form of
improving market breadth as more stocks took part in the ongoing advance.
Earnings prospects were up sharply for the cyclical businesses (such as housing,
automobiles and paper) that have been so disadvantaged by the crises and
concerns of the past two years. The equity market paid more attention to value
stocks and other issues that had been ignored over the past two years.
Cyclicals, small-caps, REITs and international investments - value themes all -
outperformed the S&P 500 as well as the New Nifty Fifty Index. These
developments are encouraging, although their persistence is not assured. They
imply a broader participation by more investment segments than just the narrow
few beneficiaries of the past two years. This could tend to encourage investors
to remain committed to strategies that more broadly diversify the risk and
return opportunities presented by this complex world.
At Aeltus Investment Management, Inc./ (R)/, adviser to the Aetna variable
funds, these past six months have also been very productive.
Y2K INITIATIVES have remained a high priority. We have completed remediation
and testing of all of Aeltus' computer systems as of June 30. In addition, on
January 1 of this year, we successfully converted our operating systems to
accept the Euro, the new standard monetary unit of the eleven countries that
compose the European Monetary Union.
NEW SIMPLIFIED PROSPECTUSES WERE INTRODUCED on May 1. Plain English wording
and clear graphics make them truly "user-friendly."
Again, we very much appreciate and value your continued confidence in our
portfolios and in Aeltus.
Sincerely,
/s/ J. Scott Fox
- ------------------
J. Scott Fox
President
i
<PAGE>
<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
President's Letter.....................................................i
INDEX PLUS PORTFOLIOS:
Investment Review......................................................1
Portfolios of Investments:
Aetna Index Plus Bond VP..............................................10
Aetna Index Plus Large Cap VP.........................................12
Aetna Index Plus Mid Cap VP...........................................18
Aetna Index Plus Small Cap VP.........................................22
Statements of Assets and Liabilities...................................28
Statements of Operations...............................................30
Statements of Changes in Net Assets....................................32
Notes to Financial Statements..........................................36
Additional Information.................................................39
Financial Highlights...................................................40
GENERATION PORTFOLIOS:
Investment Review......................................................44
Portfolios of Investments:
Aetna Ascent VP.......................................................49
Aetna Crossroads VP...................................................56
Aetna Legacy VP.......................................................63
Statements of Assets and Liabilities...................................70
Statements of Operations...............................................71
Statements of Changes in Net Assets....................................72
Notes to Financial Statements..........................................75
Additional Information.................................................82
Financial Highlights...................................................83
</TABLE>
<PAGE>
AETNA INDEX PLUS BOND VP
Growth of $10,000
<TABLE>
<CAPTION>
Index Plus Bond VP 12/18/97 12/31/97 12/31/98 06/30/99
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Bond VP 10,000 10,031 10,182 10,409 10,761 10,851 10,798 10,680
Lehman Brothers Aggregate
Bond Index 10,000 10,046 10,200 10,439 10,881 10,918 10,863 10,767
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
Average Annual Total Returns
for the period ended June 30, 1999*
- ---------------------------------------
Inception Date 1 Year Inception
- ---------------------------------------
12/18/97 2.61% 4.39%
- ---------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA INDEX PLUS BOND VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Index Plus Bond VP (Index Plus Bond) generated a -1.57% total return, net
of fund expenses, for the six month period ended June 30, 1999. The benchmark,
Lehman Brothers Aggregate Bond Index(a), returned -1.37% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
Despite low inflation and continued economic growth, the bond market began to
focus on potential Federal Reserve (the "Fed") activity and growth abroad during
the first half of 1999. Fear of one or more rate increases (or tightening) by
the Fed caused interest rates to rise dramatically during the first half of the
year. As the market correctly anticipated, the Fed did raise rates at its June
meeting by 25 basis points (1/4 of 1%). The corporate market experienced strong
returns during the first four months of the year. Nonetheless, the level of
yield spreads between corporate bonds and Treasuries widened almost back to
January's levels, as a result of (1) fears that the Fed would increase rates,
and (2) a heavy calendar of new corporate bond issues coming onto the market.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
In general, the Portfolio's performance for this report period was positively
affected by our overweighted position in Yankee, utility, and industrial
corporate bonds. However, individual securities such as long-term Yankee
utilities contributed to the underperformance. In addition, the Portfolio's
overweighting in finance and bank paper contributed to the negative performance,
as that sector had the worst performance in the first half of 1999 due to
anticipated changes in Fed policy.
See Definition of Terms. 1
<PAGE>
WHAT IS YOUR OUTLOOK GOING FORWARD?
The Fed has recognized some potential imbalances which, if left unchecked, could
threaten the current robust U.S. economic expansion. In this environment, the
Fed may well need to once more raise the Fed funds rate - the interest rate
charged on overnight loans between banks. However, it is likely to proceed
cautiously, because inflationary forces are still quite weak. Yield spreads in
the corporate-bond market, and to a lesser extent the mortgage pass-through
market, are higher than their long-term historical averages. They may very well
remain high for the balance of the year. It is quite possible that investors
will remain risk-averse due to concerns about Y2K-related disruptions and will
remain focused on high-quality issues.
<TABLE>
<CAPTION>
QUALITY RATINGS
<S> <C>
AAA 59.3%
AA 1.6%
A 19.5%
BBB 16.1%
BB 3.5%
</TABLE>
<TABLE>
<CAPTION>
MATURITY DISTRIBUTION
<S> <C>
0 - 1 years 3.6%
1 - 5 years 31.8%
5 - 10 years 13.2%
10 - 20 years 16.4%
20 + years 35.0%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolio are subject to change.
2 See Definition of Terms.
<PAGE>
AETNA INDEX PLUS LARGE CAP VP
Growth of $10,000
<TABLE>
<CAPTION>
Index Plus Large Cap VP 09/16/96 09/30/96 12/31/96 12/31/97 12/31/98 06/30/99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus
Large Cap VP 10,000 10,069 10,964 11,246 13,272 14,285 14,680 16,759 17,420 15,728 19,319 20,374 21,676
S&P 500 Index 10,000 10,276 11,053 10,834 13,067 14,045 14,448 16,464 17,007 15,315 18,577 19,502 20,877
</TABLE>
AETNA INDEX PLUS MID CAP VP
Growth of $10,000
<TABLE>
<CAPTION>
Index Plus Mid Cap VP 12/16/97 12/31/97 12/31/98 06/30/99
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus
Mid Cap VP 10,000 10,348 11,459 11,339 9,958 12,862 12,029 13,511
S&P Midcap 400 Index 10,000 10,390 11,535 11,288 9,655 12,377 11,587 13,228
</TABLE>
AETNA INDEX PLUS SMALL CAP VP
Growth of $10,000
<TABLE>
<CAPTION>
Index Plus Small Cap VP 12/19/97 12/31/97 12/31/98 06/30/99
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus
Small Cap VP 10,000 10,430 11,441 10,901 8,749 10,289 9,423 10,686
S&P Smallcap 600 Index 10,000 10,403 11,555 11,040 8,731 10,268 9,345 10,786
</TABLE>
See Definition of Terms. 3
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Average Annual Total Returns
for the period ended June 30, 1999*
- -------------------------------------------------------------------------------------------
Index Plus Large Cap VP Index Plus Mid Cap VP Index Plus Small Cap VP
- -------------------------------------------------------------------------------------------
1 Year Inception 1 Year Inception 1 Year Inception
- -------------------------------------------------------------------------------------------
24.43% 31.97% 19.16% 21.63% -1.97% 4.43%
- -------------------------------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA INDEX PLUS VPS
HOW DID THE PORTFOLIOS PERFORM DURING THE PERIOD?
The performance listed below for the Index Plus VPs (Index Plus Large Cap VP,
Index Plus Mid Cap VP and Index Plus Small Cap VP) and their respective
benchmarks is for the six month period ended June 30, 1999:
<TABLE>
<CAPTION>
PORTFOLIO BENCHMARK INDEX
INDEX PLUS PORTFOLIO RETURN BENCHMARK INDEX RETURN
<S> <C> <C> <C>
Index Plus Large Cap VP 12.20% S&P 500 Index (b) 12.38%
Index Plus Mid Cap VP 5.05% S&P MidCap 400 Index (c) 6.87%
Index Plus Small Cap VP 3.85% S&P SmallCap 600 Index (d) 5.03%
</TABLE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIOS?
On the last day of June, the Federal Reserve (the "Fed") raised the Fed funds
rate - the interest rate charged on overnight loans between banks - by 0.25%.
That action says a lot about how economic conditions had developed during the
first half of the year. Earlier in the year, with 1998's financial panic and
fears of global meltdown still fresh in memory, prevailing views on economic
growth and the outlook for corporate earnings were quite cautious. It soon
became apparent that U.S. domestic demand was booming and the worst fears around
the impact of last year's financial crisis on this year's economic picture were
not being borne out.
The mood shift was reflected in a recovery in the relative performance of
cyclical stocks, as analysts' expectations for their forward earnings were
increased sharply. Small-capitalization stocks - which had fallen from grace in
the market's enthusiasm for "trophy stocks," a relative handful of globally
recognizable names - made-up some of what had been an historic performance gap
relative to large-caps. Market breadth widened as "value" themes and small-cap
ideas regained respectability with investors, within the context of what
appeared to be a much more successful global economy than had been priced in
earlier.
Within the U.S. equity market, the rank order of market performance by broad
indexes during the second quarter shows the Russell 2000, Value Line, Amex, and
Dow Jones Industrials with a clear lead over the NASDAQ, NYSE Composites, and
the S&P 500. The previously out-of-favor deep cyclicals - such as non-ferrous
metals, machinery, forest products, and commodity chemicals - were among the
best-performing industry groups. At the same time, earlier stalwarts such as
technology and pharmaceuticals turned in more-modest results. Investors'
widening horizons were best expressed in the performance of overseas markets:
China, Indonesia, Malaysia, Russia, Korea, Thailand, Venezuela, Hong Kong,
Argentina, Mexico - the list of the world's leading equity market performances
during the second quarter - reads almost country-for-country like the list of
casualties during the turbulence of 1997-98. Each of these national markets
outperformed the best of the broad U.S. market indices during the quarter. Even
Japan, the habitual wet blanket of global growth, reported an eye-popping
(though suspect) economic bounce and solidly respectable equity-market returns.
The deflationary fears that still lingered at the opening of the second quarter
had dispersed well before the Fed, in its new transparent operating style, had
begun to prepare the markets for a reversal in policy. The Fed adopted and
announced, at the May meeting of its Federal Open Market Committee, a "bias"
toward raising its target rate for the cost of overnight bank reserves.
Fixed-income markets had already sensed which way the economy was going and had
anticipated that monetary policy would follow. Yield curves
4 See Definition of Terms.
<PAGE>
steepened as the more buoyant economic outlook cast a pall over the prospects
for bond market returns.
The issue under debate as the third quarter opens is whether the freshening of
global growth, which so affected market results during the spring quarter, will
continue to dominate investor sentiment and policymakers' concerns. If so, we
can expect a continuing improvement in earnings estimates and an ongoing anxiety
about an adverse shift in inflation and interest-rate trends. If not, there may
be a return to the same sort of high-quality, reliable growth themes that
provided investors with a sense of comfort last year.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Investment Process
- ------------------
The quantitative model used to rank the stocks in the S&P 500, S&P MidCap 400
and the S&P SmallCap 600 did not perform well in the first half of the year. The
principal reason for this was the emphatic rotation to deep "value" that
occurred in April and extended into May. Quantitative models in general tend to
have difficulty at inflection points, and the model's behavior other than at
inflection points proved to be no exception. The strong performance of cyclical
stocks in April signaled a reversal in the market that was confirmed by the
Fed's rate hike at the end of June. The model's effectiveness has gradually
improved as the new trend has become established.
AETNA INDEX PLUS LARGE CAP VP
One of the best-performing stocks in the S&P 500 during the first half of the
year was Nalco Chemical Co. (maker of process chemicals). This stock provides a
good illustration of what happened to many cyclical stocks during the last six
months.
. At the beginning of the year, Nalco Chemical Co. was poorly ranked (and
therefore underweight in the Portfolio) due to its declining expected earnings
and poor price momentum.
. By the end of the six-month period, its rank had improved to a middle decile
(due to better-than-expected earnings). It is now owned at a market weight in
the Portfolio.
. It is interesting to note that the actual earnings of many industrial
cyclicals are still declining; but because of the stronger world economy, the
market is pricing the stocks with an expectation for better earnings ahead.
The worst performing stock in the S&P 500 over this period was McKesson HBOC,
Inc. McKesson HBOC, Inc. started the year poorly ranked. By the end of the
quarter, it was no longer owned in the Portfolio.
Among the best-performing S&P 500 industry groups were the basic materials and
other deep cyclical industries. As mentioned earlier, we were underweight many
of these industries in April because of their weak business fundamentals, but
the prospect of an improving world economy sent these stocks soaring. As
expected earnings of some issues in these industries have improved, the
weighting of these industries in the Portfolio has risen.
AETNA INDEX PLUS MID CAP VP
Among the best performing S&P MidCap 400 industry groups were the oil and gas
drillers and other deep cyclical industries. We were underweight in many of
these industries early in the year because of their weak business fundamentals,
but the prospect of an improving world economy sent these stocks soaring. As
expected earnings of some issues in these industries have improved, the
weighting of these industries in the Portfolio has risen.
The best performing stock in the S&P MidCap 400 over this period was QUALCOMM
Inc. This stock has been high ranking throughout the year, and therefore we have
overweighted it in the Portfolio relative to its weight in the S&P 400.
The worst performer in the S&P MidCap 400 over this period was Network
Associates, Inc. It was a middle-ranked stock early in the year (due to its
earnings prospects), but by the second quarter it had fallen to our lowest rank.
At present, it is not owned in the Portfolio.
AETNA INDEX PLUS SMALL CAP VP
Among the best-performing S&P SmallCap 600 industry groups were the oil and gas
producers and other deep cyclical
See Definition of Terms. 5
<PAGE>
industries. Early in the year, the Portfolio was underweighted in many of these
industries, because of their weak business fundamentals; but the prospect of an
improving world economy sent these stocks soaring. As expected earnings of some
issues in these industries have improved, the weightings of these industries in
the Portfolio has risen.
WHAT IS YOUR OUTLOOK GOING FORWARD?
For four straight months this year, the estimate-trend variable in the
stock-evaluation model has been perverse: that is, we would have had better
returns by buying stocks whose expected earnings were declining rather than
stocks whose expected earnings were rising. The market was placing much higher
value on other characteristics (such as cyclical exposure) than on expected
earnings. This has happened in the past, but normally the market will eventually
turn its attention back to earnings. In June, this estimate-trend variable was
once again very effective in discriminating between good stocks and bad stocks.
That is, in general, stocks with rising expected earnings went up in price,
while stocks with falling expected earnings went down. The return of this
factor's effectiveness might be a signal that the most violent portion of the
transition, from a market priced for slow economic growth to a market priced for
faster economic growth, is over.
INDEX PLUS LARGE CAP VP:
<TABLE>
<CAPTION>
% OF
COMMON % OF S&P OVER/(UNDER)
SECTOR STOCKS 500 WEIGHTING
<S> <C> <C> <C>
Basic Materials 3.0% 3.3% (0.3)%
Commercial Services 2.0% 1.7% 0.3%
Consumer Discretionary 12.7% 12.2% 0.5%
Consumer Non-Discretionary 5.7% 7.7% (2.0)%
Energy 5.7% 6.6% (0.9)%
Finance 17.5% 15.8% 1.7%
Healthcare 8.9% 11.1% (2.2)%
Manufacturing 10.1% 10.0% 0.1%
Technology 20.1% 21.1% (1.0)%
Utilities 14.3% 10.5% 3.8%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Microsoft Corp. 4.0%
International Business Machines Corp. 3.3%
General Electric Co. 3.2%
Wal-Mart Stores, Inc. 3.0%
Lucent Technologies, Inc. 2.6%
Citigroup Inc. 2.3%
Cisco Systems, Inc. 1.8%
Intel Corp. 1.7%
Exxon Corp. 1.6%
AT&T Corp. 1.6%
</TABLE>
6 See Definition of Terms.
<PAGE>
INDEX PLUS MID CAP VP:
<TABLE>
<CAPTION>
% OF
COMMON % OF S&P OVER/(UNDER)
SECTOR STOCKS MIDCAP 400 WEIGHTING
<S> <C> <C> <C>
Basic Materials 4.5% 6.1% (1.6)%
Commercial Services 2.9% 5.9% (3.0)%
Consumer Discretionary 20.2% 15.0% 5.2%
Consumer Non-Discretionary 3.2% 3.7% (0.5)%
Energy 5.7% 6.3% (0.6)%
Finance 11.9% 13.4% (1.5)%
Healthcare 7.4% 9.8% (2.4)%
Manufacturing 11.2% 10.1% 1.1%
Technology 17.4% 21.0% (3.6)%
Utilities 15.6% 8.7% 6.9%
</TABLE>
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
QUALCOMM Inc. 4.3%
Best Buy Co., Inc. 3.1%
Biogen, Inc. 1.9%
Analog Devices, Inc. 1.8%
Altera Corp. 1.6%
Xilinx, Inc. 1.6%
Siebel Systems, Inc. 1.2%
Comverse Technology, Inc. 1.2%
Teradyne, Inc. 1.1%
Intuit Inc. 1.1%
</TABLE>
INDEX PLUS SMALL CAP VP:
<TABLE>
<CAPTION>
% OF
COMMON % OF S&P OVER/(UNDER)
SECTOR STOCKS SMALLCAP 600 WEIGHTING
<S> <C> <C> <C>
Basic Materials 4.8% 4.1% 0.7%
Commercial Services 11.0% 9.9% 1.1%
Consumer Discretionary 23.8% 20.6% 3.2%
Consumer Non-Discretionary 2.5% 2.6% (0.1)%
Energy 4.4% 5.4% (1.0)%
Finance 14.9% 14.6% 0.3%
Healthcare 7.6% 9.5% (1.9)%
Manufacturing 13.1% 12.3% 0.8%
Technology 14.0% 18.2% (4.2)%
Utilities 3.9% 2.8% 1.1%
</TABLE>
See Definition of Terms. 7
<PAGE>
INDEX PLUS SMALL CAP VP (CONTINUED):
<TABLE>
<CAPTION>
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
<S> <C>
Valassis Communications, Inc. 1.3%
Linens 'n Things, Inc. 1.1%
IDEC Pharmaceuticals Corp. 1.0%
CommScope, Inc. 1.0%
Lattice Semiconductor Corp. 0.9%
Zale Corp. 0.9%
Mercury Interactive Corp. 0.9%
U.S. Freightways Corp. 0.8%
FirstMerit Corp. 0.8%
Novellus Systems, Inc. 0.8%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolios are subject to change.
8 See Definition of Terms.
<PAGE>
DEFINITION OF TERMS
(a) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond Index,
Mortgage-Backed Securities Index and the Asset-Backed Securities Index.
(b) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated on
a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(c) The Standard & Poor's (S&P) MidCap 400 Index is an unmanaged index used to
measure stock market performance composed of companies with a weighted
average market value of $3.6 billion. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
(d) The Standard & Poor's (S&P) SmallCap 600 Index is an unmanaged index used to
measure stock market performance composed of companies with a weighted
average market value of $903 million. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
These are unmanaged indices and are not available for individual investment.
9
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS BOND
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
PRINCIPAL MARKET VALUE
AMOUNT
--------------- --------------
LONG-TERM BONDS AND NOTES ( 99.7% )
CORPORATE BONDS ( 40.9% )
Ahold Finance USA Inc.,6.88%,05/01/29 $ 50,000 $46,120
AirTouch Communications,
Inc.,7.13%,07/15/01.................. 250,000 254,270
Associates Corp. N.A.,6.88%,11/15/08 . 200,000 196,078
Caithness Coso Fund
Corp.,6.80%,12/15/01 ++ ............. 250,000 248,750
Celulosa Arauco
Constitution,7.50%,09/15/17.......... 50,000 40,219
Chase Manhatten Corp.,7.13%,06/15/09 . 200,000 200,626
Cia. Transporte Energia,8.63%,04/01/03
++................................... 250,000 232,500
Citigroup Inc.,7.88%,05/15/25 ........ 225,000 229,727
Conrail, Inc.,9.75%,06/01/00 ......... 130,000 134,172
Crown Cork & Seal Co.,
Inc.,6.75%,04/15/03 * ............... 300,000 296,403
Dayton Hudson Co.,6.63%,03/01/03 ..... 175,000 175,215
Dayton Hudson Co.,9.75%,07/01/02 ..... 100,000 109,264
Federated Department Stores, Inc.,
8.13%,10/15/02 ...................... 200,000 209,192
First Maryland Bancorp,8.38%,05/15/02 300,000 313,980
Ford Motor Credit Corp.,5.75%,01/25/01 250,000 248,265
Homeside Lending Inc.,6.86%,07/02/01 . 250,000 250,192
Ikon Capital Resources
Corp.,6.52%,10/29/99................. 375,000 375,585
Lockheed Martin Corp.,7.25%,05/15/06 . 210,000 210,143
Lucent Technologies,
Inc.,6.45%,03/15/29.................. 50,000 45,230
MCI WorldCom, Inc.,6.95%,08/15/28 .... 80,000 75,836
Orix Credit Alliance
Corp.,6.79%,04/16/01................. 80,000 78,937
Panama (Republic of),7.88%,02/13/02 ++ 250,000 243,125
Puget Sound Energy,
Inc.,7.02%,12/01/27.................. 250,000 240,790
Quebec Province,7.50%,07/15/02 ....... 300,000 308,616
Rite Aid Corp.,5.50%,12/15/00 ........ 200,000 196,440
Royal Caribbean,8.25%,04/01/05 ....... 140,000 146,405
Salomon Smith Barney Holdings Corp.,
6.63%,11/15/03 ...................... 250,000 249,535
Sears Roebuck Acceptance Corp.,
7.05%,09/17/01 ...................... 300,000 303,867
United Technologies
Corp.,6.50%,06/01/09................. 30,000 29,415
--------------
TOTAL CORPORATE BONDS (COST $5,822,092) 5,688,897
--------------
NON-AGENCY MORTGAGE-BACKED SECURITIES ( 0.5% )
Peco Energy Transition
Trust,6.05%,03/01/09................. 80,000 76,656
------------
TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES (COST 76,656
$79,937) ------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 34.6% )
Federal Home Loan Mortgage Corp.,
6.50%,12/01/27 ...................... 745,198 722,176
Federal Home Loan Mortgage Corp.,
7.00%,05/01/28 ...................... 135,922 134,477
Federal Home Loan Mortgage Corp.,
7.50%,12/01/27 ...................... 493,864 499,262
Federal Home Loan Mortgage
Corp.,9.00%,07/01/16 - 09/01/16...... 71,515 75,785
Federal National Mortgage
Association,4.75%,11/14/03........... 250,000 236,875
Federal National Mortgage
Association,5.63%,05/14/04........... 200,000 193,812
PRINCIPAL MARKET VALUE
AMOUNT
--------------- --------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal National Mortgage Association,
6.00%,12/01/12 - 01/01/29............ $605,702 $575,267
Federal National Mortgage Association,
6.50%,12/01/12 - 06/01/29............ 845,537 830,272
Federal National Mortgage Association,
7.00%,05/01/28 - 07/01/28............ 220,889 218,540
Federal National Mortgage Association,
7.50%,04/01/28 ...................... 92,729 93,896
Government National Mortgage
Association,
6.50%,10/15/28 ...................... 178,872 172,651
Government National Mortgage
Association,
7.00%,03/15/27 - 05/15/28............ 310,162 306,881
Government National Mortgage
Association,
7.50%,10/15/22 ...................... 57,558 58,272
Government National Mortgage
Association,
8.00%,04/15/17 - 08/15/17............ 318,308 327,588
Government National Mortgage
Association,
9.50%,08/15/21 ...................... 340,049 366,761
--------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED 4,812,515
SECURITIES (COST $4,920,231)
--------------
U.S. GOVERNMENT OBLIGATIONS ( 23.7% )
U.S. Treasury Bond,4.50%,01/31/01 .... 250,000 246,328
U.S. Treasury Bond,6.13%,08/15/07 .... 250,000 252,695
U.S. Treasury Bond,6.50%,11/15/26 .... 70,000 72,472
U.S. Treasury Bond,6.75%,08/15/26 .... 200,000 214,124
U.S. Treasury Bond,7.25%,05/15/16 .... 630,000 692,899
U.S. Treasury Bond,8.13%,05/15/21 .... 550,000 669,796
U.S. Treasury Bond,11.75%,11/15/14 ... 220,000 313,260
U.S. Treasury Note,5.25%,02/15/29 .... 65,000 58,399
U.S. Treasury Note,5.75%,08/15/03 .... 45,000 45,028
U.S. Treasury Note,10.75%,08/15/05 ... 411,000 510,922
U.S. Treasury Strip,Zero
Coupon,08/15/05...................... 308,000 214,534
--------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $3,393,868) 3,290,457
--------------
TOTAL LONG-TERM BONDS AND NOTES (COST $14,216,128) 13,868,525
--------------
SHORT-TERM INVESTMENTS ( 0.7% )
Federal National Mortgage Association,
6.00%,07/14/29 # .................... 100,000 94,047
--------------
TOTAL SHORT-TERM INVESTMENTS (COST $95,017) 94,047
--------------
TOTAL INVESTMENTS (COST
$14,311,145)(A) 13,962,572
OTHER ASSETS LESS LIABILITIES (58,179)
--------------
TOTAL NET ASSETS $13,904,393
==============
</TABLE>
10 See Notes to Portfolio of Investments.
<PAGE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$14,319,162. Unrealized gains and losses, based on identified tax cost at
June 30, 1999, are as follows:
Unrealized gains.............................. $ 0
Unrealized losses............................. (356,590)
-------------------
Net unrealized loss.......................... $(356,590)
===================
</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.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 1999.
