PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in Aetna variable funds. We are pleased to bring you
this semi-annual report on the portfolios you have chosen to help you along the
road to your investment goals.
In recapping the markets of the past six months, it is easy to see that "get
rich quick" has not been the name of the game, especially when compared to
recent past periods. A more cautious attitude has been visible among investors,
as evidenced in the relative performance, for example, of value over growth
investment styles. Also in contrast to recent years, small- and mid-cap stock
returns have kept pace with or outdistanced those of large-caps. Broad market
performance was flat: the S&P 500 and the NYSE Composite each lost roughly 1%.
Bonds (as measured by the Lehman Brothers Aggregate Bond Index) and money market
instruments along with bank certificates of deposit, outperformed broad market
equity returns. Commodities in general, and oil in particular, also saw returns
in excess of stocks. So far, it has been a year to give comfort to financial
theorists who counsel that investments should be diversified across several
asset classes in order to both enhance returns and reduce risk.
At the halfway point in 2000, these market returns tell us that something has
changed, but they do not tell us exactly what. The U.S. equity market has lost
forward momentum, remains narrowly based, and has set new standards for daily
and intra-day volatility. Meanwhile, global economic growth has rebounded, and
it is no longer possible to be complacent on the issue of inflation. Further, a
realization is dawning that the Federal Reserve (Fed) means business in its
objective to slow the economy. So far this year the Fed has raised rates by a
full 1%, and recent data suggests that these rate hikes have begun to take
affect. But labor markets remain tight and wage pressures are a concern for
future corporate profitability.
In summary, the U.S. economy at mid-year remains in terrific shape. The record
returns of recent years suggest that the market saw these conditions coming. The
slowdown in equity returns thus far in 2000 may be foretelling a slowdown in
economic performance. Our investment professionals will, as always, continue to
monitor these developments closely.
We at Aetna variable funds and our advisor, Aeltus Investment Management, Inc.,
strive to continuously improve our products and services. Here are some
highlights of our efforts since we last wrote to you:
o AETNA TECHNOLOGY VP was introduced on May 1. This new investment vehicle
seeks long-term capital appreciation by investing primarily in common
stocks and securities convertible into common stock of companies in the
information technology industry sector.
o Investors like you demonstrated their continued confidence in Aetna
variable funds by investing nearly $285 million of assets into TWO NEW GET
FUNDS, Series H and I. These innovative total-return funds offer investors
participation in the equity markets while providing the downside protection
of guaranteeing the return of their initial investment. A third new GET
Fund, Series J, is now open to investment from June 15 through September
13, 2000.
As we venture forth in this new millennium, you have our continued commitment to
bringing you our best in products and services.
Sincerely,
/s/ J. Scott Fox
J. Scott Fox
President
(over)
i
<PAGE>
July 26, 2000
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
Sincerely,
/s/ J. Scott Fox
J. Scott Fox
President
ii
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
--------------------------------------------------------------------------------
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...........................................19
Aetna Index Plus Small Cap VP.........................................25
Statements of Assets and Liabilities...................................34
Statements of Operations...............................................36
Statements of Changes in Net Assets....................................38
Notes to Financial Statements..........................................42
Additional Information.................................................46
Financial Highlights...................................................47
GENERATION PORTFOLIOS:
Investment Review......................................................51
Portfolios of Investments:
Aetna Ascent VP.......................................................58
Aetna Crossroads VP...................................................64
Aetna Legacy VP.......................................................71
Statements of Assets and Liabilities...................................78
Statements of Operations...............................................79
Statements of Changes in Net Assets....................................80
Notes to Financial Statements..........................................83
Additional Information.................................................89
Financial Highlights...................................................90
<PAGE>
AETNA INDEX PLUS BOND VP
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Index Lehman Brothers
Plus Bond VP Aggregate Bond Index
<S> <C> <C>
12/18/97 10,000 10,000
12/31/97 10,031 10,046
10,182 10,200
10,409 10,439
10,761 10,881
12/31/98 10,851 10,918
10,798 10,863
10,680 10,767
12/31/99 10,755 10,841
10,733 10,828
10,982 11,067
6/30/00 11,159 11,259
</TABLE>
[END PLOT POINTS]
________Aetna Index Plus Bond VP -------- Lehman Brothers Aggregate Bond Index
Average Annual Total Returns
for the period ended June 30, 2000*
<TABLE>
<CAPTION>
---------------------------------------
Inception Date 1 Year Inception
---------------------------------------
<S> <C> <C>
12/18/97 4.49% 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 BOND VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Index Plus Bond VP (Index Plus Bond) generated a 3.97% total return, net
of fund expenses, for the six month period ended June 30, 2000. The benchmark,
Lehman Brothers Aggregate Bond Index(a), returned 3.99% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
During the first quarter, U.S. Treasuries rallied as a reduced supply more than
offset the impact of strong growth and Federal Reserve Bank (Fed) interest rate
tightening. This condition reversed in the second quarter, as worries around
inflation and the eventual magnitude of Fed tightening required to slow the
economy and control inflation took center stage.
On the heels of 7.3% growth in Gross Domestic Product for the fourth quarter,
the first quarter remained strong at 5.5%. Combined with the previously
mentioned rise in inflation, this led the Fed to increase interest rates 100
basis points (1.00%) over the first half of 2000. (One basis point equals one
hundredth of one percent, or 0.01%.)
As we entered May and June, economic data began showing evidence of a slowdown.
Inflation indicators were tame for both April and May, and other economic
reports showed decelerating growth and less pricing pressure. Combined with a
soft May employment report, these indicators led the Treasury market to revert
back to the bullish action of the first quarter.
See Definition of Terms. 1
<PAGE>
For the first six months, ten-year Treasuries declined in yield by 41 basis
points. The yield curve inverted as Fed tightening caused the two-year Treasury
to increase by 12 basis points, while the thirty-year Treasury declined in yield
by 58 basis points. (An inverted yield curve occurs when short-term interest
rates are higher than long-term interest rates.)
With Fed tightening, spread products underperformed Treasuries by a wide margin
in the first quarter, while recovering somewhat in the second quarter as
evidence of a slowdown came into focus. For the six months, corporate bonds
(-265 basis points) were the weakest performers, while mortgage-backed
securities (-51 basis points), agencies (-113 basis points), asset backed
securities (-26 basis points), and collateral mortgage-backed securities (-121
basis points) all showed negative returns compared to Treasuries of equal
duration.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Performance was negatively impacted by our overweight in investment-grade
corporates, as the corporate sector underperformed duration-equivalent
Treasuries. However, an underweight in BBB-rated securities had a positive
impact on performance. While BBBs outperformed A-rated securities in June, this
was more than offset by the under-performance of BBBs through the first five
months of the year.
WHAT IS YOUR OUTLOOK GOING FORWARD?
While recent economic data has been weaker, and the Fed chose not to raise
interest rates at their June meeting, we do not believe we have seen the end of
interest rate increases. Growth rates remain above trend (being driven by the
wealth effect) and we do not believe inflation fears have been put to rest by a
couple of good numbers. We believe higher rates are needed to slow the economy
and relieve labor market pressures.
With the narrowing of spreads in June having been driven by the market
expectation that the Fed is on hold, we expect to trend toward a reduced risk
posture in spread products. This is based on our contention that the market is
underestimating the extent of Fed tightening needed to slow the economy. We
especially believe that the credit-sensitive sectors (corporate bonds and, to a
lesser extent, agencies) could under-perform and a defensive posture in these
sectors is warranted. We expect to implement this by biasing exposure toward
higher quality, shorter maturity credits. Within the higher risk sectors (BBB
corporates) we expect to stay defensive, with only modest exposure.
----------------------------------------
QUALITY RATINGS
----------------------------------------
<TABLE>
<S> <C>
AAA 61.1%
AA 4.8%
A 25.8%
BBB 7.5%
N/R+ 0.8%
</TABLE>
----------------------------------------
MATURITY DISTRIBUTION
----------------------------------------
<TABLE>
<S> <C>
0 - 1 year 4.2%
1 - 5 years 28.8%
5 - 10 years 16.6%
10 - 20 years 12.5%
20 + years 37.9%
</TABLE>
+ The Not Rated (N/R) indication is used by securities rating services (such
as Standard & Poor's or Moody's) and mercantile agencies (such as Dun &
Bradstreet) to show that a security or a company has not been rated. It has
neither negative nor positive implications.
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. 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>
Aetna Index
Plus Large S&P 500
Cap VP Index
<S> <C> <C>
09/16/96 10,000 10,000
09/30/96 10,069 10,276
12/31/96 10,964 11,053
11,246 10,834
13,272 13,067
14,285 14,045
12/31/97 14,680 14,448
16,759 16,464
17,420 17,007
15,728 15,315
12/31/98 19,319 18,577
20,374 19,502
21,676 20,877
20,503 19,572
12/31/99 24,013 22,485
24,669 23,000
6/30/00 23,892 22,388
</TABLE>
AETNA INDEX PLUS MID CAP VP
Growth of $10,000
<TABLE>
Aetna Index
Plus Mid S&P Mid Cap 400
Cap VP Index
<S> <C> <C>
12/16/97 10,000 10,000
12/31/97 10,348 10,390
11,459 11,535
11,339 11,288
9,958 9,655
12/31/98 12,862 12,377
12,029 11,587
13,511 13,228
12,468 12,116
12/31/99 14,894 14,199
17,128 16,001
6/30/00 16,910 15,473
</TABLE>
See Definition of Terms. 3
<PAGE>
AETNA INDEX PLUS SMALL CAP VP
Growth of $10,000
<TABLE>
Aetna Index
Plus Small S&P Small Cap 600
Cap VP Index
<S> <C> <C>
12/19/97 10,000 10,000
12/31/97 10,430 10,403
11,441 11,555
10,901 11,040
8,749 8,731
12/31/98 10,289 10,268
9,423 9,345
10,686 10,786
10,248 10,264
12/31/99 11,400 11,543
11,703 12,215
6/30/00 11,745 12,338
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------
Average Annual Total Returns
for the period ended June 30, 2000*
-------------------------------------------------------------------------------------------
Index Plus Large Cap VP Index Plus Mid Cap VP Index Plus Small Cap VP
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 Year Inception 1 Year Inception 1 Year Inception
-------------------------------------------------------------------------------------------
10.22% 25.84% 25.17% 23.01% 9.90% 6.56%
-------------------------------------------------------------------------------------------
</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, Index
Plus Mid Cap and Index Plus Small Cap) and their respective benchmarks is for
the six month period ended June 30, 2000:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
Portfolio Benchmark Index
Index Plus Portfolios Return Benchmark Index Return
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Index Plus Large Cap -0.51% S&P 500 Index (b) -0.42%
Index Plus Mid Cap 13.54% S&P MidCap 400 Index (c) 8.97%
Index Plus Small Cap 3.03% S&P SmallCap 600 Index (d) 6.89%
</TABLE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIOS?
For the first half of 2000, broad equity market performance has been negative to
modestly positive: the Standard & Poor's (S&P) 500 Index was down 0.42%, NASDAQ
Composite Index(e) was down 2.54% and the Russell 2000 Index(f) was up a modest
3.04%. Money market instruments and bonds, as measured by the Lehman Brothers
Aggregate Bond Index(a), outperformed these past winners. Commodities in
general, and oil in particular, outperformed equities; real estate, too, was a
better-performing asset class, judging by the recovery in Real Estate Investment
Trusts (REITs) shares. A value investor's orientation
4 See Definition of Terms.
<PAGE>
was no help in the first half, as the S&P Barra Value Index(g) was down 4.07%,
upstaged once again by the S&P Barra Growth Index(h) which ended the half with a
2.58% gain.
The industries that delivered solid returns in the first half, as in recent
periods, were semiconductors and networking infrastructure. Biotech soared,
slumped, and soared again while pharmaceuticals, an old-growth sector, roared
back from a rut in February to add both return and diversification to growth
portfolios. On the value side, REITs and energy industries such as natural gas
generated strong returns in an otherwise difficult market.
At the halfway point in 2000, market action tells us that something has changed,
but it does not tell us exactly what. The U.S. equity market looks tired, based
upon the return performance of the past six months. It has lost forward
momentum, remains narrowly based, and set new standards for daily and intra-day
volatility. Meanwhile, global economic growth has rebounded, but it is no longer
possible to be complacent on the issue of inflation. Central banks are moving
their monetary policy stances toward neutrality, or even restraint. Business
conditions remain exceptionally vigorous despite some deceleration from the
recent white-hot pace of the U.S. private sector. Earnings growth has been
robust and the immediate outlook is for more of the same.
At the beginning of the year, it appeared that two opposing factors would set
the story line for this year's market results. One was the undeterred spirit of
"dip-buying"; the record shows that getting in to the market on sell-offs has
been a profitable tactic of late. The other factor was the Federal Reserve Bank
(Fed) shift toward a less accommodating monetary policy. By raising interest
rates in order to restrain the economy, the Fed put increased pressure on what
has been a richly valued market. It still looks as if the clash of these two
factors will determine the year's final numbers.
U.S. equity money was not treated any better abroad. With the exception of
China, returns were generally negative in the first half for U.S.-based
investors in foreign markets. The dollar held firm against other currencies, so
foreign exchange returns were negative for most overseas investments by U.S.
residents. We continue to closely monitor the foreign exchange value of the U.S.
dollar, since a flat to weakening dollar will enhance returns generated in
overseas asset markets and entice more money to flow there. U.S. markets remain
vulnerable to alternatives (in Europe, Japan, and other advanced economies) to
U.S. dollar investments.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST SIX
MONTHS?
Index Plus Large Cap: The Portfolio outperformed the S&P 500 Index during the
first half. The quantitative model used to manage this Portfolio provided good
discrimination between stocks with high relative returns and those with low
relative returns. The model's factors relating to price momentum and analyst
earnings estimates were particularly effective. This was partially offset by
poor discrimination in the P/E factor used in the model. (The Price/Earnings
multiple, or P/E, is calculated by dividing the price of one share by the
earnings per share generated by the firm. A measure of the attractiveness of a
particular security, the P/E ratio gives investors an idea of how much they are
paying for earning power.)
Outperformance during the first half came from the Portfolio's over-weighting of
the technology sector and under-weighting the communication services sectors.
This was partially offset by poor performance from the Portfolio's positioning
within the consumer cyclical sector.
Index Plus Mid Cap: The Portfolio outperformed the S&P 400 MidCap Index during
the first half. The quantitative model used to manage this Portfolio provided
good discrimination between stocks with high relative returns and those with low
relative returns. The model's factors relating to price momentum and analyst
earnings estimates were particularly effective. This was partially offset by
poor discrimination in the P/E factor used in the model.
Outperformance during the first half came from the Portfolio's positions in the
technology, utility and financial sectors. This was partially offset by poor
performance from positioning within the capital goods and consumer cyclical
sectors.
See Definition of Terms. 5
<PAGE>
Index Plus Small Cap: The Portfolio underperformed the S&P 600 SmallCap Index
during the first half. The quantitative model used to manage this Portfolio
provided poor discrimination between stocks with high relative returns and those
with low relative returns. The model used to select stocks was updated at the
end of May and outperformed in its first month of use in June.
Underperformance during the first half came from positions in the healthcare and
consumer cyclical sectors. This was partially offset by superior performance
from the Portfolio's positioning within the technology sector.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The picture is mixed as the 2000 market heads into its second half. Robust
earnings growth, low inflation, and a friendly Fed have been key contributors to
the record returns generated by the bull market of the late 1990s. The earnings
outlook remains favorable, but inflation and the framework for monetary policy
have turned less auspicious. The wild volatility that characterized 2000's first
half is likely to persist into the second.
The two principal risks facing the market are the Fed's restrictive monetary
policy and the sharp difference in valuations between high P/E stocks in the
technology sector and the rest of the market. The danger inherent in the Fed's
current policy is the possibility of a sharper economic slow down than is
currently anticipated. On the valuation front, there were signs in the first
part of the second quarter that investors were beginning to cut back on their
technology holdings. However, valuations in that sector still remain
substantially higher than the relatively attractive valuations in the rest of
the market.
Although we are keenly aware of these potential imbalances in the market, we
remain committed to the disciplined, quantitative process that has worked so
well for us in the past. Our process is not based on macro-economic forecasting.
Instead it is based on stock-specific factors used in a multi-factor model to
evaluate each stock on its own merit. Importantly, P/E is one of the factors in
our model; a high P/E causes a stock to rank poorly unless it scores very highly
on all of the other factors in our model.
INDEX PLUS LARGE CAP:
<TABLE>
<CAPTION>
---------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
---------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 2.0% 2.0% --
Capital Goods 7.1% 7.8% (0.7)%
Communication Services 5.4% 6.9% (1.5)%
Consumer Cyclicals 7.4% 7.4% --
Consumer Staples 7.6% 10.0% (2.4)%
Energy 6.6% 5.4% 1.2%
Financials 12.2% 12.9% (0.7)%
Health Care 11.3% 11.5% (0.2)%
Technology 37.7% 33.0% 4.7%
Transportation 0.5% 0.6% (0.1)%
Utilities 2.2% 2.5% (0.3)%
</TABLE>
6 See Definition of Terms.
<PAGE>
INDEX PLUS LARGE CAP (CONTINUED):
<TABLE>
<CAPTION>
----------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
----------------------------------------------
<S> <C>
Intel Corp. 4.9%
Cisco Systems, Inc. 4.8%
General Electric Co. 3.7%
Exxon Mobil Corp. 3.0%
Microsoft Corp. 2.8%
Pfizer, Inc. 2.8%
Wal-Mart Stores, Inc. 2.4%
Citigroup, Inc. 2.3%
Nortel Networks Corp. 2.2%
Oracle Corp. 2.2%
</TABLE>
INDEX PLUS MID CAP:
<TABLE>
<CAPTION>
------------------------------------------------------------------------
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS MIDCAP 400 WEIGHTING
------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.6% 4.8% (1.2)%
Capital Goods 7.9% 8.1% (0.2)%
Communication Services 2.3% 1.8% 0.5%
Consumer Cyclicals 9.6% 12.4% (2.8)%
Consumer Staples 8.4% 7.6% 0.8 %
Energy 8.6% 7.7% 0.9 %
Financials 8.9% 10.5% (1.6)%
Health Care 13.4% 12.6% 0.8 %
Technology 27.8% 22.4% 5.4 %
Transportation 0.5% 1.3% (0.8)%
Utilities 9.0% 10.8% (1.8)%
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
-------------------------------------------------
<S> <C>
Univision Communications, Inc. 2.1%
Millennium Pharmaceuticals, Inc. 2.0%
Chiron Corp. 1.6%
Intuit, Inc. 1.6%
Atmel Corp. 1.5%
Vitesse Semiconductor Corp. 1.5%
Telephone & Data Systems, Inc. 1.2%
Dynegy, Inc. 1.1%
Symbol Technologies, Inc. 1.1%
Integrated Device Technology, Inc. 1.1%
</TABLE>
See Definition of Terms. 7
<PAGE>
INDEX PLUS SMALL CAP:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS SMALLCAP 600 WEIGHTING
--------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 2.8% 3.6% (0.8)%
Capital Goods 14.5% 14.3% 0.2%
Communication Services 0.1% 0.2% (0.1)%
Consumer Cyclicals 16.6% 17.0% (0.4)%
Consumer Staples 7.6% 8.0% (0.4)%
Energy 5.0% 4.7% 0.3%
Financials 10.0% 11.2% (1.2)%
Health Care 12.9% 12.2% 0.7%
Technology 25.8% 23.0% 2.8%
Transportation 2.2% 2.9% (0.7)%
Utilities 2.5% 2.9% (0.4)%
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
----------------------------------------------
<S> <C>
Mercury Interactive Corp. 1.9%
International Rectifier Corp. 1.1%
Jones Medical Industries, Inc. 1.1%
Lattice Semiconductor Corp. 1.0%
KEMET Corp. 0.9%
Techne Corp. 0.9%
Aspect Communications Corporation 0.8%
Henry (Jack) & Associates, Inc. 0.8%
Universal Health Services, Inc. 0.8%
Protein Design Labs, Inc. 0.8%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. 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.
(e) NASDAQ Composite Index is an unmanaged index of the National Market System
which includes over 5,000 stocks traded only over-the-counter and not on an
exchange.
(f) The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(g) S&P 500 Barra Value Index is the Standard & Poor's 500 Value Index.
Companies in each U.S. index are split into two groups based on
price-to-book ratio to create growth and value indices. The Value index
contains companies with lower price-to-book ratios, while the Growth index
contains those with higher ratios.
(h) S&P 500 Barra Growth Index is the Standard & Poor's 500 Growth Index.
Companies in each U.S. index are split into two groups based on
price-to-book ratio to create growth and value indices. The Growth index
contains companies with higher price-to-book ratios, while the Value index
contains those with lower ratios.
The unmanaged indices described above are not available for individual
investment.
9
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS BOND
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (94.6)
CORPORATE BONDS (37.6%)
AEROSPACE/DEFENSE (0.2%)
United Technologies Corp.,6.50%,06/01/09 . $ 30,000 $ 28,306
-----------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.5%)
Vodafone AirTouch Plc,7.63%,02/15/05 ++... 55,000 55,076
-----------
CORPORATE FINANCE (13.9%)
Associates Corp. N.A., 6.88%, 11/15/08 ... 100,000 93,310
AT&T Capital Corp., 6.75%, 02/04/02 ...... 80,000 78,898
Bank of America Corp., 5.75%, 03/01/04 ... 25,000 23,502
Citigroup Inc., 6.20%, 03/15/09 .......... 15,000 13,764
Citigroup Inc., 7.88%, 05/15/25 .......... 225,000 225,527
First Maryland Bancorp, 8.38%, 05/15/02 .. 300,000 304,005
First Union Corp., 6.95%, 11/01/04 ....... 60,000 58,187
Ford Motor Credit Corp., 7.38%, 10/28/09 . 100,000 96,727
Ford Motor Credit Corp., 7.50%, 03/15/05 . 100,000 99,250
General Electric Capital
Corp., 6.81%, 11/03/03................... 100,000 98,817
General Motors Acceptance Corp.,
7.75%, 01/19/10 ......................... 25,000 24,854
Homeside Lending Inc., 6.86%, 07/02/01 ... 250,000 248,750
Household Finance Corp., 7.88%, 03/01/07 . 60,000 59,767
Mellon Bank NA, 7.63%, 09/15/07 .......... 30,000 29,913
Morgan Stanley Dean Witter & Co.,
5.63%, 01/20/04 ......................... 30,000 28,291
Morgan Stanley Dean Witter & Co.,
7.13%, 01/15/03 ......................... 60,000 59,615
Textron Financial Corp.,7.13%,12/09/04 ... 75,000 73,517
-----------
1,616,694
-----------
CORPORATE FOREIGN (6.1%)
ABN AMRO Bank NV, 7.55%, 06/28/06 ........ 35,000 34,968
Ahold Finance USA Inc., 6.88%, 05/01/29 .. 50,000 41,292
Amoco Canada, 6.75%, 09/01/23 ............ 100,000 90,271
Cia. Transporte Energia, 8.63%, 04/01/03 ++ 250,000 238,125
DaimlerChrysler NA Holdings Inc.,
6.67%, 09/25/01 ......................... 100,000 99,864
Diageo Capital Plc, 7.25%, 11/01/09 ...... 80,000 80,205
Nova Scotia, 9.38%, 07/15/02 ............. 25,000 26,009
Quebec Province Co., 5.75%, 02/15/09 ..... 105,000 94,022
-----------
704,756
-----------
CORPORATE INDUSTRIAL - BASIC INDUSTRY (0.6%)
Dow Chemical Co., 7.38%, 11/01/29 ........ 30,000 29,087
E.I. Du Pont De Nemours
Corp., 6.75%, 10/15/04................... 35,000 34,477
63,564
-----------
CORPORATE INDUSTRIAL - CAPITAL GOODS (2.7%)
Bombardier Capital Inc., 6.00%, 01/15/02 . 30,000 29,250
Bombardier Capital Inc., 7.30%, 12/15/02 . 25,000 24,586
Lockheed Martin Corp., 7.25%, 05/15/06 ... 210,000 204,028
Lockheed Martin Corp., 7.95%, 12/01/05 ... 50,000 50,285
-----------
308,149
-----------
CORPORATE INDUSTRIAL - CONSUMER CYCLICAL (3.8%)
Dayton Hudson Co., 9.75%, 07/01/02 ....... 100,000 104,662
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
CORPORATE INDUSTRIAL - CONSUMER CYCLICAL (CONTINUED)
Federated Department Stores,
Inc., 8.13%, 10/15/02.................... $ 200,000 $ 202,004
Procter & Gamble Co., 6.60%, 12/15/04 .... 40,000 39,201
USL Capital Corp., 6.50%, 12/01/03 ....... 100,000 96,622
-----------
442,489
-----------
CORPORATE INDUSTRIAL - ENERGY (0.3%)
Baker Hughes Inc., 6.00%, 02/15/09 ....... 45,000 40,573
-----------
CORPORATE INDUSTRIAL - TECHNOLOGY (1.3%)
IBM Corp., 5.63%, 04/12/04 ............... 45,000 42,822
Lucent Technologies, Inc., 6.45%,
03/15/29 ................................ 50,000 43,829
Tyco International Group SA, 6.38%,
06/15/05 ................................ 70,000 66,775
-----------
153,426
-----------
CORPORATE INDUSTRIAL - TRANSPORTATION (0.3%)
Hertz Corp., 7.00%, 07/01/04 ............... 30,000 29,257
-----------
CORPORATE UTILITIES (5.4%)
AirTouch Communications,
Inc., 7.13%, 07/15/01.................... 250,000 249,210
Coastal Corp., 6.20%, 05/15/04 ........... 70,000 66,749
Duke Energy Corp., 6.00%, 12/01/28 ....... 160,000 126,727
Duke Energy Corp., 7.88%, 08/15/04 ....... 60,000 60,342
GTE North, Inc., 5.65%, 11/15/08 ......... 55,000 47,979
MCI WorldCom, Inc., 6.95%, 08/15/28 ...... 50,000 44,045
Sempra Energy, 7.95%, 03/01/10 ........... 35,000 35,296
-----------
630,348
-----------
ELECTRIC COMPANIES (0.6%)
Edison International Inc., 6.88%, 09/15/04 70,000 67,934
-----------
TELEPHONE (0.8%)
U.S. West Communications 100,000 98,239
Group, 7.20%, 11/01/04................... -----------
U.S. COMMERCIAL MORTGAGE BACKED (1.1%)
Capco America Securitization Corp.,
5.86%, 12/15/07 ......................... 87,867 82,837
General Motors Acceptance Corp.,
7.63%, 06/15/04 ......................... 50,000 50,024
-----------
132,861
-----------
TOTAL CORPORATE BONDS (COST $4,490,802) 4,371,672
-----------
NON-AGENCY MORTGAGE-BACKED SECURITIES (0.6%)