# When-issued or delayed delivery security.
<TABLE>
<CAPTION>
Information concerning restricted securities at June 30, 1999 is shown below:
ACQUISITION
DATE COST
--------------------- --------------------
<S> <C> <C>
Caithness Coso Fund Corp. ........ 05/28/99 $250,000
Panama (Republic of) ............. 02/13/97 250,452
Cia. Transporte Energia .......... 04/13/98 249,653
--------
$750,105
========
</TABLE>
The market value of the total restricted securities above represent 5.21% of the
total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 11
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
COMMON STOCKS ( 99.5% )
AIR TRANSPORT ( 0.6% )
AMR Corp. + ........................... 12,300 $ 839,475
Delta Air Lines, Inc. ................. 15,400 887,425
FDX Corp. Holding Co. + ............... 30,200 1,638,350
Southwest Airlines Co. ................ 41,875 1,303,359
US Airways Group, Inc. + .............. 5,900 257,019
---------------
4,925,628
---------------
ALUMINUM ( 0.4% )
Alcan Aluminum Ltd. ................... 16,500 526,969
Alcoa Inc. ............................ 36,900 2,283,187
Reynolds Metals Co. ................... 4,900 289,100
---------------
3,099,256
---------------
AUTO PARTS AND HARDWARE ( 0.1% )
Black & Decker Corp. .................. 5,600 353,500
Briggs & Stratton Corp. ............... 200 11,550
Cooper Tire & Rubber Co. .............. 1,300 30,713
Genuine Parts Co. ..................... 7,900 276,500
Goodyear Tire & Rubber Co. (The) ...... 8,400 494,025
Snap-On, Inc. ......................... 1,400 50,662
---------------
1,216,950
---------------
AUTOMOTIVE ( 1.6% )
Dana Corp. ............................ 12,693 584,671
Delphi Automotive Systems Corp. ....... 51,861 962,662
Eaton Corp. ........................... 5,500 506,000
Ford Motor Co. ........................ 141,600 7,991,550
General Motors Corp. + ................ 49,700 3,280,200
Johnson Controls, Inc. ................ 5,200 360,425
TRW, Inc. ............................. 6,700 367,663
---------------
14,053,171
---------------
BANKS AND THRIFTS ( 7.0% )
AmSouth Bancorporation ................ 14,250 330,422
Bank of America Corp. ................. 132,900 9,743,231
Bank of New York Co., Inc. ............ 58,900 2,160,894
Bank One Corp. ........................ 89,710 5,343,352
BankBoston Corp. ...................... 22,800 1,165,650
BB&T Corp. ............................ 18,600 682,388
Chase Manhattan Corp. ................. 105,400 9,130,275
Comerica, Inc. ........................ 10,650 633,009
Fifth Third Bancorp ................... 20,725 1,379,508
Firstar Corp. ......................... 78,800 2,206,400
Fleet Financial Group, Inc. .......... 71,100 3,155,062
Golden West Financial Corp. ........... 4,800 470,400
Huntington Bancshares Inc. ............ 11,480 401,800
J.P. Morgan & Co. ..................... 21,000 2,950,500
KeyCorp ............................... 34,000 1,092,250
Mellon Bank Corp. ..................... 40,000 1,455,000
Mercantile Bancorporation, Inc. ....... 12,100 691,213
National City Corp. ................... 23,400 1,532,700
Northern Trust Corp. .................. 8,600 834,200
PNC Bank Corp. ........................ 20,500 1,181,313
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
BANKS AND THRIFTS (CONTINUED)
Regions Financial Corp. ............... 17,200 $661,125
Republic New York Corp. ............... 8,000 545,500
SouthTrust Corp. ...................... 16,600 637,025
State Street Corp. .................... 12,400 1,058,650
Summit Bancorp ........................ 13,200 551,925
Suntrust Banks, Inc. .................. 21,800 1,513,737
Synovus Financial Corp. ............... 9,300 184,838
U.S. Bancorp .......................... 54,500 1,853,000
Union Planters Co. .................... 7,700 344,094
Wachovia Corp. ........................ 15,800 1,351,887
Washington Mutual, Inc. ............... 45,700 1,616,637
Wells Fargo & Co. ..................... 127,200 5,437,800
---------------
62,295,785
---------------
BIOTECH AND MEDICAL PRODUCTS ( 1.1% )
Amgen, Inc. + ......................... 56,100 3,415,087
Bard (C.R.) Inc. ...................... 4,100 196,031
Bausch & Lomb, Inc. ................... 2,400 183,600
Becton, Dickinson & Co. ............... 13,900 417,000
Biomet, Inc. .......................... 5,500 218,625
Boston Scientific Corp. + ............. 42,100 1,849,769
Guidant Corp. ......................... 32,700 1,682,006
Mallinckrodt Inc. ..................... 2,100 76,388
Medtronic, Inc. ....................... 17,100 1,331,662
Saint Jude Medical, Inc. + ............ 3,600 128,250
Watson Pharmaceuticals, Inc. + ........ 5,800 203,363
---------------
9,701,781
---------------
CHEMICALS ( 1.4% )
Dow Chemical Co. ...................... 27,300 3,463,687
Du Pont (E.I.) de Nemours ............. 86,400 5,902,200
Eastman Chemical Co. .................. 3,000 155,250
Hercules, Inc. ........................ 2,600 102,213
Monsanto Co. .......................... 47,700 1,881,169
Rohm & Haas Co. ....................... 14,449 619,495
Union Carbide Corp. ................... 7,700 375,375
---------------
12,499,389
---------------
COMMERCIAL SERVICES ( 0.3% )
Deluxe Corp. .......................... 3,400 132,388
Interpublic Group of Co., Inc. (The) .. 10,850 939,881
Omnicom Group, Inc. ................... 16,300 1,304,000
Paychex, Inc. ......................... 14,400 459,000
RR Donnelley & Sons Co. ............... 5,000 185,312
---------------
3,020,581
---------------
COMPUTERS ( 6.5% )
Apple Computer, Inc. + ................ 18,800 870,675
Dell Computer Corp. + ................. 193,200 7,148,400
Gateway 2000, Inc. + .................. 12,900 761,100
Hewlett Packard Co. ................... 126,300 12,693,150
International Business Machines Corp. . 227,500 29,404,375
Sun Microsystems, Inc. + .............. 76,600 5,275,825
Unisys Corp. + ........................ 26,600 1,035,737
---------------
57,189,262
---------------
12 See Notes to Portfolio of Investments
<PAGE>
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
CONGLOMERATE AND AEROSPACE ( 4.4% )
Boeing Co. ............................ 74,900 $ 3,309,644
Crane Co. ............................. 2,675 84,095
General Dynamics Corp. ................ 12,700 869,950
General Electric Co. .................. 250,600 28,317,800
Goodrich (B.F.) Co. ................... 3,200 136,000
Loews Corp. ........................... 10,000 791,250
National Service Industries, Inc. ..... 1,300 46,800
Northrop Grumman Corp. ................ 4,200 278,513
Raytheon Co. .......................... 18,100 1,273,788
Textron, Inc. ......................... 14,900 1,226,456
United Technologies Corp. ............. 34,700 2,487,556
---------------
38,821,852
---------------
CONSUMER FINANCE ( 2.3% )
Associates First Capital Corp. ........ 56,000 2,481,500
Capital One Financial Corp. ........... 14,100 785,194
Countrywide Credit Industries, Inc. ... 7,900 337,725
Federal Home Loan Mortgage Corp. ...... 84,500 4,901,000
Federal National Mortgage Association . 104,100 7,117,837
Household International, Inc. ......... 46,200 2,188,725
MBNA Corp. ............................ 61,675 1,888,797
Ryder System, Inc. .................... 1,400 36,400
SLM Holding Corp. ..................... 12,500 572,656
---------------
20,309,834
---------------
CONSUMER PRODUCTS ( 1.7% )
Alberto-Culver Co. .................... 300 7,988
Avon Products, Inc. ................... 17,700 982,350
Clorox Co. ............................ 7,000 747,687
Colgate-Palmolive Co. ................. 21,300 2,103,375
International Flavors & Fragrances,
Inc................................... 3,700 164,187
Kimberly-Clark Corp. .................. 52,700 3,003,900
Procter & Gamble Co. .................. 91,100 8,130,675
---------------
15,140,162
---------------
CONSUMER SERVICES ( 1.3% )
Carnival Corp. ........................ 62,200 3,016,700
Cendant Corp. + ....................... 48,500 994,250
Darden Restaurants, Inc. .............. 8,400 183,225
H&R Block, Inc. ....................... 3,700 185,000
Harrah's Entertainment, Inc. + ........ 15,000 330,000
Hilton Hotels Corp. ................... 14,400 204,300
Marriott International, Inc. .......... 19,200 717,600
McDonald's Corp. ...................... 104,500 4,317,156
Mirage Resorts, Inc. + ................ 11,100 185,925
Tricon Global Restaurants, Inc. + ..... 15,540 841,103
Wendy's International, Inc. ........... 4,700 133,069
---------------
11,108,328
---------------
CONSUMER SPECIALTIES ( 0.1% )
Brunswick Corp. ....................... 4,000 111,500
Hasbro, Inc. .......................... 15,000 419,062
Mattel, Inc. .......................... 28,500 753,469
---------------
1,284,031
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
DATA AND IMAGING SERVICES ( 9.7% )
3Com Corp. + .......................... 28,000 $747,250
Adobe Systems, Inc. ................... 5,300 435,428
America Online, Inc. .................. 82,800 9,149,400
Autodesk, Inc. ........................ 1,700 50,256
Automatic Data Processing, Inc. ....... 45,100 1,984,400
BMC Software, Inc. + .................. 19,300 1,042,200
Ceridian Corp. + ...................... 6,400 209,200
Cisco Systems, Inc. + ................. 243,400 15,699,300
Computer Associates International, Inc. 53,100 2,920,500
Computer Sciences Corp. + ............. 12,800 885,600
Compuware Corp. + ..................... 21,900 696,694
Eastman Kodak Co. ..................... 24,800 1,680,200
Electronic Data Systems Corp. ......... 37,800 2,138,062
EMC Corp. + ........................... 113,800 6,259,000
First Data Corp. ...................... 29,400 1,438,763
Microsoft Corp. + ..................... 392,700 35,416,631
Novell, Inc. + ........................ 33,300 882,450
Oracle Corp. + ........................ 93,900 3,486,037
Seagate Technology, Inc. + ............ 14,100 361,313
---------------
85,482,684
---------------
DISCRETIONARY RETAIL ( 7.5% )
AutoZone, Inc. + ...................... 10,100 304,263
Circuit City Stores, Inc. ............. 11,900 1,106,700
Consolidated Stores Corp. + ........... 7,600 205,200
Costco Companies, Inc. + .............. 26,200 2,097,637
Dayton Hudson Co. ..................... 34,200 2,223,000
Dillards, Inc. ........................ 10,300 361,788
Dollar General Corp. .................. 20,337 589,773
Federated Department Stores, Inc. + ... 26,100 1,381,669
Gap, Inc. ............................. 107,150 5,397,681
Home Depot, Inc. ...................... 184,700 11,901,606
J.C. Penney Co., Inc. ................. 19,400 942,113
Kmart Corp. + ......................... 49,300 810,369
Kohl's Corp. + ........................ 16,400 1,265,875
Lowe's Co., Inc. ...................... 46,500 2,635,969
May Department Stores Co. ............. 33,100 1,352,962
Nordstrom, Inc. ....................... 5,400 180,900
Office Depot, Inc. + .................. 11,500 253,719
Sears, Roebuck & Co. .................. 28,100 1,252,206
Staples, Inc. + ....................... 46,750 1,446,328
Tandy Corp. ........................... 22,800 1,114,350
The Limited, Inc. ..................... 25,900 1,175,212
TJX Companies, Inc. ................... 33,300 1,109,306
Toys "R" Us, Inc. + ................... 29,300 606,144
Wal-Mart Stores, Inc. ................. 554,700 26,764,275
---------------
66,479,045
---------------
DIVERSIFIED FINANCIAL SERVICES ( 3.0% )
American Express Co. .................. 34,700 4,515,337
Citigroup Inc. ........................ 420,650 19,980,875
Providian Financial Corp. ............. 16,900 1,580,150
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS LARGE CAP (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
Transamerica Corp. .................... 7,100 $ 532,500
---------------
26,608,862
---------------
DRUGS ( 7.3% )
Abbott Laboratories ................... 116,900 5,318,950
Allergan, Inc. ........................ 4,900 543,900
Baxter International, Inc. ............ 21,000 1,273,125
Bristol-Myers Squibb Co. .............. 200,200 14,101,587
Eli Lilly & Co. ....................... 76,700 5,493,637
Johnson & Johnson ..................... 135,600 13,288,800
Merck & Co., Inc. ..................... 163,500 12,099,000
Pharmacia & Upjohn, Inc. .............. 37,100 2,107,744
Schering Plough ....................... 107,800 5,713,400
Warner Lambert Co. .................... 64,900 4,502,438
---------------
64,442,581
---------------
ELECTRIC UTILITIES ( 1.9% )
AES Corp. + ........................... 13,200 767,250
Ameren Corp. .......................... 6,000 230,250
American Electric Power Co. ........... 10,500 394,406
Carolina Power & Light Co. ............ 8,200 351,062
Central & South West Corp. ............ 15,100 352,962
Cinergy Corp. ......................... 6,900 220,800
CMS Energy Corp. ...................... 7,600 318,250
Consolidated Edison, Inc. ............. 16,800 760,200
Constellation Energy Group ............ 5,300 157,013
Dominion Resources, Inc. .............. 11,500 498,094
DTE Energy Co. ........................ 9,300 372,000
Duke Energy Corp. ..................... 26,571 1,444,798
Edison International .................. 28,300 757,025
Entergy Corp. ......................... 18,800 587,500
FirstEnergy Corp. ..................... 18,100 561,100
Florida Progress Corp. ................ 7,500 309,844
FPL Group, Inc. ....................... 13,800 753,825
GPU, Inc. ............................. 15,700 662,344
New Century Energies, Inc. ............ 4,600 178,538
Niagara Mohawk Holdings Inc. + ........ 6,200 99,588
Northern States Power Co. ............. 11,500 278,156
PacifiCorp ............................ 18,100 332,587
Peco Energy Co. ....................... 23,900 1,000,812
PG&E Corp. ............................ 25,700 835,250
PP&L Resources, Inc. .................. 10,700 329,025
Public Service Enterprise Group, Inc. . 16,100 658,087
Reliant Energy Inc. ................... 22,848 631,176
Southern Co. .......................... 51,100 1,354,150
Texas Utilities Co. ................... 21,567 889,639
Unicom Corp. .......................... 13,500 520,594
---------------
16,606,325
---------------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.6% )
Harris Corp. .......................... 2,400 94,050
PE Corp-PE Biosystems Group ........... 3,300 378,675
Pitney Bowes, Inc. .................... 20,600 1,323,550
Rockwell International Corp. .......... 14,600 886,950
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
ELECTRICAL MACHINERY AND INSTRUMENTS (CONTINUED)
Xerox Corp. ........................... 50,400 $ 2,976,750
---------------
5,659,975
---------------
ELECTRONIC MEDIA ( 1.5% )
CBS Corp. + ........................... 21,700 942,594
Comcast Corp. ......................... 53,800 2,067,937
King World Production, Inc. + ......... 1,900 66,144
Mediaone Group, Inc. + ................ 43,900 3,265,062
Time Warner, Inc. ..................... 86,500 6,357,750
Viacom, Inc. + ........................ 17,000 748,000
---------------
13,447,487
---------------
FOOD AND BEVERAGE ( 3.0% )
Anheuser-Busch Co., Inc. .............. 54,000 3,830,625
Bestfoods ............................. 19,400 960,300
Brown-Forman Corp. + .................. 3,600 234,675
Campbell Soup Co. ..................... 13,400 621,425
Coca-Cola Co. ......................... 169,200 10,575,000
Conagra, Inc. ......................... 27,300 726,862
Coors (Adolph) Co. .................... 2,200 108,900
Fortune Brands, Inc. .................. 16,500 682,687
General Mills, Inc. ................... 12,500 1,004,687
Heinz (H.J.) Co. ...................... 24,400 1,223,050
Kellogg Co. ........................... 28,100 927,300
Pioneer Hi-Bred International, Inc. ... 12,900 502,294
Quaker Oats Co. ....................... 12,400 823,050
Ralston-Ralston Purina Group .......... 24,000 730,500
Sara Lee Corp. ........................ 62,900 1,427,044
Seagram Co. Ltd. ...................... 12,300 619,613
Unilever NV ........................... 19,518 1,361,371
Wrigley (Wm.) Jr. Co. ................. 5,500 495,000
---------------
26,854,383
---------------
FOOD AND DRUG RETAIL ( 1.4% )
Albertson's, Inc. ..................... 30,434 1,569,253
CVS Corp. ............................. 36,800 1,867,600
Great Atlantic & Pacific Tea Co., Inc. 1,500 50,719
Kroger Co. (The) + .................... 72,600 2,028,262
Longs Drug Stores, Inc. ............... 1,500 51,844
Rite Aid Corp. ........................ 8,000 197,000
Safeway, Inc. + ....................... 62,300 3,083,850
SUPERVALU, Inc. ....................... 4,500 115,594
Sysco Corp. ........................... 25,400 757,237
Walgreen Co. .......................... 77,800 2,285,375
Winn-Dixie Stores, Inc. ............... 7,400 273,338
---------------
12,280,072
---------------
FOREST PRODUCTS AND BUILDING MATERIALS ( 0.9% )
Armstrong World Industries, Inc. ...... 2,300 132,969
Ball Corp. ............................ 1,300 54,925
Bemis Co., Inc. ....................... 1,500 59,625
Boise Cascade Corp. ................... 2,000 85,750
Champion International Corp. .......... 5,500 263,312
Crown Cork & Seal Co., Inc. ........... 5,200 148,200
Fort James Corp. ...................... 10,800 409,050
14 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Georgia-Pacific Corp. ................. 19,200 $ 909,600
International Paper Co. ............... 28,100 1,419,050
Louisiana-Pacific Corp. ............... 5,300 125,875
Masco Corp. ........................... 19,300 557,287
Mead Corp. ............................ 10,100 421,675
Owens Corning ......................... 4,500 154,688
Sealed Air Corp. + .................... 4,200 272,475
Temple-Inland Inc. .................... 6,000 409,500
Westvaco Corp. ........................ 7,700 223,300
Weyerhaeuser Co. ...................... 25,000 1,718,750
Willamette Industries, Inc. ........... 12,000 552,750
---------------
7,918,781
---------------
GAS UTILITIES ( 0.5% )
Coastal Corp. (The) ................... 11,700 468,000
Columbia Energy Group ................. 3,100 194,331
Consolidated Natural Gas Co. .......... 3,300 200,475
Eastern Enterprises ................... 100 3,975
Enron Corp. ........................... 27,100 2,215,425
NICOR, Inc. ........................... 800 30,450
ONEOK, Inc. ........................... 300 9,525
People's Energy Corp. ................. 1,500 56,531
Sempra Energy ......................... 10,507 237,721
Sonat Inc. ............................ 7,600 251,750
Williams Co., Inc. (The) .............. 11,700 497,982
---------------
4,166,165
---------------
HEALTH SERVICES ( 0.5% )
Cardinal Health, Inc. ................. 20,900 1,340,212
Columbia/HCA Healthcare Corp. ......... 42,100 960,406
HEALTHSOUTH Corp. + ................... 27,400 409,288
Humana, Inc. + ........................ 6,200 80,213
IMS Health, Inc. ...................... 17,602 550,020
United Healthcare Corp. ............... 13,300 832,913
Wellpoint Health Networks, Inc. + ..... 5,200 441,350
---------------
4,614,402
---------------
HEAVY MACHINERY ( 0.2% )
Caterpillar, Inc. ..................... 24,100 1,446,000
Cummins Engine Co., Inc. .............. 1,700 97,113
NACCO Industries, Inc. ................ 200 14,700
Navistar International Corp. + ........ 4,900 245,000
PACCAR, Inc. .......................... 5,900 314,912
---------------
2,117,725
---------------
HOUSING AND FURNISHINGS ( 0.2% )
Centex Corp. .......................... 3,900 146,494
Fleetwood Enterprises, Inc. ........... 1,700 44,944
Kaufman & Broad Home Corp. ............ 1,900 47,262
Maytag Corp. .......................... 7,700 536,594
Pulte Corp. ........................... 2,700 62,269
Whirlpool Corp. ....................... 8,300 614,200
---------------
1,451,763
---------------
NUMBER OF MARKET VALUE
SHARES
------------- ---------------
INDUSTRIAL SERVICES ( 0.4% )
Browning-Ferris Industries, Inc. ...... 12,100 $ 520,300
Fluor Corp. ........................... 3,300 133,650
USA Waste Management, Inc. ............ 46,800 2,515,500
---------------
3,169,450
---------------
INSURANCE ( 3.1% )
AFLAC, Inc. ........................... 25,200 1,206,450
Allstate Corp. (The) .................. 59,500 2,134,562
American General Corp. ................ 19,021 1,433,708
American International Group, Inc. .... 94,100 11,015,581
Aon Corp. ............................. 19,675 811,594
Chubb Corp. ........................... 12,400 861,800
CIGNA Corp. ........................... 13,900 1,237,100
Cincinnati Financial Corp. ............ 6,100 229,131
Conseco, Inc. ......................... 24,900 757,894
Hartford Financial Services Group, Inc. 21,600 1,259,550
Jefferson-Pilot Corp. ................. 6,550 433,528
Lincoln National Corp. ................ 19,800 1,035,787
Marsh & McLennan Co., Inc. ............ 26,150 1,974,325
MBIA, Inc. ............................ 4,900 317,275
MGIC Investment Corp. ................. 6,900 335,513
Progressive Corp. ..................... 4,200 609,000
Provident Companies, Inc. ............. 5,900 236,000
St. Paul Co., Inc. .................... 11,202 356,364
Torchmark Corp. ....................... 7,900 269,588
UNUM Corp. ............................ 9,300 509,175
---------------
27,023,925
---------------
INVESTMENT SERVICES ( 2.0% )
Bear Stearns Co., Inc. (The) .......... 9,765 456,514
Charles Schwab Corp. .................. 41,400 4,548,825
Franklin Resources, Inc. .............. 15,400 625,625
Lehman Brothers Holdings Inc. ......... 14,800 921,300
Merrill Lynch & Co., Inc. ............. 36,000 2,877,750
Morgan Stanley Dean Witter & Co. ...... 71,100 7,287,750
Paine Webber Group Inc. ............... 17,200 804,100
---------------
17,521,864
---------------
MAJOR TELECOMMUNICATIONS ( 8.8% )
ALLTEL Corp. .......................... 25,700 1,837,550
Ameritech Corp. ....................... 137,800 10,128,300
AT&T Corp. ............................ 256,900 14,338,231
Bell Atlantic Corp. ................... 119,300 7,799,237
BellSouth Corp. ....................... 192,000 9,000,000
CenturyTel, Inc. ...................... 13,950 554,513
Frontier Corp. + ...................... 9,400 554,600
GTE Corp. ............................. 74,800 5,666,100
MCI Worldcom, Inc. + .................. 142,260 12,243,251
Nextel Communications, Inc. ........... 6,300 316,181
SBC Communications, Inc. .............. 150,900 8,752,200
Sprint Corp. .......................... 50,600 2,672,313
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS LARGE CAP (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
MAJOR TELECOMMUNICATIONS (CONTINUED)
Sprint PCS + .......................... 33,850 $1,933,681
U.S. WEST, Inc. ....................... 38,610 2,268,338
---------------
78,064,495
---------------
MISCELLANEOUS METALS ( 0.1% )
Barrick Gold Corp. .................... 20,700 401,062
Placer Dome, Inc. ..................... 19,100 225,619
---------------
626,681
---------------
OIL ( 5.2% )
Amerada Hess Corp. .................... 5,500 327,250
Anadarko Petroleum Corp. .............. 9,600 353,400
Apache Corp. .......................... 8,400 327,600
Ashland Oil, Inc. ..................... 2,700 108,338
Atlantic Richfield Co. ................ 30,600 2,557,012
Burlington Resources, Inc. ............ 12,900 557,925
Chevron Corp. ......................... 50,400 4,797,450
Exxon Corp. ........................... 186,000 14,345,250
Kerr-McGee Corp. ...................... 6,600 331,238
Mobil Corp. ........................... 59,600 5,900,400
Occidental Petroleum Corp. ............ 23,600 498,550
Phillips Petroleum Co. ................ 23,800 1,197,437
Royal Dutch Petroleum Co. ............. 162,900 9,814,725
Sunoco Inc. ........................... 3,000 90,563
Texaco, Inc. .......................... 41,200 2,575,000
Union Pacific Resources Group Inc. .... 17,400 283,838
Unocal Corp. .......................... 14,700 582,487
USX-Marathon Group .................... 28,200 918,262
---------------
45,566,725
---------------
PRINT MEDIA ( 0.5% )
Dow Jones & Co., Inc. ................. 4,500 238,781
Dun & Bradstreet Corp. ................ 7,500 265,781
Equifax, Inc. ......................... 6,200 221,263
Gannett Co., Inc. ..................... 18,700 1,334,712
Harcourt General, Inc. ................ 1,500 77,344
Knight-Ridder, Inc. ................... 5,200 285,675
McGraw-Hill Co., Inc. ................. 13,800 744,338
Meredith Corp. ........................ 1,800 62,325
New York Times Co. .................... 10,100 371,806
Times Mirror Co. ...................... 2,400 142,200
Tribune Co. ........................... 9,100 792,838
---------------
4,537,063
---------------
PRODUCER GOODS ( 3.1% )
Allegheny Teledyne, Inc. .............. 8,200 185,525
Allied Signal, Inc. ................... 55,700 3,509,100
Avery Dennison Corp. .................. 6,500 392,438
Cooper Industries, Inc. ............... 4,200 218,400
Corning, Inc. ......................... 20,100 1,409,512
Danaher Corp. ......................... 12,400 720,750
Dover Corp. ........................... 12,800 448,000
Ecolab, Inc. .......................... 6,500 283,563
Emerson Electric Co. .................. 33,300 2,093,737
FMC Corp. + ........................... 1,500 102,469
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
PRODUCER GOODS (CONTINUED)
Grainger (W.W.), Inc. ................. 6,900 $ 371,306
Honeywell, Inc. ....................... 9,600 1,112,400
Illinois Tool Works, Inc. ............. 16,900 1,385,800
Ingersoll-Rand Co. .................... 20,600 1,331,275
ITT Industries, Inc. .................. 3,900 148,688
Milacron, Inc. ........................ 1,300 24,050
Minnesota Mining and Manufacturing Co. 30,800 2,677,675
Parker-Hannifin Corp. ................. 8,400 384,300
PPG Industries, Inc. .................. 11,300 667,406
Raychem Corp. ......................... 2,300 85,100
Sherwin-Williams Co. .................. 6,400 177,600
Thomas & Betts Corp. .................. 1,700 80,325
Tyco International Ltd. ............... 101,800 9,645,550
---------------
27,454,969
---------------
SEMICONDUCTORS AND ELECTRONICS ( 7.5% )
Andrew Corp. + ........................ 1,200 22,725
Applied Materials, Inc. + ............. 44,500 3,287,437
General Instrument Corp. + ............ 12,600 535,500
Intel Corp. ........................... 252,600 15,029,700
KLA Instruments Corp. + ............... 8,900 577,388
LSI Logic Corp. + ..................... 15,400 710,325
Lucent Technologies, Inc. ............. 340,415 22,956,737
Motorola, Inc. ........................ 75,200 7,125,200
Nortel Networks Corp. ................. 51,260 4,450,009
Scientific-Atlanta, Inc. .............. 7,000 252,000
Solectron Corp. + ..................... 22,200 1,480,462
Tellabs, Inc. + ....................... 48,800 3,297,050
Texas Instruments, Inc. ............... 44,000 6,380,000
---------------
66,104,533
---------------
SPECIALTY CHEMICALS ( 0.2% )
Air Products and Chemicals, Inc. ...... 17,600 708,400
Engelhard Corp. ....................... 6,200 140,275
Grace (W.R.) & Co. + .................. 1,800 33,075
Great Lakes Chemical Corp. ............ 2,100 96,731
Nalco Chemical Co. .................... 2,700 140,063
Praxair, Inc. ......................... 12,200 597,037
Sigma-Aldrich Corp. ................... 4,400 151,525
---------------
1,867,106
---------------
STEEL ( 0.0% )
Nucor Corp. ........................... 3,600 170,775
USX-US Steel Group, Inc. .............. 3,900 105,300
Worthington Industries ................ 1,400 23,013
---------------
299,088
---------------
SURFACE TRANSPORT ( 0.5% )
Burlington Northern Santa Fe Corp. .... 32,500 1,007,500
CSX Corp. ............................. 13,200 598,125
Kansas City Southern Industries, Inc. . 12,400 791,275
Norfolk Southern Corp. ................ 21,200 638,650
Union Pacific Corp. ................... 29,200 1,702,725
---------------
4,738,275
---------------
16 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
TEXTILES AND APPAREL ( 0.2% )
Liz Claiborne, Inc. ................... 2,600 $ 94,900
Nike, Inc. ............................ 14,700 930,694
VF Corp. .............................. 10,400 444,600
---------------
1,470,194
---------------
TOBACCO ( 0.9% )
Nabisco Group Holdings Corp. .......... 16,200 316,913
Philip Morris Co., Inc. ............... 185,400 7,450,762
UST, Inc. ............................. 9,900 289,575
---------------
8,057,250
---------------
TOTAL COMMON STOCKS (COST $782,077,526) 879,297,878
---------------
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS ( 2.6% )
Federal Farm Credit Bank,4.60%,07/01/99 $14,538,000 14,538,000
Federal Home Loan Bank,4.60%,07/01/99 . 8,642,000 8,642,000
---------------
TOTAL SHORT-TERM INVESTMENTS (COST $23,180,000) 23,180,000
---------------
TOTAL INVESTMENTS (COST $805,257,526)(A) 902,477,878
OTHER ASSETS LESS LIABILITIES (18,943,142)
---------------
TOTAL NET ASSETS $883,534,736
===============
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$825,434,444. Unrealized gains and losses, based on identified tax cost at
June 30, 1999, are as follows:
Unrealized gains........................... $ 93,002,223
Unrealized losses.......................... (15,958,789)
----------------------
Net unrealized gain....................... $ 77,043,434
======================
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 17
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS MID CAP
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
COMMON STOCKS (101.2%)
AIR TRANSPORT (1.0%)
Airborne Freight Corp. ................. 800 $ 22,150
Alaska Air Group, Inc. + + ............. 300 12,525
CNF Transportation, Inc. ............... 1,100 42,213
Comair Holdings, Inc. .................. 1,950 40,584
--------------
117,472
--------------
AUTO PARTS AND HARDWARE (0.5%)
Bandag, Inc. ........................... 600 20,813
Carlisle Co., Inc. ..................... 700 33,687
--------------
54,500
--------------
AUTOMOTIVE (2.7%)
Arvin Industries, Inc. ................. 300 11,363
Borg-Warner Automotive, Inc. ........... 400 22,000
Federal-Mogul Corp. .................... 900 46,800
Harley-Davidson, Inc. .................. 2,100 114,187
Lear Corp. + ........................... 1,500 74,625
Meritor Automotive, Inc. ............... 1,100 28,050
Modine Manufacturing Co. ............... 300 9,769
Superior Industries International, Inc. 600 16,387
--------------
323,181
--------------
BANKS AND THRIFTS (6.7%)
Associated Banc-Corp. .................. 500 20,750
Astoria Financial Corp. ................ 1,100 48,331
CCB Financial Corp. .................... 500 26,438
Charter One Financial, Inc. ............ 1,755 48,811
City National Corp. .................... 800 29,950
Dime Bancorp, Inc. ..................... 2,400 48,300
First Security Corp. ................... 2,150 58,587
First Tennessee National Corp. ......... 1,400 53,637
First Virginia Banks, Inc. ............. 500 24,563
GreenPoint Financial Corp. ............. 1,300 42,656
Hibernia Corp. ......................... 1,100 17,256
Keystone Financial, Inc. ............... 500 14,781
Marshall & Ilsley Corp. ................ 1,300 83,687
Mercantile Bankshares Corp. ............ 600 21,225
North Fork Bancorp, Inc. ............... 1,100 23,444
Old Kent Financial Corp. ............... 1,294 54,176
Pacific Century Financial Corp. ........ 1,400 30,187
Provident Financial Group, Inc. ........ 400 17,500
Sovereign Bancorp, Inc. ................ 2,100 25,463
TCF Financial Corp. .................... 700 19,513
Westamerica Bancorp .................... 500 18,250
Wilmington Trust Corp. ................. 300 17,213
Zions Bancorporation ................... 800 50,800
--------------
795,518
--------------
BIOTECH AND MEDICAL PRODUCTS (5.7%)
Biogen, Inc. + ......................... 3,600 231,525
Centocor, Inc. + ....................... 800 37,300
DENTSPLY International, Inc. ........... 400 11,200
Genzyme Corp. + ........................ 700 33,950
NUMBER OF MARKET VALUE
SHARES
------------ --------------
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Genzyme Surgical Products Corp. ........ 125 $ 552
Gilead Sciences Inc. + ................. 400 20,900
Hillenbrand Industries, Inc. ........... 700 30,275
IVAX Corp. + ........................... 1,200 16,950
MedImmune, Inc. + ...................... 600 40,650
Mylan Laboratories, Inc. ............... 1,300 34,450
Steris Corp. + ......................... 1,100 21,313
Stryker Corp. .......................... 1,100 66,138
Sybron International Corp. + ........... 800 22,050
VISX, Inc. + ........................... 1,400 110,862
--------------
678,115
--------------
CHEMICALS (0.3%)
Cytec Industries + ..................... 1,000 31,875
------------
COMMERCIAL SERVICES (1.7%)
ACNielsen Corp. + ...................... 1,100 33,275
Convergys Corp. + ...................... 1,500 28,875
Kelly Services, Inc. ................... 600 19,275
Manpower, Inc. ......................... 700 15,838
Modis Professional Services + .......... 1,300 17,875
Ogden Corp. ............................ 800 21,550
Snyder Communications, Inc. + .......... 600 19,650
Standard Register Co. .................. 500 15,375
Wallace Computer Services, Inc. ........ 1,100 27,500
--------------
199,213
--------------
COMPUTERS (0.9%)
Arrow Electronics, Inc. + .............. 1,100 20,900
Jabil Circuit, Inc. + .................. 900 40,613
NCR Corp. + ............................ 1,000 48,812
--------------
110,325
--------------
CONGLOMERATE AND AEROSPACE (1.6%)
Cordant Technologies, Inc. ............. 600 27,112
GenCorp, Inc. .......................... 600 15,150
Gulfstream Aerospace Corp. + ........... 700 47,294
Lancaster Colony Corp. ................. 300 10,350
Litton Industries, Inc. + .............. 1,000 71,750
Newport News Shipbuilding, Inc. ........ 500 14,750
Pittston Brink's Group ................. 400 10,700
--------------
197,106
--------------
CONSUMER FINANCE (0.8%)
Comdisco, Inc. ......................... 1,700 43,562
Finova Group, Inc. (The) ............... 500 26,313
GATX Corp. ............................. 600 22,838
--------------
92,713
--------------
CONSUMER PRODUCTS (0.5%)
Church & Dwight Co., Inc. .............. 500 21,750
Dial Corp. ............................. 900 33,469
--------------
55,219
--------------
CONSUMER SERVICES (3.5%)
Bob Evans Farms, Inc. .................. 600 11,925
Brinker International, Inc. + .......... 1,200 32,625
Electronic Arts, Inc. + ................ 1,400 75,950
18 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET VALUE
SHARES
------------ --------------
CONSUMER SERVICES (CONTINUED)
Mandaley Resort Group + ................ 2,100 $44,362
Outback Steakhouse, Inc. + ............. 2,000 78,625
Papa John's International, Inc. + ...... 700 31,281
Promus Hotel Corp. + ................... 800 24,800
Sotheby's Holdings, Inc. ............... 700 26,688
Starbucks Corp. + ...................... 2,000 75,125
Stewart Enterprises, Inc. .............. 1,200 17,475
--------------
418,856
--------------
CONSUMER SPECIALTIES (0.3%)
Callaway Golf Co. ...................... 1,600 23,400
International Game Technology .......... 900 16,650
--------------
40,050
--------------
DATA AND IMAGING SERVICES (6.5%)
Affiliated Computer Services, Inc. + ... 600 30,375
Citrix Systems, Inc. + ................. 1,000 56,500
Fiserv, Inc. + ......................... 1,275 39,923
Informix Corp. + ....................... 2,000 17,063
Intuit Inc. + .......................... 1,400 126,175
Legato Systems, Inc. + ................. 500 28,875
Rational Software Corp. + .............. 2,000 65,875
Reynolds And Reynolds Co. (The) ........ 1,700 39,631
Siebel Systems, Inc. + ................. 2,200 146,025
Sterling Software, Inc. + .............. 1,400 37,363
Structural Dynamics Research Corp. + ... 900 16,706
Symantec Corp. + ....................... 1,400 35,700
Symbol Technologies, Inc. .............. 975 35,953
VERITAS Software Corp. + ............... 1,100 104,431
--------------
780,595
--------------
DISCRETIONARY RETAIL (8.6%)
Abercrombie & Fitch Co. + .............. 2,400 115,200
Barnes & Noble, Inc. + ................. 800 21,900