ASSET BACKED (0.6%)
Peco Energy Transition Trust
Co., 6.05%, 03/01/09..................... 80,000 74,704
-----------
TOTAL NON-AGENCY MORTGAGE-BACKED SECURITIES
(COST $80,000) 74,704
-----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (35.6%)
U.S. MORTGAGE BACKED - FHLMC (12.2%)
Federal Home Loan Mortgage
Corp., 6.00%, 07/01/29................... 97,189 89,050
Federal Home Loan Mortgage
Corp., 6.50%, 12/01/27................... 684,649 647,206
Federal Home Loan Mortgage
Corp., 6.88%, 01/15/05................... 200,000 198,750
Federal Home Loan Mortgage
Corp., 7.00%, 05/01/28................... 230,853 223,227
</TABLE>
10 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (CONTINUED)
U.S. MORTGAGE BACKED - FHLMC (CONTINUED)
Federal Home Loan Mortgage
Corp., 7.50%, 12/01/27................... $ 218,321 $ 215,592
Federal Home Loan Mortgage
Corp., 9.00%, 07/01/16-09/01/16.......... 42,550 43,574
-----------
1,417,399
-----------
U.S. MORTGAGE BACKED - FNMA (15.2%)
Federal National Mortgage
Association, 6.00%, 12/01/12-01/01/29.... 559,797 519,154
Federal National Mortgage
Association, 6.50%, 12/01/12-10/01/29.... 743,498 713,761
Federal National Mortgage
Association, 7.00%, 05/01/28-08/01/29.... 299,697 289,693
Federal National Mortgage
Association, 7.13%, 01/15/30............. 158,000 159,160
Federal National Mortgage
Association, 7.50%, 04/01/28............. 81,017 79,928
-----------
1,761,696
-----------
U.S. MORTGAGE BACKED - GNMA (8.2%)
Government National Mortgage
Association, 6.50%, 10/15/28-08/15/29.... 268,634 255,002
Government National Mortgage
Association, 7.00%, 03/15/27-05/15/28.... 297,785 289,575
Government National Mortgage
Association, 7.50%, 10/15/22-11/15/29.... 153,648 152,755
Government National Mortgage
Association, 8.00%, 04/15/17-08/15/17.... 251,775 256,414
-----------
953,746
-----------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $4,283,585) 4,132,841
-----------
U.S. GOVERNMENT OBLIGATIONS (20.8%)
U.S. GOVERNMENT - TREASURY (20.8%)
U.S. Treasury Bond, 6.13%, 08/15/07 ...... 608,000 603,914
U.S. Treasury Bond, 6.75%, 08/15/26 ...... 200,000 215,218
U.S. Treasury Bond, 7.25%, 05/15/16 ...... 155,000 170,839
U.S. Treasury Bond, 8.13%, 05/15/21 ...... 500,000 610,080
U.S. Treasury Bond, 11.75%, 11/15/14 ..... 160,000 220,374
U.S. Treasury Note, 5.63%, 05/15/08 ...... 150,000 144,703
U.S. Treasury Note, 5.88%, 11/15/04 ...... 46,000 45,332
U.S. Treasury Note, 6.50%, 03/31/02 ...... 285,000 285,177
U.S. Treasury Note, 6.75%, 05/15/05 ...... 20,000 20,466
U.S. Treasury Note, 8.75%, 05/15/17 ...... 30,000 37,786
U.S. Treasury Strip, Zero Coupon, 08/15/05 95,000 68,920
-----------
2,422,809
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $2,443,719) 2,422,809
-----------
TOTAL LONG-TERM BONDS AND NOTES 11,002,026
(COST $11,298,106) -----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (4.2%)
Federal Home Loan Mortgage
Corp., 6.43%, 07/18/00................... $ 483,000 $ 483,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $483,000) 483,000
-----------
TOTAL INVESTMENTS (COST $11,781,106)(a) 11,485,026
OTHER ASSETS LESS LIABILITIES 143,312
-----------
TOTAL NET ASSETS $11,628,338
===========
</TABLE>9
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$11,807,200. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains................................. $ 20,293
Unrealized losses................................ (342,467)
----------
Net unrealized loss............................. $ (322,174)
==========
</TABLE>
+ Securities that may be resold to "qualified institutional buyers" under
Rule 144A or securities offered pursuant to section 4(2) of the Securities
Act of 1933, as amended. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
Category percentages are based on net assets
See Notes to Financial Statements. 11
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS LARGE CAP
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS (97.3%)
AEROSPACE/DEFENSE (0.4%)
Boeing Co. .......................... 79,000 $ 3,303,187
General Dynamics Corp. .............. 18,100 945,725
Goodrich (B.F.) Co. ................. 11,800 401,938
Lockheed Martin Corp. ............... 17,800 441,662
Northrop Grumman Corp. .............. 6,200 410,750
---------------
5,503,262
---------------
AGRICULTURE (0.0%)
Archer-Daniels-Midland Co. .......... 58,900 577,956
---------------
AIR FREIGHT (0.1%)
FedEx Corporation + ................. 26,800 1,018,400
---------------
AIRLINES (0.2%)
AMR Corp. + ......................... 22,100 584,269
Delta Air Lines, Inc. ............... 10,900 551,131
Southwest Airlines Co. .............. 44,512 842,946
---------------
1,978,346
---------------
ALUMINUM (0.3%)
Alcan Aluminum Ltd. ................. 33,700 1,044,700
Alcoa Inc. .......................... 101,212 2,935,148
---------------
3,979,848
---------------
AUTO PARTS & EQUIPMENT (0.2%)
Cooper Tire & Rubber Co. ............ 8,300 92,338
Delphi Automotive Systems Corp. ..... 49,960 727,542
Genuine Parts Co. ................... 15,500 310,000
Goodyear Tire & Rubber Co. (The) .... 7,100 142,000
Snap-On, Inc. ....................... 5,100 135,788
TRW, Inc. ........................... 11,500 498,812
Visteon Corp. ....................... 17,663 214,162
---------------
2,120,642
---------------
AUTOMOBILES (0.9%)
Ford Motor Co. ...................... 134,900 5,800,700
General Motors Corp. + .............. 92,100 5,347,556
---------------
11,148,256
---------------
BANKS (MAJOR REGIONAL) (2.2%)
AmSouth Bancorporation .............. 17,400 274,050
Bank of New York Co., Inc. .......... 64,200 2,985,300
BB&T Corp. .......................... 32,100 766,387
Comerica, Inc. ...................... 14,650 657,419
Fifth Third Bancorp ................. 26,125 1,652,406
Firstar Corp. ....................... 87,900 1,851,394
Fleet Boston Financial Corp. ........ 125,300 4,260,200
Huntington Bancshares Inc. .......... 9,828 155,405
KeyCorp ............................. 19,900 350,738
Mellon Financial Corp. .............. 41,400 1,508,512
Northern Trust Corp. ................ 26,000 1,691,625
Old Kent Financial Corp. ............ 12,600 337,050
PNC Bank Corp. ...................... 27,200 1,275,000
SouthTrust Corp. .................... 22,400 506,800
State Street Corp. .................. 14,300 1,516,694
Summit Bancorp ...................... 16,300 401,388
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
BANKS (MAJOR REGIONAL) (CONTINUED)
Suntrust Banks, Inc. ................ 30,500 $ 1,393,469
Synovus Financial Corp. ............. 26,300 463,537
U.S. Bancorp ........................ 32,900 633,325
Union Planters Co. .................. 13,200 368,775
Wells Fargo & Co. ................... 136,700 5,297,125
---------------
28,346,599
---------------
BANKS (MONEY CENTER) (1.2%)
Bank of America Corp. ............... 150,200 6,458,600
Chase Manhattan Corp. ............... 104,200 4,799,713
First Union Corp. ................... 86,100 2,136,356
J.P. Morgan & Co. ................... 19,000 2,092,375
---------------
15,487,044
---------------
BEVERAGES (NON-ALCOHOLIC) (1.0%)
Coca-Cola Co. (The) ................. 219,600 12,613,275
---------------
BEVERAGES - ALCOHOLIC (0.3%)
Anheuser-Busch Co., Inc. ............ 53,100 3,965,906
Brown-Forman Corp. + ................ 3,600 193,500
Coors (Adolph) Co. .................. 3,400 205,700
---------------
4,365,106
---------------
BIOTECHNOLOGY (0.6%)
Amgen, Inc. + ....................... 91,700 6,441,925
Biogen, Inc. + ...................... 13,400 864,300
---------------
7,306,225
---------------
BROADCASTING (TV, RADIO & CABLE) (0.5%)
Clear Channel Communications, Inc. + 30,100 2,257,500
Mediaone Group, Inc.+ (1) ........... 56,900 3,773,252
---------------
6,030,752
---------------
BUILDING MATERIALS GROUP (0.0%)
Masco Corp. ......................... 19,900 359,444
---------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.7%)
Nextel Communications, Inc. + ....... 62,600 3,830,337
Sprint PCS + ........................ 77,800 4,629,100
---------------
8,459,437
---------------
CHEMICALS (0.7%)
Air Products and Chemicals, Inc. .... 21,600 665,550
Dow Chemical Co. .................... 79,300 2,393,869
Du Pont (E.I.) de Nemours ........... 92,900 4,064,375
Eastman Chemical Co. ................ 11,500 549,125
Praxair, Inc. ....................... 14,300 535,356
Rohm & Haas Co. ..................... 9,700 334,650
Union Carbide Corp. ................. 12,500 618,750
---------------
9,161,675
---------------
CHEMICALS - DIVERSIFIED (0.0%)
Engelhard Corp. ..................... 11,800 201,338
FMC Corp. + ......................... 4,900 284,200
---------------
485,538
---------------
CHEMICALS SPECIALITY (0.1%)
Ecolab, Inc. ........................ 12,300 480,469
Grace (W.R.) & Co. + ................ 7,800 94,575
Great Lakes Chemical Corp. .......... 5,400 170,100
</TABLE>
12 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
CHEMICALS SPECIALITY (CONTINUED)
International Flavors & Fragrances,
Inc................................. 9,200 $ 277,725
Sigma-Aldrich Corp. ................. 8,100 236,925
---------------
1,259,794
---------------
COMMUNICATIONS EQUIPMENT (5.4%)
ADC Telecommunications, Inc. + ...... 44,200 3,707,275
Andrew Corp. + ...................... 9,600 322,200
Comverse Technology, Inc. + ......... 23,600 2,194,800
Corning, Inc. ....................... 42,200 11,388,725
Lucent Technologies, Inc. ........... 136,000 8,058,000
Motorola, Inc. ...................... 195,897 5,693,257
Nortel Networks Corp. ............... 413,800 28,241,850
QUALCOMM Inc. + ..................... 87,000 5,220,000
Scientific-Atlanta, Inc. ............ 23,400 1,743,300
Tellabs, Inc. + ..................... 36,300 2,484,281
---------------
69,053,688
---------------
COMPUTERS (HARDWARE) (5.6%)
Apple Computer, Inc. + .............. 45,300 2,372,588
Compaq Computer Corp. ............... 143,100 3,657,994
Dell Computer Corp. + ............... 218,000 10,750,125
Gateway, Inc. + ..................... 37,700 2,139,475
Hewlett-Packard Co. ................. 110,900 13,848,637
International Business Machines Corp. 157,300 17,234,181
NCR Corp. + ......................... 9,400 366,013
Sun Microsystems, Inc. + ............ 232,300 21,124,781
---------------
71,493,794
---------------
COMPUTERS (NETWORKING) (5.1%)
Cisco Systems, Inc. + ............... 967,300 61,484,006
Network Appliance, Inc. + ........... 44,600 3,590,300
---------------
65,074,306
---------------
COMPUTERS (PERIPHERALS) (1.7%)
EMC Corp. + ......................... 254,100 19,549,819
Lexmark International Group, Inc. + . 15,000 1,008,750
Seagate Technology, Inc. + .......... 20,500 1,127,500
---------------
21,686,069
---------------
COMPUTERS SOFTWARE/SERVICES (7.9%)
Adobe Systems, Inc. ................. 14,000 1,820,000
America Online, Inc. + .............. 255,600 13,482,900
Autodesk, Inc. ...................... 5,400 187,313
BMC Software, Inc. + ................ 21,300 777,117
Citrix Systems, Inc. + .............. 20,800 393,900
Computer Associates International,
Inc................................. 52,400 2,682,225
Compuware Corp. + ................... 32,000 332,000
Mercury Interactive Corp. + ......... 9,300 899,775
Microsoft Corp. + ................... 443,500 35,480,000
Novell, Inc. + ...................... 29,900 276,575
Oracle Corp. + ...................... 332,400 27,942,375
Parametric Technology Co. + ......... 26,700 293,700
Peoplesoft, Inc. + .................. 23,600 395,300
Siebel Systems, Inc. + .............. 17,800 2,911,412
Unisys Corp. + ...................... 28,300 412,119
VERITAS Software Corp. + ............ 58,600 6,622,716
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMPUTERS SOFTWARE/SERVICES (CONTINUED)
Yahoo! Inc. + ....................... 49,500 $ 6,131,812
---------------
101,041,239
---------------
CONSTRUCTION (0.0%)
Vulcan Materials Co. ................ 9,400 401,263
---------------
CONSUMER FINANCE (0.5%)
Capital One Financial Corp. ......... 17,400 776,475
Household International, Inc. ....... 41,000 1,704,063
MBNA Corp. .......................... 69,900 1,896,037
Providian Financial Corp. ........... 16,700 1,503,000
---------------
5,879,575
---------------
CONTAINERS - METAL & GLASS (0.0%)
Ball Corp. .......................... 4,000 128,750
Owens-Illinois, Inc. + .............. 14,500 169,469
---------------
298,219
---------------
CONTAINERS/PACKAGING (PAPER) (0.0%)
Bemis Co., Inc. ..................... 4,900 164,762