Bed Bath & Beyond, Inc. + .............. 1,400 53,900
Best Buy Co., Inc. + ................... 5,500 371,250
BJ's Wholesale Club, Inc. + ............ 2,000 60,125
Claire's Stores, Inc. .................. 900 23,062
Dollar Tree Stores, Inc. + ............. 1,300 57,200
Family Dollar Stores, Inc. ............. 2,100 50,400
Land's End, Inc. + ..................... 700 33,950
Micro Warehouse, Inc. + ................ 600 10,725
Officemax, Inc. + ...................... 1,400 16,800
Payless ShoeSource, Inc. + ............. 700 37,450
Ross Stores, Inc. ...................... 800 40,300
Saks Inc. + ............................ 1,600 46,200
Tiffany & Co. .......................... 900 86,850
--------------
1,025,312
--------------
DRUGS (0.6%)
Forest Laboratories, Inc. + ............ 1,000 46,250
ICN Pharmaceuticals, Inc. .............. 900 28,969
--------------
75,219
--------------
ELECTRIC UTILITIES (8.7%)
Allegheny Energy, Inc. ................. 3,300 105,806
NUMBER OF MARKET
SHARES VALUE
------------ --------------
ELECTRIC UTILITIES (CONTINUED)
Alliant Energy Corp. ................... 1,800 $ 51,075
American Water Works Co., Inc. ......... 700 21,525
Black Hills Corp. ...................... 500 11,563
CalEnergy Co., Inc ..................... 1,200 41,550
Cleco Corp. ............................ 500 15,188
Conectiv, Inc. ......................... 2,325 56,817
DPL Inc. ............................... 1,700 31,237
Energy East Corp. ...................... 2,700 70,200
Hawaiian Electric Industries, Inc. ..... 700 24,850
Idacorp Inc. ........................... 1,000 31,500
Illinova Corp. ......................... 800 21,800
IPALCO Enterprises, Inc. .............. 1,100 23,306
Kansas City Power & Light Co. .......... 1,000 25,500
LG&E Energy Corp. ...................... 1,400 29,400
Minnesota Power, Inc. .................. 1,600 31,800
Montana Power Co. ...................... 600 42,300
Nevada Power Co. ....................... 1,200 30,000
New England Electric System ............ 500 25,063
NiSource Inc. .......................... 2,200 56,787
OGE Energy Corp. ....................... 1,300 30,875
Pinnacle West Capital Corp. ............ 800 32,200
Potomac Electric Power Co. ............. 1,400 41,212
Public Service Co. of New Mexico ....... 400 7,950
Puget Sound Energy, Inc. ............... 1,600 38,400
Scana Corp. ............................ 1,200 28,050
Teco Energy, Inc. ...................... 1,100 25,025
UtiliCorp United Inc. .................. 2,300 55,919
Wisconsin Energy Corp. ................. 1,100 27,569
--------------
1,034,467
--------------
ELECTRICAL MACHINERY AND INSTRUMENTS (1.9%)
Beckman Coulter Inc. ................... 500 24,312
Diebold, Inc. .......................... 600 17,250
Hon Industries, Inc. ................... 1,300 37,944
Lexmark International Group, Inc. + .... 1,600 105,700
SCI Systems, Inc. + .................... 900 42,750
--------------
227,956
--------------
ELECTRONIC MEDIA (0.9%)
TCA Cable TV, Inc. ..................... 800 44,400
Univision Communications, Inc. + ....... 1,000 66,000
--------------
110,400
--------------
FOOD AND BEVERAGE (2.6%)
Dole Food Co., Inc. .................... 700 20,562
Flowers Industries, Inc. ............... 1,800 39,037
Hormel Foods Corp. ..................... 900 36,225
IBP, Inc. .............................. 1,500 35,625
Interstate Bakeries Corp. .............. 600 13,463
McCormick & Co., Inc. .................. 700 22,094
Suiza Foods Corp. + .................... 400 16,750
Tyson Foods, Inc. ...................... 2,800 63,000
U.S. Foodservice + ..................... 1,000 42,625
Universal Foods Corp. .................. 400 8,450
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS MID CAP (continued)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
FOOD AND BEVERAGE (CONTINUED)
Whitman Corp. .......................... 900 $ 16,200
--------------
314,031
--------------
FOOD AND DRUG RETAIL (0.3%)
Hannaford Bros. Co. .................... 400 21,400
Ruddick Corp. .......................... 800 16,000
--------------
37,400
--------------
FOREST PRODUCTS AND BUILDING MATERIALS (3.5%)
American Standard Companies, Inc. + .... 1,500 72,000
Consolidated Papers, Inc. .............. 1,000 26,750
Fastenal Co. ........................... 400 20,975
Georgia-Pacific Corp. .................. 1,900 47,975
Martin Marietta Materials, Inc. ........ 600 35,400
Rayoner, Inc. .......................... 300 14,944
Sonoco Products Co. .................... 880 26,345
Southdown, Inc. ........................ 800 51,400
USG Corp. .............................. 1,100 61,600
Vulcan Materials Co. ................... 1,200 57,900
--------------
415,289
--------------
GAS UTILITIES (1.6%)
AGL Resources, Inc. .................... 1,100 20,281
El Paso Energy Corp. ................... 1,100 38,706
KeySpan Energy Corp. ................... 1,500 39,563
MCN Energy Group, Inc. ................. 900 18,675
National Fuel Gas Co. .................. 800 38,800
Questar Corp. .......................... 700 13,388
Washington Gas Light Co. ............... 800 20,800
--------------
190,213
--------------
HEALTH SERVICES (1.7%)
Apria Healthcare Group Inc. + .......... 1,100 18,700
Bergen Brunswig Corp. .................. 1,800 31,050
Covance, Inc. + ........................ 600 14,363
Foundation Health Systems, Inc. + ...... 1,500 22,500
Lincare Holdings Inc. + ................ 900 22,500
Oxford Health Plans, Inc. .............. 1,500 23,344
PacifiCare Health Systems, Inc. ........ 600 43,200
Trigon Healthcare, Inc. + .............. 700 25,462
--------------
201,119
--------------
HOUSING AND FURNISHINGS (2.0%)
Clayton Homes, Inc. .................... 3,550 40,603
Furniture Brands International, Inc. + 500 13,938
Herman Miller, Inc. .................... 1,000 21,000
Leggett & Platt, Inc. .................. 2,700 75,094
Mohawk Industries, Inc. + .............. 1,300 39,487
Shaw Industries, Inc. + ................ 3,000 49,500
--------------
239,622
--------------
INDUSTRIAL SERVICES (0.3%)
Granite Construction, Inc. ............. 500 14,656
Jacobs Engineering Group, Inc. + ....... 600 22,800
--------------
37,456
--------------
INSURANCE (2.7%)
Allmerica Financial Corp. .............. 600 36,488
NUMBER OF MARKET
SHARES VALUE
------------ --------------
INSURANCE (CONTINUED)
AMBAC, Inc. ............................ 1,500 $ 85,687
American Financial Group, Inc. ......... 1,400 47,687
Everest Reinsurance Holdings, Inc. ..... 500 16,313
HSB Group, Inc. ........................ 300 12,356
Old Republic International Corp. ....... 1,200 20,775
PMI Group, Inc. (The) .................. 700 43,969
Protective Life Corp. .................. 700 23,100
ReliaStar Financial Corp. .............. 900 39,375
--------------
325,750
--------------
INVESTMENT SERVICES (2.0%)
E*Trade Group, Inc. + ................. 2,800 111,825
Edwards (A.G.), Inc. .................. 2,100 67,725
T. Rowe Price & Associates ............. 1,600 61,400
--------------
240,950
--------------
OIL (1.4%)
Murphy Oil Corp. ....................... 1,000 48,812
Noble Affiliates, Inc. ................. 600 16,913
Ocean Energy, Inc. ..................... 1,900 18,287
Pennzoil-Quaker State Co. + ............ 646 9,690
Santa Fe Snyder Corp. .................. 2,100 16,013
Ultramar Diamond Shamrock Corp. ........ 1,900 41,444
Valero Energy Corp. .................... 500 10,719
--------------
161,878
--------------
OIL SERVICES (3.0%)
BJ Services Co. + ...................... 700 20,606
Ensco International, Inc. .............. 1,300 25,919
Global Marine Inc. + ................... 1,600 24,700
Nabors Industries, Inc. + .............. 2,000 48,875
Noble Drilling Corp. + ................. 2,300 45,281
Smith International, Inc. + ........... 900 39,094
Tidewater, Inc. ........................ 700 21,350
Tosco Corp. ............................ 3,200 83,000
Transocean Offshore, Inc. .............. 1,900 49,875
--------------
358,700
--------------
OTHER TELECOMMUNICATIONS (0.6%)
Aliant Communications, Inc. ............ 300 13,856
Cincinnati Bell Inc. ................... 1,300 32,419
COMSAT Corp. ........................... 700 22,750
--------------
69,025
--------------
PRINT MEDIA (2.1%)
Belo Corp. ............................. 1,200 23,625
Houghton Mifflin Co. ................... 400 18,825
Lee Enterprises, Inc. .................. 500 15,250
Media General, Inc. + .................. 600 30,600
Reader's Digest Association, Inc. (The) 1,200 47,700
Scholastic Corp. + ..................... 300 15,187
Sungard Data Systems, Inc. + ........... 1,300 44,850
Washington Post Co. .................... 100 53,775
--------------
249,812
--------------
PRODUCER GOODS (4.1%)
Albany International Corp. + ........... 700 14,525
20 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
PRODUCER GOODS (CONTINUED)
AMETEK, Inc. ........................... 400 $ 9,200
Donaldson Co., Inc. .................... 400 9,800
Federal Signal Corp. ................... 500 10,594
Ferro Corp. ............................ 400 11,000
Fuller (H.B.) Co. ...................... 300 20,512
Harsco Corp. ........................... 1,000 32,000
Hubbell, Inc. + ........................ 800 36,300
Kaydon Corp. ........................... 500 16,812
Mark IV Industries, Inc. ............... 1,200 25,350
Nordson Corp. .......................... 400 24,500
Pentair, Inc. .......................... 800 36,600
Precision Castparts Corp. .............. 200 8,500
Premark International, Inc. ............ 1,700 63,750
RPM, Inc. .............................. 900 12,769
SPX Corp. + ............................ 400 33,400
Tecumseh Products Co. .................. 400 24,225
Teleflex, Inc. ......................... 500 21,719
Trinity Industries, Inc. ............... 500 16,750
UCAR International, Inc. + ............. 1,000 25,250
York International Corp. ............... 800 34,250
--------------
487,806
--------------
SEMICONDUCTORS AND ELECTRONICS (16.7%)
ADC Telecommunications, Inc. + ......... 1,800 82,012
Altera Corp. + ......................... 5,300 195,106
Analog Devices, Inc. + ................. 4,300 215,806
Atmel Corp. + .......................... 1,100 28,806
Avnet, Inc. ............................ 500 23,250
Comverse Technology, Inc. + ............ 1,850 139,675
Cypress Semiconductor Corp. + .......... 1,300 21,450
Linear Technology Corp. ................ 1,700 114,325
Maxim Integrated Products, Inc. + ...... 1,500 99,750
Microchip Technology, Inc. + ........... 500 23,688
QUALCOMM Inc. .......................... 3,600 516,600
Sanmina Corp. + ........................ 700 53,113
Synopsys, Inc. + ....................... 900 49,669
Tech Data Corp. + ...................... 600 22,950
Teradyne, Inc. + ....................... 1,900 136,325
Vishay Intertechnology, Inc. + ......... 1,000 21,000
Vitesse Semiconductor Corp. + .......... 800 53,950
Xilinx, Inc. + ......................... 3,400 194,650
--------------
1,992,125
--------------
SPECIALTY CHEMICALS (1.3%)
Albemarle Corp. ........................ 500 11,563
Cabot Corp. ............................ 800 19,350
Crompton & Knowles Corp. ............... 800 15,650
Dexter Corp. ........................... 200 8,163
IMC Global, Inc. ....................... 2,500 44,062
Lubrizol Corp. (The) ................... 1,200 32,700
Solutia, Inc. .......................... 1,300 27,706
--------------
159,194
--------------
NUMBER OF MARKET
SHARES VALUE
------------ --------------
STEEL (0.2%)
AK Steel Holding Corp. ................. 1,100 $ 24,750
------------
TEXTILES AND APPAREL (1.2%)
Jones Apparel Group, Inc. + ............ 2,901 99,536
Warnaco Group, Inc. (The) .............. 700 18,725
Westpoint Stevens, Inc. + .............. 1,000 29,813
--------------
148,074
--------------
TOBACCO (0.5%)
R.J. Reynolds Tobacco Holdings, Inc. + . 1,300 40,950
Universal Corp. ........................ 700 19,906
--------------
60,856
--------------
TOTAL COMMON STOCKS (COST $11,181,198) 12,082,142
--------------
PRINCIPAL
AMOUNT
------------
SHORT-TERM INVESTMENTS (2.2%)
Federal Home Loan Bank,4.60%,07/01/99 .. $ 262,000 262,000
--------------
TOTAL SHORT-TERM INVESTMENTS (COST $262,000) 262,000
--------------
TOTAL INVESTMENTS (COST $11,443,198)(A) 12,344,142
OTHER ASSETS LESS LIABILITIES (401,259)
--------------
TOTAL NET ASSETS $11,942,883
==============
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$11,799,323. Unrealized gains and losses, based on identified tax cost at
June 30, 1999, are as follows:
Unrealized gains.............................. $1,099,925
Unrealized losses............................. (555,106)
--------------------
Net unrealized gain.......................... $ 544,819
====================
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 21
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS SMALL CAP
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
COMMON STOCKS (101.0%)
AIR TRANSPORT (0.6%)
Air Express International Corp. ......... 600 $ 15,225
Expeditors International of Washington,
Inc..................................... 1,000 27,250
SkyWest, Inc. ........................... 600 14,963
--------------
57,438
--------------
AUTO PARTS AND HARDWARE (0.9%)
Barnes Group, Inc. ...................... 700 15,225
CLARCOR, Inc. ........................... 900 17,269
Standard Motor Products, Inc. ........... 500 12,250
TBC Corp. + ............................. 900 6,356
Toro Co. ................................ 500 19,687
WD-40 Co. ............................... 300 7,500
Wynn's International, Inc. .............. 450 8,297
--------------
86,584
--------------
AUTOMOTIVE (1.2%)
Gentex Corp. + .......................... 2,300 64,400
Mascotech Inc. .......................... 2,900 49,119
Simpson Industries, Inc. ................ 900 9,225
--------------
122,744
--------------
BANKS AND THRIFTS (7.5%)
Anchor Bancorp Wisconsin, Inc. .......... 700 12,469
Banknorth Group, Inc. ................... 600 19,800
Centura Banks, Inc. ..................... 600 33,825
Commerce Bancorp, Inc. .................. 920 39,330
Commercial Federal Corp. ................ 1,800 41,737
Community First Bankshares, Inc. ........ 1,500 35,812
Cullen/Frost Bankers, Inc. .............. 1,800 49,612
Downey Financial Corp. .................. 530 11,627
First Bancorp ........................... 1,900 42,869
First Midwest Bancorp, Inc. ............. 600 23,850
FirstMerit Corp. ........................ 2,700 75,769
Hudson United Bancorp ................... 2,415 73,959
JSB Financial, Inc. ..................... 300 15,263
MAF Bancorp, Inc. ....................... 900 21,825
Provident Bankshares Corp. .............. 525 12,206
Queens County Bancorp, Inc. ............. 900 29,137
Riggs National Corp. .................... 600 12,338
Silicon Valley Bancshares + ............. 500 12,375
State Paul Bancorp, Inc. ................ 900 22,950
Susquehanna Bancshares, Inc. ............ 650 11,497
TrustCo Bank Corp. NY ................... 690 18,544
U.S. Trust Corp. ........................ 600 55,500
United Bankshares, Inc. ................. 800 21,200
UST Corp. ............................... 1,300 39,325
Whitney Holdings Corp. .................. 400 15,900
--------------
748,719
--------------
BIOTECH AND MEDICAL PRODUCTS (4.0%)
Alpharma, Inc. .......................... 1,100 39,119
Ballard Medical Products ................ 1,700 39,631
Barr Laboratories, Inc. + ............... 900 35,887
NUMBER OF MARKET
SHARES VALUE
------------ --------------
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Biomatrix, Inc. + ....................... 700 $15,138
Datascope Corp. + ....................... 700 22,488
IDEC Pharmaceuticals Corp. + ............ 1,300 100,181
IDEXX Laboratories, Inc. + .............. 700 16,319
Invacare Corp. .......................... 600 16,050
Liposome Co., Inc. + .................... 1,500 28,687
Maxxim Medical, Inc. + .................. 600 13,988
Summit Technology, Inc. + ............... 1,400 30,800
Wesley Jessen VisionCare, Inc. + ........ 1,100 35,612
--------------
393,900
--------------
COMMERCIAL SERVICES (6.3%)
ABM Industries, Inc. .................... 400 12,275
ADVO, Inc. + ............................ 1,000 20,750
Bowne & Co., Inc. ....................... 1,200 15,600
Catalina Marketing Corp. + .............. 400 36,800
CDI Corp. + ............................. 1,100 37,469
Consolidated Graphics, Inc. + ........... 300 15,000
Dendrite International, Inc. + .......... 800 28,900
Fair Isaac & Co., Inc. .................. 600 21,038
G&K Services, Inc. ..................... 400 20,950
Harland (John H.) Co. ................... 1,900 37,881
Interim Services, Inc. + ................ 900 18,563
Labor Ready, Inc. + ..................... 1,800 58,500
Lason, Inc. + ........................... 700 34,737
Merrill Corp. ........................... 300 4,350
Norrell Corp. ........................... 1,700 31,981
Profit Recovery Group International, Inc.
(The) + ................................ 600 28,388
True North Communications, Inc. ......... 900 27,000
URS Corp. + ............................. 1,000 29,312
Valassis Communications, Inc. + ......... 3,450 126,356
World Color Press, Inc. + ............... 700 19,250
--------------
625,100
--------------
CONGLOMERATE AND AEROSPACE (1.3%)
AAR Corp. ............................... 600 13,612
Alliant Techsystems Inc. + .............. 600 51,900
Anixter International, Inc. + ........... 1,200 21,900
Kaman Corp. ............................. 500 7,844
Kroll O' Gara Co. (The) + ............... 500 11,031
Triarc Co., Inc. + ...................... 600 12,750
Whittaker Corp. + ....................... 500 14,000
--------------
133,037
--------------
CONSUMER FINANCE (0.6%)
Americredit Corp. + ..................... 1,300 20,800
Rollins Truck Leasing Corp. ............. 3,350 37,269
--------------
58,069
--------------
CONSUMER PRODUCTS (0.6%)
Fossil, Inc. + .......................... 1,300 62,887
------------
CONSUMER SERVICES (4.4%)
Applebee's International, Inc. .......... 1,900 57,237
CEC Entertainment, Inc. + ............... 1,100 46,475
Cheesecake Factory, Inc. (The) + ........ 800 24,400
22 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
CONSUMER SERVICES (CONTINUED)
Consolidated Products, Inc. + ........... 1,000 $ 18,000
Devry, Inc. + ........................... 1,600 35,800
Foodmaker, Inc. + ....................... 2,600 73,775
IHOP Corp. + ............................ 600 14,437
Luby's Cafeterias, Inc. ................. 600 9,000
Pre-Paid Legal Services, Inc. + ......... 500 13,594
Prime Hospitality Corp. + ............... 3,000 36,000
Ruby Tuesday, Inc. ...................... 1,400 26,600
Ryan's Family Steak Houses, Inc. + ...... 900 10,463
Scotts Co. (The) + ...................... 1,100 52,387
Sonic Corp. + ........................... 750 24,469
--------------
442,637
--------------
CONSUMER SPECIALTIES (1.3%)
Coachmen Industries, Inc. .............. 1,000 23,250
Huffy Corp. ............................. 300 4,200
Polaris Industries, Inc. ................ 500 21,750
Russ Berrie & Co., Inc. ................. 1,400 34,650
Sturm, Ruger & Co., Inc. ................ 700 7,481
Thor Industries, Inc. ................... 500 14,188
Winnebago Industries, Inc. .............. 900 20,250
--------------
125,769
--------------
DATA AND IMAGING SERVICES (6.7%)
Acxiom Corp. + .......................... 2,200 54,862
American Management Systems, Inc. + ..... 1,800 57,712
BISYS Group, Inc. (The) + .............. 900 52,650
Ciber, Inc. + ........................... 1,000 19,125
Computer Task Group, Inc. ............... 400 6,800
CustomTracks Corp. + .................... 600 33,563
DBT Online, Inc. + ...................... 600 19,650
Harmon Industries, Inc. ................. 400 7,925
Henry (Jack) & Associates, Inc. ......... 700 27,475
InterVoice, Inc. + ...................... 1,000 14,438
Kronos, Inc. + .......................... 450 20,475
Macromedia, Inc. + ...................... 1,000 35,250
Mercury Interactive Corp. + ............. 2,400 84,900
National Computer Systems, Inc. ......... 1,100 37,125
National Data Corp. ..................... 800 34,200
National Instruments Corp. + ............ 700 28,263
Progress Software Corp. + ............... 750 21,188
Visio Corp. + ........................... 1,000 38,062
Whittman-Hart, Inc. + ................... 1,400 44,450
Xircom, Inc. + .......................... 900 27,056
--------------
665,169
--------------
DISCRETIONARY RETAIL (7.3%)
Ames Department Stores, Inc. + .......... 900 41,062
Ann Taylor Stores Corp. + ............... 1,500 67,500
Cato Corp. (The) ........................ 1,100 12,788
Discount Auto Parts, Inc. + ............. 700 16,888
Footstar, Inc. + ........................ 1,400 52,062
Hancock Fabrics, Inc. ................... 1,000 4,375
Insight Enterprises, Inc. + ............. 900 22,275
NUMBER OF MARKET
SHARES VALUE
------------ --------------
DISCRETIONARY RETAIL (CONTINUED)
Linens 'n Things, Inc. + ................ 2,500 $ 109,375
Men's Wearhouse, Inc. + ................. 900 22,950
Michaels Stores, Inc. + ................. 900 27,563
New England Business Service, Inc. ...... 400 12,350
O'Reilly Automotive, Inc. + ............. 800 40,300
Pacific Sunwear of California, Inc. + ... 1,200 29,250
Regis Corp. ............................. 1,500 28,781
Shopko Stores, Inc. + ................... 1,700 61,625
Stein Mart, Inc. + ...................... 2,700 25,313
Williams-Sonoma, Inc. + ................. 1,800 62,662
Zale Corp. + ............................ 2,200 88,000
--------------
725,119
--------------
DRUGS (0.7%)
Dura Pharmaceuticals, Inc. + ............ 1,000 11,937
Jones Medical Industries, Inc. .......... 600 23,625
Roberts Pharmaceutical Corp. + .......... 1,300 31,525
--------------
67,087
--------------
ELECTRIC UTILITIES (3.2%)
American States Water Co. ............... 400 11,350
Aquarion Co. ............................ 450 15,637
Central Hudson Gas & Electric Co. ....... 700 29,400
Cilcorp, Inc. ........................... 800 50,000
Commonwealth Energy System Co. .......... 1,200 50,400
Eastern Utilities Association ........... 400 11,650
Orange & Rockland Utilities, Inc. ...... 400 23,375
Philadelphia Suburban Water Corp. ....... 1,305 30,097
Sierra Pacific Resources ................ 1,200 43,650
United Illuminating Co. ................. 500 21,219
United Water Resources, Inc. ............ 1,200 27,225
--------------
314,003
--------------
ELECTRICAL MACHINERY AND INSTRUMENTS (1.2%)
Analogic Corp. .......................... 300 9,328
Dionex Corp. + .......................... 900 36,450
Micros Systems, Inc. + .................. 400 13,600
Security Dynamics Technologies, Inc. + .. 1,000 21,250
Technitrol, Inc. ........................ 600 19,350
Varian Medical Systems, Inc. ............ 700 17,675
--------------
117,653
--------------
ELECTRONIC MEDIA (0.9%)
Hollywood Park, Inc. + .................. 1,600 27,200
Metro Networks, Inc. + .................. 700 37,363
Westwood One, Inc. + .................... 700 24,981
--------------
89,544
--------------
FOOD AND BEVERAGE (2.5%)
Canandiagua Brands, Inc. + .............. 1,100 57,681
Coca-Cola Bottling Co. .................. 100 5,600
Corn Products International, Inc. ....... 700 21,306
Earthgrains Co. (The) ................... 1,600 41,300
Michael Foods, Inc. ..................... 1,300 30,550
Natures Sunshine Products, Inc. ......... 400 4,200
Ralcorp Holdings, Inc. + ................ 1,300 20,881
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS SMALL CAP (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
FOOD AND BEVERAGE (CONTINUED)
Smithfields Foods, Inc. + ............... 2,100 $ 70,219
--------------
251,737
--------------
FOOD AND DRUG RETAIL (1.4%)
Casey's General Stores, Inc. ............ 1,100 16,500
Express Scripts, Inc. + ................. 1,100 66,207
Nash-Finch Co. .......................... 600 6,056
Richfood Holdings, Inc. ................. 1,600 28,200
Whole Foods Market, Inc. + .............. 500 24,031
--------------
140,994
--------------
FOREST PRODUCTS AND BUILDING MATERIALS (3.0%)
AptarGroup, Inc. ........................ 600 18,000
Caraustar Industries, Inc. .............. 1,600 39,500
Elcor Corp. ............................. 800 34,950
Florida Rock Industries, Inc. ........... 800 36,400
Lone Star Industries, Inc. .............. 800 30,050
Myers Industries, Inc. .................. 300 6,000
Republic Group, Inc. .................... 500 9,000
Shorewood Packaging Corp. + ............. 750 13,828
Simpson Manufacturing Co., Inc. + ....... 500 23,750
Texas Industries, Inc. .................. 1,300 50,375
TJ International, Inc. .................. 400 12,400
Universal Forest Products, Inc. ......... 700 15,050
Watsco, Inc. ............................ 600 9,825
--------------
299,128
--------------
GAS UTILITIES (2.2%)
Atmos Energy Corp. ...................... 500 12,500
Connecticut Energy Corp. ................ 300 11,569
Energen Corp. ........................... 1,200 22,350
New Jersey Resources Corp. .............. 800 29,950
Northwest Natural Gas Co. ............... 600 14,475
Piedmont Natural Gas, Inc. .............. 1,000 31,125
Public Service Co. of North Carolina .... 800 23,400
Southwest Gas Corp. ..................... 1,000 28,625
Wicor, Inc. ............................. 1,600 44,700
218,694
--------------
HEALTH CARE (0.2%)
Coventry Health Care .................... 1,800 19,688
------------
HEALTH SERVICES (2.8%)
Bindley Western Industries, Inc. ........ 1,333 30,750
MedQuist, Inc. + ........................ 600 26,250
Orthodontic Centers of America, Inc. + .. 900 12,713
Owens & Minor, Inc. ..................... 1,200 13,200
Patterson Dental Co. + .................. 1,100 38,225
Pediatrix Medical Group, Inc. + ......... 300 6,375
Pharmaceutical Product Development, Inc.
+....................................... 500 13,687
Priority Healthcare Corp. + ............. 604 20,838
Renal Care Group, Inc. + ................ 1,450 37,519
Syncor International Corp. + ............ 500 18,000
U.S. Oncology, Inc. + ................... 1,300 15,600
Universal Health Services, Inc. + ....... 1,000 47,750
--------------
280,907
--------------
NUMBER OF MARKET
SHARES VALUE
------------ --------------
HEAVY MACHINERY (1.4%)
Astec Industries, Inc. + ................ 800 $ 32,600
JLG Industries, Inc. .................... 1,900 38,713
Manitowoc Co., Inc. (The) ............... 1,650 68,681
--------------
139,994
--------------
HOUSING AND FURNISHINGS (4.0%)
Champion Enterprises, Inc. + ............ 1,600 29,800
D.R. Horton, Inc. ....................... 3,975 66,084
Department 56, Inc. + ................... 1,100 29,562
Ethan Allen Interiors, Inc. ............. 750 28,313
Harman International Industries ......... 1,000 44,000
La-Z-Boy, Inc. .......................... 3,000 69,000
Libbey Inc. ............................. 400 11,600
MDC Holdings, Inc. ...................... 900 19,350
Oakwood Homes Corp. ..................... 1,500 19,688
Ryland Group, Inc. ...................... 400 11,875
Skyline Corp. ........................... 400 11,725
Standard Pacific Corp. .................. 800 10,350
Toll Brothers, Inc. + ................... 500 10,719
U.S. Home Corp. + ....................... 900 31,950
--------------
394,016
--------------
INDUSTRIAL SERVICES (1.6%)
Dycom Industries, Inc. + ................ 1,250 70,000
Insituform Technologies, Inc. + ......... 1,100 23,787
Morrison Knudsen Corp. + ................ 1,100 11,344
Service Experts, Inc. + ................. 600 13,163
Superior Services, Inc. + ............... 700 18,681
Tetra Tech, Inc. + ...................... 1,125 18,562
--------------
155,537
--------------
INSURANCE (4.5%)
American Bankers Insurance Group ........ 1,200 65,325
Delphi Financial Group, Inc. + .......... 420 15,067
E.W. Blanch Holdings, Inc. .............. 800 54,550
Enhance Financial Services Group, Inc. . 700 13,825
Executive Risk, Inc. .................... 700 59,544
Fidelity National Financial, Inc. ....... 1,034 21,714
Fremont General Corp. ................... 2,200 41,525
Gallagher (Arthur J.) & Co. ............. 700 34,650
Mutual Risk Management Ltd. ............. 1,200 40,050
Orion Capital Corp. ..................... 600 21,525
Radian Group Inc. ....................... 1,200 58,575
Selective Insurance Group, Inc. ......... 800 15,250
Trenwick Group, Inc. ................... 200 4,931
--------------
446,531
--------------
INVESTMENT SERVICES (2.4%)
Dain Rauscher Corp. ..................... 800 43,300
Eaton Vance Corp. ....................... 900 30,994
Hambrecht & Quist Group + ............... 700 25,987
Jefferies Group, Inc. ................... 1,500 45,000
Legg Mason, Inc. ........................ 1,900 73,150
Raymond James Financial, Inc. ........... 900 21,544
--------------
239,975
--------------
24 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
MISCELLANEOUS METALS (0.9%)
Amcol International Corp. ............... 700 $ 10,063
IMCO Recycling, Inc. .................... 600 10,275
Stillwater Mining Co. + ................. 2,150 70,278
--------------
90,616
--------------
OIL (1.6%)
Barrett Resources Corp. + ............... 700 26,862
Cabot Oil & Gas Corp. ................... 1,100 20,488
Devon Energy Corp. ...................... 1,200 42,900
Newfield Exploration Co. + .............. 800 22,750
Pogo Producing Co. ...................... 1,200 22,350
Stone Energy Corp. + .................... 500 21,187
--------------
156,537
--------------
OIL SERVICES (0.7%)
Oceaneering International, Inc. + ....... 1,000 16,125
Offshore Logistics, Inc. + .............. 800 8,900
Pride International, Inc. + ............. 1,100 11,619
SEACOR SMIT Holdings + .................. 300 16,050
Seitel, Inc. + .......................... 900 14,568
--------------
67,262
--------------
OTHER TELECOMMUNICATIONS (0.2%)
Digital Microwave Corp. + ............... 2,000 25,500
------------
PRINT MEDIA (0.8%)
Factset Research Systems, Inc. + ........ 550 31,144
SEI Investments Co. ..................... 600 52,950
--------------
84,094
--------------
PRODUCER GOODS (8.1%)
Amcast Industrial Corp. ................. 400 6,525
Applied Power, Inc. ..................... 700 19,119
Aviation Sales Co. + .................... 500 19,750
Baldor Electric Co. ..................... 500 9,938
Belden, Inc. ............................ 1,500 35,906
Blount, Inc. + .......................... 700 19,031
Brady (W.H.) Co. ........................ 1,400 45,500
Buckeye Technologies, Inc. + ............ 700 10,631
C&D Technologies, Inc. .................. 800 24,500
Cable Design Technologies, Inc. + ....... 550 8,491
Commercial Metals Co. ................... 600 17,100
CommScope, Inc. + ....................... 3,100 95,325
Graco, Inc. ............................. 300 8,813
Hughes Supply, Inc. ..................... 1,500 44,531
Intermet Corp. .......................... 1,000 15,125
Lawson Products, Inc. ................... 300 7,556
Lilly Industries, Inc. ................. 600 11,137
MacDermid, Inc. ......................... 500 23,250
Mueller Industries, Inc. + .............. 600 20,362
Oak Industries, Inc. + .................. 300 13,106
Regal-Beloit Corp. ...................... 400 9,450
Reliance Steel & Aluminum Co. ........... 1,100 42,900
Roper Industries, Inc. .................. 1,900 60,800
Scott Technologies, Inc. + .............. 1,100 21,175
SLI, Inc. + ............................. 1,000 27,000
NUMBER OF MARKET
SHARES VALUE
------------ --------------
PRODUCER GOODS (CONTINUED)
Smith (A.O.) Corp. ...................... 450 $ 12,600
SPS Technologies, Inc. + ................ 800 30,000
Standex International Corp. ............. 300 8,213
Steel Technologies, Inc. ................ 500 4,719
Thomas Industries, Inc. ................. 600 12,300
Tower Automotive, Inc. + ................ 1,500 38,156
Tredegar Industries, Inc. ............... 1,200 26,100
Valmont Industries ...................... 700 11,922
Wolverine Tube, Inc. + .................. 1,000 25,125
Zebra Technologies, Inc. + .............. 400 15,375
--------------
801,531
--------------
SEMICONDUCTORS AND ELECTRONICS (8.4%)
Alpha Industries, Inc. + ................ 1,200 57,150
Benchmark Electronics, Inc. + ........... 500 17,969
Burr-Brown Corp. + ...................... 700 25,637
C-Cube Microsystems, Inc. + ............. 1,400 44,362
Cognex Corp. + .......................... 800 25,250
CTS Corp. ............................... 600 42,000
Dallas Semiconductor Corp. .............. 1,100 55,550
Dialogic Corp. + ........................ 300 13,163
DSP Communications, Inc. + .............. 1,100 31,762
Electro Scientific Industries, Inc. + ... 400 16,713
Hadco Corp. + ........................... 600 23,850
Helix Technology Corp. .................. 900 21,544
International Rectifier Corp. + ......... 1,600 21,300
Kulicke & Soffa Industries, Inc. + ...... 1,200 32,175
Lattice Semiconductor Corp. + ........... 1,500 93,375
Methode Electronics, Inc. ............... 600 13,725
Micrel, Inc. + .......................... 700 51,800
Novellus Systems, Inc. + ................ 1,100 75,075
Phototronics, Inc. + .................... 500 12,250
Plantronics, Inc. + ..................... 600 39,075
Plexus Corp. + .......................... 600 18,075
Powerwave Technologies, Inc. + .......... 600 19,350
S3 Inc. + ............................... 3,100 28,191
Unitrode Corp. + ........................ 1,000 28,687
Vicor Corp. + ........................... 1,300 27,544
--------------
835,572
--------------
SPECIALTY CHEMICALS (0.7%)
Cambrex Corp. ........................... 600 15,750
Chemed Corp. ............................ 200 6,650
Geon Co. (The) .......................... 1,000 32,250
OM Group, Inc. .......................... 400 13,800
--------------
68,450
--------------
STEEL (0.3%)
Quanex Corp. ............................ 900 25,650
------------
SURFACE TRANSPORT (2.2%)
American Freightways Corp. + ............ 2,000 39,125
Heartland Express, Inc. + ............... 600 9,825
Kirby Corp. + ........................... 500 10,594
Landstar Systems, Inc. + ................ 300 10,828
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
SURFACE TRANSPORT (CONTINUED)
M.S. Carriers, Inc. + ................... 500 $ 14,828
U.S. Freightways Corp. .................. 1,700 78,731
Werner Enterprises, Inc. ................ 1,850 38,388
Yellow Corp. + .......................... 1,100 19,525
--------------
221,844
--------------
TEXTILES AND APPAREL (2.4%)
Authentic Fitness Corp. ................. 1,000 17,500
Brown Shoe Co., Inc. .................... 1,100 23,925
Goody's Family Clothing, Inc. + ......... 2,200 25,163
Justin Industries, Inc. ................. 700 9,756
K-Swiss Inc. ............................ 400 18,600
Kellwood Co. ............................ 400 10,850
Oshkosh B'Gosh, Inc. .................... 800 16,900
Oxford Industries, Inc. ................. 500 14,156
Quiksilver, Inc. + ...................... 750 19,547
State John Knits, Inc. .................. 400 11,700
Stride Rite Corp. ....................... 2,000 20,625
Timberland Co. (The) + .................. 700 47,644
--------------
236,366
--------------
TOTAL COMMON STOCKS (COST $9,289,359) 10,036,082
--------------
TOTAL INVESTMENTS (COST $9,289,359)(A) 10,036,082
OTHER ASSETS LESS LIABILITIES (98,793)
--------------
TOTAL NET ASSETS $ 9,937,289
==============
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$9,610,460. Unrealized gains and losses, based on identified tax cost at June
30, 1999, are as follows:
Unrealized gains............................... $ 980,552
Unrealized losses.............................. (554,930)
-------------------
Net unrealized gain........................... $ 425,622
===================
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
26 See Notes to Financial Statements.
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
- -----------------------------------------------------------------------------
ASSETS:
Investments, at market value ..........................................
Cash ..................................................................
Receivable for:
Dividends and interest ...............................................
Investments sold .....................................................
Fund shares sold .....................................................
Variation margin .....................................................
Reimbursement from Investment Adviser ................................
Prepaid expenses ......................................................
Total assets .....................................................
LIABILITIES:
Payable for:
Dividends to shareholders ............................................
Investments purchased ................................................
Fund shares redeemed .................................................
Accrued investment advisory fees .....................................
Accrued administrative service fees ..................................
Accrued custody fees .................................................
Other liabilities .....................................................
Total liabilities ................................................
NET ASSETS ...........................................................
NET ASSETS REPRESENTED BY:
Paid-in capital .......................................................
Net unrealized gain (loss) on investments .............................
Undistributed net investment income ...................................
Accumulated net realized gain (loss) 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 ...................................................
28 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
INDEX PLUS BOND INDEX PLUS LARGE CAP INDEX PLUS MID CAP INDEX PLUS SMALL CAP
---------------- -------------------- ------------------ ----------------------
<S> <C> <C> <C> <C>
$ 13,962,572 $902,477,878 $ 12,344,142 $ 10,036,082
-- -- 789 164,000
168,505 708,782 5,820 3,929
-- 2,151,387 329,871 12,500
-- 480,006 -- --
219 -- -- --
1,539 -- 2,107 2,102
67 799 30 30
------------ ------------ ------------ ------------
14,132,902 905,818,852 12,682,759 10,218,643
------------ ------------ ------------ ------------
6,447 -- -- --
95,229 21,199,355 317,027 --
42 758,916 410,229 270,200
3,460 237,696 3,784 3,155
865 50,935 710 592
1,420 16,746 6,260 5,379
121,046 20,468 1,866 2,028
------------ ------------ ------------ ------------
228,509 22,284,116 739,876 281,354
------------ ------------ ------------ ------------
$ 13,904,393 $883,534,736 $ 11,942,883 $ 9,937,289
============ ============ ============ ============
$ 13,838,892 $737,985,794 $ 9,770,329 $ 9,792,519
(348,573) 97,220,352 900,944 746,723
406,106 3,026,560 37,761 13,865
7,968 45,302,030 1,233,849 (615,818)
------------ ------------ ------------ ------------
$ 13,904,393 $883,534,736 $ 11,942,883 $ 9,937,289
============ ============ ============ ============
Two Billion Two Billion Two Billion Two Billion
$ 0.001 $ 0.001 $ 0.001 $ 0.001
1,386,975 45,091,363 939,908 970,146
$ 10.02 $ 19.59 $ 12.71 $ 10.24
$ 14,311,145 $805,257,526 $ 11,443,198 $ 9,289,359
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS TO OPERATIONS
SIX MONTH PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends .............................................................
Interest ..............................................................
Foreign taxes withheld on dividends ...................................
Total investment income ..........................................
INVESTMENT EXPENSES:
Investment advisory fees ..............................................
Administrative services fees ..........................................
Printing and postage fees .............................................
Custody fees ..........................................................
Transfer agent fees ...................................................
Audit fees ............................................................
Directors' fees .......................................................
Registration fees .....................................................
Miscellaneous .........................................................
Expenses before reimbursement and waiver from Investment Adviser ......
Expense reimbursement and waiver from Investment Adviser ..............
Net expenses .....................................................
Net investment income .................................................
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ..........................................................
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 (decrease) in net assets resulting from operations .......
30 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
INDEX PLUS BOND INDEX PLUS LARGE CAP INDEX PLUS MID CAP INDEX PLUS SMALL CAP
------------------ --------------------- -------------------- ----------------------
<S> <C> <C> <C> <C>
$ -- $ 4,296,466 $ 62,890 $ 32,574
438,285 338,155 4,697 4,456
--------- ----------- ---------- --------
438,285 4,634,621 67,587 37,030
-- (65,283) -- (5)
--------- ----------- ---------- --------
438,285 4,569,338 67,587 37,025
--------- ----------- ---------- --------
21,352 1,189,532 19,901 15,090
5,338 254,900 3,732 2,829
4,065 4,852 968 1,768
922 18,333 5,710 3,707
1,279 1,275 1,279 1,279
9,509 12,516 11,831 11,826
208 8,880 160 112
-- 48,871 1,048 282
293 5,174 162 148
--------- ----------- ---------- --------
42,966 1,544,333 44,791 37,041
(10,920) (1,815) (14,965) (14,483)
--------- ----------- ---------- --------
32,046 1,542,518 29,826 22,558
--------- ----------- ---------- --------
406,239 3,026,820 37,761 14,467
--------- ----------- ---------- --------
7,953 50,831,630 1,358,690 122,831
-- (53,842) -- --
--------- ----------- ---------- --------
7,953 50,777,788 1,358,690 122,831
--------- ----------- ---------- --------
(633,207) 27,340,374 (799,740) 304,509
-- (35,315) -- --
--------- ----------- ---------- --------
(633,207) 27,305,059 (799,740) 304,509
--------- ----------- ---------- --------
(625,254) 78,082,847 558,950 427,340
--------- ----------- ---------- --------
$(219,015) $81,109,667 $ 596,711 $441,807
========= =========== ========== ========
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS BOND
--------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 406,239 $ 888,236
Net realized gain on investments........... 7,953 62,856
Net change in unrealized gain or loss on
investments............................... (633,207) 276,559
----------- -----------
Net increase (decrease) in net assets
resulting from operations................. (219,015) 1,227,651
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (7,062) (882,106)
From net realized gains................... (6,508) (56,333)
----------- -----------
Decrease in net assets from distributions
to shareholders........................... (13,570) (938,439)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 1,415,833 1,961,822
Net asset value of shares issued upon
reinvestment of distributions............ 1,182 75,564
Payments for shares redeemed.............. (2,387,120) (2,228,389)
----------- -----------
Net decrease in net assets from fund share
transactions.............................. (970,105) (191,003)
----------- -----------
Net change in net assets................... (1,202,690) 98,209
NET ASSETS:
Beginning of period........................ 15,107,083 15,008,874
----------- -----------
End of period.............................. $13,904,393 $15,107,083
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 406,106 $ 6,929
=========== ===========
SHARE TRANSACTIONS:
Number of shares sold..................... 139,439 185,078
Number of shares issued upon reinvestment
of distributions......................... 119 7,415
Number of shares redeemed................. (235,362) (209,714)
----------- -----------
Net decrease.............................. (95,804) (17,221)
=========== ===========
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income..................... $ 3,026,820 $ 2,959,670
Net realized gain on investments.......... 50,777,788 17,020,679
Net change in unrealized gain or loss on
investments.............................. 27,305,059 59,891,322
------------ ------------
Net increase in net assets resulting from
operations............................... 81,109,667 79,871,671
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............... (8,918) (3,004,103)
From net realized gains.................. (6,301,023) (17,271,067)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (6,309,941) (20,275,170)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................ 325,028,806 305,756,393
Net asset value of shares issued upon
reinvestment of distributions........... 6,309,942 20,275,170
Payments for shares redeemed............. (18,662,792) (22,085,528)
------------ ------------
Net increase in net assets from fund
share transactions....................... 312,675,956 303,946,035
------------ ------------
Net change in net assets.................. 387,475,682 363,542,536
NET ASSETS:
Beginning of period....................... 496,059,054 132,516,518
------------ ------------
End of period............................. $883,534,736 $496,059,054
============ ============
End of period net assets includes
undistributed net investment income...... $ 3,026,560 $ 8,658
============ ============
SHARE TRANSACTIONS:
Number of shares sold.................... 17,555,567 19,017,627
Number of shares issued upon reinvestment
of distributions........................ 332,452 1,157,764
Number of shares redeemed................ (1,004,543) (1,421,398)
------------ ------------
Net increase............................. 16,883,476 18,753,993
============ ============
</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
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 37,761 $ 58,840
Net realized gain on investments........... 1,358,690 421,908
Net change in unrealized gain or loss on
investments............................... (799,740) 1,443,442
----------- -----------
Net increase in net assets resulting from
operations................................ 596,711 1,924,190
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ -- (58,489)
From net realized gains................... (107,658) (438,594)
----------- -----------
Decrease in net assets from distributions
to shareholders........................... (107,658) (497,083)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 8,794,351 5,622,966
Net asset value of shares issued upon
reinvestment of distributions............ 107,659 258,130
Payments for shares redeemed.............. (7,371,074) (5,141,703)
----------- -----------
Net increase in net assets from fund share
transactions.............................. 1,530,936 739,393
----------- -----------
Net change in net assets................... 2,019,989 2,166,500
NET ASSETS:
Beginning of period........................ 9,922,894 7,756,394
----------- -----------
End of period.............................. $11,942,883 $ 9,922,894
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 37,761 $ --
=========== ===========
SHARE TRANSACTIONS:
Number of shares sold..................... 737,631 509,475
Number of shares issued upon reinvestment
of distributions......................... 8,654 21,894
Number of shares redeemed................. (619,489) (468,257)
----------- -----------
Net increase.............................. 126,796 63,112
=========== ===========
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
--------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 14,467 $ 29,736
Net realized gain (loss) on investments.... 122,831 (464,243)
Net change in unrealized gain or loss on
investments............................... 304,509 122,989
----------- -----------
Net increase (decrease) in net assets
resulting from operations................. 441,807 (311,518)
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ -- (28,374)
From net realized gains................... -- (274,406)
----------- -----------
Decrease in net assets from distributions
to shareholders........................... -- (302,780)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 6,351,220 8,260,731
Net asset value of shares issued upon
reinvestment of distributions............ -- 269,228
Payments for shares redeemed.............. (4,455,171) (8,133,489)
----------- -----------
Net increase in net assets from fund share
transactions.............................. 1,896,049 396,470
----------- -----------
Net change in net assets................... 2,337,856 (217,828)
NET ASSETS:
Beginning of period........................ 7,599,433 7,817,261
----------- -----------
End of period.............................. $ 9,937,289 $ 7,599,433
=========== ===========
End of period net assets includes
undistributed (distributions in excess of)
net investment income..................... $ 13,865 $ (602)
=========== ===========
SHARE TRANSACTIONS:
Number of shares sold..................... 665,840 858,897
Number of shares issued upon reinvestment
of distributions......................... -- 27,986
Number of shares redeemed................. (466,407) (866,170)
----------- -----------
Net increase.............................. 199,433 20,713
=========== ===========
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
INDEX PLUS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999 (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 Fund to offer separate portfolios, each of which has
its own investment objective, policies and restrictions.
The Fund currently offers ten portfolios. This report covers four diversified
portfolios: Aetna Index Plus Bond VP, Aetna Index Plus Large Cap VP, 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 maximum 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 6,900 securities.
AETNA INDEX PLUS LARGE CAP VP (Index Plus Large Cap) seeks to outperform the
total return performance of the Standard and Poor's 500 Composite Index,
while maintaining a market level of risk.
AETNA INDEX PLUS MID CAP VP (Index Plus Mid Cap) seeks to outperform the
total return performance of the Standard and Poor's MidCap 400 Index, while
maintaining a market level of risk.
AETNA INDEX PLUS SMALL CAP VP (Index Plus Small Cap) seeks to outperform the
total return performance of the Standard and Poor's SmallCap 600 Index, while
maintaining a market level of risk.
Shares of each Portfolio are currently owned by insurance companies as
depositors of separate accounts which are used to fund variable annuity
contracts and variable life insurance policies. All shares are currently held by
separate accounts of Aetna Life Insurance and Annuity Company (ALIAC) and its
subsidiary, Aetna Insurance Company of America.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
each Portfolio. ALIAC serves as the principal underwriter to each Portfolio.
Aeltus and ALIAC are both 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 prices furnished by external
pricing sources 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>
- --------------------------------------------------------------------------------
B. 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 invest in
financial futures contracts as a hedge against existing portfolio securities, 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 financial 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 financial futures are reflected in
the accompanying financial statements. The amounts at risk under such futures
may exceed the amounts reflected in the financial statements. 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.
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 which can only be sold
under Rule 144A of the Securities Act of 1933 (1933 Act) or are securities
offered pursuant to Section 4(2) of the 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.
D. DELAYED DELIVERY TRANSACTIONS
The Portfolios may purchase or sell securities on a when-issued or forward
commitment basis. The price of the underlying securities and date when the
securities will be delivered and paid for are fixed at the time the transaction
is negotiated. The market value of such securities are identified in the
Portfolios of Investments. Losses may arise due to changes in the market value
of the securities or from the inability of counterparties to meet the terms of
the contract.
E. FEDERAL INCOME TAXES
Each Portfolio has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1998 and intends to meet the
requirements for the current year. As such, each Portfolio is relieved of
federal income 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. Furthermore, by distributing substantially all of its net
taxable investment income and capital gains during the calendar year, each
Portfolio will avoid federal excise taxes in accordance with the applicable
provisions of the Internal Revenue Code. Thus, the financial statements contain
no provision for federal taxes.
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 contracts and certain losses
deferred due to transactions characterized as "wash sales" by federal tax
regulations. In addition, distributions of realized gains from sales of
securities held one year or less are taxable to
37
<PAGE>
INDEX PLUS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
shareholders at ordinary income tax rates rather than preferred capital gain tax
rates in accordance with the applicable provisions of the Internal Revenue Code.
G. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are 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 SERVICE FEES
Each Portfolio pays Aeltus a monthly fee expressed as a percentage of its
average daily net assets. Below are the Portfolios' annual investment advisory
fees at June 30, 1999:
<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>
Each Portfolio pays Aeltus an administrative services fee in exchange for
receiving certain administrative and shareholder services and to compensate
Aeltus for supervising the Portfolios' other service providers. Each Portfolio
pays Aeltus an administrative services fee at an annual rate based on its
average daily net assets. The rate is 0.075% on the first $5 billion in
Portfolio assets and 0.050% on all Portfolio assets over $5 billion.
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 January 1, 1999 through June 30, 1999, Aeltus
paid ALIAC $631,910.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 1999 to reimburse each
Portfolio for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase each Portfolio's yield and total return.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 1999 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Index Plus Bond $2,297,468 $2,536,064
Index Plus Large Cap 666,183,418 319,697,889
Index Plus Mid Cap 9,823,674 8,420,011
Index Plus Small Cap 6,892,713 4,494,414
</TABLE>
38
<PAGE>
INDEX PLUS PORTFOLIOS
ADDITIONAL INFORMATION
JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
YEAR 2000
Each Portfolio receives services from a number of providers which rely on the
effective functioning of their respective systems and the systems of others to
perform those services. It is generally recognized that certain systems in use
today may not be able to perform their intended functions adequately after 1999
because of the inability of computer systems and software to distinguish the
year 2000 from the year 1900. Aeltus is taking steps that it believes are
reasonably designed to address this potential "Year 2000" problem and to obtain
satisfactory information that comparable steps are being taken by each of the
Portfolios' other major service providers. There can be no assurance, however,
that these steps will be sufficient to avoid any adverse impact on the
Portfolios from this problem.
39
<PAGE>
INDEX PLUS PORTFOLIOS
FINANCIAL HIGHLIGHTS
INDEX PLUS BOND
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 18, 1997
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 1999 DECEMBER 31, OPERATIONS)
(UNAUDITED) 1998 TO DECEMBER 31, 1997
------------- ------------ --------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ............... $ 10.19 $ 10.01 $ 10.00
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ... 0.28 0.60 0.02+
Net realized and change
in unrealized gain or
loss on investments ..... (0.44) 0.21 0.01
------- ------- -------
Total from investment
operations............ (0.16) 0.81 0.03
------- ------- -------
LESS DISTRIBUTIONS:
From net investment
income................... (0.01) (0.59) (0.02)
From net realized gains
on investments .......... -- (0.04) --
------- ------- -------
Total distributions ... (0.01) (0.63) (0.02)
------- ------- -------
Net asset value, end of
period................... $ 10.02 $ 10.19 $ 10.01
======= ======= =======
Total return* ............ (1.57)% 8.17% 0.27%
Net assets, end of period
(000's).................. $13,904 $15,107 $15,009
Ratio of net expenses to
average net assets ...... 0.45%(1) 0.45% 0.45%(1)
Ratio of net investment
income to average net
assets................... 5.71%(1) 5.67% 5.23%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets ... 0.60%(1) 0.53% --
Portfolio turnover rate .. 16.03% 19.52% --
</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.
40 See Notes to Financial Statements.
<PAGE>
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH SEPTEMBER 16, 1996
PERIOD ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1998 1997 TO DECEMBER 31, 1996
------------- ------------ ------------ --------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 17.59 $ 14.02 $ 10.91 $ 10.00
-------- -------- -------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.08 0.12 0.10+ 0.05+
Net realized and
change in unrealized
gain or loss on
investments.......... 2.06 4.30 3.60 0.92
-------- -------- -------- -------
Total from
investment
operations........ 2.14 4.42 3.70 0.97
-------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment
income............... -- (0.12) (0.10) (0.05)
From net realized
gains on investments (0.14) (0.73) (0.49) (0.01)
-------- -------- -------- -------
Total distributions (0.14) (0.85) (0.59) (0.06)
-------- -------- -------- -------
Net asset value, end
of period ........... $ 19.59 $ 17.59 $ 14.02 $ 10.91
======== ======== ======== =======
Total return* ........ 12.20% 31.60% 33.89% 9.64%
Net assets, end of
period (000's) ...... $883,535 $496,059 $132,517 $19,410
Ratio of net expenses
to average net assets 0.45%(1) 0.46% 0.50% 0.50%(1)
Ratio of net
investment income to
average net assets .. 0.89%(1) 1.07% 1.38% 1.89%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... 0.45%(1) -- -- --
Portfolio turnover
rate................. 44.90% 98.61% 76.83% 5.18%
</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. 41
<PAGE>
INDEX PLUS PORTFOLIOS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 16, 1997
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 1999 DECEMBER 31, OPERATIONS)
(UNAUDITED) 1998 TO DECEMBER 31, 1997
------------- ------------ --------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ............... $ 12.20 $ 10.34 $10.00
------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ... 0.04 0.07 0.01+
Net realized and change
in unrealized gain or
loss on investments ..... 0.58 2.42 0.34
------- ------- ------
Total from investment
operations............ 0.62 2.49 0.35
------- ------- ------
LESS DISTRIBUTIONS:
From net investment --
income................... (0.07) (0.01)
From net realized gains
on investments .......... (0.11) (0.56) --
------- ------- ------
Total distributions ... (0.11) (0.63) (0.01)
------- ------- ------
Net asset value, end of
period................... $ 12.71 $ 12.20 $10.34
======= ======= ======
Total return* ............ 5.05% 24.30% 3.50%
Net assets, end of period
(000's).................. $11,943 $ 9,923 $7,756
Ratio of net expenses to
average net assets ...... 0.60%(1) 0.60% 0.60%(1)
Ratio of net investment
income to average net
assets................... 0.76%(1) 0.68% 1.37%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets ... 0.90%(1) 0.82% --
Portfolio turnover rate .. 82.82% 165.70% --
</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.
42 See Notes to Financial Statements.
<PAGE>
INDEX PLUS SMALL CAP
- -------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 19, 1997
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 1999 DECEMBER 31, OPERATIONS)
(UNAUDITED) 1998 TO DECEMBER 31, 1997
------------- ------------ --------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ............... $ 9.86 $ 10.42 $10.00
------ ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ... 0.02 0.04 0.01+
Net realized and change
in unrealized gain or
loss on investments ..... 0.36 (0.19) 0.42
------ ------- ------
Total from investment
operations............ 0.38 (0.15) 0.43
------ ------- ------
LESS DISTRIBUTIONS:
From net investment
income................... -- (0.04) (0.01)
From net realized gains
on investments .......... -- (0.37) --
------ ------- ------
Total distributions ... -- (0.41) (0.01)
------ ------- ------
Net asset value, end of
period................... $10.24 $ 9.86 $10.42
====== ======= ======
Total return* ............ 3.85% (1.35)% 4.33%
Net assets, end of period
(000's).................. $9,937 $ 7,599 $7,817
Ratio of net expenses to
average net assets ...... 0.60%(1) 0.60% 0.60%(1)
Ratio of net investment
income to average net
assets................... 0.38%(1) 0.38% 1.90%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets ... 0.98%(1) 0.87% --
Portfolio turnover rate .. 57.85% 141.99% --
</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. 43
<PAGE>
AETNA ASCENT VP
Growth of $10,000
<TABLE>
<CAPTION>
Ascent VP Jul-95 Dec-95 Dec-96 Dec-97 Dec-98 Jun-99
<S> <C> <C> <C> <C> <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 15,508 17,069 16,692 18,280
Russell
3000 Index 10,000 10,901 11,470 12,097 12,602 12,974 13,973 14,094 16,455 17,990 18,413 20,816 21,195 18,823 22,857 23,632 25,454
Ascent
Composite 10,000 10,526 10,955 11,278 11,624 11,968 12,850 12,738 14,102 15,081 14,942 16,112 16,035 14,531 16,216 17,293 17,089
</TABLE>
AETNA CROSSROADS VP
Growth of $10,000
<TABLE>
<CAPTION>
Crossroads
VP Jul-95 Dec-95 Dec-96 Dec-97 Dec-98 Jun-99
<S> <C> <C> <C> <C> <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 14,984 16,170 15,890 16,943
Salomon
Broad
Index 10,000 10,190 10,632 10,447 10,498 10,694 11,017 10,959 11,354 11,731 12,077 12,271 12,556 13,076 13,129 13,069 12,948
Crossroads
Composite 10,000 10,429 10,841 11,048 11,321 11,628 12,345 12,244 13,319 14,101 14,081 14,955 14,978 14,076 15,329 16,056 15,890
</TABLE>
AETNA LEGACY VP
Growth of $10,000
<TABLE>
<CAPTION>
Legacy VP Jul-95 Dec-95 Dec-96 Dec-97 Dec-98 Jun-99
<S> <C> <C> <C> <C> <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 14,290 15,139 14,979 15,668
Salomon
Broad
Index 10,000 10,190 10,632 10,447 10,498 10,694 11,017 10,959 11,354 11,731 12,077 12,271 12,556 13,076 13,129 13,069 12,948
Legacy
Composite 10,000 10,332 10,727 10,822 11,023 11,294 11,855 11,762 12,569 13,171 13,256 13,867 13,975 13,605 14,453 14,867 14,736
</TABLE>
44 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Average Annual Total Returns
for the period ended June 30, 1999*
- -------------------------------------------------------------------------
Ascent VP Crossroads VP Legacy VP
- -------------------------------------------------------------------------
Inception Date 1 Year Inception 1 Year Inception 1 Year Inception
- -------------------------------------------------------------------------
07/05/95 1.90% 16.32% 2.52% 14.13% 3.86% 11.92%
- -------------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
Ascent VP has added the Russell 3000 Index as the primary benchmark. Ascent is
the most aggressive of the Generation Portfolios with a larger allocation to
equities. The Russell 3000 is a broad-based equity index which includes large
cap, mid cap, small cap and REIT securities which are reflective of the domestic
equity allocation of the Portfolio.
Crossroads VP and Legacy VP have added the Salomon Smith Barney Broad Investment
Grade Bond (Salomon Broad) Index as the primary benchmark. Crossroads and Legacy
are the more conservative of the Generation Portfolios with a larger allocation
to fixed income securities. The Salomon Broad Index is a broad-based bond index
which is reflective of the domestic bond allocation of the Portfolios.
The secondary benchmarks for the Portfolios are the composite benchmarks which
are made up of seven asset class indices. The composite benchmark may serve as a
better comparison for the Portfolio because it is more representative of the
actual securities and allocations of the Portfolios.
AETNA GENERATION PORTFOLIOS, INC.
HOW DID THE PORTFOLIOS PERFORM DURING THE PERIOD?
For the six month period ended June 30, 1999, the performance for the Aetna
Generation Portfolios, Inc. (Ascent VP, Crossroads VP and Legacy VP) and their
respective benchmarks and composite indices are listed below. The Composite
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>
PORTFOLIO BENCHMARK INDEX COMPOSITE
GENERATION PORTFOLIO RETURN BENCHMARK INDEX RETURN INDEX RETURN
<S> <C> <C> <C> <C>
Ascent VP 7.09% Russell 3000 (a) 11.36% 5.38
Crossroads VP 4.79% Salomon Broad (b) -1.38% 3.67
Legacy VP 3.50% Salomon Broad (b) -1.38% 1.95
</TABLE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIOS?
The market's mood shifted quite dramatically from the beginning of 1999 to the
middle of the year. Earlier, with the fear of a global economic slowdown very
much the center of attention, the stocks in favor tended to be dominant growth
stocks, which could continue to make earnings gains despite a slow-growth
economy. Beginning in April, the focus shifted to fear of too-strong economic
growth and potential for the Federal Reserve to adopt a tightening bias, or
tendency to increase interest rates as the global economy showed signs of
warming. Suddenly, economically sensitive value-oriented stocks gained favor,
along with relatively inexpensive mid-cap and small-cap stocks. The lofty P/E's
(price /earnings ratio) of the favored large-cap growth stocks made them look
vulnerable in the face of increased interest rates.
Serving as a backdrop to the Generation Portfolios' performance are returns for
the various indices for each of the asset classes among which the Portfolios
allocate investments (shown below) for the six-month period ended June 30, 1999.
<TABLE>
<CAPTION>
INDEX
ASSET CLASS BENCHMARK INDEX RETURN
<S> <C> <C>
Large Company Stocks S&P 500 (c) 12.38%
Small/Mid Company Stocks Russell 2500 (d) 10.88%
International Stocks MSCI EAFE (e) 4.11%
Real Estate Stocks NAREIT Equity (f) 4.78%
Domestic Bonds Salomon Broad (b) -1.38%
International Bonds S.B. Non-U.S. WGBI (g) -9.11%
Cash Equivalents U.S. 90 Day T-Bill (h) 2.24%
</TABLE>
See Definition of Terms. 45
<PAGE>
As shown above, the large-cap dominated S&P 500 continue to lead all other asset
classes, as it has for most of the past few years, achieving in six months a
gain which in normal markets would make for a successful year. The negative
returns in the bond indices reflect the upward move in interest rates,
particularly here in the U.S.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIOS' PERFORMANCE OVER THE PAST SIX
MONTHS?
Listed below are the asset class allocation breakdowns.
<TABLE>
<CAPTION>
% OF
ASSET ALLOCATION: INVESTMENT NOTIONAL VALUE* ECONOMIC EXPOSURE*
ASSET CLASS 06/30/99 OF FUTURES OF OPTIONS 06/30/99 12/31/98
<S> <C> <C> <C> <C>
ASCENT
- ------
Large Cap Stocks 27.0% 2.8% -- 29.8% 17.4%
Small/Mid Cap Stocks 16.5% -- (3.1)% 13.4% 28.8%
International Stocks 15.5% 2.6% -- 18.1% 13.1%
International Bonds 0.3% 0.5% -- 0.8% 0.6%
Real Estate Stocks 31.4% -- -- 31.4% 30.5%
Fixed Income 7.2% -- -- 7.2% 4.5%
Cash Equivalents 2.1% (5.9)% 3.1% (0.7)% 5.1%
-----------------------------------------------------
100.0% -- -- 100.0% 100.0%
=====================================================
CROSSROADS
- ----------
Large Cap Stocks 21.4% -- -- 21.4% 13.2%
Small/Mid Cap Stocks 11.5% -- -- 11.5% 21.4%
International Stocks 13.0% 2.7% -- 15.7% 11.0%
International Bonds 1.4% 1.2% -- 2.6% 2.5%
Real Estate Stocks 23.4% -- -- 23.4% 22.8%
Fixed Income 26.4% -- -- 26.4% 14.8%
Cash Equivalents 2.9% (3.9)% -- (1.0)% 14.3%
-----------------------------------------------------
100.0% -- -- 100.0% 100.0%
=====================================================
LEGACY
- ------
Large Cap Stocks 14.0% -- -- 14.0% 8.8%
Small/Mid Cap Stocks 8.4% -- -- 8.4% 14.5%
International Stocks 10.1% 1.0% -- 11.1% 8.3%
International Bonds 2.6% 1.9% -- 4.5% 4.7%
Real Estate Stocks 16.9% -- -- 16.9% 16.2%
Fixed Income 44.8% -- -- 44.8% 24.2%
Cash Equivalents 3.2% (2.9)% -- 0.3% 23.3%
-----------------------------------------------------
100.0% -- -- 100.0% 100.0%
=====================================================
<CAPTION>
ASSET ALLOCATION:
ASSET CLASS BENCHMARK RANGE
<S> <C> <C>
ASCENT
- ------
Large Cap Stocks 20% 0-60%
Small/Mid Cap Stocks 20% 0-40%
International Stocks 20% 0-40%
International Bonds 10% 0-20%
Real Estate Stocks 20% 0-40%
Fixed Income 10% 0-30%
Cash Equivalents -- 0-30%
---------
100%
=========
CROSSROADS
- ----------
Large Cap Stocks 15% 0-45%
Small/Mid Cap Stocks 15% 0-30%
International Stocks 15% 0-30%
International Bonds 10% 0-20%
Real Estate Stocks 15% 0-30%
Fixed Income 25% 0-70%
Cash Equivalents 5% 0-30%
---------
100%
=========
LEGACY
- ------
Large Cap Stocks 10% 0-30%
Small/Mid Cap Stocks 10% 0-20%
International Stocks 10% 0-20%
International Bonds 10% 0-20%
Real Estate Stocks 10% 0-20%
Fixed Income 40% 0-100%
Cash Equivalents 10% 0-30%
---------
100%
=========
</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 Portfolio's exposure to both changes in the value of the
portfolio of investments as well as the financial instruments underlying the
options and futures positions.
The portfolios benefited from both stock selection and tactical asset
allocation. Particularly beneficial were our underweighted positions in both
domestic and international bonds. As interest rates rose in the U.S., however,
we shifted back into bonds to take advantage of the increased yield.
We significantly decreased our allocation to small-cap stocks during the past
six months. Conditions in the market seemed likely to continue to favor
large-cap stocks over small caps. For example, credit spreads (the yield
difference between A-rated corporate and U.S. Treasury bonds) were unusually
wide. Our research has shown that during periods when credit spreads are wide,
investors are nervous, and they tend to prefer larger-cap stocks to smaller
stocks. In addition, when market leadership within the S&P 500 is narrow (with a
few stocks garnering most of the price appreciation), the trend tends to persist
for some time. We will be watching for a change in market conditions as a signal
to take advantage of the attractive valuation in smaller cap stocks.
46 See Definition of Terms.
<PAGE>
The portfolios remained overweight in REITs (Real Estate Investment Trusts) due
to their high dividend yields (over 6.5%), their high total-return potential
(over 15%, assuming a conservative dividend growth rate of 8.5%), and their
risk-reducing characteristics (low absolute volatility and market beta and
low/negative correlation to most other asset classes).
WHAT IS YOUR OUTLOOK GOING FORWARD?
The large-cap U.S. equity market looks overpriced to us. Relative to bond
yields, the consensus forward earnings yield on the S&P 500 has not been this
low since the summer of 1987. (Earnings yield is earnings divided by price, so a
low earnings yield means that prices are high relative to earnings.) In
addition, two short-term tactical indicators adding to our concern about the
equity market are: 1) interest rates, which appear likely to continue to
increase; and 2) investor sentiment, which is unusually bullish.