Pactiv Corp. + ...................... 15,900 125,213
Temple-Inland Inc. .................. 4,600 193,200
---------------
483,175
---------------
DISTRIBUTORS (FOOD & HEALTH) (0.3%)
Cardinal Health, Inc. ............... 24,400 1,805,600
SUPERVALU, Inc. ..................... 10,900 207,781
Sysco Corp. ......................... 39,300 1,655,513
---------------
3,668,894
---------------
ELECTRIC COMPANIES (1.4%)
Ameren Corp. ........................ 11,800 398,250
American Electric Power Co. ......... 26,960 798,690
Cinergy Corp. ....................... 15,500 394,281
CMS Energy Corp. .................... 9,700 214,613
Consolidated Edison, Inc. ........... 20,900 619,162
Constellation Energy Group .......... 13,300 433,081
CP&L, Inc. .......................... 14,400 459,900
Dominion Resources, Inc. ............ 21,095 904,448
DTE Energy Co. ...................... 13,800 421,763
Duke Energy Corp. ................... 32,000 1,804,000
Edison International Inc. ........... 29,500 604,750
Entergy Corp. ....................... 22,900 622,594
FirstEnergy Corp. ................... 22,100 516,588
Florida Progress Corp. .............. 9,300 435,938
FPL Group, Inc. ..................... 17,000 841,500
GPU, Inc. ........................... 15,700 424,881
New Century Energies, Inc. .......... 10,500 315,000
Niagara Mohawk Holdings Inc. + ...... 8,000 111,500
Northern States Power Co. ........... 14,100 284,644
Peco Energy Co. ..................... 16,700 673,219
PG&E Corp. .......................... 35,600 876,650
Pinnacle West Capital Corp. ......... 7,500 254,063
PPL Corporation ..................... 20,700 454,106
Public Service Enterprise Group, Inc. 26,100 903,712
Reliant Energy Inc. ................. 25,200 744,975
Southern Co. ........................ 63,800 1,487,337
</TABLE>
See Notes to Portfolio of Investments. 13
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
TXU Corp. ........................... 25,967 $ 766,026
Unicom Corp. ........................ 19,100 738,931
---------------
17,504,602
---------------
ELECTRICAL EQUIPMENT (4.2%)
American Power Conversion Corp. + ... 17,200 701,975
Cooper Industries, Inc. ............. 8,900 289,806
Emerson Electric Co. ................ 37,600 2,270,100
General Electric Co. ................ 879,800 46,629,400
Molex, Inc. ......................... 8,700 418,688
Rockwell International Corp. ........ 22,000 693,000
Solectron Corp. + ................... 50,200 2,102,125
Thomas & Betts Corp. ................ 5,200 99,450
---------------
53,204,544
---------------
ELECTRONICS (COMPONENT DIST.) (0.0%)
Grainger (W.W.), Inc. ............... 8,800 271,150
---------------
ELECTRONICS (INSTRUMENTS) (0.2%)
Agilent Technologies, Inc. .......... 33,824 2,494,520
Perkin-Elmer Inc. + ................. 4,000 264,500
Tektronix, Inc. ..................... 4,100 303,400
---------------
3,062,420
---------------
ELECTRONICS (SEMICONDUCTORS) (8.1%)
Adaptec, Inc. + ..................... 13,600 309,400
Advanced Micro Devices Corp. + ...... 21,900 1,691,775
Altera Corp. + ...................... 29,700 3,027,544
Analog Devices, Inc. + .............. 49,400 3,754,400
Conexant Systems, Inc. + ............ 31,300 1,521,962
Intel Corp. ......................... 465,700 62,258,268
Linear Technology Corp. ............. 27,600 1,764,675
LSI Logic Corp. + ................... 36,000 1,948,500
Maxim Integrated Products, Inc. + ... 25,700 1,745,994
Micron Technology, Inc. + ........... 44,100 3,883,556
National Semiconductor Corp. + ...... 25,800 1,464,150
Texas Instruments, Inc. ............. 240,100 16,491,869
Xilinx, Inc. + ...................... 44,700 3,690,544
---------------
103,552,637
---------------
ENGINEERING & CONSTRUCTION (0.0%)
Fluor Corp. ......................... 7,200 227,700
---------------
ENTERTAINMENT (1.9%)
Time Warner, Inc. ................... 106,300 8,078,800
Viacom, Inc. + ...................... 125,500 8,557,531
Walt Disney Co. (The) + ............. 190,200 7,382,138
---------------
24,018,469
---------------
EQUIPMENT (SEMICONDUCTORS) (1.2%)
Applied Materials, Inc. + ........... 117,700 10,666,562
KLA Instruments Corp. + ............. 27,100 1,587,044
Novellus Systems, Inc. + ............ 18,200 1,029,438
Teradyne, Inc. + .................... 26,800 1,969,800
---------------
15,252,844
---------------
FINANCIAL (DIVERSIFIED) (4.4%)
American Express Co. ................ 112,600 5,869,275
Associates First Capital Corp. ...... 64,900 1,448,081
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
FINANCIAL (DIVERSIFIED) (CONTINUED)
Citigroup Inc. ...................... 495,700 $ 29,865,925
Federal National Mortgage Association 90,400 4,717,750
Freddie Mac Corp. ................... 66,000 2,673,000
Morgan Stanley Dean Witter & Co. .... 125,900 10,481,175
SLM Holding Corp. ................... 13,900 520,381
---------------
55,575,587
---------------
FOODS (1.5%)
Bestfoods ........................... 26,000 1,800,500
Conagra, Inc. ....................... 45,400 865,438
General Mills, Inc. ................. 26,100 998,325
Heinz (H.J.) Co. .................... 30,700 1,343,125
Hershey Foods Corp. ................. 9,700 470,450
Kellogg Co. ......................... 38,400 1,142,400
Nabisco Group Holdings Corp. ........ 14,500 376,094
PepsiCo, Inc. ....................... 130,200 5,785,762
Quaker Oats Co. ..................... 15,300 1,149,412
Ralston-Ralston Purina Group ........ 27,200 542,300
Sara Lee Corp. ...................... 79,500 1,535,344
Unilever NV ......................... 50,900 2,188,700
Wrigley (Wm.) Jr. Co. + ............. 8,800 705,650
---------------
18,903,500
---------------
FOOTWEAR (0.1%)
Nike, Inc. .......................... 15,700 625,056
---------------
GAMING, LOTTERY, & PARI-MUTUEL (0.0%)
Harrah's Entertainment, Inc. + ...... 15,000 314,063
---------------
GOLD/PRECIOUS METALS MINING (0.0%)
Newmont Mining Corp. ................ 16,300 352,488
---------------
HARDWARE & TOOLS (0.0%)
Black & Decker Corp. ................ 8,200 322,363
Stanley Works (The) ................. 8,200 194,750
---------------
517,113
---------------
HEALTH CARE (DRUGS) (0.1%)
Alza Corp. + ........................ 9,200 543,950
Watson Pharmaceuticals, Inc. + ...... 8,600 462,250
---------------
1,006,200
---------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (6.0%)
Eli Lilly & Co. ..................... 132,300 13,213,462
Merck & Co., Inc. ................... 204,000 15,631,500
Pfizer, Inc. ........................ 737,275 35,389,200
Pharmacia Corporation ............... 113,200 5,851,025
Schering Plough ..................... 132,700 6,701,350
---------------
76,786,537
---------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.2%)
HCA - The Healthcare Corp. .......... 48,100 1,461,037
Tenet Healthcare Corp. + ............ 28,200 761,400
---------------
2,222,437
---------------
HEALTH CARE (MANAGED CARE) (0.1%)
Humana, Inc. + ...................... 7,900 38,512
UnitedHealth Group Incorporated ..... 14,400 1,234,800
Wellpoint Health Networks, Inc. + ... 5,200 376,675
---------------
1,649,987
---------------
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.9%)
Bard (C.R.) Inc. .................... 4,100 $ 197,313
Bausch & Lomb, Inc. ................. 5,000 386,875
Baxter International, Inc. .......... 27,500 1,933,594
Becton, Dickinson & Co. ............. 11,200 321,300
Biomet, Inc. ........................ 10,900 418,969
Guidant Corp. + ..................... 29,600 1,465,200
Medtronic, Inc. + ................... 108,000 5,379,750
PE Corp-PE Biosystems Group ......... 18,500 1,218,687
Saint Jude Medical, Inc. + .......... 7,900 362,412
---------------
11,684,100
---------------
HEALTH CARE (SPECIAL SERVICES) (0.0%)
HEALTHSOUTH Corp. + ................. 17,300 124,344
---------------
HEALTH CARE DIVERSIFIED (3.0%)
Abbott Laboratories ................. 141,000 6,283,313
Allergan, Inc. ...................... 11,500 856,750
American Home Products Corp. ........ 55,000 3,231,250
Bristol-Myers Squibb Co. ............ 180,600 10,519,950
Johnson & Johnson ................... 162,900 16,595,437
Mallinckrodt Inc. ................... 6,500 282,344
---------------
37,769,044
---------------
HOMEBUILDING (0.0%)
Centex Corp. ........................ 3,900 91,650
Pulte Corp. ......................... 2,700 58,388
---------------
150,038
---------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Leggett & Platt, Inc. ............... 18,600 306,900
Maytag Corp. ........................ 7,200 265,500
Whirlpool Corp. ..................... 11,800 550,175
---------------
1,122,575
---------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.8%)
Clorox Co. .......................... 21,100 945,544
Colgate-Palmolive Co. ............... 50,600 3,029,675
Fort James Corp. .................... 18,300 423,187
Kimberly-Clark Corp. ................ 47,800 2,742,525
Procter & Gamble Co. ................ 57,900 3,314,775
---------------
10,455,706
---------------
HOUSEWARES (0.1%)
Fortune Brands, Inc. ................ 16,500 380,531
Newell Rubbermaid Inc. .............. 24,400 628,300
Tupperware Corp. .................... 5,100 112,200
---------------
1,121,031
---------------
INSURANCE (LIFE/HEALTH) (0.3%)
AFLAC, Inc. ......................... 24,600 1,130,062
American General Corp. .............. 21,721 1,324,981
Jefferson-Pilot Corp. ............... 10,950 617,991
Lincoln National Corp. .............. 19,800 715,275
Torchmark Corp. ..................... 12,300 303,656
---------------
4,091,965
---------------
INSURANCE (MULTI-LINE) (1.5%)
American International Group, Inc. .. 136,800 16,074,000
CIGNA Corp. ......................... 19,600 1,832,600
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
INSURANCE (MULTI-LINE) (CONTINUED)
Hartford Financial Services Group,
Inc................................. 19,100 $ 1,068,406
Loews Corp. ......................... 10,300 618,000
---------------
19,593,006
---------------
INSURANCE (PROPERTY - CASUALTY) (0.2%)
Chubb Corp. ......................... 7,900 485,850
Cincinnati Financial Corp. .......... 14,100 443,269
MBIA, Inc. .......................... 9,400 452,962
MGIC Investment Corp. ............... 14,400 655,200
St. Paul Co., Inc. .................. 19,202 655,268
---------------
2,692,549
---------------
INSURANCE BROKERS (0.3%)
Aon Corp. ........................... 23,100 717,544
Marsh & McLennan Co., Inc. .......... 23,500 2,454,281
---------------
3,171,825
---------------
INVESTMENT BANKING/BROKERAGE (1.0%)
Bear Stearns Co., Inc. (The) ........ 14,100 586,913
Charles Schwab Corp. ................ 120,800 4,061,900
Lehman Brothers Holdings Inc. ....... 18,600 1,758,862
Merrill Lynch & Co., Inc. ........... 45,300 5,209,500
Paine Webber Group Inc. ............. 17,200 782,600
---------------
12,399,775
---------------
INVESTMENT MANAGEMENT (0.1%)
Franklin Resources, Inc. ............ 21,900 665,213
T. Rowe Price & Associates .......... 10,700 454,750
---------------
1,119,963
---------------
LEISURE TIME (PRODUCTS) (0.1%)
Brunswick Corp. ..................... 11,900 197,094
Harley-Davidson, Inc. ............... 29,000 1,116,500
Hasbro, Inc. ........................ 18,200 274,137
Mattel, Inc. ........................ 18,900 249,244
---------------
1,836,975
---------------
LODGING - HOTELS (0.1%)
Carnival Corp. ...................... 26,800 522,600
Hilton Hotels Corp. ................. 32,700 306,563
Marriott International, Inc. ........ 23,000 829,437
---------------
1,658,600
---------------
MACHINERY - DIVERSIFIED (0.3%)
Caterpillar, Inc. ................... 31,700 1,073,837
Deere & Co. ......................... 34,300 1,269,100
Dover Corp. ......................... 17,900 726,069
Ingersoll-Rand Co. .................. 14,600 587,650
Timken Co. .......................... 5,400 100,575
---------------
3,757,231
---------------
MANUFACTURING (DIVERSIFIED) (1.5%)
Crane Co. ........................... 6,200 150,738
Danaher Corp. ....................... 12,300 608,081
Eaton Corp. ......................... 9,400 629,800
Honeywell International Inc. ........ 71,900 2,422,131
Illinois Tool Works, Inc. ........... 27,000 1,539,000
ITT Industries, Inc. ................ 8,200 249,075
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
MANUFACTURING (DIVERSIFIED) (CONTINUED)
Johnson Controls, Inc. .............. 10,900 $ 559,306
Minnesota Mining and Manufacturing
Co.................................. 35,200 2,904,000
National Service Industries, Inc. ... 3,600 70,200
Parker-Hannifin Corp. ............... 14,300 489,775
PPG Industries Inc. ................. 20,700 917,269
Textron, Inc. ....................... 12,800 695,200
Thermo Electron Corp. + ............. 14,900 313,831
Tyco International Ltd. ............. 155,500 7,366,813
---------------
18,915,219
---------------
MANUFACTURING (SPECIALIZED) (0.4%)
Avery Dennison Corp. ................ 9,900 664,537
Briggs & Stratton Corp. ............. 2,500 85,625
Millipore Corp. ..................... 6,800 512,550
Pall Corp. .......................... 15,700 290,450
Sealed Air Corp. + .................. 7,500 392,813
United Technologies Corp. ........... 41,700 2,455,087
---------------
4,401,062
---------------
METALS MINING (0.0%)
Freeport-McMoRan Copper &
Gold, Inc.+......................... 13,000 120,250
Phelps Dodge Corp. .................. 7,000 260,313
---------------
380,563
---------------
MISCELLANEOUS METALS (0.1%)
Barrick Gold Corp. .................. 37,500 682,031
Inco Ltd. + ......................... 28,100 432,038
Placer Dome, Inc. ................... 31,500 301,219
---------------
1,415,288
---------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.7%)
Coastal Corp. (The) ................. 19,000 1,156,625
Columbia Energy Group ............... 7,100 465,937
Eastern Enterprises ................. 1,300 81,900
El Paso Energy Corp. ................ 21,300 1,084,969
Enron Corp. ......................... 61,700 3,979,650
NICOR, Inc. ......................... 4,200 137,025
ONEOK, Inc. ......................... 2,900 75,219
People's Energy Corp. ............... 3,300 106,837
Sempra Energy ....................... 22,600 384,200
Williams Co., Inc. (The) ............ 19,700 821,244
---------------
8,293,606
---------------
OFFICE EQUIPMENT & SUPPLIES (0.0%)
Pitney Bowes, Inc. .................. 10,900 436,000
---------------
OIL (1.2%)
Royal Dutch Petroleum Co. ........... 251,100 15,458,344
---------------
OIL & GAS (DRILLING & EQUIPMENT) (0.3%)
Baker Hughes Inc. ................... 29,700 950,400
Rowan Co., Inc. + ................... 13,400 407,025
Schlumberger, Ltd. .................. 25,200 1,880,550
---------------
3,237,975
---------------
OIL & GAS (EXPLORATION/PRODUCTION) (0.5%)
Anadarko Petroleum Corp. ............ 18,500 912,281
Apache Corp. ........................ 17,800 1,046,863
Burlington Resources, Inc. .......... 25,200 963,900
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
OIL & GAS (EXPLORATION/PRODUCTION) (CONTINUED)
Kerr-McGee Corp. .................... 13,500 $ 795,656
Union Pacific Resources Group Inc. .. 40,100 882,200
Unocal Corp. ........................ 35,800 1,185,875
---------------
5,786,775
---------------
OIL & GAS (REFINING & MARKETING) (0.1%)
Ashland Oil, Inc. ................... 6,400 224,400
Sunoco Inc. ......................... 13,300 391,519
Tosco Corp. ......................... 22,000 622,875
---------------
1,238,794
---------------
OIL (DOMESTIC INTEGRATED) (0.5%)
Amerada Hess Corp. .................. 13,000 802,750
Conoco Inc. ......................... 41,000 1,007,063
Occidental Petroleum Corp. .......... 57,000 1,200,562
Phillips Petroleum Co. .............. 36,500 1,850,094
USX-Marathon Group .................. 45,600 1,142,850
---------------
6,003,319
---------------
OIL (INTERNATIONAL INTEGRATED) (4.0%)
Chevron Corp. ....................... 95,400 8,091,112
Exxon Mobil Corp. ................... 484,100 38,001,850
Texaco, Inc. ........................ 82,300 4,382,475
---------------
50,475,437
---------------
PAPER & FOREST PRODUCTS (0.3%)
Boise Cascade Corp. ................. 5,000 129,375
Georgia-Pacific Corp. ............... 20,500 538,125
International Paper Co. ............. 46,985 1,400,744
Louisiana-Pacific Corp. ............. 10,100 109,837
Mead Corp. .......................... 9,000 227,250
Potlatch Corp. ...................... 2,500 82,813
Westvaco Corp. ...................... 9,400 233,237
Weyerhaeuser Co. .................... 27,100 1,165,300
Willamette Industries, Inc. ......... 9,700 264,325
---------------
4,151,006
---------------
PERSONAL CARE (0.3%)
Alberto-Culver Co. .................. 3,100 94,744
Avon Products, Inc. ................. 10,500 467,250
Gillette Co. ........................ 92,600 3,235,212
---------------
3,797,206
---------------
PHOTOGRAPHY/IMAGING (0.2%)
Eastman Kodak Co. ................... 29,600 1,761,200
Polaroid Corp. ...................... 4,200 75,862
Xerox Corp. ......................... 29,800 618,350
---------------
2,455,412
---------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
AES Corp. + ......................... 36,400 1,660,750
---------------
PUBLISHING (0.1%)
Harcourt General, Inc. .............. 4,500 244,688
McGraw-Hill Co., Inc. ............... 18,600 1,004,400
Meredith Corp. ...................... 3,600 121,500
---------------
1,370,588
---------------
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
PUBLISHING - NEWSPAPERS (0.4%)
Dow Jones & Co., Inc. ............... 8,100 $ 593,325
Gannett Co., Inc. ................... 25,400 1,519,238
Knight-Ridder, Inc. ................. 5,200 276,575
New York Times Co. .................. 20,300 801,850
Times Mirror Company (2) ............ 3,600 325,888
Tribune Co. ......................... 28,200 987,000
---------------
4,503,876
---------------
RAILROADS (0.3%)
Burlington Northern Santa Fe Corp. .. 41,100 942,731
Kansas City Southern Industries, Inc. 13,100 1,161,806
Norfolk Southern Corp. .............. 17,000 252,875
Union Pacific Corp. ................. 24,200 899,938
---------------
3,257,350
---------------
RESTAURANTS (0.2%)
Darden Restaurants, Inc. ............ 12,500 203,125
McDonald's Corp. .................... 59,400 1,956,487
Tricon Global Restaurants, Inc. + ... 13,400 378,550
Wendy's International, Inc. ......... 13,400 238,688
---------------
2,776,850
---------------
RETAIL (BUILDING SUPPLIES) (1.0%)
Home Depot, Inc. .................... 204,900 10,232,194
Lowe's Co., Inc. .................... 57,700 2,369,306
Sherwin-Williams Co. ................ 15,700 332,644
---------------
12,934,144
---------------
RETAIL (COMPUTERS & ELECTRONICS) (0.3%)
Best Buy Co., Inc. + ................ 24,200 1,530,650
Circuit City Stores, Inc. ........... 18,200 604,013
RadioShack Corporation .............. 27,300 1,293,337
---------------
3,428,000
---------------
RETAIL (DISCOUNTERS) (0.0%)
Dollar General Corp. ................ 29,546 576,147
---------------
RETAIL - DEPARTMENT STORES (0.4%)
Dillards, Inc. ...................... 9,000 110,250
Federated Department Stores, Inc. + . 31,300 1,056,375
J.C. Penney Co., Inc. ............... 11,600 213,875
Kohl's Corp. + ...................... 28,400 1,579,750
May Department Stores Co. ........... 14,200 340,800
Nordstrom, Inc. ..................... 11,800 284,675
Sears, Roebuck & Co. ................ 31,300 1,021,162
---------------
4,606,887
---------------
RETAIL - GENERAL MERCHANDISE CHAIN (2.7%)
Costco Wholesale Corp. + ............ 19,900 656,700
Target Corporation .................. 54,000 3,132,000
Wal-Mart Stores, Inc. ............... 523,400 30,160,925
---------------
33,949,625
---------------
RETAIL - SPECIALITY (0.1%)
AutoZone, Inc. + .................... 12,000 264,000
Bed Bath & Beyond, Inc. + ........... 21,200 768,500
---------------
1,032,500
---------------
RETAIL SPECIALITY - APPAREL (0.3%)
Gap, Inc. ........................... 75,550 2,360,937
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
RETAIL SPECIALITY - APPAREL (CONTINUED)
The Limited, Inc. ................... 61,800 $ 1,336,425
TJX Companies, Inc. ................. 27,300 511,875
---------------
4,209,237
---------------
RETAIL STORES - DRUG STORE (0.4%)
CVS Corp. ........................... 35,100 1,404,000
Longs Drug Stores, Inc. ............. 3,700 80,475
Walgreen Co. ........................ 94,300 3,035,281
---------------
4,519,756
---------------
RETAIL STORES - FOOD CHAINS (0.2%)
Safeway, Inc. + ..................... 44,800 2,021,600
---------------
SAVINGS & LOAN COMPANIES (0.1%)
Golden West Financial Corp. ......... 17,600 718,300
Washington Mutual Fin. Corp. ........ 24,300 701,663
---------------
1,419,963
---------------
SERVICES (ADVERTISING/MARKETING) (0.2%)
Interpublic Group of Co., Inc. (The) 26,500 1,139,500
Omnicom Group, Inc. ................. 16,800 1,496,250
Young And Rubicam, Inc. + ........... 6,700 383,156
---------------
3,018,906
---------------
SERVICES (COMMERCIAL & CONSUMER) (0.2%)
Cendant Corp. + ..................... 68,500 959,000
Dun & Bradstreet Corp. .............. 15,200 435,100
H&R Block, Inc. ..................... 8,800 284,900
IMS Health, Inc. .................... 26,300 473,400
---------------
2,152,400
---------------
SERVICES (COMPUTER SYSTEMS) (0.3%)
Computer Sciences Corp. + ........... 15,500 1,157,656
Electronic Data Systems Corp. ....... 42,600 1,757,250
Sabre Holdings Corporation .......... 10,044 286,254
Sapient Corp. + ..................... 8,600 919,663
---------------
4,120,823
---------------
SERVICES (DATA PROCESSING) (0.5%)
Automatic Data Processing, Inc. ..... 58,500 3,133,406
Equifax, Inc. ....................... 6,300 165,375
First Data Corp. .................... 36,600 1,816,275
Paychex, Inc. ....................... 34,500 1,449,000
---------------
6,564,056
---------------
SPECIALITY PRINTING (0.0%)
Deluxe Corp. ........................ 7,100 167,294
RR Donnelley & Sons Co. ............. 11,000 248,187
---------------
415,481
---------------
STEEL (0.1%)
Allegheny Technologies Incorporated . 3,700 66,600
Nucor Corp. ......................... 10,200 338,512
USX-US Steel Group, Inc. ............ 11,000 204,188
Worthington Industries .............. 7,800 81,900
---------------
691,200
---------------
TELEPHONE (2.9%)
ALLTEL Corp. ........................ 28,400 1,759,025
Bell Atlantic Corp. ................. 130,300 6,620,869
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
TELEPHONE (CONTINUED)
BellSouth Corp. ..................... 169,600 $ 7,229,200
CenturyTel, Inc. .................... 6,100 175,375
GTE Corp. ........................... 81,100 5,048,475
SBC Communications, Inc. ............ 286,700 12,399,775
U.S. WEST, Inc. ..................... 42,800 3,670,100
---------------
36,902,819
---------------
TELEPHONE LONG DISTANCE (1.6%)
AT&T Corp. .......................... 139,500 4,411,688
Global Crossing Holdings Ltd. + ..... 41,200 1,084,075
Sprint Corp. ........................ 66,600 3,396,600
WorldCom, Inc. ...................... 254,000 11,652,250
---------------
20,544,613
---------------
TEXTILES (APPAREL) (0.1%)
Liz Claiborne, Inc. ................. 8,100 285,525
Russell Corporation ................. 3,100 62,000
VF Corp. ............................ 10,400 247,650
---------------
595,175
---------------
TEXTILES (HOME FURNISHINGS) (0.0%)
Springs Industries, Inc. - Class A .. 900 28,969
---------------
TOBACCO (0.5%)
Philip Morris Co., Inc. ............. 208,700 5,543,593
UST, Inc. ........................... 16,100 236,469
---------------
5,780,062
---------------
TRUCKERS (0.0%)
Ryder System, Inc. .................. 6,100 115,519
---------------
TRUCKS & PARTS (0.1%)
Cummins Engine Co., Inc. ............ 5,500 149,875
Navistar International Corp. + ...... 10,000 310,625
PACCAR, Inc. ........................ 9,300 369,095
---------------
829,595
---------------
TOTAL COMMON STOCKS
(COST $1,161,048,626) 1,237,550,779
---------------
PREFERRED STOCKS (0.1%)
Seagram Co. Ltd. .................... 19,400 1,125,200
TOTAL PREFERRED STOCKS ---------------
(COST $1,130,475) 1,125,200
---------------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.4%)
Federal Home Loan Mortgage
Corp., 6.43%, 07/18/00.............. $30,375,000 30,375,000
---------------
TOTAL SHORT-TERM INVESTMENTS 30,375,000
(COST $30,375,000) ---------------
TOTAL INVESTMENTS
(COST $1,192,554,101)(a) 1,269,050,979
OTHER ASSETS LESS LIABILITIES 2,934,941
---------------
TOTAL NET ASSETS $1,271,985,920
===============
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$1,241,964,643. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains....................... $115,115,848
Unrealized losses...................... (88,029,512)
------------
Net unrealized gain................... $ 27,086,336
============
</TABLE>
+ Non-income producing security.
(1) AT&T Corp. acquired MediaOne Group on June 15, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of MediaOne
Group on June 30, 2000 reflects the fair value of the AT&T Corp. offer.