In response to the high valuation of the S&P 500, we have recently lowered our
large cap allocations down to their benchmark weights, and increased cash
holdings commensurately.
The opinions expressed reflect those of the portfolio manager only through June
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Portfolios are subject to change.
See Definition of Terms. 47
<PAGE>
DEFINITION OF TERMS
(a) The Russell 3000 Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents
approximately 98% of the investable U.S. equity market.
(b) Salomon Smith Barney 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.
(c) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated on
a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(d) The Russell 2500 Index consists of the smallest 500 securities in the
Russell 1000 Index and all 2,000 securities in the Russell 2000 Index. Each
of these indices assumes reinvestment of all dividends and is unmanaged.
(e) The MSCI EAFE Index (Morgan Stanley Capital International-Europe, Australia
and Far East) is a 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. Performance is calculated on a total return
basis, as reported by Frank Russell Company.
(f) The NAREIT Equity REIT Index is a market weighted total return of all
tax-qualified REITs listed on the New York Stock Exchange, American Stock
Exchange and the NASDAQ National Market System as reported by Frank Russell
Company.
(g) The Salomon Brothers Non-U.S. World Government Bond Index (S.B. Non-U.S.
WGBI) 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.
(h) Three-month Treasury bills are backed by full faith and credit of the U.S.
Government, short-term investments are equivalent to cash because their
maturity is only three months.
These are unmanaged indices and are not available for individual investment.
48
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
ASCENT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
COMMON STOCKS ( 90.5% )
UNITED STATES ( 75.0% )
AIR TRANSPORT ( 0.5% )
Alaska Air Group, Inc. + .............. 2,600 $ 108,550
Delta Air Lines, Inc. ................. 16,200 933,525
---------------
1,042,075
---------------
AUTO PARTS AND HARDWARE ( 0.5% )
Cooper Tire & Rubber Co. .............. 39,500 933,188
Standard Motor Products, Inc. ......... 1,500 36,750
---------------
969,938
---------------
AUTOMOTIVE ( 0.6% )
Ford Motor Co. ........................ 20,800 1,173,900
-------------
BANKS AND THRIFTS ( 2.3% )
Alliance Bancorp ...................... 2,600 60,450
Chase Manhattan Corp. ................. 17,600 1,524,600
Dime Bancorp, Inc. .................... 2,800 56,350
Golden State Bancorp, Inc. ............ 33,000 726,000
Golden West Financial Corp. ........... 7,200 705,600
J.P. Morgan & Co. ..................... 4,200 590,100
Republic New York Corp. ............... 17,100 1,166,006
UnionBanCal Corp. ..................... 2,500 90,313
---------------
4,919,419
---------------
BIOTECH AND MEDICAL PRODUCTS ( 2.7% )
Alpharma, Inc. ........................ 24,000 853,500
Amgen, Inc. + ......................... 13,200 803,550
Bio-Rad Labs, Inc. + .................. 24,000 627,000
Datascope Corp. + ..................... 2,400 77,100
Gliatech Inc. + ....................... 6,900 175,950
Hanger Orthopedic Group, Inc. + ....... 10,100 143,294
IDEC Pharmaceuticals Corp. + .......... 1,700 131,006
Mallinckrodt Inc. ..................... 15,500 563,812
Molecular Devices Corp. + ............. 3,800 142,500
OEC Medical Systems, Inc. + ........... 33,400 818,300
Osteotech, Inc. + ..................... 11,450 329,187
Thermo BioAnalysis Corp. + ............ 3,100 53,863
VISX, Inc. + .......................... 9,100 720,606
Xomed Surgical Products, Inc. + ....... 4,500 219,094
---------------
5,658,762
---------------
CHEMICALS ( 0.5% )
Dow Chemical Co. ...................... 8,700 1,103,813
-------------
COMMERCIAL SERVICES ( 0.7% )
CDI Corp. + ........................... 3,900 132,844
Franklin Covey Co. + .................. 18,700 137,913
Galileo International, Inc. ........... 1,000 53,438
Mail-Well, Inc. + ..................... 4,900 79,319
Modis Professional Services + ......... 11,900 163,625
Ogden Corp. ........................... 4,800 129,300
RR Donnelley & Sons Co. ............... 3,800 140,837
Valassis Communications, Inc. + ....... 4,500 164,812
World Color Press, Inc. + ............. 16,400 451,000
---------------
1,453,088
---------------
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
UNITED STATES (CONTINUED)
COMPUTERS ( 1.7% )
Apple Computer, Inc. + ................ 24,100 $ 1,116,131
Hewlett Packard Co. ................... 17,400 1,748,700
International Business Machines Corp. . 3,700 478,225
Melita International Corp. + .......... 9,400 126,900
Unisys Corp. + ........................ 1,100 42,831
---------------
3,512,787
---------------
CONGLOMERATE AND AEROSPACE ( 0.6% )
Boeing Co. ............................ 7,300 322,569
Cordant Technologies, Inc. ............ 3,500 158,156
Ducommun, Inc. + ...................... 13,100 156,381
Kellstrom Industries, Inc. + .......... 12,400 226,300
Northrop Grumman Corp. ................ 5,900 391,244
---------------
1,254,650
---------------
CONSUMER FINANCE ( 0.3% )
Federal Home Loan Mortgage Corp. ...... 11,600 672,800
Federal National Mortgage Association . 200 13,675
---------------
686,475
---------------
CONSUMER PRODUCTS ( 0.5% )
Church & Dwight Co., Inc. ............. 3,700 160,950
Procter & Gamble Co. .................. 11,000 981,750
---------------
1,142,700
---------------
CONSUMER SERVICES ( 1.9% )
Extended Stay America, Inc. + ......... 79,600 955,200
Foodmaker, Inc. + ..................... 22,100 627,088
Harrah's Entertainment, Inc. + ........ 13,000 286,000
Lakes Gaming, Inc. + .................. 12,925 141,367
National R.V. Holdings, Inc. + ........ 27,400 664,450
Park Place Entertainment Corp. + ...... 52,500 508,594
Sonic Corp. + ......................... 18,850 614,981
Tricon Global Restaurants, Inc. + ..... 4,400 238,150
---------------
4,035,830
---------------
CONSUMER SPECIALTIES ( 1.2% )
Brunswick Corp. ....................... 37,800 1,053,675
JAKKS Pacific, Inc. + ................. 23,100 688,669
Russ Berrie & Co., Inc. ............... 13,800 341,550
THQ, Inc. + ........................... 11,400 327,750
---------------
2,411,644
---------------
DATA AND IMAGING SERVICES ( 4.2% )
Adobe Systems, Inc. ................... 15,300 1,256,991
Advanced Digital Information Corp. + .. 10,900 441,450
America Online, Inc. .................. 300 33,150
Avant! Corp. + ........................ 2,200 27,775
Computer Associates International, Inc. 27,100 1,490,500
Datastream Systems, Inc. + ........... 8,500 136,000
International Telecommunications Data
Systems, Inc. + ...................... 8,100 129,600
Microsoft Corp. + ..................... 31,600 2,849,925
NVIDIA Corp. + ........................ 9,200 175,950
Oracle Corp. + ........................ 20,800 772,200
Progress Software Corp. + ............. 16,800 474,600
</TABLE>
See Notes to Portfolio of Investments. 49
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
ASCENT (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
RealNetworks, Inc. + .................. 1,200 $ 82,650
Remedy Corp. + ........................ 8,300 223,062
SERENA Software, Inc. + ............... 5,000 67,187
WebTrends Corp. + ..................... 3,600 166,050
Xircom, Inc. + ........................ 13,500 405,844
---------------
8,732,934
---------------
DISCRETIONARY RETAIL ( 3.3% )
American Eagle Outfitters, Inc. + ..... 20,450 930,475
Best Buy Co., Inc. + .................. 800 54,000
Building Materials Holding Corp. + .... 20,000 230,000
Cato Corp. (The) ...................... 7,600 88,350
CDW Computer Centers, Inc. + .......... 2,400 105,600
Circuit City Stores, Inc. ............. 1,900 176,700
Dayton Hudson Co. ..................... 2,800 182,000
Dillards, Inc. ........................ 6,000 210,750
Federated Department Stores, Inc. + ... 21,100 1,116,981
Footstar, Inc. + ...................... 1,800 66,938
Gap, Inc. ............................. 12,825 646,059
Hollywood Entertainment Corp. + ....... 7,700 150,631
Kohl's Corp. + ........................ 900 69,469
Lowe's Co., Inc. ...................... 15,000 850,312
Micro Warehouse, Inc. + ............... 900 16,088
Musicland Stores Corp. + .............. 41,700 370,088
Sonic Automotive, Inc. + .............. 4,300 59,125
Tandy Corp. ........................... 3,800 185,725
TJX Companies, Inc. ................... 16,600 552,987
Tractor Supply Co. + .................. 4,600 125,638
Zale Corp. + .......................... 18,700 748,000
---------------
6,935,916
---------------
DIVERSIFIED FINANCIAL SERVICES ( 0.6% )
Citigroup Inc. ........................ 25,350 1,204,125
Merry Land Properties, Inc. + ......... 1,005 4,962
Trammell Crow Co. + ................... 9,000 147,938
---------------
1,357,025
---------------
DRUGS ( 1.9% )
Bristol-Myers Squibb Co. .............. 21,100 1,486,231
Johnson & Johnson ..................... 14,200 1,391,600
Medicis Pharmaceutical Corp. + ........ 3,700 93,888
Merck & Co., Inc. ..................... 10,600 784,400
Roberts Pharmaceutical Corp. + ........ 11,700 283,725
---------------
4,039,844
---------------
ELECTRIC UTILITIES ( 0.2% )
Allegheny Energy, Inc. ................ 800 25,650
Florida Progress Corp. ................ 1,600 66,100
Mony Group Inc. + ..................... 700 22,837
Niagara Mohawk Holdings Inc. + ........ 20,700 332,494
---------------
447,081
---------------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.5% )
Rockwell International Corp. .......... 16,200 984,150
-------------
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
UNITED STATES (CONTINUED)
ELECTRONIC MEDIA ( 1.4% )
CBS Corp. + ........................... 19,300 $ 838,344
Chris-Craft Industries, Inc. + ........ 2,296 108,199
Hollywood Park, Inc. + ................ 41,700 708,900
King World Production, Inc. + ......... 34,400 1,197,550
Pixar, Inc. + ......................... 200 8,625
---------------
2,861,618
---------------
FOOD AND BEVERAGE ( 0.6% )
Coors (Adolph) Co. .................... 1,400 69,300
Corn Products International, Inc. ..... 3,500 106,531
IBP, Inc. ............................. 5,100 121,125
J&J Snack Foods Corp. + ............... 10,100 242,400
M&F Worldwide Corp. + ................. 29,600 234,950
Pilgrim's Pride Corp. ................. 16,100 483,000
---------------
1,257,306
---------------
FOOD AND DRUG RETAIL ( 1.1% )
Casey's General Stores, Inc. .......... 30,700 460,500
CVS Corp. ............................. 20,500 1,040,375
SUPERVALU, Inc. ....................... 28,300 726,956
---------------
2,227,831
---------------
FOREST PRODUCTS AND BUILDING MATERIALS ( 1.4% )
Ball Corp. ............................ 600 25,350
Boise Cascade Corp. ................... 11,700 501,637
Centex Construction Products, Inc. .... 13,200 450,450
Georgia-Pacific Group ................. 18,700 885,912
Georgia-Pacific Corp. (Timber Group) .. 7,000 176,750
Lafarge Corp. ......................... 4,500 159,469
Lone Star Industries, Inc. ............ 11,500 431,969
Southdown, Inc. ....................... 3,200 205,600
USG Corp. ............................. 2,100 117,600
Willamette Industries, Inc. ........... 300 13,819
---------------
2,968,556
---------------
GAS UTILITIES ( 0.8% )
Energen Corp. ......................... 32,600 607,175
Equitable Resources, Inc. ............. 3,000 113,250
Sempra Energy ......................... 44,426 1,005,138
---------------
1,725,563
---------------
HEALTH SERVICES ( 0.3% )
Lincare Holdings Inc. + ............... 15,700 392,500
PacifiCare Health Systems, Inc. ....... 1,300 93,600
Professional Detailing, Inc. + ........ 3,100 72,850
---------------
558,950
---------------
HOUSING AND FURNISHINGS ( 1.8% )
Centex Corp. .......................... 8,400 315,525
Kaufman & Broad Home Corp. ............ 13,100 325,862
Lennar Corp. .......................... 13,400 321,600
MDC Holdings, Inc. .................... 44,600 958,900
Pulte Corp. ........................... 11,000 253,687
Ryland Group, Inc. .................... 36,100 1,071,719
Toll Brothers, Inc. + ................. 12,900 276,544
50 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
UNITED STATES (CONTINUED)
HOUSING AND FURNISHINGS (CONTINUED)
Winsloew Furniture, Inc. + ............ 6,800 $ 228,650
---------------
3,752,487
---------------
INDUSTRIAL SERVICES ( 0.1% )
Modtech, Inc. + ....................... 2,212 25,162
Reckson Service Industries, Inc. + .... 5,832 88,209
---------------
113,371
---------------
INSURANCE ( 0.6% )
Conseco, Inc. ......................... 6,700 203,931
Lincoln National Corp. ................ 19,800 1,035,788
---------------
1,239,719
---------------
INVESTMENT SERVICES ( 0.7% )
Bear Stearns Co., Inc. (The) .......... 2,100 98,175
Morgan Stanley Dean Witter & Co. ...... 12,400 1,271,000
---------------
1,369,175
---------------
MAJOR TELECOMMUNICATIONS ( 1.0% )
Bell Atlantic Corp. ................... 6,500 424,937
BellSouth Corp. ....................... 30,200 1,415,625
CenturyTel, Inc. ...................... 5,925 235,519
---------------
2,076,081
---------------
MISCELLANEOUS METALS ( 0.1% )
Titanium Metals Corp. ................. 28,200 313,725
-------------
OIL ( 1.4% )
Belco Oil & Gas Corp. ................. 2,400 16,650
Kerr-McGee Corp. ...................... 3,200 160,600
Penn Virginia Corp. ................... 24,000 474,000
Pennzoil-Quaker State Co. + ........... 4,430 66,450
Sunoco Inc. ........................... 23,300 703,368
Swift Energy Co. + .................... 13,600 145,350
Tesoro Petroleum Corp. + .............. 74,000 1,179,375
Ultramar Diamond Shamrock Corp. ....... 4,400 95,975
Union Pacific Resources Group Inc. .... 1,900 30,994
---------------
2,872,762
---------------
OIL SERVICES ( 1.0% )
Atwood Oceanics, Inc. + ............... 4,300 134,375
Eagle Geophysical, Inc. + ............. 656 492
Global Marine Inc. + .................. 300 4,631
Helmerich & Payne, Inc. ............... 37,100 883,444
Pool Energy Services Co. + ............ 11,200 227,500
Pride International, Inc. + ........... 40,600 428,837
Seitel, Inc. + ........................ 10,200 165,113
Tidewater, Inc. ....................... 3,800 115,900
Transocean Offshore, Inc. ............. 4,900 128,625
---------------
2,088,917
---------------
OTHER TELECOMMUNICATIONS ( 0.3% )
CapRock Communications Corp. + ........ 14,500 587,250
Citizens Utilities Co. + .............. 1,624 18,067
---------------
605,317
---------------
PRINT MEDIA ( 1.1% )
Central Newspapers, Inc. .............. 1,700 63,963
Harte-Hanks, Inc. .................... 4,300 116,637
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
UNITED STATES (CONTINUED)
PRINT MEDIA (CONTINUED)
Knight-Ridder, Inc. ................... 34,600 $ 1,900,837
McClatchy Co. ......................... 1,400 46,375
SEI Investments Co. ................... 1,100 97,075
---------------
2,224,887
---------------
PRODUCER GOODS ( 1.3% )
FMC Corp. + ........................... 11,500 785,594
Ingersoll-Rand Co. .................... 8,700 562,237
Milacron, Inc. ........................ 17,500 323,750
RTI International Metals, Inc. + ...... 20,500 301,094
Tecumseh Products Co. ................. 2,200 133,237
Tower Automotive, Inc. + .............. 6,100 155,169
Transportation Technologies Industries,
Inc. + ............................... 14,100 186,825
Tyco International Ltd. ............... 3,200 303,200
---------------
2,751,106
---------------
REAL ESTATE INVESTMENT TRUSTS ( 31.0% )
AMB Property Corp. .................... 2,400 56,400
American Health Properties, Inc. ...... 12,200 245,525
Apartment Investment & Management Co. . 54,000 2,308,500
Archstone Communities Trust ........... 30,200 662,512
Avalon Bay Communities, Inc. .......... 23,870 883,190
Beacon Capital + + .................... 38,400 590,400
Bedford Property Investors, Inc. ...... 6,000 107,250
Boston Properties, Inc. ............... 14,500 520,187
Boykin Lodging Co. .................... 8,600 132,225
Bradley Real Estate, Inc. ............. 15,900 329,925
Brandywine Realty Trust ............... 49,700 984,681
Cabot Industrial Trust ................ 9,800 208,250
Camden Property Trust ................. 30,500 846,375
Capital Automotive REIT ............... 24,600 325,950
Captec Net Lease Realty, Inc. ......... 16,000 217,000
Carramerica Realty Corp. .............. 11,800 295,000
CBL & Associates Properties, Inc. ..... 42,000 1,107,750
Colonial Properties Trust ............. 57,900 1,635,675
Cornerstone Properties, Inc. .......... 30,100 477,838
Crescent Real Estate Equities, Inc. ... 69,500 1,650,625
Criimi Mae, Inc. ...................... 30,600 68,850
Developers Diversified Realty Corp. ... 80,000 1,330,000
Duke Realty Investments, Inc. ......... 107,400 2,423,212
Equity Office Properties Trust ........ 149,600 3,833,500
Equity One, Inc. ...................... 8,900 87,888
Equity Residential Properties Trust ... 91,753 4,134,620
Essex Property Trust, Inc. ............ 12,800 452,800
FelCor Lodging Trust Inc. ............. 21,200 439,900
First Industrial Realty Trust, Inc. ... 26,100 716,119
General Growth Properties, Inc. ....... 36,800 1,306,400
Glenborough Realty Trust, Inc. ........ 49,100 859,250
Glimcher Realty Trust ................. 21,400 347,750
Golf Trust of America, Inc. ........... 29,400 718,462
Health Care REIT, Inc. ................ 25,600 595,200
Healthcare Realty Trust, Inc. ......... 24,757 519,897
</TABLE>
See Notes to Portfolio of Investments. 51
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
ASCENT (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Home Properties of New York, Inc. ..... 40,600 $ 1,121,575
Hospitality Properties Trust .......... 24,900 675,412
HRPT Properties Trust ................. 153,800 2,355,062
Imperial Credit Commercial Mortgage
Investment Corp. ..................... 7,500 81,094
Innkeepers USA Trust .................. 29,400 294,000
Kilroy Realty Corp. ................... 21,000 511,875
Kimco Realty Corp. .................... 60,000 2,347,500
Koger Equity, Inc. .................... 26,400 486,750
Lexington Corporate Properties Trust .. 8,400 97,650
Liberty Property Trust ................ 127,500 3,171,562
Manufactured Home Communities, Inc. ... 18,500 481,000
Meditrust Companies Corp. ............. 67,500 881,719
Mid-America Apartment Communities, Inc. 9,800 226,625
National Golf Properties, Inc. ........ 9,800 238,263
OMEGA Healthcare Investors, Inc. ...... 60,700 1,566,819
Pan Pacific Retail Properties, Inc. ... 15,800 306,125
Parkway Properties, Inc. .............. 12,100 400,813
Post Properties, Inc. ................. 86,100 3,530,100
Prentiss Properties Trust ............. 34,800 817,800
Prime Retail, Inc. .................... 26,000 225,875
PS Business Parks, Inc. ............... 26,000 633,750
Public Storage, Inc. .................. 44,610 1,249,080
Ramco-Gerhenson Properties Trust ...... 8,400 136,500
Reckson Associates Realty Corp. ....... 36,800 864,800
Reckson Associates Realty Corp. ....... 5,633 134,488
Regency Realty Corp. .................. 16,800 368,550
RFS Hotel Investors, Inc. ............. 16,100 202,256
Shurgard Storage Centers, Inc. ........ 10,500 284,813
Simon Property Group, Inc. ............ 70,600 1,791,475
Sovran Self Storage, Inc. ............. 13,900 374,431
Spieker Properties, Inc. .............. 35,900 1,395,612
Starwood Financial Trust .............. 216 13,392
Starwood Hotels & Resort Worldwide,
Inc................................... 84,850 2,593,228
Summit Properties Inc. ................ 31,500 622,125
Sun Communities, Inc. ................. 12,150 431,325
United Dominion Realty Trust, Inc. .... 34,300 403,025
Vornado Operating Co. + ............... 1,995 15,960
Vornado Realty Trust .................. 39,900 1,408,969
Walden Residential Properties, Inc. ... 10,300 221,450
Weeks Corp. ........................... 12,300 375,150
Westfield America, Inc. ............... 19,500 293,719
---------------
65,050,823
---------------
SEMICONDUCTORS AND ELECTRONICS ( 3.3% )
Alpha Industries, Inc. + .............. 1,600 76,200
ANADIGICS, Inc. + ..................... 2,600 96,200
Applied Materials, Inc. + ............. 12,600 930,825
Intel Corp. ........................... 31,200 1,856,400
Lattice Semiconductor Corp. + ......... 11,400 709,650
Level One Communications, Inc. + ...... 6,700 327,881
Linear Technology Corp. ............... 1,000 67,250
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Lucent Technologies, Inc. ............. 12,000 $ 809,250
Plexus Corp. + ........................ 3,200 96,400
Power Integrations, Inc. + ............ 800 58,500
Sawtek, Inc. .......................... 2,600 119,275
Texas Instruments, Inc. ............... 10,000 1,450,000
TriQuint Semiconductor, Inc. + ........ 1,800 102,263
Vitesse Semiconductor Corp. + ......... 2,200 148,362
Xilinx, Inc. + ........................ 1,400 80,150
---------------
6,928,606
---------------
SPECIALTY CHEMICALS ( 0.1% )
Albemarle Corp. ....................... 5,300 122,563
Octel Corp. + ......................... 13,800 172,500
---------------
295,063
---------------
STEEL ( 0.0% )
Cleveland-Cliffs, Inc. ................ 2,300 74,463
-------------
SURFACE TRANSPORT ( 0.0% )
Covenant Transport, Inc. .............. 2,000 31,500
-------------
TEXTILES AND APPAREL ( 0.8% )
Authentic Fitness Corp. ............... 9,800 171,500
Jones Apparel Group, Inc. + ........... 3,300 113,231
K-Swiss Inc. .......................... 20,200 939,300
Springs Industries, Inc. .............. 9,900 431,888
---------------
1,655,919
---------------
TOBACCO ( 0.1% )
Schweitzer-Mauduit International, Inc. 12,500 187,500
---------------
TOTAL UNITED STATES (COST $151,294,348) 157,093,276
---------------
FOREIGN COMMON STOCKS ( 15.5% )
AUSTRALIA ( 0.7% )
Amcor Ltd.
(Forest Products and Building
Materials)............................ 85,800 476,931
Foster's Brewing Group Ltd.
(Food and Beverage) .................. 176,300 496,879
Telstra Corp. Ltd.
(Other Telecommunications) + ......... 72,900 417,722
---------------
TOTAL AUSTRALIA 1,391,532
---------------
CANADA ( 0.5% )
Alcan Aluminum Ltd. (Aluminum) ........ 5,400 172,463
BCE Inc. (Other Telecommunications) ... 8,100 392,659
Canadian National Railway Co.
(Surface Transport) .................. 3,500 234,500
Trizec Hahn Corp.
(Real Estate Investment Trusts) ...... 15,000 305,625
---------------
TOTAL CANADA 1,105,247
---------------
DENMARK ( 0.8% )
Carli Gry International A/S
(Textiles and Apparel) ............... 28,100 593,882
Novo-Nordisk A/S (Drugs) .............. 4,600 496,969
Tele Danmark A/S
(Other Telecommunications) ........... 12,000 590,656
---------------
TOTAL DENMARK 1,681,507
---------------
52 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
FINLAND ( 0.5% )
Nokia Corp., ADR
(Semiconductors and Electronics) ..... 7,600 $695,875
Pohjola Group Insurance Corp.
(Insurance)........................... 8,100 415,588
---------------
TOTAL FINLAND 1,111,463
---------------
FRANCE ( 1.5% )
Accor SA (Consumer Services) .......... 800 200,897
Alstom (Industrial Services) + ........ 8,000 251,637
Axa (Insurance) ....................... 1,400 170,804
Carrefour SA (Food and Drug Retail) ... 1,800 264,528
Elf Aquitaine SA (Oil) ................ 3,050 447,600
Gemini Sogeti SA (Data and Imaging
Services)............................. 3,200 502,944
Groupe Danone (Food and Beverage) ..... 1,300 335,173
Societe Generale (Banks and Thrifts) .. 1,500 264,374
STMicroelectronics
(Semiconductors and Electronics) ..... 5,400 359,759
Vivendi (Conglomerate and Aerospace) .. 5,236 424,161
---------------
TOTAL FRANCE 3,221,877
---------------
GERMANY ( 1.0% )
Bayericshe Hypo-und Vereinsb
(Banks and Thrifts) + ................ 5,400 350,848
DaimlerChrysler AG (Automotive) ....... 2,700 233,899
Deutsche Pfandbrief & Hypothekenbank AG
(Banks and Thrifts) .................. 3,300 299,490
Douglas Holding AG (Discretionary
Retail)............................... 3,500 157,015
Fresenius Medical Care AG
(Biotech and Medical Products) ....... 4,500 268,705
Gehe AG (Health Services) ............. 5,400 248,378
Mannesmann AG (Producer Goods) ........ 3,700 552,148
---------------
TOTAL GERMANY 2,110,483
---------------
HONG KONG ( 0.1% )
First Pacific Co. Ltd. (Producer Goods) 320,000 272,204
-------------
IRELAND ( 0.5% )
Allied Irish Banks (Banks and Thrifts) 22,165 291,449
CRH Plc
(Forest Products and Building
Materials)............................ 22,278 395,175
Waterford Wedgewood
(Housing and Furnishings) ............ 279,199 287,938
---------------
TOTAL IRELAND 974,562
---------------
ITALY ( 0.3% )
Banca del Nazionale Lavoro
(Banks and Thrifts) + ................ 89,200 280,576
Telecom Italia SpA
(Other Telecommunications) ........... 40,200 417,899
---------------
TOTAL ITALY 698,475
---------------
JAPAN ( 2.3% )
Fuji Heavy Industries Ltd. (Automotive) 44,000 339,524
Kita Kyushu Coca-Cola Bottling Co.
(Food and Beverage) .................. 10,500 596,828
Meitec Corp. (Commercial Services) .... 14,000 468,440
Mizuno Corp. (Consumer Specialties) ... 41,000 155,139
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ......... 300 406,477
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
JAPAN (CONTINUED)
Promise Co., Ltd. (Consumer Finance) .. 8,000 $ 472,571
Seino Transportation Co. Ltd.
(Surface Transport) .................. 54,000 321,216
Shin-Etsu Chemical Co., Ltd.
(Specialty Chemicals) ................ 17,000 568,820
SoftBank Corp.
(Semiconductors and Electronics) ..... 2,900 587,236
Sony Corp. (Housing and Furnishings) .. 5,200 560,641
Terumo Corp. (Biotech and Medical
Products)............................. 17,000 378,511
---------------
TOTAL JAPAN 4,855,403
---------------
MEXICO ( 0.1% )
Telefonos de Mexico SA, ADR
(Other Telecommunications) ........... 3,201 258,604
-------------
NETHERLANDS ( 1.4% )
Akzo Nobel NV (Specialty Chemicals) ... 6,400 269,293
ING Groep NV
(Diversified Financial Services) ..... 9,028 488,805
Koninklijke Ahold NV (Food and Drug
Retail)............................... 7,108 244,838
Nutreco Holding NV (Food and Drug
Retail)............................... 8,300 294,457
Royal Dutch Petroleum Co. (Oil) ....... 10,700 644,675
United Pan-Europe Communications NV
(Electronic Media) + ................. 5,700 309,204
Vendex KBB N.V. (Discretionary Retail) 9,600 256,423
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ........................ 8,800 351,673
---------------
TOTAL NETHERLANDS 2,859,368
---------------
NEW ZEALAND ( 0.1% )
Fernz Corp. Ltd. (Specialty Chemicals) 62,200 179,960
-------------
NORWAY ( 1.0% )
Christiania Bank Og Kredkasse
(Banks and Thrifts) .................. 129,200 464,447
Merkantildata ASA
(Data and Imaging Services) .......... 26,300 253,896
Ocean Rig ASA (Oil Services) + ........ 1,648,800 496,368
Petroleum Geo-Services (Oil Services) + 29,000 436,520
Tomra Systems ASA (Producer Goods) .... 13,200 496,310
---------------
TOTAL NORWAY 2,147,541
---------------
SPAIN ( 0.4% )
Telefonica de Espana
(Major Telecommunications) ........... 5,300 255,312
Telefonica Publicidad e Informacion,
S.A. (Consumer Services) ............. 23,300 464,967
---------------
TOTAL SPAIN 720,279
---------------
SWEDEN ( 1.0% )
Autoliv, Inc. (Automotive) ............ 7,700 234,569
Electrolux AB (Housing and Furnishings) 9,300 194,707
Securitas AB (Commercial Services) .... 40,200 600,494
Skandinaviska Enskilda Banken
(Banks and Thrifts) .................. 39,100 455,293
</TABLE>
See Notes to Portfolio of Investments. 53
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
ASCENT (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
SWEDEN (CONTINUED)
Svenska Cellulosa AB (Consumer
Products)............................. 18,700 $ 483,886
---------------
TOTAL SWEDEN 1,968,949
---------------
SWITZERLAND ( 0.7% )
Fischer (Georg) AG (Producer Goods) ... 600 195,677
Roche Holding AG (Drugs) .............. 24 246,700
Sulzer AG (Conglomerate and Aerospace)
+..................................... 800 486,299
UBS AG (Banks and Thrifts) ............ 1,900 567,091
---------------
TOTAL SWITZERLAND 1,495,767
---------------
UNITED KINGDOM ( 2.6% )
BAA Plc (Commercial Services) ......... 49,100 472,118
Bank of Scotland (Banks and Thrifts) .. 25,346 335,604
British Aerospace Plc
(Conglomerate and Aerospace) ......... 35,872 232,824
British Telecom Plc
(Other Telecommunications) ........... 37,952 635,926
Cable & Wireless Plc
(Other Telecommunications) + ......... 18,100 230,673
Dixons Group Plc (Discretionary Retail) 11,700 218,546
General Electric Co. Plc
(Conglomerate and Aerospace) ......... 24,800 252,927
Glaxo Wellcome Plc (Drugs) ............ 100 2,779
Granada Group Plc (Electronic Media) + 23,702 439,744
Hanson Plc (Conglomerate and Aerospace) 19,200 170,543
Kingfisher Plc (Discretionary Retail) . 32,553 374,587
MEPC Plc (Diversified Financial
Services)............................. 27,500 223,677
National Westminster Bank Plc
(Banks and Thrifts) .................. 16,455 348,866
SmithKline Beecham Plc (Drugs) ........ 29,202 379,527
Vodafone Group Plc
(Other Telecommunications) ........... 36,319 715,621
WPP Group Plc (Commercial Services) ... 48,000 405,929
---------------
TOTAL UNITED KINGDOM 5,439,891
---------------
TOTAL FOREIGN COMMON STOCKS (COST $28,968,755) 32,493,112
---------------
TOTAL COMMON STOCKS (COST $180,263,103) 189,586,388
---------------
NUMBER OF
CONTRACTS
-------------
PUT OPTIONS PURCHASED ( 0.1% )
Russell 2000 Index, Strike $440,
Sept. 99.............................. 140 152,250
TOTAL PUT OPTIONS PURCHASED (COST $266,420) 152,250
---------------
PRINCIPAL
AMOUNT
-------------
LONG-TERM BONDS AND NOTES ( 7.5% )
CORPORATE BONDS ( 2.5% )
BankAmerica Corp.,7.88%,12/01/02 ...... $ 300,000 314,256
Chemical Master Credit Card Trust,
7.09%,02/15/09 ....................... 130,000 132,438
Conoco Inc.,5.90%,04/15/04 ............ 70,000 68,305
PRINCIPAL MARKET VALUE
AMOUNT
------------- ---------------
CORPORATE BONDS (CONTINUED)
CVS Corp.,5.50%,02/15/04 .............. $ 400,000 $ 378,500
Fifth Third Banc,6.75%,07/15/05 ....... 450,000 444,524
Ford Motor Credit Corp.,6.63%,10/01/28 390,000 351,070
General Motors Acceptance Corp.,
6.18%,05/15/33 ....................... 700,000 663,491
GTE Corp.,9.38%,12/01/00 .............. 300,000 313,548
Guidant Corp.,6.15%,02/15/06 .......... 200,000 185,070
Heller Financial, Inc.,6.35%,08/15/99
++.................................... 800,000 800,408
Tenet Healthcare Corp.,7.88%,01/15/03 . 800,000 784,416
Tyco International Group
SA,6.13%,01/15/09..................... 700,000 652,008
USA Waste Management,
Inc.,6.13%,07/15/01................... 200,000 198,802
---------------
TOTAL CORPORATE BONDS (COST $5,486,394) 5,286,836
---------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 2.3% )
Federal National Mortgage
Association,6.00%,06/01/28 - 01/01/29. 841,504 791,274
Federal National Mortgage
Association-Convertible
Loan,6.50%,11/01/27................... 831,012 804,820
Government National Mortgage
Association,6.50%,01/15/29............ 1,149,098 1,109,136
Government National Mortgage
Association,7.00%,04/15/26 - 02/15/28. 1,686,993 1,669,146
Government National Mortgage
Association,8.00%,07/15/24............ 440,408 453,247
---------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED 4,827,623
SECURITIES (COST $4,988,749)
---------------
U.S. GOVERNMENT OBLIGATIONS ( 2.7% )
U.S. Treasury Note,5.25%,08/15/03 -
02/15/29.............................. 1,938,000 1,877,755
U.S. Treasury Note,5.38%,06/30/03 ..... 190,000 187,714
U.S. Treasury Note,5.50%,03/31/03 -
05/15/09.............................. 3,490,000 3,446,060
U.S. Treasury Note,6.50%,10/15/06 ..... 120,000 123,900
---------------
TOTAL U.S. GOVERNMENT OBLIGATIONS 5,635,429
(COST $5,594,447)
---------------
TOTAL LONG-TERM BONDS AND NOTES (COST 15,749,888
$16,069,590)
---------------
SHORT-TERM INVESTMENTS ( 0.8% )
U.S. Treasury Bill,4.43%,08/19/99 @ ... 100,000 99,397
U.S. Treasury Bill,4.48%,08/19/99 @ ... 1,100,000 1,093,424
U.S. Treasury Bill,4.80%,08/19/99 @ ... 500,000 497,016
---------------
TOTAL SHORT-TERM INVESTMENTS (COST $1,689,838) 1,689,837
---------------
TOTAL INVESTMENTS (COST $198,288,950)(A) 207,178,363
OTHER ASSETS LESS LIABILITIES 2,335,419
---------------
TOTAL NET ASSETS $209,513,782
===============
</TABLE>
54 See Notes to Portfolio of Investments.
<PAGE>
NOTES TO PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
(a) The cost of investments for federal income tax purposes amounts to
$199,581,203. Unrealized gains and losses, based on identified tax cost at
June 30, 1999, are as follows:
<S> <C>
Unrealized gains........................... $ 20,861,729
Unrealized losses.......................... (13,264,569)
----------------------
Net unrealized gain....................... $ 7,597,160
======================
</TABLE>
Information concerning open futures contracts at June 30, 1999 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. 17 $ 5,670,350 Sept 99 $ 201,875
DAX Index Futures..... 15 2,131,647 Sept 99 (46,679)
CAC 40 Index Futures.. 22 1,042,010 Sept 99 (6,337)
FTSE 100 Index Futures 4 421,433 Sept 99 (18,395)
Long-Term EURO
Bonds Futures......... 3 348,995 Sept 99 (5,847)
Swiss Government
Bond Futures.......... 9 745,391 Sept 99 (12,969)
TOPIX Index Futures... 17 1,945,419 Sept 99 36,971
----------- ----------
$12,305,245 $ 148,619
=========== ==========
</TABLE>
Information concerning options written at June 30, 1999 is shown below:
<TABLE>
<CAPTION>
NO. OF EXERCISE EXPIRATION MARKET
CONTRACTS PRICE DATE VALUE
----------- ---------- ------------ --------------
CALL OPTIONS
- ----------------------
<S> <C> <C> <C> <C>
S&P MidCap 400 Index.. 140 440.00 Sept 99 $(451,500)
=========
</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, 1999.
Information concerning restricted securities at June 30, 1999 is shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
--------------------- ----------------------
<S> <C> <C>
Beacon Capital ................. 03/17/98 $ 768,000
Heller Financial, Inc. ......... 08/15/97 800,042
----------
$1,568,042
==========
</TABLE>
The market value of the total restricted securities above represent 0.66% of the
total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 55
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
CROSSROADS
- ----------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
<S> <C> <C>
COMMON STOCKS ( 69.3% )
UNITED STATES ( 56.2% )
AIR TRANSPORT ( 0.4% )
Alaska Air Group, Inc. + ........... 1,500 $ 62,625
Delta Air Lines, Inc. .............. 11,900 685,738
---------------
748,363
---------------
AUTO PARTS AND HARDWARE ( 0.5% )
Black & Decker Corp. ............... 3,800 239,875
Cooper Tire & Rubber Co. ........... 28,300 668,587
Standard Motor Products, Inc. ...... 1,000 24,500
---------------
932,962
---------------
AUTOMOTIVE ( 0.3% )
Ford Motor Co. ..................... 9,400 530,513
-------------
BANKS AND THRIFTS ( 1.6% )
Alliance Bancorp ................... 1,800 41,850
Chase Manhattan Corp. .............. 13,100 1,134,788
Dime Bancorp, Inc. ................. 1,400 28,175
Golden State Bancorp, Inc. ......... 21,900 481,800
Golden West Financial Corp. ........ 4,400 431,200
J.P. Morgan & Co. .................. 3,000 421,500
Republic New York Corp. ............ 9,500 647,781
---------------
3,187,094
---------------
BIOTECH AND MEDICAL PRODUCTS ( 2.1% )
Alpharma, Inc. ..................... 16,400 583,225
Amgen, Inc. + ...................... 10,300 627,012
Bio-Rad Labs, Inc. + ............... 8,100 211,612
Datascope Corp. + .................. 1,700 54,613
Empi Inc. + ........................ 1,500 36,563
Genzyme Corp. + .................... 1,000 48,500
Genzyme Surgical Products Corp. .... 179 789
Gliatech Inc. + .................... 5,500 140,250
Hanger Orthopedic Group, Inc. + .... 10,800 153,225
IDEC Pharmaceuticals Corp. + ....... 1,200 92,475
Mallinckrodt Inc. .................. 18,500 672,937
Molecular Devices Corp. + .......... 2,600 97,500
OEC Medical Systems, Inc. + ........ 20,000 490,000
Osteotech, Inc. + .................. 7,800 224,250
VISX, Inc. + ....................... 6,100 483,044
Xomed Surgical Products, Inc. + .... 3,100 150,931
---------------
4,066,926
---------------
CHEMICALS ( 0.4% )
Dow Chemical Co. ................... 6,600 837,375
-------------
COMMERCIAL SERVICES ( 0.6% )
CDI Corp. + ........................ 2,700 91,969
Franklin Covey Co. + ............... 14,600 107,675
Galileo International, Inc. ........ 600 32,062
Mail-Well, Inc. + .................. 3,300 53,419
Modis Professional Services + ...... 4,000 55,000
Ogden Corp. ........................ 2,800 75,425
RR Donnelley & Sons Co. ............ 12,800 474,400
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
UNITED STATES (CONTINUED)
COMMERCIAL SERVICES (CONTINUED)
World Color Press, Inc. + .......... 12,900 $ 354,750
---------------
1,244,700
---------------
COMPUTERS ( 1.3% )
Apple Computer, Inc. + ............. 17,600 815,100
Hewlett Packard Co. ................ 13,700 1,376,850
International Business Machines
Corp............................... 2,600 336,050
Melita International Corp. + ....... 9,400 126,900
---------------
2,654,900
---------------
CONGLOMERATE AND AEROSPACE ( 0.5% )
Boeing Co. ......................... 5,100 225,357
Cordant Technologies, Inc. ......... 2,400 108,450
Ducommun, Inc. + ................... 9,900 118,181
Kellstrom Industries, Inc. + ....... 10,301 188,088
Northrop Grumman Corp. ............. 4,000 265,250
---------------
905,326
---------------
CONSUMER FINANCE ( 0.2% )
Crescent Operating, Inc. + ......... 520 3,543
Federal Home Loan Mortgage Corp. ... 900 52,200
Federal National Mortgage
Association........................ 4,300 294,012
---------------
349,755
---------------
CONSUMER PRODUCTS ( 0.4% )
Church & Dwight Co., Inc. .......... 2,100 91,350
Procter & Gamble Co. ............... 8,300 740,775
---------------
832,125
---------------
CONSUMER SERVICES ( 1.4% )
Extended Stay America, Inc. + ...... 57,200 686,400
Foodmaker, Inc. + .................. 14,700 417,112
H&R Block, Inc. .................... 2,800 140,000
Harrah's Entertainment, Inc. + ..... 5,300 116,600
Lakes Gaming, Inc. + ............... 8,450 92,422
National R.V. Holdings, Inc. + ..... 15,950 386,788
Park Place Entertainment Corp. + ... 34,200 331,313
Sonic Corp. + ...................... 12,700 414,337
Tricon Global Restaurants, Inc. + .. 3,000 162,375
---------------
2,747,347
---------------
CONSUMER SPECIALTIES ( 0.7% )
Brunswick Corp. .................... 29,500 822,312
JAKKS Pacific, Inc. + .............. 14,300 426,319
Russ Berrie & Co., Inc. ............ 4,700 116,325
THQ, Inc. + ........................ 3,500 100,625
---------------
1,465,581
---------------
DATA AND IMAGING SERVICES ( 3.2% )
Adobe Systems, Inc. ................ 11,700 961,228
Advanced Digital Information Corp. + 5,900 238,950
America Online, Inc. ............... 1,000 110,500
Avant! Corp. + ..................... 1,500 18,938
Computer Associates International,
Inc................................ 20,100 1,105,500
Datastream Systems, Inc. + ........ 3,500 56,000
56 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
International Telecommunications
Data Systems, Inc. + .............. 3,300 $ 52,800
Microsoft Corp. + .................. 22,600 2,038,237
Oracle Corp. + ..................... 14,600 542,025
Progress Software Corp. + .......... 12,600 355,950
RealNetworks, Inc. + ............... 600 41,325
Remedy Corp. + ..................... 5,700 153,188
SERENA Software, Inc. + ............ 17,200 231,125
WebTrends Corp. + .................. 4,100 189,112
Xircom, Inc. + ..................... 6,900 207,431
---------------
6,302,309
---------------
DISCRETIONARY RETAIL ( 2.6% )
American Eagle Outfitters, Inc. + .. 17,200 782,600
Building Materials Holding Corp. + . 5,500 63,250
CDW Computer Centers, Inc. + ....... 1,200 52,800
Circuit City Stores, Inc. .......... 1,700 158,100
Dayton Hudson Co. .................. 2,000 130,000
Dillards, Inc. ..................... 19,000 667,375
Federated Department Stores, Inc. + 15,600 825,825
Footstar, Inc. + ................... 1,200 44,625
Gap, Inc. .......................... 9,000 453,375
Hollywood Entertainment Corp. + .... 2,100 41,081
Kohl's Corp. + ..................... 500 38,594
Lowe's Co., Inc. ................... 10,900 617,894
Micro Warehouse, Inc. + ............ 500 8,938
Musicland Stores Corp. + ........... 20,100 178,387
Sonic Automotive, Inc. + ........... 3,000 41,250
Tandy Corp. ........................ 2,800 136,850
TJX Companies, Inc. ................ 11,200 373,100
Tractor Supply Co. + ............... 3,200 87,400
Transport World Entertainment Corp.
+.................................. 1,254 14,107
Zale Corp. + ....................... 12,500 500,000
---------------
5,215,551
---------------
DIVERSIFIED FINANCIAL SERVICES ( 0.6% )
Citigroup Inc. ..................... 13,050 619,875
Merry Land Properties, Inc. + ...... 660 3,259
Providian Financial Corp. .......... 4,950 462,825
Trammell Crow Co. + ................ 5,200 85,475
---------------
1,171,434
---------------
DRUGS ( 0.9% )
Bristol-Myers Squibb Co. ........... 9,700 683,244
Johnson & Johnson .................. 1,200 117,600
Medicis Pharmaceutical Corp. + ..... 2,500 63,437
Merck & Co., Inc. .................. 7,800 577,200
Roberts Pharmaceutical Corp. + ..... 12,400 300,700
---------------
1,742,181
---------------
ELECTRIC UTILITIES ( 0.2% )
Allegheny Energy, Inc. ............. 300 9,619
Florida Progress Corp. ............. 2,200 90,887
Mony Group Inc. + .................. 400 13,050
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
UNITED STATES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Niagara Mohawk Holdings Inc. + ..... 16,700 $ 268,244
---------------
381,800
---------------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.4% )
Rockwell International Corp. ....... 12,000 729,000
-------------
ELECTRONIC MEDIA ( 0.7% )
CBS Corp. + ........................ 11,800 512,562
Hollywood Park, Inc. + ............. 11,900 202,300
King World Production, Inc. + ...... 18,800 654,475
Pixar, Inc. + ...................... 1,100 47,438
---------------
1,416,775
---------------
FOOD AND BEVERAGE ( 0.2% )
Coors (Adolph) Co. ................. 1,400 69,300
Corn Products International, Inc. .. 2,300 70,006
IBP, Inc. .......................... 4,001 95,011
J&J Snack Foods Corp. + ............ 6,200 148,800
M&F Worldwide Corp. + .............. 13,800 109,538
---------------
492,655
---------------
FOOD AND DRUG RETAIL ( 0.9% )
Casey's General Stores, Inc. ....... 14,000 210,000
CVS Corp. .......................... 14,800 751,100
Safeway, Inc. + .................... 5,700 282,150
SUPERVALU, Inc. .................... 18,900 485,494
---------------
1,728,744
---------------
FOREST PRODUCTS AND BUILDING MATERIALS ( 1.1% )
Ball Corp. ......................... 400 16,900
Boise Cascade Corp. ................ 14,200 608,825
Centex Construction Products, Inc. . 2,800 95,550
Georgia-Pacific Group .............. 13,200 625,350
Georgia-Pacific Corp. (Timber Group) 3,900 98,475
Lafarge Corp. ...................... 2,500 88,594
Lone Star Industries, Inc. ......... 9,200 345,575
Owens Corning ...................... 700 24,062
Southdown, Inc. .................... 1,700 109,225
USG Corp. .......................... 1,100 61,600
Willamette Industries, Inc. ........ 200 9,213
---------------
2,083,369
---------------
GAS UTILITIES ( 0.6% )
Energen Corp. ...................... 16,200 301,725
Equitable Resources, Inc. .......... 2,100 79,275
Sempra Energy ...................... 32,967 745,878
---------------
1,126,878
---------------
HEALTH SERVICES ( 0.2% )
AmeriPath, Inc. + .................. 24,200 208,725
Lincare Holdings Inc. + ............ 6,100 152,500
PacifiCare Health Systems, Inc. .... 700 50,400
Professional Detailing, Inc. + ..... 2,200 51,700
---------------
463,325
---------------
HOUSING AND FURNISHINGS ( 1.2% )
Centex Corp. ....................... 5,600 210,350
</TABLE>
See Notes to Portfolio of Investments. 57
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
CROSSROADS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
HOUSING AND FURNISHINGS (CONTINUED)
Kaufman & Broad Home Corp. ......... 4,800 $ 119,400
Lennar Corp. ....................... 8,900 213,600
MDC Holdings, Inc. ................. 37,200 799,800
Pulte Corp. ........................ 7,400 170,662
Ryland Group, Inc. ................. 20,500 608,594
Toll Brothers, Inc. + .............. 2,500 53,594
Winsloew Furniture, Inc. + ......... 5,000 168,125
---------------
2,344,125
---------------
INDUSTRIAL SERVICES ( 0.0% )
Modtech, Inc. + .................... 1,361 15,481
Reckson Service Industries, Inc. + . 1,792 27,104
---------------
42,585
---------------
INSURANCE ( 0.7% )
Conseco, Inc. ...................... 4,700 143,056
Lincoln National Corp. ............. 14,600 763,763
Marsh & McLennan Co., Inc. ......... 5,000 377,500
---------------
1,284,319
---------------
INVESTMENT SERVICES ( 0.9% )
Lehman Brothers Holdings Inc. ...... 12,600 784,350
Morgan Stanley Dean Witter & Co. ... 9,200 943,000
---------------
1,727,350
---------------
MAJOR TELECOMMUNICATIONS ( 0.9% )
Bell Atlantic Corp. ................ 8,800 575,300
BellSouth Corp. .................... 20,700 970,312
CenturyTel, Inc. ................... 5,150 204,713
---------------
1,750,325
---------------
MISCELLANEOUS METALS ( 0.1% )
Titanium Metals Corp. .............. 11,500 127,938
-------------
OIL ( 1.1% )
Kerr-McGee Corp. ................... 2,300 115,431
Penn Virginia Corp. ................ 6,900 136,275
Pennzoil-Quaker State Co. + ........ 2,200 33,000
Sunoco Inc. ........................ 15,800 476,962
Swift Energy Co. + ................. 38,100 407,194
Tesoro Petroleum Corp. + ........... 55,100 878,156
Ultramar Diamond Shamrock Corp. .... 2,500 54,531
Union Pacific Resources Group Inc. . 1,400 22,838
---------------
2,124,387
---------------
OIL SERVICES ( 0.9% )
Atwood Oceanics, Inc. + ............ 3,700 115,625
Eagle Geophysical, Inc. + .......... 1,928 1,446
Helmerich & Payne, Inc. ............ 28,600 681,037
Pool Energy Services Co. + ......... 7,900 160,469
Pride International, Inc. + ........ 29,700 313,706
Seitel, Inc. + ..................... 30,000 485,625
Tidewater, Inc. .................... 900 27,450
Transocean Offshore, Inc. .......... 3,100 81,375
---------------
1,866,733
---------------
OTHER TELECOMMUNICATIONS ( 0.2% )
CapRock Communications Corp. + ..... 10,100 409,050
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
UNITED STATES (CONTINUED)
OTHER TELECOMMUNICATIONS (CONTINUED)
Citizens Utilities Co. + ........... 1,116 $ 12,416
---------------
421,466
---------------
PRINT MEDIA ( 0.9% )
Central Newspapers, Inc. ........... 900 33,863
Harte-Hanks, Inc. ................. 2,400 65,100
Knight-Ridder, Inc. ................ 24,400 1,340,475
McClatchy Co. ...................... 1,700 56,312
SEI Investments Co. ................ 1,400 123,550
Times Mirror Co. ................... 2,300 136,275
---------------
1,755,575
---------------
PRODUCER GOODS ( 1.0% )
FMC Corp. + ........................ 5,700 389,381
Ingersoll-Rand Co. ................. 8,200 529,925
Milacron, Inc. ..................... 3,400 62,900
RTI International Metals, Inc. + ... 9,800 143,937
Tecumseh Products Co. .............. 1,400 84,788
Transportation Technologies
Industries, Inc. + ................ 8,600 113,950
Tyco International Ltd. ............ 2,101 199,070
Varlen Corp. ....................... 12,875 521,437
---------------
2,045,388
---------------
REAL ESTATE INVESTMENT TRUSTS ( 23.1% )
AMB Property Corp. ................. 1,400 32,900
American Health Properties, Inc. ... 8,400 169,050
Apartment Investment & Management
Co................................. 37,100 1,586,025
Archstone Communities Trust ........ 19,800 434,362
Avalon Bay Communities, Inc. ....... 16,213 599,881
Beacon Capital + + ................. 25,900 398,213
Bedford Property Investors, Inc. ... 4,100 73,288
Boston Properties, Inc. ............ 36,600 1,313,025
Boykin Lodging Co. ................. 5,800 89,175
Bradley Real Estate, Inc. .......... 11,100 230,325
Brandywine Realty Trust ............ 27,600 546,825
Cabot Industrial Trust ............. 6,300 133,875
Camden Property Trust .............. 53,193 1,476,106
Capital Automotive REIT ............ 17,400 230,550
Captec Net Lease Realty, Inc. ...... 9,700 131,556
CBL & Associates Properties, Inc. .. 25,200 664,650
Chateau Communities, Inc. .......... 12,000 359,250
Colonial Properties Trust .......... 30,800 870,100
Crescent Real Estate Equities, Inc. 46,200 1,097,250
Criimi Mae, Inc. ................... 20,300 45,675
Developers Diversified Realty Corp. 56,900 945,962
Duke Realty Investments, Inc. ...... 79,900 1,802,744
Equity Office Properties Trust ..... 100,000 2,562,500
Equity One, Inc. ................... 6,300 62,213
Equity Residential Properties Trust 63,496 2,861,288
Essex Property Trust, Inc. ......... 24,900 880,837
FelCor Lodging Trust Inc. .......... 10,200 211,650
First Industrial Realty Trust, Inc. 18,300 502,106
58 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Glenborough Realty Trust, Inc. ..... 34,300 $600,250
Glimcher Realty Trust .............. 14,600 237,250
Golf Trust of America, Inc. ........ 23,500 574,281
Health Care REIT, Inc. ............. 17,400 404,550
Healthcare Realty Trust, Inc. ...... 23,291 489,111
Home Properties of New York, Inc. .. 28,500 787,312
Hospitality Properties Trust ....... 17,700 480,112
HRPT Properties Trust .............. 105,900 1,621,594
Imperial Credit Commercial Mortgage
Investment Corp. .................. 5,100 55,144
Innkeepers USA Trust ............... 17,600 176,000
Kilroy Realty Corp. ................ 15,300 372,938
Kimco Realty Corp. ................. 42,800 1,674,550
Koger Equity, Inc. ................. 16,500 304,219
Lexington Corporate Properties Trust 4,900 56,963
Liberty Property Trust ............. 92,900 2,310,887
Manufactured Home Communities, Inc. 10,000 260,000
Meditrust Companies Corp. .......... 44,700 583,894
Mid-America Apartment Communities,
Inc................................ 7,300 168,813
National Golf Properties, Inc. ..... 5,700 138,581
OMEGA Healthcare Investors, Inc. ... 41,900 1,081,544
Pan Pacific Retail Properties, Inc. 11,100 215,063
Parkway Properties, Inc. ........... 17,600 583,000
Post Properties, Inc. .............. 59,300 2,431,300
Prentiss Properties Trust .......... 23,000 540,500
Prime Retail, Inc. ................. 17,200 149,425
PS Business Parks, Inc. ............ 23,900 582,562
Public Storage, Inc. ............... 9,016 252,448
Ramco-Gerhenson Properties Trust ... 4,900 79,625
Reckson Associates Realty Corp. .... 23,900 561,650
Reckson Associates Realty Corp. .... 3,831 91,465
Regency Realty Corp. ............... 10,100 221,569
RFS Hotel Investors, Inc. .......... 8,600 108,038
Shurgard Storage Centers, Inc. ..... 6,900 187,163
Simon Property Group, Inc. ......... 47,700 1,210,387
Sovran Self Storage, Inc. .......... 9,600 258,600
Spieker Properties, Inc. ........... 23,600 917,450
Starwood Financial Trust ........... 216 13,392
Starwood Hotels & Resort Worldwide,
Inc................................ 58,900 1,800,131
Summit Properties Inc. ............. 22,200 438,450
Sun Communities, Inc. .............. 8,250 292,875
United Dominion Realty Trust, Inc. . 22,600 265,550
Vornado Operating Co. + ............ 1,365 10,920
Vornado Realty Trust ............... 27,300 964,031
Walden Residential Properties, Inc. 11,600 249,400
Weeks Corp. ........................ 4,800 146,400
Westfield America, Inc. ............ 13,700 206,356
---------------
45,467,124
---------------
SEMICONDUCTORS AND ELECTRONICS ( 2.5% )
Alpha Industries, Inc. + ........... 1,100 52,388
ANADIGICS, Inc. + .................. 1,800 66,600
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
UNITED STATES (CONTINUED)
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Applied Materials, Inc. + .......... 10,200 $ 753,525
Intel Corp. ........................ 23,200 1,380,400
Lattice Semiconductor Corp. + ...... 3,800 236,550
Level One Communications, Inc. + ... 6,700 327,881
Linear Technology Corp. ............ 800 53,800
Lucent Technologies, Inc. .......... 8,600 579,962
Park Electrochemical Corp. ......... 6,000 172,500
Plexus Corp. + ..................... 4,600 138,575
Sawtek, Inc. ....................... 1,800 82,575
Texas Instruments, Inc. ............ 6,500 942,500
Vitesse Semiconductor Corp. + ...... 1,300 87,669
---------------
4,874,925
---------------
SPECIALTY CHEMICALS ( 0.2% )
Albemarle Corp. .................... 2,900 67,063
Octel Corp. + ...................... 20,200 252,500
---------------
319,563
---------------
STEEL ( 0.0% )
Cleveland-Cliffs, Inc. ............. 1,200 38,850
-------------
SURFACE TRANSPORT ( 0.0% )
Covenant Transport, Inc. ........... 1,300 20,475
-------------
TEXTILES AND APPAREL ( 0.4% )
Authentic Fitness Corp. ............ 6,800 119,000
Jones Apparel Group, Inc. + ........ 2,400 82,350
K-Swiss Inc. ....................... 13,500 627,750
---------------
829,100
---------------
TOBACCO ( 0.1% )
Schweitzer-Mauduit International,
Inc................................ 8,700 130,500
---------------
TOTAL UNITED STATES (COST $105,452,531) 110,527,716
---------------
FOREIGN COMMON STOCKS ( 13.0% )
AUSTRALIA ( 0.6% )
Amcor Ltd.
(Forest Products and Building
Materials)......................... 61,900 344,079
Foster's Brewing Group Ltd.
(Food and Beverage) ............... 127,200 358,497
Telstra Corp. Ltd.
(Other Telecommunications) + ...... 101,100 579,310
---------------
TOTAL AUSTRALIA 1,281,886
---------------
CANADA ( 0.7% )
Alcan Aluminum Ltd. (Aluminum) ..... 21,100 673,881
BCE Inc. (Other Telecommunications) 6,600 319,945
Canadian National Railway Co.
(Surface Transport) ............... 3,000 201,000
Trizec Hahn Corp.
(Real Estate Investment Trusts) ... 10,400 211,900
---------------
TOTAL CANADA 1,406,726
---------------
DENMARK ( 0.6% )
Carli Gry International A/S
(Textiles and Apparel) ............ 14,800 312,792
</TABLE>
See Notes to Portfolio of Investments. 59
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
CROSSROADS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
<S> <C> <C>
DENMARK (CONTINUED)
Novo-Nordisk A/S (Drugs) ........... 3,400 $ 367,325
Tele Danmark A/S
(Other Telecommunications) ........ 8,600 423,303
---------------
TOTAL DENMARK 1,103,420
---------------
FINLAND ( 0.4% )
Nokia Corp., ADR
(Semiconductors and Electronics) .. 5,400 494,438
Pohjola Group Insurance Corp.
(Insurance)........................ 6,600 338,627
---------------
TOTAL FINLAND 833,065
---------------
FRANCE ( 1.3% )
Accor SA (Consumer Services) ....... 700 175,785
Alstom (Industrial Services) + ..... 6,600 207,601
Axa (Insurance) .................... 1,200 146,403
Carrefour SA (Food and Drug Retail) 1,200 176,352
Elf Aquitaine SA (Oil) ............. 2,250 330,197
Gemini Sogeti SA
(Data and Imaging Services) ....... 2,500 392,925
Groupe Danone (Food and Beverage) .. 1,200 309,390
Societe Generale (Banks and Thrifts) 1,200 211,499
STMicroelectronics (Semiconductors
and Electronics) .................. 4,200 279,812
Vivendi (Conglomerate and Aerospace) 3,927 318,121
---------------
TOTAL FRANCE 2,548,085
---------------
GERMANY ( 0.8% )
Bayericshe Hypo-und Vereinsb
(Banks and Thrifts) + ............. 3,650 237,148
DaimlerChrysler AG (Automotive) .... 2,158 186,946
Deutsche Pfandbrief & Hypothekenbank
AG (Banks and Thrifts) ............ 3,500 317,641
Douglas Holding AG (Discretionary
Retail)............................ 2,800 125,612
Fresenius Medical Care AG
(Biotech and Medical Products) .... 3,700 220,935
Gehe AG (Health Services) .......... 4,700 216,181
Mannesmann AG (Producer Goods) ..... 2,000 298,458
---------------
TOTAL GERMANY 1,602,921
---------------
HONG KONG ( 0.1% )
First Pacific Co. Ltd. (Producer
Goods)............................. 264,000 224,568
-------------
IRELAND ( 0.4% )
Allied Irish Banks (Banks and
Thrifts)........................... 18,118 238,235
CRH Plc
(Forest Products and Building
Materials)......................... 18,227 323,317
Waterford Wedgewood
(Housing and Furnishings) ......... 230,482 237,696
---------------
TOTAL IRELAND 799,248
---------------
ITALY ( 0.3% )
Banca del Nazionale Lavoro
(Banks and Thrifts) + ............. 70,400 221,441
Telecom Italia SpA
(Other Telecommunications) ........ 32,200 334,735
---------------
TOTAL ITALY 556,176
---------------
JAPAN ( 1.9% )
Fuji Heavy Industries Ltd.
(Automotive)....................... 35,000 270,076
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
JAPAN (CONTINUED)
Kita Kyushu Coca-Cola Bottling Co.
(Food and Beverage) ............... 7,400 $ 420,621
Meitec Corp. (Commercial Services) . 10,000 334,600
Mizuno Corp. (Consumer Specialties) 28,000 105,949
NTT Mobile Communication Network,
Inc. (Other Telecommunications) + . 250 338,731
Promise Co., Ltd. (Consumer Finance) 6,000 354,429
Seino Transportation Co. Ltd.
(Surface Transport) ............... 52,000 309,319
Shin-Etsu Chemical Co., Ltd.
(Specialty Chemicals) ............. 12,000 401,520
SoftBank Corp.
(Semiconductors and Electronics) .. 2,700 546,737
Sony Corp. (Housing and Furnishings) 3,800 409,699
Terumo Corp.