(2) Tribune Co. acquired Times Mirror Co. on June 12, 2000. As of June 30, 2000
the acquisition was not completed, therefore, the market value of Times
Mirror Co. on June 30, 2000 reflects the fair value of the Tribune Co.
offer.
Category percentages are based on net assets.
18 See Notes to Financial Statements.
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS MID CAP
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- --------------
<S> <C> <C>
COMMON STOCKS (95.7%)
AEROSPACE/DEFENSE (0.4%)
Newport News Shipbuilding, Inc. ........ 2,000 $ 73,500
Precision Castparts Corp. .............. 1,200 54,300
Sequa Corp. + .......................... 200 7,637
-------------
135,437
-------------
AGRICULTURE (0.1%)
Universal Corp. ........................ 900 19,013
-------------
AIR FREIGHT (0.1%)
Airborne Freight Corp. ................. 600 11,363
CNF Transportation, Inc. ............... 600 13,650
-------------
25,013
-------------
ALUMINUM (0.0%)
Maxxam, Inc. + ......................... 100 1,775
-------------
AUTO PARTS & EQUIPMENT (0.6%)
Arvin Industries, Inc. ................. 800 13,900
Bandag, Inc. ........................... 900 21,825
Borg-Warner Automotive, Inc. ........... 800 28,100
Federal-Mogul Corp. .................... 800 7,650
Lear Corp. + ........................... 1,800 36,000
Mark IV Industries, Inc. ............... 1,200 25,050
Meritor Automotive, Inc. ............... 2,700 29,700
Modine Manufacturing Co. ............... 400 10,800
Superior Industries International, Inc. 1,100 28,325
-------------
201,350
-------------
BANKS (REGIONAL) (3.8%)
Associated Banc-Corp. .................. 1,870 40,789
Banknorth Group, Inc. .................. 5,400 82,687
CCB Financial Corp. .................... 1,300 48,100
City National Corp. .................... 1,400 48,650
Compass Bancshares Inc. ................ 3,800 64,837
First Security Corp. ................... 5,950 80,697
First Tennessee National Corp. ......... 1,400 23,188
First Virginia Banks, Inc. ............. 1,700 59,181
FirstMerit Corp. ....................... 2,900 61,987
Hibernia Corp. ......................... 4,700 51,113
Keystone Financial, Inc. ............... 600 12,750
Marshall & Ilsley Corp. ................ 3,600 149,400
Mercantile Bankshares Corp. ............ 2,300 68,569
National Commerce Bancorporation ....... 3,600 57,825
North Fork Bancorp, Inc. ............... 5,800 87,725
Pacific Century Financial Corp. ........ 3,500 51,188
Provident Financial Group, Inc. ........ 1,600 38,100
TCF Financial Corp. .................... 2,700 69,356
Westamerica Bancorporation ............. 1,200 31,350
Wilmington Trust Corp. ................. 800 34,200
Zions Bancorporation ................... 2,800 128,494
-------------
1,290,186
-------------
BEVERAGES (NON-ALCOHOLIC) (0.2%)
Whitman Corp. .......................... 4,600 56,925
------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
BIOTECHNOLOGY (5.4%)
Chiron Corp. + ......................... 11,700 $ 555,750
Genzyme Corp. + ........................ 3,100 184,256
Gilead Sciences, Inc. + ................ 1,400 99,575
IDEC Pharmaceuticals Corp. + ........... 1,400 164,238
Incyte Pharmaceuticals, Inc. + ......... 2,000 164,375
Millennium Pharmaceuticals, Inc. + ..... 6,000 671,250
-------------
1,839,444
-------------
BROADCASTING (TV, RADIO & CABLE) (3.8%)
Chris-Craft Industries, Inc. + ......... 2,224 146,923
Hispanic Broadcasting Corp. + .......... 5,400 178,875
Univision Communications, Inc. + ....... 6,700 693,450
Westwood One, Inc. + ................... 7,300 249,112
-------------
1,268,360
-------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.5%)
COMSAT Corp. ........................... 700 17,281
Powerwave Technologies, Inc. + ......... 3,600 158,400
-------------
175,681
-------------
CHEMICALS (0.6%)
Airgas, Inc. + ......................... 1,900 10,806
Cabot Corp. ............................ 2,300 62,675
Georgia Gulf Corp. ..................... 1,500 31,219
IMC Global, Inc. ....................... 3,500 45,500
Lyondell Petrochemical Co. ............. 4,000 67,000
-------------
217,200
-------------
CHEMICALS - DIVERSIFIED (0.1%)
Olin Corp. ............................. 1,800 29,700
-------------
CHEMICALS SPECIALITY (1.0%)
Albemarle Corp. ........................ 1,900 37,525
Crompton Corp. ......................... 1,446 17,714
Cytec Industries Inc. + ................ 1,400 34,563
Dexter Corp. ........................... 800 38,400
Ethyl Corp. ............................ 1,800 4,500
Ferro Corp. ............................ 1,000 21,000
Fuller (H.B.) Co. ...................... 500 22,781
Hanna (M.A.) Co. ....................... 1,200 10,800
Lubrizol Corp. (The) ................... 1,800 37,800
Minerals Technologies Inc. ............. 800 36,800
RPM, Inc. .............................. 3,500 35,437
Schulman (A.), Inc. .................... 400 4,825
Valspar Corp. (The) .................... 1,500 50,625
-------------
352,770
-------------
COMMUNICATIONS EQUIPMENT (1.9%)
ADTRAN, Inc. + ......................... 1,300 77,838
ANTEC Corporation + .................... 2,200 91,437
CommScope, Inc. + ...................... 1,700 69,700
Harris Corp. ........................... 2,300 75,325
L-3 Communications Holdings, Inc. + .... 1,400 79,887
Polycom, Inc. + ........................ 1,300 122,322
Sawtek, Inc. + ......................... 2,400 138,150
-------------
654,659
-------------
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
<S> <C> <C>
COMPUTERS (PERIPHERALS) (0.2%)
Quantum Corp. .......................... 5,300 $ 51,344
Storage Technology Corp. + ............. 2,700 29,531
-------------
80,875
-------------
COMPUTERS SOFTWARE/SERVICES (8.5%)
Affiliated Computer Services, Inc. + ... 1,300 42,981
Cadence Design Systems, Inc. + ......... 12,400 252,650
Electronic Arts, Inc. + ................ 2,200 160,462
Galileo International, Inc. ............ 3,000 62,625
Informix Corp. + ....................... 16,500 122,719
Intuit Inc. + .......................... 13,000 537,875
Legato Systems, Inc. + ................. 3,800 57,475
Macromedia, Inc. + ..................... 2,500 241,719
Mentor Graphics Corp. + ................ 3,200 63,600
Network Associates, Inc. + ............. 9,200 187,450
NVIDIA Corp. + ......................... 4,100 260,606
Rational Software Corp. + .............. 2,900 269,519
Structural Dynamics Research Corp. + ... 700 10,544
Sybase, Inc. + ......................... 5,100 117,300
Symantec Corp. + ....................... 4,000 215,750
Synopsys, Inc. + ....................... 3,500 120,969
Titan Corporation (The) + .............. 2,900 129,775
Transaction Systems Architects, Inc. + . 1,000 17,125
-------------
2,871,144
-------------
CONSTRUCTION (0.4%)
Martin Marietta Materials, Inc. ........ 1,500 60,656
Southdown, Inc. ........................ 1,100 63,525
-------------
124,181
-------------
CONSUMER (JEWELRY/NOVELTIES) (0.2%)
Blyth Industries, Inc. + ............... 1,300 38,350
Lancaster Colony Corp. ................. 1,400 26,863
-------------
65,213
-------------
CONSUMER FINANCE (0.4%)
PMI Group, Inc. (The) .................. 2,800 133,000
-------------
CONTAINERS/PACKAGING (PAPER) (0.2%)
Sonoco Products Co. .................... 2,680 55,108
-------------
DISTRIBUTORS (FOOD & HEALTH) (0.0%)
PSS World Medical, Inc. + .............. 2,100 14,109
-------------
ELECTRIC COMPANIES (5.1%)
Allegheny Energy, Inc. ................. 3,500 95,812
Alliant Energy Corp. ................... 2,700 70,200
Black Hills Corp. ...................... 400 9,025
Cleco Corp. ............................ 500 16,750
CMP Group Inc. ......................... 1,000 29,313
Conectiv, Inc. ......................... 2,425 37,739
DPL Inc. ............................... 4,200 92,137
DQE, Inc. .............................. 2,500 98,750
Energy East Corp. ...................... 4,200 80,063
Hawaiian Electric Industries, Inc. ..... 1,100 36,094
Idacorp Inc. ........................... 1,000 32,250
IPALCO Enterprises, Inc. .............. 2,400 48,300
Kansas City Power & Light Co. .......... 2,200 49,500
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
ELECTRIC COMPANIES (CONTINUED)
LG&E Energy Corp. ...................... 4,200 $ 100,275
Minnesota Power, Inc. .................. 2,300 39,819
Montana Power Co. ...................... 3,800 134,187
NiSource Inc. .......................... 1,600 29,800
Northeast Utilities Corp. + ............ 5,000 108,750
NSTAR .................................. 1,900 77,306
OGE Energy Corp. ....................... 2,100 38,850
Potomac Electric Power Co. ............. 3,400 85,000
Public Service Co. of New Mexico ....... 1,500 23,156
Puget Sound Energy, Inc. ............... 2,400 51,150
Scana Corp. ............................ 3,600 86,850
Sierra Pacific Resources Corp. ......... 2,500 31,406
Teco Energy, Inc. ...................... 4,400 88,275
UtiliCorp United Inc. .................. 2,700 53,663
Wisconsin Energy Corp. ................. 3,600 71,325
-------------
1,715,745
-------------
ELECTRICAL EQUIPMENT (3.3%)
Hubbell, Inc. + ........................ 1,700 43,350
SCI Systems, Inc. + .................... 5,300 207,694
Sensormatic Electronics Corp. + ........ 2,400 37,950
SPX Corp. + ............................ 1,100 133,031
Symbol Technologies, Inc. .............. 6,862 370,548
Vishay Intertechnology, Inc. + ......... 8,900 337,644
-------------
1,130,217
-------------
ELECTRONICS (COMPONENT DIST.) (0.7%)
Arrow Electronics, Inc. + .............. 4,800 148,800
Avnet, Inc. ............................ 1,400 82,950
-------------
231,750
-------------
ELECTRONICS (DEFENSE) (0.2%)
Litton Industries, Inc. + .............. 1,300 54,600
-------------
ELECTRONICS (INSTRUMENTS) (0.9%)
Waters Corp. + ......................... 2,300 287,069
-------------
ELECTRONICS (SEMICONDUCTORS) (8.5%)
Atmel Corp. + .......................... 14,000 516,250
Burr-Brown Corp. + ..................... 1,800 156,037
Cirrus Logic, Inc. + ................... 3,500 56,000
Cypress Semiconductor Corp. + .......... 7,800 329,550
Integrated Device Technology, Inc. + ... 6,100 365,237
Micrel, Inc. + ......................... 2,800 121,625
Microchip Technology, Inc. + ........... 2,800 163,144
QLogic Corp. + ......................... 4,300 284,069
Transwitch Corp. + ..................... 2,000 154,375
TriQuint Semiconductor, Inc. + ......... 2,500 239,219
Vitesse Semiconductor Corp. + .......... 6,800 500,225
-------------
2,885,731
-------------
ENGINEERING & CONSTRUCTION (0.4%)
Granite Construction, Inc. ............. 1,000 24,500
Jacobs Engineering Group, Inc. + ....... 600 19,612
Quanta Services, Inc. .................. 1,900 104,500
-------------
148,612
-------------
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
FINANCIAL (DIVERSIFIED) (0.4%)
AMBAC, Inc. ............................ 2,200 $ 120,588
------------
FOODS (1.3%)
Dean Foods Co. ......................... 1,100 34,856
Dreyer's Grand Ice Cream, Inc. ......... 1,300 27,300
Hormel Foods Corp. ..................... 5,000 84,063
IBP, Inc. .............................. 1,600 24,700
International Multifoods Corp. ......... 400 6,925
Interstate Bakeries Corp. .............. 1,800 25,200
Lance, Inc. ............................ 400 3,600
McCormick & Co., Inc. .................. 2,200 71,500
Suiza Foods Corp. + .................... 1,000 48,875
The J.M. Smucker Co. ................... 1,000 19,250
Tyson Foods, Inc. ...................... 7,000 61,250
Universal Foods Corp. .................. 1,600 29,600
------------
437,119
------------
GAMING, LOTTERY, & PARI-MUTUEL (1.0%)
GTECH Holdings Corp. + ................. 1,200 27,225
International Game Technology + ........ 4,200 111,300
Mandaley Resort Group + ................ 2,700 54,000
Park Place Entertainment Corp. + ....... 10,500 127,969
------------
320,494
------------
HEALTH CARE (DRUGS) (1.2%)
ICN Pharmaceuticals, Inc. .............. 2,300 63,969
Mylan Laboratories, Inc. ............... 1,600 29,200
Sepracor Inc. .......................... 2,600 313,625
------------
406,794
------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (0.9%)
Forest Laboratories, Inc. + ............ 3,000 303,000
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.4%)
Health Management Associates, Inc. + ... 8,300 108,419
Quorum Health Group, Inc. + ........... 1,300 13,406
------------
121,825
------------
HEALTH CARE (MANAGED CARE) (1.5%)
Express Scripts, Inc. + ................ 1,900 118,037
First Health Group Corp. + ............. 1,500 49,219
Foundation Health Systems, Inc. + ...... 3,700 48,100
Oxford Health Plans, Inc. + ............ 5,100 121,444
PacifiCare Health Systems, Inc. + ...... 1,500 90,281
Trigon Healthcare, Inc. + .............. 1,400 72,188
------------
499,269
------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (1.8%)
Acuson Corp. + ......................... 500 6,750
Beckman Coulter Inc. ................... 900 52,538
DENTSPLY International, Inc. ........... 1,500 46,219
Edwards Lifesciences Corporation + ..... 1,600 29,600
MiniMed Inc. + ......................... 400 47,200
Stryker Corp. .......................... 7,000 306,250
Sybron International Corp. + ........... 3,300 65,381
VISX, Inc. + ........................... 2,200 61,737
------------
615,675
------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
HEALTH CARE (SPECIAL SERVICES) (0.8%)
Apria Healthcare Group, Inc. + ......... 3,400 $ 41,650
Lincare Holdings Inc. + ................ 1,900 46,787