(Biotech and Medical Products) .... 14,000 311,715
---------------
TOTAL JAPAN 3,803,396
---------------
MEXICO ( 0.1% )
Telefonos de Mexico SA, ADR
(Other Telecommunications) ........ 2,700 218,194
-------------
NETHERLANDS ( 1.2% )
Akzo Nobel NV (Specialty Chemicals) 4,800 201,970
ING Groep NV
(Diversified Financial Services) .. 7,704 417,120
Koninklijke Ahold NV
(Food and Drug Retail) ............ 5,769 198,716
Nutreco Holding NV (Food and Drug
Retail)............................ 6,900 244,789
Royal Dutch Petroleum Co. (Oil) .... 7,900 475,975
United Pan-Europe Communications NV
(Electronic Media) + .............. 4,600 249,533
Vendex KBB N.V. (Discretionary
Retail)............................ 7,900 211,014
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ..................... 7,100 283,736
---------------
TOTAL NETHERLANDS 2,282,853
---------------
NEW ZEALAND ( 0.1% )
Fernz Corp. Ltd. (Specialty
Chemicals)......................... 43,100 124,699
-------------
NORWAY ( 0.8% )
Christiania Bank Og Kredkasse
(Banks and Thrifts) ............... 93,200 335,034
Merkantildata ASA
(Data and Imaging Services) ....... 21,700 209,489
Ocean Rig ASA (Oil Services) + ..... 1,189,950 358,232
Petroleum Geo-Services (Oil
Services) + ....................... 20,900 314,595
Tomra Systems ASA (Producer Goods) . 9,600 360,953
---------------
TOTAL NORWAY 1,578,303
---------------
SPAIN ( 0.3% )
Telefonica de Espana
(Major Telecommunications) ........ 4,300 207,140
Telefonica Publicidad e Informacion,
S.A. (Consumer Services) .......... 16,800 335,255
---------------
TOTAL SPAIN 542,395
---------------
60 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
---------------- ---------------
SWEDEN ( 0.7% )
Autoliv, Inc. (Automotive) ......... 5,000 $ 152,317
Electrolux AB (Housing and
Furnishings)....................... 7,500 157,022
Securitas AB (Commercial Services) . 29,000 433,192
Skandinaviska Enskilda Banken
(Banks and Thrifts) ............... 28,200 328,370
Svenska Cellulosa AB (Consumer
Products).......................... 13,500 349,330
---------------
TOTAL SWEDEN 1,420,231
---------------
SWITZERLAND ( 0.6% )
Fischer (Georg) AG (Producer Goods) 500 163,064
Roche Holding AG (Drugs) ........... 19 195,304
Sulzer AG (Conglomerate and
Aerospace) + ...................... 600 364,724
UBS AG (Banks and Thrifts) ......... 1,400 417,857
---------------
TOTAL SWITZERLAND 1,140,949
---------------
UNITED KINGDOM ( 2.1% )
BAA Plc (Commercial Services) ...... 40,700 391,348
Bank of Scotland (Banks and Thrifts) 23,450 310,500
British Telecom Plc
(Other Telecommunications) ........ 31,425 526,559
Cable & Wireless Plc
(Other Telecommunications) + ...... 15,000 191,166
Dixons Group Plc (Discretionary
Retail)............................ 9,800 183,056
General Electric Co. Plc
(Conglomerate and Aerospace) ...... 19,700 200,914
Glaxo Wellcome Plc (Drugs) ......... 132 3,668
Granada Group Plc (Electronic Media)
+.................................. 15,327 284,363
Hanson Plc (Conglomerate and
Aerospace)......................... 21,200 188,308
Kingfisher Plc (Discretionary
Retail)............................ 26,563 305,660
MEPC Plc (Diversified Financial
Services).......................... 22,700 184,635
National Westminster Bank Plc
(Banks and Thrifts) ............... 11,173 236,881
SmithKline Beecham Plc (Drugs) ..... 24,079 312,945
Vodafone Group Plc
(Other Telecommunications) ........ 26,377 519,726
WPP Group Plc (Commercial Services) 38,100 322,206
---------------
TOTAL UNITED KINGDOM 4,161,935
---------------
TOTAL FOREIGN COMMON STOCKS (COST $22,809,742) 25,629,050
---------------
TOTAL COMMON STOCKS (COST $128,262,273) 136,156,766
---------------
PRINCIPAL
AMOUNT
----------------
LONG-TERM BONDS AND NOTES ( 27.9% )
CORPORATE BONDS ( 7.2% )
BankAmerica Corp.,7.88%,12/01/02 ... $ 1,000,000 1,047,520
Chemical Master Credit Card Trust,
7.09%,02/15/09 .................... 640,000 652,000
Conoco Inc.,5.90%,04/15/04 ......... 330,000 322,007
Enron Oil & Gas Corp.,6.50%,12/01/07 800,000 762,792
Fifth Third Banc,6.75%,07/15/05 .... 250,000 246,958
Ford Motor Credit
Corp.,6.63%,10/01/28............... 1,070,000 963,193
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ---------------
CORPORATE BONDS (CONTINUED)
General Motors Acceptance Corp.,
6.18%,05/15/33 .................... $ 2,200,000 $ 2,085,259
GTE Corp.,9.38%,12/01/00 ........... 900,000 940,644
Guidant Corp.,6.15%,02/15/06 ....... 700,000 647,745
Heller Financial,
Inc.,6.35%,08/15/99 ++ ............ 200,000 200,102
Household Finance
Corp.,5.88%,09/25/04............... 625,000 601,444
IMC Global, Inc.,7.63%,11/01/05 .... 850,000 861,619
Korean Development
Bank,7.13%,09/17/01................ 700,000 692,328
National Australia
Bank,6.40%,12/10/07................ 1,000,000 983,710
Norwest Financial,
Inc.,5.38%,09/30/03................ 625,000 599,800
Tenet Healthcare
Corp.,7.88%,01/15/03............... 750,000 735,390
Tyco International Group SA,
6.13%,01/15/09 .................... 1,200,000 1,117,728
USA Waste Management, Inc.,
6.13%,07/15/01 .................... 625,000 621,256
---------------
TOTAL CORPORATE BONDS (COST $14,637,069) 14,081,495
---------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 7.9% )
Federal National Mortgage
Association,6.00%,06/01/28 -
02/01/29........................... 5,061,113 4,759,015
Federal National Mortgage
Association - Convertible
Loan,6.50%,02/01/28................ 1,809,683 1,752,645
Government National Mortgage
Association,6.50%,01/15/29......... 3,097,569 2,989,845
Government National Mortgage
Association,7.00%,12/15/27 -
02/15/28........................... 4,246,476 4,201,547
Government National Mortgage
Association,7.50%,12/15/23......... 1,354,251 1,371,059
Government National Mortgage
Association,8.00%,07/15/24......... 528,490 543,897
---------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES 15,618,008
(COST $16,185,066)
---------------
U.S. GOVERNMENT OBLIGATIONS ( 12.8% )
U.S. Treasury Bond,5.25%,11/15/28 .. 595,000 527,414
U.S. Treasury Bond,7.25%,08/15/04 .. 250,000 265,938
U.S. Treasury Note,
5.25%,08/15/03 - 05/15/04.......... 12,256,00 12,046,891
U.S. Treasury Note,5.38%,06/30/03 .. 950,000 938,571
U.S. Treasury Note,
5.50%,03/31/03 - 05/15/09.......... 8,580,000 8,465,145
U.S. Treasury Note,
6.50%,05/31/02 - 10/15/06.......... 2,760,000 2,845,194
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $24,954,212) 25,089,153
---------------
TOTAL LONG-TERM BONDS AND NOTES (COST $55,776,347) 54,788,656
---------------
SHORT-TERM INVESTMENTS ( 1.6% )
Sheffield Receivables Corp.,
5.75%,07/01/99 ++ ................. 1,866,000 1,866,000
U.S. Treasury Bill,4.43%,08/19/99 @ 100,000 99,397
</TABLE>
See Notes to Portfolio of Investmets. 61
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
CROSSROADS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------------- ---------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
U.S. Treasury Bill,4.48%,08/19/99 @ $ 1,100,000 $ 1,093,457
---------------
TOTAL SHORT-TERM INVESTMENTS (COST $3,058,854) 3,058,854
---------------
TOTAL INVESTMENTS (COST $187,097,474)(a) 194,004,276
OTHER ASSETS LESS LIABILITIES 2,527,673
---------------
TOTAL NET ASSETS $196,531,949
---------------
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$188,148,922. Unrealized gains and losses, based on identified tax cost at
June 30, 1999, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains............................ $15,344,655
Unrealized losses........................... (9,489,301)
---------------------
Net unrealized gain........................ $ 5,855,354
=====================
</TABLE>
Information concerning open futures contracts at June 30, 1999 is shown below:
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------- ------------ ----------------
LONG CONTRACTS
- ----------------------
<S> <C> <C> <C> <C>
DAX Index Futures..... 14 $ 1,990,136 Sept 99 $ (44,165)
CAC 40 Index Futures.. 21 994,609 Sept 99 (6,012)
FTSE 100 Index Futures 6 630,904 Sept 99 (26,356)
Long-Term EURO
Bonds Futures......... 11 1,279,647 Sept 99 (21,441)
Swiss Government
Bond Futures.......... 13 1,076,676 Sept 99 (18,732)
TOPIX Index Futures... 16 1,829,933 Sept 99 37,302
----------- -----------
$7,801,905 $ (79,404)
=========== ===========
</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, 1999.
Information concerning restricted securities at June 30, 1999 is shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
-------------------- ---------------------
<S> <C> <C>
Beacon Capital ................... 03/17/98 $ 518,000
Heller Financial, Inc. ........... 08/15/97 200,011
Sheffield Receivables Corp. ...... 06/29/99 1,866,000
----------
$2,584,011
==========
</TABLE>
The market value of the total restricted securities above represent 1.25% of the
total net assets.
Category percentages are based on net assets.
62 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
LEGACY
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
<S> <C> <C>
COMMON STOCKS ( 49.4% )
UNITED STATES ( 39.4% )
AIR TRANSPORT ( 0.3% )
Alaska Air Group, Inc. + ............ 700 $ 29,225
Delta Air Lines, Inc. ............... 5,700 328,463
---------------
357,688
---------------
AUTO PARTS AND HARDWARE ( 0.4% )
Black & Decker Corp. ................ 2,400 151,500
Cooper Tire & Rubber Co. ............ 14,500 342,562
Standard Motor Products, Inc. ....... 500 12,250
---------------
506,312
---------------
AUTOMOTIVE ( 0.3% )
Delphi Automotive Systems Corp. ..... 1,608 29,840
Ford Motor Co. ...................... 4,000 225,750
General Motors Corp. + .............. 2,300 151,800
---------------
407,390
---------------
BANKS AND THRIFTS ( 1.2% )
Alliance Bancorp .................... 900 20,925
Chase Manhattan Corp. ............... 5,500 476,437
Dime Bancorp, Inc. .................. 500 10,063
Golden State Bancorp, Inc. .......... 11,400 250,800
Golden West Financial Corp. ......... 2,200 215,600
J.P. Morgan & Co. ................... 1,500 210,750
Republic New York Corp. ............. 6,300 429,581
---------------
1,614,156
---------------
BIOTECH AND MEDICAL PRODUCTS ( 1.6% )
Alpharma, Inc. ...................... 7,200 256,050
Amgen, Inc. + ....................... 5,300 322,637
Bio-Rad Labs, Inc. + ................ 8,400 219,450
Copley Pharmaceutical, Inc. + ....... 2,700 27,675
Datascope Corp. + ................... 800 25,700
Empi Inc. + ......................... 1,000 24,375
Genzyme Corp. + ..................... 500 24,250
Genzyme Surgical Products Corp. ..... 90 394
Gliatech Inc. + ..................... 3,200 81,600
Hanger Orthopedic Group, Inc. + ..... 6,500 92,219
IDEC Pharmaceuticals Corp. + ........ 600 46,238
Mallinckrodt Inc. ................... 7,300 265,537
Molecular Devices Corp. + ........... 2,600 97,500
OEC Medical Systems, Inc. + ......... 8,500 208,250
Osteotech, Inc. + ................... 1,900 54,625
VISX, Inc. + ........................ 3,000 237,563
Xomed Surgical Products, Inc. + ..... 2,500 121,719
---------------
2,105,782
---------------
CHEMICALS ( 0.3% )
Dow Chemical Co. .................... 3,000 380,625
-------------
COMMERCIAL SERVICES ( 0.4% )
CDI Corp. + ......................... 1,400 47,688
Franklin Covey Co. + ................ 7,500 55,312
Galileo International, Inc. ......... 300 16,031
Mail-Well, Inc. + ................... 1,700 27,519
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
UNITED STATES (CONTINUED)
COMMERCIAL SERVICES (CONTINUED)
Modis Professional Services + ....... 2,100 $ 28,875
Ogden Corp. ......................... 1,500 40,406
Valassis Communications, Inc. + ..... 5,800 212,425
World Color Press, Inc. + ........... 6,500 178,750
---------------
607,006
---------------
COMPUTERS ( 1.0% )
Apple Computer, Inc. + .............. 9,700 449,231
Hewlett Packard Co. ................. 7,100 713,550
International Business Machines Corp. 1,100 142,175
Melita International Corp. + ........ 6,200 83,700
---------------
1,388,656
---------------
CONGLOMERATE AND AEROSPACE ( 0.4% )
Cordant Technologies, Inc. .......... 1,200 54,225
Ducommun, Inc. + .................... 6,202 74,239
Kellstrom Industries, Inc. + ........ 4,400 80,300
Northrop Grumman Corp. .............. 4,100 271,881
---------------
480,645
---------------
CONSUMER FINANCE ( 0.2% )
Federal Home Loan Mortgage Corp. .... 1,300 75,400
Federal National Mortgage Association 2,101 143,592
---------------
218,992
---------------
CONSUMER PRODUCTS ( 0.3% )
Church & Dwight Co., Inc. ........... 1,100 47,850
Procter & Gamble Co. ................ 3,900 348,075
---------------
395,925
---------------
CONSUMER SERVICES ( 0.6% )
Argosy Gaming Co. + ................. 1,500 13,219
Extended Stay America, Inc. + ....... 22,000 264,000
Foodmaker, Inc. + ................... 6,700 190,112
Harrah's Entertainment, Inc. + ...... 900 19,800
Lakes Gaming, Inc. + ................ 3,800 41,563
National R.V. Holdings, Inc. + ...... 5,350 129,737
Park Place Entertainment Corp. + .... 15,600 151,125
Tricon Global Restaurants, Inc. + ... 1,000 54,125
---------------
863,681
---------------
CONSUMER SPECIALTIES ( 0.5% )
Brunswick Corp. ..................... 14,900 415,338
JAKKS Pacific, Inc. + ............... 6,900 205,706
Russ Berrie & Co., Inc. ............. 2,400 59,400
---------------
680,444
---------------
DATA AND IMAGING SERVICES ( 2.0% )
Adobe Systems, Inc. ................. 3,200 262,900
Advanced Digital Information Corp. + 1,500 60,750
America Online, Inc. ................ 500 55,250
Avant! Corp. + ...................... 700 8,838
Computer Associates International,
Inc................................. 10,200 561,000
Datastream Systems, Inc. + ......... 1,700 27,200
</TABLE>
See Notes to Portfolio of Investments. 63
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
LEGACY (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
International Telecommunications Data
Systems, Inc. + .................... 1,600 $ 25,600
Microsoft Corp. + ................... 10,700 965,006
Oracle Corp. + ...................... 4,000 148,500
Progress Software Corp. + ........... 3,200 90,400
RealNetworks, Inc. + ................ 300 20,662
Remedy Corp. + ...................... 3,000 80,625
SERENA Software, Inc. + ............. 10,100 135,719
WebTrends Corp. + ................... 2,300 106,087
Xircom, Inc. + ...................... 3,500 105,219
---------------
2,653,756
---------------
DISCRETIONARY RETAIL ( 1.8% )
American Eagle Outfitters, Inc. + ... 8,200 373,100
Building Materials Holding Corp. + .. 8,100 93,150
Cato Corp. (The) .................... 4,000 46,500
CDW Computer Centers, Inc. + ........ 800 35,200
Dayton Hudson Co. ................... 1,100 71,500
Federated Department Stores, Inc. + . 8,500 449,969
Footstar, Inc. + .................... 700 26,031
Gap, Inc. ........................... 4,725 238,022
Kohl's Corp. + ...................... 200 15,438
Lowe's Co., Inc. .................... 5,500 311,781
Micro Warehouse, Inc. + ............. 200 3,575
Musicland Stores Corp. + ............ 14,400 127,800
Sonic Automotive, Inc. + ............ 1,500 20,625
Tandy Corp. ......................... 1,400 68,425
TJX Companies, Inc. ................. 8,400 279,825
Tractor Supply Co. + ................ 1,600 43,700
Zale Corp. + ........................ 6,200 248,000
---------------
2,452,641
---------------
DIVERSIFIED FINANCIAL SERVICES ( 0.4% )
Citigroup Inc. ...................... 7,050 334,875
Merry Land Properties, Inc. + ....... 365 1,802
Providian Financial Corp. ........... 2,250 210,375
Trammell Crow Co. + ................. 2,100 34,519
---------------
581,571
---------------
DRUGS ( 0.3% )
Bristol-Myers Squibb Co. ............ 1,200 84,525
Johnson & Johnson ................... 600 58,800
Medicis Pharmaceutical Corp. + ...... 1,300 32,987
Merck & Co., Inc. ................... 2,800 207,200
Roberts Pharmaceutical Corp. + ...... 3,000 72,750
---------------
456,262
---------------
ELECTRIC UTILITIES ( 0.1% )
Allegheny Energy, Inc. .............. 200 6,413
Florida Progress Corp. .............. 600 24,788
Mony Group Inc. + ................... 200 6,525
Niagara Mohawk Holdings Inc. + ...... 9,000 144,562
---------------
182,288
---------------
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
UNITED STATES (CONTINUED)
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.2% )
Rockwell International Corp. ........ 4,900 $ 297,675
-------------
ELECTRONIC MEDIA ( 0.8% )
CBS Corp. + ......................... 7,600 330,125
Hollywood Park, Inc. + .............. 8,000 136,000
King World Production, Inc. + ....... 16,200 563,962
Pixar, Inc. + ....................... 600 25,875
---------------
1,055,962
---------------
FOOD AND BEVERAGE ( 0.3% )
Corn Products International, Inc. ... 1,200 36,525
IBP, Inc. ........................... 1,300 30,875
J&J Snack Foods Corp. + ............. 8,800 211,200
M&F Worldwide Corp. + ............... 19,800 157,162
Pilgrim's Pride Corp. ............... 900 27,000
---------------
462,762
---------------
FOOD AND DRUG RETAIL ( 0.6% )
Casey's General Stores, Inc. ........ 6,200 93,000
CVS Corp. ........................... 7,800 395,850
SUPERVALU, Inc. ..................... 13,300 341,644
---------------
830,494
---------------
FOREST PRODUCTS AND BUILDING MATERIALS ( 0.6% )
Boise Cascade Corp. ................. 6,500 278,687
Centex Construction Products, Inc. .. 900 30,713
Georgia-Pacific Group ............... 2,000 94,750
Georgia-Pacific (Timber Group) ...... 2,200 55,550
Lafarge Corp. ....................... 1,400 49,613
Lone Star Industries, Inc. .......... 5,000 187,812
Southdown, Inc. ..................... 1,000 64,250
USG Corp. ........................... 600 33,600
Willamette Industries, Inc. ......... 100 4,606
---------------
799,581
---------------
GAS UTILITIES ( 0.3% )
Energen Corp. ....................... 7,400 137,825
Equitable Resources, Inc. ........... 1,000 37,750
Sempra Energy ....................... 11,308 255,844
---------------
431,419
---------------
HEALTH SERVICES ( 0.1% )
Lincare Holdings Inc. + ............. 5,700 142,500
PacifiCare Health Systems, Inc. ..... 400 28,800
Professional Detailing, Inc. + ...... 1,100 25,850
---------------
197,150
---------------
HOUSING AND FURNISHINGS ( 0.8% )
Centex Corp. ........................ 2,400 90,150
Lennar Corp. ........................ 4,700 112,800
MDC Holdings, Inc. .................. 9,200 197,800
Pulte Corp. ......................... 3,200 73,800
Ryland Group, Inc. .................. 10,100 299,844
Toll Brothers, Inc. + ............... 1,200 25,725
Winsloew Furniture, Inc. + .......... 8,100 272,362
---------------
1,072,481
---------------
64 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
UNITED STATES (CONTINUED)
INDUSTRIAL SERVICES ( 0.0% )
Modtech, Inc. + ..................... 595 $ 6,768
Reckson Service Industries, Inc. + .. 1,312 19,844
---------------
26,612
---------------
INSURANCE ( 0.5% )
Conseco, Inc. ....................... 1,200 36,525
Lincoln National Corp. .............. 7,200 376,650
Marsh & McLennan Co., Inc. .......... 4,200 317,100
---------------
730,275
---------------
INVESTMENT SERVICES ( 0.1% )
Morgan Stanley Dean Witter & Co. .... 1,600 164,000
-------------
MAJOR TELECOMMUNICATIONS ( 0.4% )
Bell Atlantic Corp. ................. 2,000 130,750
BellSouth Corp. ..................... 8,400 393,750
CenturyTel, Inc. .................... 675 26,831
---------------
551,331
---------------
MISCELLANEOUS METALS ( 0.1% )
Titanium Metals Corp. ............... 6,600 73,425
-------------
OIL ( 0.8% )
Belco Oil & Gas Corp. ............... 12,000 83,250
Kerr-McGee Corp. .................... 1,200 60,225
Penn Virginia Corp. ................. 13,900 274,525
Pennzoil-Quaker State Co. + ......... 1,200 18,000
Sunoco Inc. ......................... 7,100 214,331
Tesoro Petroleum Corp. + ............ 29,000 462,188
Ultramar Diamond Shamrock Corp. ..... 1,300 28,356
Union Pacific Resources Group Inc. .. 700 11,419
---------------
1,152,294
---------------
OIL SERVICES ( 0.6% )
Atwood Oceanics, Inc. + ............. 1,200 37,500
Eagle Geophysical, Inc. + ........... 726 545
Helmerich & Payne, Inc. ............. 14,600 347,662
Pool Energy Services Co. + .......... 4,100 83,281
Pride International, Inc. + ......... 14,400 152,100
Seitel, Inc. + ...................... 11,300 182,919
Transocean Offshore, Inc. ........... 1,700 44,625
---------------
848,632
---------------
OTHER TELECOMMUNICATIONS ( 0.2% )
CapRock Communications Corp. + ...... 5,000 202,500
Cincinnati Bell Inc. ................ 400 9,975
Citizens Utilities Co. + ............ 608 6,764
---------------
219,239
---------------
PRINT MEDIA ( 0.9% )
Central Newspapers, Inc. ............ 500 18,812
Harte-Hanks, Inc. .................. 1,200 32,550
Knight-Ridder, Inc. ................. 12,900 708,694
McClatchy Co. ....................... 300 9,938
Meredith Corp. ...................... 300 10,387
SEI Investments Co. ................. 500 44,125
Times Mirror Co. .................... 6,300 373,275
---------------
1,197,781
---------------
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
UNITED STATES (CONTINUED)
PRODUCER GOODS ( 1.0% )
FMC Corp. + ......................... 3,700 $ 252,756
Ingersoll-Rand Co. .................. 3,900 252,038
Milacron, Inc. ...................... 5,300 98,050
RTI International Metals, Inc. + .... 7,100 104,281
Tecumseh Products Co. ............... 900 54,506
Transportation Technologies
Industries, Inc. + ................. 4,700 62,275
Tyco International Ltd. ............. 3,426 324,614
Varlen Corp. ........................ 5,750 232,875
---------------
1,381,395
---------------
REAL ESTATE INVESTMENT TRUSTS ( 16.8% )
AMB Property Corp. .................. 600 14,100
American Health Properties, Inc. .... 4,300 86,538
Apartment Investment & Management Co. 23,400 1,000,350
Archstone Communities Trust ......... 11,000 241,313
Avalon Bay Communities, Inc. ........ 9,401 347,837
Beacon Capital + + .................. 11,300 173,738
Bedford Property Investors, Inc. .... 1,600 28,600
Boston Properties, Inc. ............. 19,800 710,325
Brandywine Realty Trust ............. 18,500 366,531
Cabot Industrial Trust .............. 2,600 55,250
Camden Property Trust ............... 28,310 785,602
Capital Automotive REIT ............. 8,900 117,925
Captec Net Lease Realty, Inc. ....... 4,400 59,675
CBL & Associates Properties, Inc. ... 39,700 1,047,087
Colonial Properties Trust ........... 13,400 378,550
Crescent Real Estate Equities, Inc. . 25,100 596,125
Criimi Mae, Inc. .................... 41,300 92,925
Developers Diversified Realty Corp. . 28,300 470,487
Duke Realty Investments, Inc. ....... 6,600 148,913
Equity Office Properties Trust ...... 55,300 1,417,062
Equity One, Inc. .................... 3,200 31,600
Equity Residential Properties Trust . 30,919 1,393,287
Essex Property Trust, Inc. .......... 7,700 272,387
First Industrial Realty Trust, Inc. . 10,000 274,375
Glenborough Realty Trust, Inc. ...... 15,100 264,250
Glimcher Realty Trust ............... 7,800 126,750
Golf Trust of America, Inc. ......... 7,900 193,056
Health Care REIT, Inc. .............. 34,100 792,825
Healthcare Realty Trust, Inc. ....... 6,592 138,432
Home Properties of New York, Inc. ... 13,800 381,225
Hospitality Properties Trust ........ 9,300 252,262
HRPT Properties Trust ............... 56,200 860,562
Imperial Credit Commercial Mortgage
Investment Corp. ................... 1,600 17,300
Innkeepers USA Trust ................ 8,400 84,000
Kilroy Realty Corp. ................. 6,700 163,313
Kimco Realty Corp. .................. 22,900 895,962
Koger Equity, Inc. .................. 7,500 138,281
Lexington Corporate Properties Trust 2,000 23,250
Liberty Property Trust .............. 48,800 1,213,900
Manufactured Home Communities, Inc. . 5,400 140,400
</TABLE>
See Notes to Portfolio of Investments. 65
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
LEGACY (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
<S> <C> <C>
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Meditrust Companies Corp. ........... 5,000 $ 65,313
OMEGA Healthcare Investors, Inc. .... 10,200 263,287
Pan Pacific Retail Properties, Inc. . 5,700 110,438
Parkway Properties, Inc. ............ 7,500 248,438
Post Properties, Inc. ............... 30,200 1,238,200
Prentiss Properties Trust ........... 12,400 291,400
Prime Retail, Inc. .................. 9,400 81,663
PS Business Parks, Inc. ............. 21,400 521,625
Public Storage, Inc. ................ 15,166 424,648
Ramco-Gerhenson Properties Trust .... 1,300 21,125
Reckson Associates Realty Corp. ..... 13,000 305,500
Reckson Associates Realty Corp. ..... 2,084 49,756
Regency Realty Corp. ................ 11,500 252,281
RFS Hotel Investors, Inc. ........... 4,500 56,531
Shurgard Storage Centers, Inc. ...... 4,900 132,913
Simon Property Group, Inc. .......... 26,600 674,975
Sovran Self Storage, Inc. ........... 6,200 167,013
Starwood Financial Trust ............ 116 7,192
Starwood Hotels & Resort Worldwide,
Inc................................. 31,200 953,550
Summit Properties Inc. .............. 11,400 225,150
Sun Communities, Inc. ............... 3,600 127,800
Vornado Operating Co. + ............. 715 5,720
Vornado Realty Trust ................ 14,300 504,969
Weeks Corp. ......................... 8,100 247,050
Westfield America, Inc. ............. 7,100 106,944
---------------
22,879,831
---------------
SEMICONDUCTORS AND ELECTRONICS ( 1.7% )
Alpha Industries, Inc. + ............ 500 23,813
ANADIGICS, Inc. + ................... 900 33,300
Applied Materials, Inc. + ........... 5,400 398,925
Cybex Computer Products Corp. + ..... 3,200 89,200
Intel Corp. ......................... 11,600 690,200
Lattice Semiconductor Corp. + ....... 2,900 180,525
Level One Communications, Inc. + .... 3,600 176,175
Lucent Technologies, Inc. ........... 3,000 202,312
MIPS Technologies, Inc. + ........... 400 19,175
Plexus Corp. + ...................... 500 15,063
Power Integrations, Inc. + .......... 900 65,812
Sawtek, Inc. ........................ 900 41,288
Texas Instruments, Inc. ............. 2,100 304,500
Vitesse Semiconductor Corp. + ....... 700 47,206
---------------
2,287,494
---------------
SPECIALTY CHEMICALS ( 0.1% )
Albemarle Corp. ..................... 1,900 43,938
Octel Corp. + ....................... 1,800 22,500
---------------
66,438
---------------
STEEL ( 0.0% )
Cleveland-Cliffs, Inc. .............. 600 19,425
-------------
SURFACE TRANSPORT ( 0.0% )
Covenant Transport, Inc. ............ 700 11,025
-------------
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
UNITED STATES (CONTINUED)
TEXTILES AND APPAREL ( 0.3% )
Authentic Fitness Corp. ............. 3,300 $ 57,750
Jones Apparel Group, Inc. + ......... 1,400 48,037
K-Swiss Inc. ........................ 7,000 325,500
Springs Industries, Inc. ............ 600 26,175
---------------
457,462
---------------
TOBACCO ( 0.1% )
Schweitzer-Mauduit International,
Inc................................. 4,400 66,000
---------------
TOTAL UNITED STATES (COST 53,614,003
$51,245,963)
---------------
FOREIGN COMMON STOCKS ( 10.1% )
AUSTRALIA ( 0.6% )
Amcor Ltd.
(Forest Products and Building
Materials).......................... 32,600 181,212
Foster's Brewing Group Ltd.
(Food and Beverage) ................ 60,500 170,511
Telstra Corp. Ltd.
(Other Telecommunications) + ....... 71,500 409,700
---------------
TOTAL AUSTRALIA 761,423
---------------
CANADA ( 0.3% )
BCE Inc. (Other Telecommunications) . 3,900 189,058
Canadian National Railway Co.
(Surface Transport) ................ 1,400 93,800
Trizec Hahn Corp.
(Real Estate Investment Trusts) .... 5,500 112,063
---------------
TOTAL CANADA 394,921
---------------
DENMARK ( 0.4% )
Carli Gry International A/S
(Textiles and Apparel) ............. 8,800 185,984
Novo-Nordisk A/S (Drugs) ............ 1,600 172,859
Tele Danmark A/S
(Other Telecommunications) ......... 4,100 201,808
---------------
TOTAL DENMARK 560,651
---------------
FINLAND ( 0.4% )
Nokia Corp., ADR
(Semiconductors and Electronics) ... 4,000 366,250
Pohjola Group Insurance Corp.
(Insurance)......................... 3,900 200,098
---------------
TOTAL FINLAND 566,348
---------------
FRANCE ( 1.1% )
Accor SA (Consumer Services) ........ 500 125,561
Alstom (Industrial Services) + ...... 4,000 125,819
Axa (Insurance) ..................... 800 97,602
Carrefour SA (Food and Drug Retail) . 600 88,176
Elf Aquitaine SA (Oil) .............. 1,100 161,429
Gemini Sogeti SA
(Data and Imaging Services) ........ 1,200 188,604
Groupe Danone (Food and Beverage) ... 600 154,695
Societe Generale (Banks and Thrifts) 1,100 193,874
STMicroelectronics
(Semiconductors and Electronics) ... 2,600 173,217
66 See Notes to Portfolio of Investments.
<PAGE>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
FRANCE (CONTINUED)
Vivendi (Conglomerate and Aerospace) 2,290 $ 185,510
---------------
TOTAL FRANCE 1,494,487
---------------
GERMANY ( 0.7% )
Bayericshe Hypo-und Vereinsb
(Banks and Thrifts) + .............. 2,100 136,441
DaimlerChrysler AG (Automotive) ..... 1,284 111,232
Deutsche Pfandbrief & Hypothekenbank
AG (Banks and Thrifts) ............. 2,000 181,509
Douglas Holding AG (Discretionary
Retail)............................. 2,500 112,154
Fresenius Medical Care AG
(Biotech and Medical Products) ..... 2,300 137,338
Gehe AG (Health Services) ........... 2,900 133,388
Mannesmann AG (Producer Goods) ...... 1,000 149,229
---------------
TOTAL GERMANY 961,291
---------------
HONG KONG ( 0.1% )
First Pacific Co. Ltd. (Producer
Goods).............................. 158,000 134,400
-------------
IRELAND ( 0.4% )
Allied Irish Banks (Banks and
Thrifts)............................ 12,047 158,407
CRH Plc
(Forest Products and Building
Materials).......................... 12,152 215,557
Waterford Wedgewood
(Housing and Furnishings) .......... 145,895 150,461
---------------
TOTAL IRELAND 524,425
---------------
ITALY ( 0.2% )
Banca del Nazionale Lavoro
(Banks and Thrifts) + .............. 42,800 134,626
Telecom Italia SpA
(Other Telecommunications) ......... 18,500 192,317
---------------
TOTAL ITALY 326,943
---------------
JAPAN ( 1.4% )
Fuji Heavy Industries Ltd.
(Automotive)........................ 20,000 154,329
Meitec Corp. (Commercial Services) .. 5,000 167,300
Mizuno Corp. (Consumer Specialties) . 13,000 49,190
NTT Mobile Communication Network,
Inc. (Other Telecommunications) + .. 150 203,239
Promise Co., Ltd. (Consumer Finance) 3,000 177,214
Seino Transportation Co. Ltd.
(Surface Transport) ................ 27,000 160,608
Shin-Etsu Chemical Co., Ltd.
(Specialty Chemicals) .............. 6,000 200,760
SoftBank Corp.
(Semiconductors and Electronics) ... 1,900 384,741
Sony Corp. (Housing and Furnishings) 1,100 118,597
Terumo Corp. (Biotech and Medical
Products)........................... 11,000 244,919
---------------
TOTAL JAPAN 1,860,897
---------------
MEXICO ( 0.1% )
Telefonos de Mexico SA, ADR
(Other Telecommunications) ......... 1,600 129,300
-------------
NETHERLANDS ( 0.9% )
Akzo Nobel NV (Specialty Chemicals) . 2,800 117,816
ING Groep NV
(Diversified Financial Services) ... 4,458 241,371
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
NETHERLANDS (CONTINUED)
Koninklijke Ahold NV
(Food and Drug Retail) ............. 3,399 $ 117,080
Nutreco Holding NV (Food and Drug
Retail)............................. 4,200 149,002
Royal Dutch Petroleum Co. (Oil) ..... 4,100 247,025
United Pan-Europe Communications NV
(Electronic Media) + ............... 2,700 146,465
Vendex KBB N.V. (Discretionary
Retail)............................. 4,300 114,856
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ...................... 3,200 127,881
---------------
TOTAL NETHERLANDS 1,261,496
---------------
NEW ZEALAND ( 0.0% )
Fernz Corp. Ltd. (Specialty
Chemicals).......................... 19,300 55,840
-------------
NORWAY ( 0.6% )
Christiania Bank Og Kredkasse
(Banks and Thrifts) ................ 44,500 159,968
Merkantildata ASA
(Data and Imaging Services) ........ 11,500 111,019
Ocean Rig ASA (Oil Services) + ...... 581,450 175,044
Petroleum Geo-Services (Oil Services)
+................................... 10,000 150,524
Tomra Systems ASA (Producer Goods) .. 4,600 172,957
---------------
TOTAL NORWAY 769,512
---------------
SPAIN ( 0.2% )
Telefonica de Espana
(Major Telecommunications) ......... 2,600 125,248
Telefonica Publicidad e Informacion,
S.A. (Consumer Services) ........... 8,000 159,645
---------------
TOTAL SPAIN 284,893
---------------
SWEDEN ( 0.4% )
Autoliv, Inc. (Automotive) .......... 2,900 88,344
Electrolux AB (Housing and
Furnishings)........................ 4,400 92,120
Securitas AB (Commercial Services) .. 12,200 182,239
Skandinaviska Enskilda Banken
(Banks and Thrifts) ................ 10,500 122,265
Svenska Cellulosa AB (Consumer
Products)........................... 4,100 106,093
---------------
TOTAL SWEDEN 591,061
---------------
SWITZERLAND ( 0.5% )
Fischer (Georg) AG (Producer Goods) . 300 97,839
Roche Holding AG (Drugs) ............ 11 113,071
Sulzer AG (Conglomerate and
Aerospace) + ....................... 300 182,362
UBS AG (Banks and Thrifts) .......... 700 208,928
---------------
TOTAL SWITZERLAND 602,200
---------------
UNITED KINGDOM ( 1.8% )
BAA Plc (Commercial Services) ....... 24,600 236,540
Bank of Scotland (Banks and Thrifts) 12,819 169,735
British Aerospace Plc
(Conglomerate and Aerospace) ....... 24,810 161,027
British Telecom Plc
(Other Telecommunications) ......... 19,080 319,706
Cable & Wireless Plc
(Other Telecommunications) + ....... 9,200 117,248
Dixons Group Plc (Discretionary
Retail)............................. 6,100 113,943
</TABLE>
See Notes to Portfolio of Investments. 67
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 1999 (UNAUDITED)
LEGACY (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
--------------- ---------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
General Electric Co. Plc
(Conglomerate and Aerospace) ....... 11,500 $ 117,285
Glaxo Wellcome Plc (Drugs) .......... 75 2,084
Granada Group Plc (Electronic Media)
+................................... 6,339 117,608
Hanson Plc (Conglomerate and
Aerospace).......................... 13,000 115,472
Kingfisher Plc (Discretionary Retail) 15,773 181,500
MEPC Plc (Diversified Financial
Services)........................... 13,800 112,245
National Westminster Bank Plc
(Banks and Thrifts) ................ 5,383 114,126
SmithKline Beecham Plc (Drugs) ...... 14,547 189,061
Vodafone Group Plc
(Other Telecommunications) ......... 12,783 251,873
WPP Group Plc (Commercial Services) . 15,500 131,081
---------------
TOTAL UNITED KINGDOM 2,450,534
---------------
TOTAL FOREIGN COMMON STOCKS (COST $12,137,926) 13,730,622
---------------
TOTAL COMMON STOCKS (COST $63,383,889) 67,344,625
---------------
PRINCIPAL
AMOUNT
---------------
LONG-TERM BONDS AND NOTES ( 47.5% )
CORPORATE BONDS ( 13.8% )
BankAmerica Corp.,7.88%,12/01/02 .... $ 1,500,000 1,571,280
Capital One Bank,6.66%,06/19/00 ..... 700,000 703,045
Chemical Master Credit Card Trust,
7.09%,02/15/09 ..................... 855,000 871,031
Chrysler Financial
Corp.,5.25%,10/19/00................ 450,000 445,185
Conoco Inc.,5.90%,04/15/04 .......... 450,000 439,101
Enron Oil & Gas Corp.,6.50%,12/01/07 700,000 667,443
Fifth Third Banc,6.75%,07/15/05 ..... 300,000 296,349
Ford Motor Credit
Corp.,6.63%,10/01/28................ 1,500,000 1,350,270
General Motors Acceptance Corp.,
6.18%,05/15/33 ..................... 2,900,000 2,748,751
GTE Corp.,9.38%,12/01/00 ............ 1,000,000 1,045,160
Guidant Corp.,6.15%,02/15/06 ........ 1,000,000 925,350
Heller Financial, Inc.,6.35%,08/15/99
++.................................. 500,000 500,255
Household Finance
Corp.,5.88%,09/25/04................ 835,000 803,529
IMC Global, Inc.,7.63%,11/01/05 ..... 800,000 810,936
Korean Development
Bank,7.13%,09/17/01................. 700,000 692,328
National Australia
Bank,6.40%,12/10/07................. 2,000,000 1,967,420
Norwest Financial,
Inc.,5.38%,09/30/03................. 835,000 801,333
Tenet Healthcare Corp.,7.88%,01/15/03 425,000 416,721
Tyco International Group
SA,6.13%,01/15/09................... 1,000,000 931,440
USA Waste Management, Inc.,
6.13%,07/15/01 ..................... 835,000 829,998
---------------
TOTAL CORPORATE BONDS (COST $19,519,957) 18,816,925
---------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 14.8% )
Federal National Mortgage
Association,6.00%,06/01/28 -
01/01/29............................ 3,830,347 3,601,714
PRINCIPAL MARKET
AMOUNT VALUE
--------------- ---------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal National Mortgage
Association,6.50%,08/01/28.......... $385,971 $373,806
Federal National Mortgage Association
- Conventional Loan,6.50%,02/01/28 . 1,893,304 1,833,631
Government National Mortgage
Association,6.50%,01/15/29 -
03/15/29............................ 5,577,570 5,383,599
Government National Mortgage
Association,7.00%,04/15/27 -
07/15/28............................ 5,243,523 5,188,046
Government National Mortgage
Association,7.50%,12/15/23.......... 3,084,683 3,122,967
Government National Mortgage
Association,8.00%,07/15/24.......... 616,572 634,546
---------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES 20,138,309
(COST $20,816,199)
---------------
U.S. GOVERNMENT OBLIGATIONS ( 18.9% )
U.S. Treasury Bond,5.25%,11/15/28 ... 355,000 314,675
U.S. Treasury Note,5.25%,08/15/03 -
02/15/29............................ 8,273,000 8,024,837
U.S. Treasury Note,5.38%,06/30/03 ... 1,140,000 1,126,286
U.S. Treasury Note,5.50%,03/31/03 -
05/15/09............................ 11,105,000 10,965,181
U.S. Treasury Note,6.50%,05/31/02 -
10/15/06............................ 5,220,000 5,379,374
---------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $25,648,634) 25,810,353
---------------
TOTAL LONG-TERM BONDS AND NOTES (COST $65,984,790) 64,765,587
---------------
SHORT-TERM INVESTMENTS ( 1.8% )
Sheffield Receivables Corp.,
5.75%,07/01/99 ++ .................. 1,875,000 1,875,000
U.S. Treasury Bill,4.43%,08/19/99 @ . 200,000 198,794
U.S. Treasury Bill,4.48%,08/19/99 @ . 400,000 397,585
TOTAL SHORT-TERM INVESTMENTS (COST $2,471,379) 2,471,379
---------------
TOTAL INVESTMENTS (COST $131,840,058)(A) 134,581,591
OTHER ASSETS LESS LIABILITIES 1,689,842
---------------
TOTAL NET ASSETS $136,271,433
===============
</TABLE>
<TABLE>
<CAPTION>
NOTES TO PORTFOLIO OF INVESTMENTS
<S> <C>
(a) The cost of investments for federal income tax purposes amounts to
$132,365,257. Unrealized gains and losses, based on identified tax cost at
June 30, 1999, are as follows:
Unrealized gains............................ $ 8,070,912
Unrealized losses........................... (5,854,578)
---------------------
Net unrealized gain........................ $ 2,216,334
=====================
</TABLE>
68 See Notes to Financial Statements.
<PAGE>
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
Information concerning open futures contracts at June 30, 1999 is shown below:
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------- ------------ ----------------
LONG CONTRACTS
- ----------------------
<S> <C> <C> <C> <C>
DAX Index Futures..... 4 568,535 Sept 99 $ (12,543)
CAC 40 Index Futures.. 6 284,282 Sept 99 (1,825)
Long-Term EURO
Bonds Futures......... 13 1,512,310 Sept 99 (25,339)
Swiss Government
Bond Futures.......... 13 1,076,676 Sept 99 (18,732)
TOPIX Index Futures... 4 455,157 Sept 99 14,747
----------- -----------
$3,896,960 $ (43,692)
=========== ===========
</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, 1999.
Information concerning restricted securities at June 30, 1999 is shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
-------------------- ---------------------
<S> <C> <C>
Beacon Capital ................... 03/17/98 $ 226,000
Heller Financial, Inc. ........... 08/15/97 500,026
Sheffield Receivables Corp. ...... 06/29/99 1,875,000
----------
$2,601,026
==========
</TABLE>
The market value of the total restricted securities above represent 1.87% of the
total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 69
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
------------- --------------- -----------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value................. $207,178,363 $194,004,276 $134,581,591
Cash .................. -- 65,669 153
Cash denominated in
foreign currencies ... 200,122 81,132 61,210
Receivable for:
Dividends and interest 818,739 1,116,249 943,076
Investments sold ..... 3,115,267 1,881,251 911,771
Fund shares sold ..... 2,821 -- --
Variation margin ..... 83,491 -- --
Recoverable foreign
taxes................. 53,667 43,921 24,692
Prepaid expenses ...... 752 656 2,231
Gross unrealized gain
on forward foreign
currency exchange
contracts............. 93,920 71,940 52,088
------------ ------------ ------------
Total assets ..... 211,547,142 197,265,094 136,576,812
------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased 232,833 473,810 10,487
Fund shares redeemed . 408,399 84,169 164,755
Variation margin ..... -- 20,976 4,129
Call options written,
at market value
(Premiums received,
Ascent $405,566) ..... 451,500 -- --
Accrued investment
advisory fees ........ 101,755 95,589 68,844
Accrued administrative
service fees ......... 12,720 11,949 8,300
Accrued custody fees . 28,122 27,812 25,996
Other liabilities ..... 775,329 661 --
Gross unrealized loss
on forward foreign
currency exchange
contracts............. 22,702 18,179 22,868
------------ ------------ ------------
Total liabilities 2,033,360 733,145 305,379
------------ ------------ ------------
NET ASSETS ........... $209,513,782 $196,531,949 $136,271,433
============ ============ ============
NET ASSETS REPRESENTED
BY:
Paid-in capital ....... $186,158,816 $177,865,743 $126,355,818
Net unrealized gain on
investments, open
futures contracts and
foreign currency
related transactions . 9,057,195 6,878,121 2,725,497
Undistributed net
investment income .... 2,773,111 3,175,321 2,713,099
Accumulated net
realized gain on
investments........... 11,524,660 8,612,764 4,477,019
------------ ------------ ------------
NET ASSETS ........... $209,513,782 $196,531,949 $136,271,433
============ ============ ============
CAPITAL SHARES:
Authorized ............ Two Billion Two Billion Two Billion
Par value ............. $ 0.001 $ 0.001 $ 0.001
Outstanding ........... 13,988,249 14,101,723 10,650,739
Net asset value,
offering and
redemption price per
share (net assets
divided by shares
outstanding).......... $ 14.98 $ 13.94 $ 12.79
Cost of investments ... $198,288,950 $187,097,474 $131,840,058
Cost of cash
denominated in foreign
currencies............ $ 207,004 $ 82,386 $ 61,656
</TABLE>
70 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
------------ ------------ --------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ......................... $ 2,827,415 $ 2,001,779 $ 1,043,286
Interest .......................... 577,407 1,772,583 2,125,211
----------- ----------- -----------
3,404,822 3,774,362 3,168,497
Foreign taxes withheld on dividends (25,305) (18,616) (10,695)
----------- ----------- -----------
Total investment income ...... 3,379,517 3,755,746 3,157,802
----------- ----------- -----------
INVESTMENT EXPENSES:
Investment advisory fees .......... 591,500 559,585 413,345
Administrative services fees ...... 73,938 69,948 51,668
Printing and postage fees ......... 5,064 4,506 3,297
Custody fees ...................... 25,044 23,680 21,800
Transfer agent fees ............... 1,277 1,277 1,277
Audit fees ........................ 14,851 14,858 14,839
Directors' fees ................... 2,949 2,796 2,155
Registration fees ................. 2,089 3,284 219
Miscellaneous expenses ............ 3,317 2,991 2,178
----------- ----------- -----------
Expenses before reimbursement and
waiver from Investment Adviser ... 720,029 682,925 510,778
Expense reimbursement and waiver
from Investment Adviser .......... -- (46) (2,427)
----------- ----------- -----------
Net expenses ................. 720,029 682,879 508,351
----------- ----------- -----------
Net investment income ............. 2,659,488 3,072,867 2,649,451
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ...................... 13,688,135 9,424,210 4,988,653
Options Closed ................... (2,282,150) (1,354,593) (590,626)
Futures and forward foreign
currency exchange contracts ...... 806,628 737,120 358,752
Foreign currency related
transactions...................... (66,698) (145,013) (153,996)
----------- ----------- -----------
Net realized gain on
investments................... 12,145,915 8,661,724 4,602,783
----------- ----------- -----------
Net change in unrealized gain or
loss on:
Investments ...................... (1,192,218) (2,625,870) (2,451,451)
Options .......................... (45,933) -- --
Futures and forward foreign
currency exchange contracts ...... 387,152 100,806 56,212
Foreign currency related
transactions...................... (5,946) (4,032) (2,928)
----------- ----------- -----------
Net change in unrealized gain
or loss on investments ....... (856,945) (2,529,096) (2,398,167)
----------- ----------- -----------
Net realized and change in
unrealized gain or loss on
investments....................... 11,288,970 6,132,628 2,204,616
----------- ----------- -----------
Net increase in net assets
resulting from operations ........ $13,948,458 $ 9,205,495 $ 4,854,067
=========== =========== ===========
</TABLE>
See Notes to Financial Statements. 71
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income..................... $ 2,659,488 $ 4,785,925
Net realized gain on investments.......... 12,145,915 3,839,619
Net change in unrealized gain or loss on
investments.............................. (856,945) (1,925,904)
------------ ------------
Net increase in net assets resulting from
operations............................... 13,948,458 6,699,640
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............... (465,008) (4,979,306)
From net realized gains.................. (2,802) (4,834,598)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (467,810) (9,813,904)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................ 8,658,598 61,786,543
Net asset value of shares issued upon
reinvestment of distributions........... 467,809 9,813,904
Payments for shares redeemed............. (20,689,089) (9,700,764)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions............. (11,562,682) 61,899,683
------------ ------------
Net change in net assets.................. 1,917,966 58,785,419
NET ASSETS:
Beginning of period....................... 207,595,816 148,810,397
------------ ------------
End of period............................. $209,513,782 $207,595,816
============ ============
End of period net assets includes
undistributed net investment income...... $ 2,773,111 $ 578,631
============ ============
SHARE TRANSACTIONS:
Number of shares sold.................... 617,373 4,231,255
Number of shares issued upon reinvestment
of distributions........................ 31,780 698,611
Number of shares redeemed................ (1,467,427) (663,321)
------------ ------------
Net increase (decrease).................. (818,274) 4,266,545
============ ============
</TABLE>
72 See Notes to Financial Statements.
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CROSSROADS
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income..................... $ 3,072,867 $ 5,356,634
Net realized gain on investments.......... 8,661,724 1,981,947
Net change in unrealized gain or loss on
investments.............................. (2,529,096) 1,113,364
------------ ------------
Net increase in net assets resulting from
operations............................... 9,205,495 8,451,945
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............... (187,274) (5,665,597)
From net realized gains.................. (53,507) (1,755,177)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (240,781) (7,420,774)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................ 9,864,151 69,477,764
Net asset value of shares issued upon
reinvestment of distributions........... 240,781 7,420,774
Payments for shares redeemed............. (16,099,742) (7,357,412)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions............. (5,994,810) 69,541,126
------------ ------------
Net change in net assets.................. 2,969,904 70,572,297
NET ASSETS:
Beginning of period....................... 193,562,045 122,989,748
------------ ------------
End of period............................. $196,531,949 $193,562,045
============ ============
End of period net assets includes
undistributed net investment income...... $ 3,175,321 $ 289,728
============ ============
SHARE TRANSACTIONS:
Number of shares sold.................... 743,135 5,136,875
Number of shares issued upon reinvestment
of distributions........................ 17,537 558,939
Number of shares redeemed................ (1,192,307) (561,586)
------------ ------------
Net increase (decrease).................. (431,635) 5,134,228
============ ============
</TABLE>
See Notes to Financial Statements. 73
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LEGACY
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 1999 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1998
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income..................... $ 2,649,451 $ 4,736,935
Net realized gain on investments.......... 4,602,783 1,477,725
Net change in unrealized gain or loss on
investments.............................. (2,398,167) 765,471
------------ ------------
Net increase in net assets resulting from
operations............................... 4,854,067 6,980,131
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income............... (131,069) (4,684,974)
From net realized gains.................. -- (1,728,893)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (131,069) (6,413,867)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................ 5,093,869 76,155,195
Net asset value of shares issued upon
reinvestment of distributions........... 131,069 6,413,867
Payments for shares redeemed............. (22,202,851) (16,258,488)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions............. (16,977,913) 66,310,574
------------ ------------
Net change in net assets.................. (12,254,915) 66,876,838
NET ASSETS:
Beginning of period....................... 148,526,348 81,649,510
------------ ------------
End of period............................. $136,271,433 $148,526,348
============ ============
End of period net assets includes
undistributed net investment income...... $ 2,713,099 $ 194,717
============ ============
SHARE TRANSACTIONS:
Number of shares sold.................... 412,546 6,061,578
Number of shares issued upon reinvestment
of distributions........................ 10,370 520,120
Number of shares redeemed................ (1,777,303) (1,324,436)
------------ ------------
Net increase (decrease).................. (1,354,387) 5,257,262
============ ============
</TABLE>
74 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999 (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 currently owned by insurance companies as
depositors of separate accounts which are used to fund variable annuity
contracts and variable life insurance policies. All shares are currently held by
separate accounts of Aetna Life Insurance and Annuity Company (ALIAC) and its
subsidiary, Aetna Insurance Company of America.
Aeltus Investment Management, Inc. (Aeltus) serves as the investment adviser to
the Portfolios. ALIAC serves as the principal underwriter to each Portfolio.
Aeltus and ALIAC are both 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 prices furnished by external
pricing sources 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 exchanges
at the end of each day of each applicable foreign market. Purchases and sales of
securities, income receipts, and expense payments are translated in U.S. dollars
at the prevailing exchange rate on the respective dates of the transactions. The
Portfolios do not isolate the portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in their market prices. Such fluctuations are included in
net realized and unrealized gain or loss on investments.
75
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
- -------------------------------------------------------------------------------
B. OPTIONS CONTRACTS
The Portfolios may purchase put and call options and may write (sell) put
options and covered call options. The Portfolios engage in option transactions
as a hedge against adverse movements in the value of portfolio holdings or to
increase market exposure.
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 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 invest in
financial futures contracts as a hedge against its existing portfolio
securities, 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.
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 against foreign currency
exchange rate risks on their non-U.S. dollar denominated portfolio securities.
Contracts are recorded at market value and marked-to-market daily.
The risks associated with financial futures and forward foreign currency
exchange contracts may arise from an imperfect correlation between the change in
market value of the securities held by the Portfolios and the price of the
contracts. Risks may also arise from an illiquid secondary market or from the
inability of counterparties to meet the terms of the contracts.
Realized and unrealized gains or losses on financial 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 and forward foreign currency
exchange contracts which remain open at the end of the fiscal year are
marked-to-market and the resultant net gain or loss is reported to shareholders
as federal taxable income.
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 which can only be sold
under Rule 144A of the Securities Act of 1933 (1933 Act) or are securities
offered pursuant to Section 4(2) of the 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
76
<PAGE>
- --------------------------------------------------------------------------------
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. Below is a summary of securities held
which are both illiquid and restricted as of June 30, 1999:
<TABLE>
<CAPTION>
COST MARKET VALUE % OF NET ASSETS
---- ------------ ---------------
<S> <C> <C> <C>
Ascent $768,000 $590,400 0.28%
Crossroads 518,000 398,213 0.20%
Legacy 226,000 173,738 0.13%
</TABLE>
E. FEDERAL INCOME TAXES
Each Portfolio has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1998 and intends to meet the
requirements for the current year. As such, each Portfolio is relieved of
federal income 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. Furthermore, by distributing substantially all of its net
taxable investment income and capital gains during the calendar year, each
Portfolio will avoid federal excise taxes in accordance with the applicable
provisions of the Internal Revenue Code. Thus, the financial statements contain
no provision for federal taxes.
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 foreign currency transactions, certain
futures contracts, certain investments in foreign equity securities and certain
losses deferred due to transactions characterized as "wash sales" by federal tax
regulations. In addition, distributions of realized gains from sales of
securities held one year or less are taxable to shareholders at ordinary income
tax rates rather than preferred capital gain tax rates in accordance with the
applicable provisions of the Internal Revenue Code.
G. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are 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 SERVICE FEES
Each Portfolio pays Aeltus a monthly advisory fee at an annual rate of 0.60% of
its average daily net assets.
Each Portfolio pays Aeltus an administrative services fee in exchange for
receiving certain administrative and shareholder services and to compensate
Aeltus for supervising the Portfolios' other service providers. Each Portfolio
pays Aeltus an administrative services fee at an annual rate based on its
average daily net assets. The rate is 0.075% on the first $5 billion of
Portfolio assets and 0.050% on all Portfolio assets over $5 billion.
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 the average daily net
assets. For the period January 1, 1999 through June 30, 1999, Aeltus paid ALIAC
$794,533.
77
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 1999 to reimburse each
Portfolio for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase each Portfolio's yield and total return.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 1999 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Ascent $120,362,718 $122,701,806
Crossroads 126,648,032 104,561,429
Legacy 90,879,702 70,735,836
</TABLE>
6. OPTIONS
Each Portfolio may use options. For the period ended June 30, 1999, the
following reflects the written option activity:
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
-------------------------------------------------------------
ASCENT Number of Premium Realized
Contracts Received Gain (Loss)
-------------------------------------------------------------
<S> <C> <C> <C>
Outstanding December -- $-- $--
31, 1998
Written 651 1,629,354 --
Closed (511) (1,223,788) (1,550,352)
-------------------------------------------------------------
Outstanding June 30, 140 $405,566 $(1,550,352)
1999
=============================================================
</TABLE>
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
---------------------------------------------------------
CROSSROADS Number of Premium Realized
Contracts Received Gain (Loss)
---------------------------------------------------------
<S> <C> <C> <C>
Outstanding December -- $-- $--
31, 1998
Written 306 741,803 --
Closed (306) (741,803) (923,625)
---------------------------------------------------------
Outstanding June 30, -- $-- $(923,625)
1999
=========================================================
</TABLE>
78
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALL OPTIONS WRITTEN
---------------------------------------------------------
LEGACY Number of Premium Realized
Contracts Received Gain (Loss)
---------------------------------------------------------
<S> <C> <C> <C>
Outstanding December -- $-- $--
31, 1998
Written 133 324,980 --
Closed (133) (324,980) (405,402)
---------------------------------------------------------
Outstanding June 30, -- $-- $(405,402)
1999
=========================================================
</TABLE>
<PAGE>
7. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of June 30, 1999, the Portfolios had the following open forward foreign
currency exchange contracts that obligate the Portfolios to deliver currencies
at specified future dates. Ascent, Crossroads, and Legacy's net unrealized gains
of $71,218, $53,761 and $29,220, 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, 1999 BE RECEIVED JUNE 30, 1999 GAIN (LOSS)
---- ------------ ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
7/27/99 594,659 $594,659 70,790,000 $587,177 ($7,482)
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------
CONTRACTS TO SELL
- -----------------
7/19/99 1,132,764 1,165,984 1,227,633 1,227,633 61,649
Euro U.S. Dollar
- ------------------------------------------------------------------------------------
7/19/99 50,000 51,466 54,290 54,290 2,824
Euro U.S. Dollar
- ------------------------------------------------------------------------------------
8/25/99 232,016 237,956 239,775 239,775 1,819
Euro U.S. Dollar
- ------------------------------------------------------------------------------------
5/18/00 910,000 115,978 116,003 116,003 25
Hong Kong Dollar U.S. Dollar
- ------------------------------------------------------------------------------------
7/27/99 148,180,000 1,229,098 1,254,487 1,254,487 25,389
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
7/27/99 4,610,000 38,238 39,131 39,131 893
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
8/26/99 98,150,000 817,755 802,535 802,535 (15,220)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
9/17/99 26,375,000 220,504 221,825 221,825 1,321
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------
$71,218
-------------
CROSSROADS
EXCHANGE CURRENCY TO BE U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE DELIVERED JUNE 30, 1999 BE RECEIVED JUNE 30, 1999 GAIN (LOSS)
---- --------- ------------- ----------- ------------- -----------
CONTRACTS TO BUY
- ----------------
7/27/99 228,909 228,909 27,250,000 226,029 (2,880)
U.S. Dollar Japanese Yen
- ----------------------------------------------------------------------------------------
</TABLE>
79
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
CROSSROADS (continued)
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO BE U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE DELIVERED JUNE 30, 1999 BE RECEIVED JUNE 30, 1999 GAIN (LOSS)
---- --------- ------------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO SELL
- -----------------
7/19/99 1,000,385 $1,029,722 1,084,167 $1,084,167 $54,445
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------
7/19/99 41,000 42,203 44,518 44,518 2,315
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------
8/25/99 11,942 114,808 115,686 115,686 878
Euro U.S. Dollar
- ----------------------------------------------------------------------------------------
5/18/00 720,000 91,762 91,783 91,783 21
Hong Kong Dollar U.S. Dollar
- ----------------------------------------------------------------------------------------
7/27/99 74,970,000 621,848 634,693 634,693 12,845
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------
7/27/99 4,610,000 38,238 39,131 39,131 893
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------
8/26/99 98,650,000 821,921 806,622 806,622 (15,299)
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------
9/17/99 10,850,000 90,710 91,253 91,253 543
Japanese Yen U.S. Dollar
- ----------------------------------------------------------------------------------------
$53,761
--------------
</TABLE>
<TABLE>
<CAPTION>
LEGACY
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED JUNE 30, 1999 BE RECEIVED JUNE 30, 1999 GAIN (LOSS)
- ---- ------------ ------------- ----------- ------------- ----------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO BUY
- ----------------
7/19/99 271,818 271,818 260,887 268,538 (3,280)
U.S. Dollar Euro
- ------------------------------------------------------------------------------------------
7/27/99 266,794 266,794 31,760,000 263,437 (3,357)
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------------
8/26/99 84,081 84,081 10,115,000 84,275 194
U.S. Dollar Japanese Yen
- ------------------------------------------------------------------------------------------
CONTRACTS TO SELL
- -----------------
7/19/99 918,928 945,877 995,887 995,887 50,010
Euro U.S. Dollar
- ------------------------------------------------------------------------------------------
7/19/99 25,000 25,733 27,145 27,145 1,412
Euro U.S. Dollar
- ------------------------------------------------------------------------------------------
5/18/00 430,000 54,802 54,814 54,814 12
Hong Kong Dollar U.S. Dollar
- ------------------------------------------------------------------------------------------
7/27/99 1,500,000 12,442 12,320 12,320 (122)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------
</TABLE>
80
<PAGE>
<TABLE>
<CAPTION>
LEGACY (continued)
EXCHANGE CURRENCY TO U.S. $ VALUE CURRENCY TO U.S. $ VALUE UNREALIZED
DATE BE DELIVERED JUNE 30, 1999 BE RECEIVED JUNE 30, 1999 GAIN (LOSS)
- ---- ------------ ------------- ----------- ------------- ----------
CONTRACTS TO SELL (CONTINUED)
- -----------------
<S> <C> <C> <C> <C> <C>
7/27/99 31,760,000 $263,437 263,897 $263,897 $460
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------
8/26/99 103,880,000 865,496 849,387 849,387 (16,109)
Japanese Yen U.S. Dollar
- ------------------------------------------------------------------------------------------
$29,220
==============
</TABLE>
81
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
ADDITIONAL INFORMATION
JUNE 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
YEAR 2000
Each Portfolio receives services from a number of providers which rely on the
effective functioning of their respective systems and the systems of others to
perform those services. It is generally recognized that certain systems in use
today may not be able to perform their intended functions adequately after 1999
because of the inability of computer systems and software to distinguish the
year 2000 from the year 1900. Aeltus is taking steps that it believes are
reasonably designed to address this potential "Year 2000" problem and to obtain
satisfactory information that comparable steps are being taken by each of the
Portfolios' other major service providers. There can be no assurance, however,
that these steps will be sufficient to avoid any adverse impact on the
Portfolios from this problem.
82
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
FINANCIAL HIGHLIGHTS
ASCENT
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JULY 5, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1998 1997 1996 TO DECEMBER 31, 1995+
------------- ------------ ------------ ------------ ---------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 14.02 $ 14.12 $ 12.62 $ 10.80 $ 10.00
-------- -------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............. 0.19 0.33 0.25+ 0.22+ 0.12
Net realized and change in
unrealized gain or loss on
investments......................... 0.80 0.27 2.25 2.29 0.93
-------- -------- -------- ------- -------
Total from investment operations . 0.99 0.60 2.50 2.51 1.05
-------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ......... (0.03) (0.35) (0.34) (0.23) (0.25)
From net realized gains on
investments......................... -- (0.35) (0.66) (0.46) --
-------- -------- -------- ------- -------
Total distributions .............. (0.03) (0.70) (1.00) (0.69) (0.25)
-------- -------- -------- ------- -------
Net asset value, end of period ...... $ 14.98 $ 14.02 $ 14.12 $ 12.62 $ 10.80
======== ======== ======== ======= =======
Total return* ....................... 7.09% 4.30% 19.90% 23.58% 10.45%
Net assets, end of period (000's) ... $209,514 $207,596 $148,810 $45,155 $18,850
Ratio of net expenses to average net
assets.............................. 0.73%(1) 0.75% 0.75% 0.84% 1.59%(1)
Ratio of net investment income to
average net assets ................. 2.70%(1) 2.59% 2.51% 2.53% 2.26%(1)
Portfolio turnover rate ............. 61.25% 104.33% 124.82% 109.77% 39.77%
</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. 83
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
CROSSROADS
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JULY 5, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1998 1997 1996 TO DECEMBER 31, 1995+
------------- ------------ ------------ ------------ ---------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 13.32 $ 13.09 $ 11.98 $ 10.74 $ 10.00
-------- -------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............. 0.22 0.38 0.30+ 0.27+ 0.13
Net realized and change in
unrealized gain or loss on
investments......................... 0.41 0.39 1.79 1.72 0.80
-------- -------- -------- ------- -------
Total from investment operations . 0.63 0.77 2.09 1.99 0.93
-------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ......... (0.01) (0.41) (0.38) (0.30) (0.19)
From net realized gains on
investments......................... -- (0.13) (0.60) (0.45) --
-------- -------- -------- ------- -------
Total distributions .............. (0.01) (0.54) (0.98) (0.75) (0.19)
-------- -------- -------- ------- -------
Net asset value, end of period ...... $ 13.94 $ 13.32 $ 13.09 $ 11.98 $ 10.74
======== ======== ======== ======= =======
Total return* ....................... 4.79% 5.91% 17.57% 18.81% 9.30%
Net assets, end of period (000's) ... $196,532 $193,562 $122,990 $37,690 $18,813
Ratio of net expenses to average net
assets.............................. 0.73%(1) 0.75% 0.75% 0.80% 1.60%(1)
Ratio of net investment income to
average net assets ................. 3.29%(1) 3.17% 3.20% 3.01% 2.56%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .............. 0.73%(1) -- -- -- --
Portfolio turnover rate ............. 60.00% 102.94% 103.08% 105.66% 49.38%
</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.
84 See Notes to Financial Statements.
<PAGE>
LEGACY
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JULY 5, 1995
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
JUNE 30, 1999 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1998 1997 1996 TO DECEMBER 31, 1995+
------------- ------------ ------------ ------------ ---------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 12.37 $ 12.10 $ 11.25 $ 10.64 $ 10.00
-------- -------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............. 0.23 0.41 0.36+ 0.33+ 0.15
Net realized and change in
unrealized gain or loss on
investments......................... 0.20 0.43 1.26 1.15 0.68
-------- -------- ------- ------- -------
Total from investment operations . 0.43 0.84 1.62 1.48 0.83
-------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ......... (0.01) (0.41) (0.39) (0.36) (0.19)
From net realized gains on
investments......................... -- (0.16) (0.38) (0.51) --
-------- -------- ------- ------- -------
Total distributions .............. (0.01) (0.57) (0.77) (0.87) (0.19)
-------- -------- ------- ------- -------
Net asset value, end of period ...... $ 12.79 $ 12.37 $ 12.10 $ 11.25 $ 10.64
======== ======== ======= ======= =======
Total return* ....................... 3.50% 6.94% 14.50% 14.19% 8.27%
Net assets, end of period (000's) ... $136,271 $148,526 $81,650 $27,754 $18,253
Ratio of net expenses to average net
assets.............................. 0.74%(1) 0.76% 0.75% 0.80% 1.62%(1)
Ratio of net investment income to
average net assets ................. 3.85%(1) 3.81% 3.75% 3.45% 2.91%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .............. 0.74%(1) -- -- -- --
Portfolio turnover rate ............. 56.54% 103.71% 85.01% 111.11% 62.43%
</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. 85
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<PAGE>
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<PAGE>
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