Omnicare, Inc. ......................... 3,400 30,813
Quest Diagnostics Incorporated + ....... 2,200 157,437
------------
276,687
------------
HEALTH CARE DIVERSIFIED (0.7%)
IVAX Corp. + ........................... 5,400 224,100
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.1%)
Furniture Brands International, Inc. + 1,900 28,738
------------
HOUSEHOLD PRODUCTS (NON-DURABLE) (0.3%)
Church & Dwight Co., Inc. .............. 1,000 18,000
Dial Corp. ............................. 3,000 31,125
Energizer Holdings, Inc. + ............. 3,500 63,875
------------
113,000
------------
INSURANCE (LIFE/HEALTH) (0.8%)
Protective Life Corp. .................. 4,000 106,500
ReliaStar Financial Corp. .............. 3,100 162,556
------------
269,056
------------
INSURANCE (PROPERTY - CASUALTY) (1.1%)
Allmerica Financial Corp. .............. 1,900 99,512
American Financial Group, Inc. ......... 1,800 44,663
Everest Re Group, Ltd. ................. 1,700 55,887
Horace Mann Educators Corp. ............ 1,300 19,500
HSB Group, Inc. ........................ 800 24,900
Ohio Casualty Corp. .................... 1,500 15,938
Old Republic International Corp. ....... 3,700 61,050
Unitrin, Inc. .......................... 1,900 55,812
------------
377,262
------------
INVESTMENT BANKING/BROKERAGE (1.4%)
E*Trade Group, Inc. + ................. 9,800 161,700
Edwards (A.G.), Inc. ................... 2,800 109,200
Legg Mason, Inc. ....................... 2,300 115,000
Waddell & Reed Financial ............... 2,800 91,875
------------
477,775
------------
LEISURE TIME (PRODUCTS) (0.3%)
Callaway Golf Co. ...................... 2,500 40,781
International Speedway Corp. ........... 1,800 74,475
------------
115,256
------------
MACHINERY - DIVERSIFIED (0.2%)
AGCO Corp. ............................. 3,300 40,425
Kaydon Corp. ........................... 500 10,500
Tecumseh Products Co. .................. 700 26,731
------------
77,656
------------
MANUFACTURING (DIVERSIFIED) (1.0%)
American Standard Companies, Inc. + .... 2,400 98,400
AMETEK, Inc. ........................... 900 15,750
Carlisle Co., Inc. ..................... 1,000 45,000
Harsco Corp. ........................... 1,500 38,250
Hillenbrand Industries, Inc. ........... 1,900 59,494
Pentair, Inc. .......................... 1,500 53,250
Stewart & Stevenson Services, Inc. ..... 1,400 21,087
</TABLE>
See Notes to Portfolio of Investments. 21
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
MANUFACTURING (DIVERSIFIED) (CONTINUED)
Trinity Industries, Inc. ............... 500 $ 9,250
------------
340,481
------------
MANUFACTURING (SPECIALIZED) (1.5%)
Albany International Corp. + ........... 714 10,353
Diebold, Inc. .......................... 1,900 52,963
Donaldson Co., Inc. .................... 1,800 35,550
Federal Signal Corp. ................... 1,200 19,800
Flowserve Corp. ........................ 1,300 19,581
Jabil Circuit, Inc. + .................. 6,000 297,750
Nordson Corp. .......................... 800 40,500
Teleflex, Inc. ......................... 600 21,450
York International Corp. ............... 500 12,625
------------
510,572
------------
METAL FABRICATORS (0.1%)
Kennametal, Inc. ....................... 1,900 40,731
Ryerson Tull Inc. ...................... 800 8,300
------------
49,031
------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (2.6%)
AGL Resources, Inc. .................... 1,900 30,281
Dynegy Inc. ............................ 5,500 375,719
KeySpan Energy Corp. ................... 4,200 129,150
Kinder Morgan Inc. ..................... 3,500 120,969
MCN Energy Group, Inc. ................. 2,500 53,437
National Fuel Gas Co. .................. 1,200 58,500
Questar Corp. .......................... 2,300 44,563
Vectren Corp. .......................... 1,600 27,600
Washington Gas Light Co. ............... 1,300 31,281
------------
871,500
------------
OFFICE EQUIPMENT & SUPPLIES (0.5%)
Herman Miller, Inc. .................... 2,700 69,862
Hon Industries, Inc. ................... 2,300 54,050
Reynolds And Reynolds Co. (The) ........ 2,100 38,325
Standard Register Co. .................. 500 7,125
Wallace Computer Services, Inc. ........ 1,100 10,863
------------
180,225
------------
OIL & GAS (DRILLING & EQUIPMENT) (5.4%)
BJ Services Co. + ...................... 4,200 262,500
Ensco International, Inc. .............. 4,700 168,319
Global Marine Inc. + ................... 5,900 166,306
Grant Prideco, Inc. + .................. 3,800 95,000
Hanover Compressor Co. + ............... 800 30,400
Helmerich & Payne, Inc. ................ 3,100 115,863
Nabors Industries, Inc. + .............. 7,100 295,094
Noble Drilling Corp. + ................. 6,500 267,719
Smith International, Inc. + ............ 1,600 116,500
Tidewater, Inc. ........................ 1,700 61,200
Varco International, Inc. ............. 5,226 121,504
Weatherford International, Inc. ........ 3,400 135,362
------------
1,835,767
------------
OIL & GAS (EXPLORATION/PRODUCTION) (2.0%)
Devon Energy Corp. ..................... 4,100 230,369
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
OIL & GAS (EXPLORATION/PRODUCTION) (CONTINUED)
Murphy Oil Corp. ....................... 2,000 $ 118,875
Noble Affiliates, Inc. ................. 3,300 122,925
Ocean Energy, Inc. + ................... 5,400 76,612
Pioneer Natural Resources Company + .... 4,600 58,650
Santa Fe Snyder Corp. + ................ 6,100 69,388
------------
676,819
------------
OIL & GAS (REFINING & MARKETING) (0.8%)
Pennzoil-Quaker State Co. + ............ 1,846 22,267
Ultramar Diamond Shamrock Corp. ........ 5,000 124,063
Valero Energy Corp. .................... 3,400 107,950
------------
254,280
------------
PAPER & FOREST PRODUCTS (1.0%)
Bowater, Inc. .......................... 1,600 70,600
Chesapeake Corp. ....................... 300 8,888
Consolidated Papers, Inc. .............. 3,200 117,000
Georgia-Pacific Corp. .................. 2,300 49,737
Glatfelter (P.H.) Co. .................. 2,000 20,375
Longview Fibre Company ................. 1,600 17,700
Rayoner, Inc. .......................... 1,200 43,050
------------
327,350
------------
PERSONAL CARE (0.1%)
Carter-Wallace, Inc. ................... 1,400 28,175
Perrigo Co. + .......................... 3,400 21,463
------------
49,638
------------
PHOTOGRAPHY/IMAGING (0.2%)
Imation Corp. + ........................ 1,900 55,813
------------
POWER PRODUCERS (INDEPENDENT) (0.8%)
Calpine Corp. + ........................ 4,200 276,150
------------
PUBLISHING (0.7%)
Houghton Mifflin Co. ................... 1,000 46,687
Reader's Digest Association, Inc. (The) 2,900 115,275
Scholastic Corp. + ..................... 1,200 73,350
------------
235,312
------------
PUBLISHING - NEWSPAPERS (0.8%)
Belo Corp. ............................. 4,000 69,250
Lee Enterprises, Inc. .................. 1,400 32,637
Media General, Inc. + .................. 800 38,850
Washington Post Co. .................... 300 143,400
------------
284,137
------------
RESTAURANTS (0.5%)
Brinker International, Inc. + .......... 1,900 55,575
Buffets, Inc. + ........................ 1,700 21,569
Lone Star Steakhouse & Saloon, Inc. + .. 800 8,100
Outback Steakhouse, Inc. + ............. 2,400 70,200
------------
155,444
------------
RETAIL (COMPUTERS & ELECTRONICS) (1.0%)
CDW Computer Centers, Inc. + ........... 4,400 275,000
Tech Data Corp. + ...................... 1,700 74,056
------------
349,056
------------
</TABLE>
22 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
RETAIL (DISCOUNTERS) (0.7%)
Dollar Tree Stores, Inc. + ............. 3,450 $ 136,491
Family Dollar Stores, Inc. ............. 2,000 39,125
Ross Stores, Inc. ...................... 2,600 44,362
------------
219,978
------------
RETAIL (HOME SHOPPING) (0.0%)
Land's End, Inc. + ..................... 400 13,350
------------
RETAIL - DEPARTMENT STORES (0.3%)
Neiman Marcus Group, Inc. (The) + ...... 2,900 85,731
------------
RETAIL - GENERAL MERCHANDISE CHAIN (0.3%)
BJ's Wholesale Club, Inc. + ............ 2,600 85,800
------------
RETAIL - SPECIALITY (0.6%)
Barnes & Noble, Inc. + ................. 2,200 48,950
Borders Group, Inc. + .................. 2,400 37,350
Officemax, Inc. + ...................... 1,400 7,000
Payless ShoeSource, Inc. + ............. 800 41,000
Williams-Sonoma, Inc. + ................ 2,400 77,850
------------
212,150
------------
RETAIL SPECIALITY - APPAREL (0.1%)
American Eagle Outfitters, Inc. + ...... 1,300 18,200
------------
RETAIL STORES - FOOD CHAINS (0.4%)
Hannaford Bros. Co. .................... 1,500 107,813
Ruddick Corp. .......................... 800 9,450
------------
117,263
------------
SAVINGS & LOAN COMPANIES (0.6%)
Astoria Financial Corp. ................ 800 20,600
Dime Bancorp, Inc. ..................... 3,500 55,125
GreenPoint Financial Corp. ............. 3,400 63,750
Sovereign Bancorp, Inc. ................ 2,700 18,984
Webster Financial Corp. ................ 1,200 26,625
------------
185,084
------------
SERVICES (ADVERTISING/MARKETING) (0.5%)
ACNielsen Corp. + ...................... 1,700 37,400
Acxiom Corp. + ......................... 3,000 81,750
Harte-Hanks, Inc. ...................... 2,200 55,000
------------
174,150
------------
SERVICES (COMMERCIAL & CONSUMER) (1.4%)
Apollo Group, Inc. ..................... 2,200 61,600
Cintas Corp. ........................... 5,300 194,444
Devry, Inc. + .......................... 1,900 50,231
Navigant Consulting, Inc. + ............ 700 2,975
NCO Group, Inc. + ...................... 1,100 25,437
Ogden Corp. ............................ 800 7,200
Pittston Brink's Group ................. 1,100 15,056
Rollins, Inc. .......................... 500 7,438
Stewart Enterprises, Inc. .............. 800 2,825
Sylvan Learning Systems, Inc. + ........ 400 5,500
Viad Corp. ............................. 4,200 114,450
------------
487,156
------------
SERVICES (COMPUTER SYSTEMS) (2.3%)
Cambridge Technology Partners, Inc. ... 2,000 17,438
Comdisco, Inc. ......................... 10,100 225,356
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
SERVICES (COMPUTER SYSTEMS) (CONTINUED)
Gartner Group, Inc. + .................. 2,800 $ 27,650
Investment Technology Group, Inc. + .... 1,000 42,562
Keane, Inc. + .......................... 4,400 95,150
MarchFirst, Inc. + ..................... 9,600 175,200
Policy Management Systems Corp. + ...... 1,200 18,450
Sungard Data Systems, Inc. + ........... 4,800 148,800
Sykes Enterprises, Incorporated + ...... 1,300 16,738
------------
767,344
------------
SERVICES (DATA PROCESSING) (3.3%)
CheckFree Holdings Corporation + ....... 3,500 180,469
Concord EFS, Inc. + .................... 7,550 196,300
CSG Systems International, Inc. + ...... 3,100 173,794
DST Systems, Inc. + .................... 3,000 228,375
Fiserv, Inc. + ......................... 6,200 268,150
NOVA Corp. + ........................... 2,600 72,637
------------
1,119,725
------------
SERVICES (EMPLOYMENT) (1.0%)
Kelly Services, Inc. ................... 1,200 27,750
Manpower, Inc. ......................... 3,400 108,800
Modis Professional Services + .......... 2,900 25,737
Robert Half International, Inc. + ...... 6,300 179,550
------------
341,837
------------
SHIPPING (0.2%)
Alexander & Baldwin, Inc. .............. 1,400 30,888
Overseas Shipholding Group, Inc. ....... 800 19,700
------------
50,588
------------
SPECIALITY PRINTING (0.2%)
Banta Corp. ............................ 300 5,681
Valassis Communications, Inc. + ........ 1,800 68,625
------------
74,306
------------
STEEL (0.1%)
AK Steel Holding Corp. ................. 1,500 12,000
UCAR International, Inc. + ............. 1,500 19,594
------------
31,594
------------
TELEPHONE (1.7%)
Broadwing Inc. ......................... 7,100 184,156
Telephone & Data Systems, Inc. ......... 3,900 390,975
------------
575,131
------------
TEXTILES (APPAREL) (0.4%)
Jones Apparel Group, Inc. + ............ 5,900 138,650
Warnaco Group, Inc. (The) .............. 1,000 7,750
------------
146,400
------------
TEXTILES (HOME FURNISHINGS) (0.2%)
Mohawk Industries, Inc. + .............. 1,600 34,800
Shaw Industries, Inc. + ................ 1,700 21,250
Westpoint Stevens, Inc. + .............. 1,000 11,125
------------
67,175
------------
TEXTILES (SPECIALITY) (0.1%)
Unifi, Inc. + .......................... 1,100 13,613
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
TEXTILES (SPECIALITY) (CONTINUED)
Wellman, Inc. .......................... 1,100 $ 17,806
31,419
------------
TOBACCO (0.3%)
R.J. Reynolds Tobacco Holdings, Inc. ... 3,500 97,781
------------
TRUCKERS (0.2%)
Arnold Industries, Inc. ................ 600 7,238
C.H. Robinson Worldwide, Inc. .......... 1,200 59,400
Swift Transportation Co., Inc. + ....... 700 9,800
76,438
------------
WATER UTILITIES (0.1%)
American Water Works Co., Inc. ......... 1,300 32,500
TOTAL COMMON STOCKS (COST $31,798,083) 32,311,836
------------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (7.4%)
Federal Home Loan Mortgage
Corp., 6.57%, 07/03/00................. $2,498,000 2,498,000
TOTAL SHORT-TERM INVESTMENTS
(COST $2,498,000) 2,498,000
------------
TOTAL INVESTMENTS (COST $34,296,083)(a) 34,809,836
OTHER ASSETS LESS LIABILITIES (1,034,981)
------------
TOTAL NET ASSETS $33,774,855
------------
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$35,755,700. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................ $ 1,744,407
Unrealized losses........................... (2,690,271)
-----------
Net unrealized loss........................ $ (945,864)
==========
</TABLE>
24 See Notes to Financial Statements.
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
COMMON STOCKS (95.1%)
AEROSPACE/DEFENSE (0.5%)
AAR Corp. ............................... 500 $ 6,000
Alliant Techsystems, Inc. + ............. 400 26,975
BE Aerospace, Inc. + .................... 400 2,750
Orbital Sciences Corp. + ................ 1,300 15,844
Teledyne Technologies Incorporated + .... 1,000 16,750
------------
68,319
------------
AGRICULTURE (0.5%)
Corn Products International, Inc. ....... 1,400 37,100
Delta & Pine Land Co. ................... 1,400 35,087
DIMON Inc. .............................. 1,900 4,038
------------
76,225
------------
AIR FREIGHT (0.7%)
Circle International Group, Inc. ........ 300 7,538
Expeditors International of Washington,
Inc..................................... 1,900 90,250
Fritz Companies, Inc. + ................. 1,300 13,406
------------
111,194
------------
AIRLINES (0.4%)
Atlantic Coast Airlines Holdings, Inc. + 700 22,225
Mesa Air Group, Inc. + .................. 1,100 6,085
SkyWest, Inc. ........................... 900 33,356
------------
61,666
------------
AUTO PARTS & EQUIPMENT (1.1%)
Applied Industrial Technologies, Inc. ... 1,300 21,288
Gentex Corp. + .......................... 2,400 60,300
Intermet Corp. .......................... 400 2,750
Mascotech Inc. .......................... 1,700 18,381
Midas, Inc. ............................. 600 12,000
Simpson Industries, Inc. ................ 300 2,259
Standard Motor Products, Inc. ........... 500 4,250
TBC Corp. + ............................. 400 1,850
Tenneco Automotive Inc. ................. 600 3,150
Tower Automotive, Inc. + ................ 1,700 21,250
Wynn's International, Inc. .............. 650 14,747
------------
162,225
------------
BANKS & THRIFTS (0.1%)
First Bancorp ........................... 1,000 18,563
------------
BANKS (REGIONAL) (3.6%)
Centura Banks, Inc. ..................... 600 20,363
Chittenden Corp. ........................ 1,000 24,437
Commerce Bancorp, Inc. .................. 1,166 53,636
Commercial Federal Corp. ................ 1,900 29,569
Community First Bankshares, Inc. ........ 1,700 27,731
Cullen/Frost Bankers, Inc. .............. 2,000 52,625
First Midwest Bancorp, Inc. ............. 1,550 36,037
Investors Financial Services Corp. ...... 1,000 39,687
Provident Bankshares Corp. .............. 866 11,691
Riggs National Corp. .................... 1,100 13,888
Silicon Valley Bancshares + ............. 2,700 115,087
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
Banks (Regional) (Continued)
South Financial Group, Inc. (The) ....... 400 $ 5,800
Southwest Bancorporation of Texas, Inc. + 900 18,675
Susquehanna Bancshares, Inc. ............ 1,250 17,813
TrustCo Bank Corp. NY ................... 1,980 24,750
United Bankshares, Inc. ................. 1,600 29,100
Whitney Holdings Corp. .................. 800 27,350
------------
548,239
------------
BEVERAGES (NON-ALCOHOLIC) (0.2%)
Coca-Cola Bottling Co. .................. 300 13,650
Triarc Co., Inc. + ...................... 900 18,450
------------
32,100
------------
BEVERAGES - ALCOHOLIC (0.5%)
Beringer Wine Estates Holdings, Inc. + .. 700 24,719
Canandiagua Brands, Inc. + .............. 1,100 55,481
------------
80,200
------------
BIOTECHNOLOGY (4.9%)
Advanced Tissue Sciences, Inc. + ........ 1,700 13,653
Alliance Pharmaceutical Corp. + ......... 1,500 16,875
Bio-Technology General Corp. + .......... 800 10,550
Biomatrix, Inc. + ....................... 900 20,362
Cephalon, Inc. + ........................ 1,600 95,800
COR Therapeutics, Inc. + ................ 900 76,781
Enzo Biochem, Inc. + .................... 900 62,100
IDEXX Laboratories, Inc. + .............. 1,800 41,175
Immune Response Corporation (The) + ..... 900 9,788
Organogenesis Inc. + .................... 1,000 11,438
Protein Design Labs, Inc. + ............. 700 115,467
Regeneron Pharmaceuticals + ............. 1,200 35,775
Techne Corporation + .................... 1,000 130,000
Vertex Pharmaceutical, Inc. + ........... 1,000 105,375
------------
745,139
------------
BUILDING MATERIALS GROUP (0.2%)
Simpson Manufacturing Co., Inc. + ....... 500 23,906
Universal Forest Products, Inc. ......... 700 9,625
------------
33,531
------------
CHEMICALS (0.2%)
ChemFirst Inc. .......................... 600 14,475
Geon Co. (The) .......................... 800 14,800
------------
29,275
------------
CHEMICALS - DIVERSIFIED (0.0%)
Penford Corp. ........................... 200 4,300
------------
CHEMICALS SPECIALITY (1.0%)
Arch Chemicals, Inc. .................... 800 17,500
Cambrex Corp. ........................... 1,200 54,000
Lilly Industries, Inc. ................. 300 9,019
MacDermid, Inc. ......................... 500 11,750
Material Sciences Corp. + ............... 500 5,000
OM Group, Inc. .......................... 900 39,600
Omnova Solutions Inc. ................... 1,400 8,750
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
CHEMICALS SPECIALITY (CONTINUED)
Quaker Chemical Corp. ................... 300 $ 5,212
------------
150,831
------------
COMMUNICATIONS EQUIPMENT (4.1%)
Adaptive Broadband Corp. + .............. 1,400 51,450
Allen Telecom Inc. + .................... 900 15,919
Anixter International, Inc. + ........... 2,200 58,300
Aspect Communications Corporation + ..... 3,200 125,800
Audiovox Corp. + ........................ 900 19,856
Brightpoint, Inc. + ..................... 3,400 29,431
Cable Design Technologies, Inc. + ....... 1,750 58,625
Davox Corp. + ........................... 800 10,350
Digital Microwave Corp. + ............... 2,600 99,125
Inter-Tel, Inc. ......................... 900 14,456
Plantronics, Inc. + ..................... 600 69,300
Proxim, Inc. + .......................... 500 49,485
Symmetricom, Inc. + ..................... 500 12,625
------------
614,722
------------
COMPUTERS (HARDWARE) (0.6%)
National Instruments Corp. + ............ 1,700 74,162
Telxon Corp. + .......................... 500 8,938
------------
83,100
------------
COMPUTERS (NETWORKING) (0.3%)
Apex Inc. + ............................. 800 35,000
Digi International, Inc. + .............. 300 1,950
Network Equipment Technology Inc. + ..... 700 7,044
Standard Microsystems Corporation + ..... 500 7,687
------------
51,681
------------
COMPUTERS (PERIPHERALS) (0.7%)
Centigram Communications Corp. + ........ 300 7,669
Cybex Computer Products Corp. + ......... 700 30,100
Komag, Incorporated + ................... 1,700 2,975
Micros Systems, Inc. + .................. 600 11,137
Xircom, Inc. + .......................... 1,100 52,250
------------
104,131
------------
COMPUTERS SOFTWARE/SERVICES (8.0%)
American Management Systems, Inc. + ..... 1,500 49,242
Aspen Technology, Inc. + ................ 1,300 50,050
Avid Technology, Inc. + ................. 900 10,800
AVT Corp. + ............................. 500 3,688
BARRA, Inc. + ........................... 700 34,694
Concord Communications, Inc. + .......... 300 11,962
Dendrite International, Inc. + .......... 1,500 49,969
eLoyalty Corporation + .................. 1,600 20,400
ePresence, Inc. ......................... 800 5,800
Fair Isaac & Co., Inc. .................. 500 22,000
FileNET Corp. + ......................... 1,100 20,212
Great Plains Software, Inc. + ........... 600 11,775
Henry (Jack) & Associates, Inc. ......... 2,500 125,312
HNC Software Inc. + ..................... 1,000 61,750
Hyperion Solutions Corp. + .............. 1,200 38,925
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
COMPUTERS SOFTWARE/SERVICES (CONTINUED)
Kronos, Inc. + .......................... 450 $ 11,700
Mercury Interactive Corp. + ............. 2,900 280,575
Phoenix Technologies Ltd. + ............. 1,500 24,469
Progress Software Corp. + ............... 1,300 23,319
Project Software & Development, Inc. + . 800 14,400
QRS Corp. + ............................. 200 4,912
RadiSys Corporation + ................... 600 34,050
Remedy Corp. + .......................... 1,100 61,325
RSA Security Inc. + ..................... 1,500 103,875
SAGA SYSTEMS, Inc. + .................... 1,700 21,144
Systems & Computer Technology Corp. ..... 1,100 22,000
Verity, Inc. + .......................... 1,900 72,200
Visual Networks, Inc. ................... 800 22,800
------------
1,213,348
------------
CONSTRUCTION (0.1%)
Florida Rock Industries, Inc. ........... 600 21,375
------------
CONSUMER (JEWELRY/NOVELTIES) (0.3%)
Cross (A.T.) Co. ........................ 700 3,456
Cyrk International, Inc. + .............. 500 2,500
Department 56, Inc. + ................... 200 2,200
Enesco Group, Inc. ...................... 400 1,900
Fossil, Inc. + .......................... 1,050 20,409
Franklin Covey Co. + .................... 700 4,856
Russ Berrie & Co., Inc. ................. 700 13,475
Swiss Army Brands, Inc. + .............. 100 513
------------
49,309
------------
CONSUMER FINANCE (0.3%)
Americredit Corp. + ..................... 2,700 45,900
Cash America International, Inc. ........ 900 6,637
------------
52,537
------------
DISTRIBUTORS (FOOD & HEALTH) (1.7%)
Bindley Western Industries, Inc. ........ 1,233 32,598
Fleming Companies, Inc. ................. 1,300 16,981
Nash-Finch Co. .......................... 400 3,300
Owens & Minor, Inc. ..................... 2,100 36,094
Patterson Dental Co. + .................. 1,600 81,600
Performance Food Group Company + ........ 500 16,000
Priority Healthcare Corp. + ............. 804 59,747
United Natural Foods, Inc. + ............ 600 8,250
------------
254,570
------------
ELECTRIC COMPANIES (0.7%)
Bangor Hydro-Electric Co. ............... 300 7,031
Central Vermont Public Service Corp. .... 400 4,400
CH Energy Group, Inc. ................... 600 20,363
Northwestern Corp. ...................... 800 18,500
UniSource Energy Corp. + ................ 1,100 16,500
United Illuminating Co. ................. 900 39,375
------------
106,169
------------
ELECTRICAL EQUIPMENT (6.1%)
Artesyn Technologies, Inc. + ............ 1,300 36,156
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
ELECTRICAL EQUIPMENT (CONTINUED)
Baldor Electric Co. ..................... 1,200 $ 22,350
Belden, Inc. ............................ 1,100 28,187
Benchmark Electronics, Inc. + ........... 600 21,938
Black Box Corp. + ....................... 700 55,420
C&D Technologies, Inc. .................. 1,200 67,800
C-COR.net Corp. + ....................... 1,200 32,400
Checkpoint Systems, Inc. + .............. 1,400 10,500
Cohu, Inc. ............................. 800 21,575
Electro Scientific Industries, Inc. + ... 1,300 57,241
Harman International Industries ......... 1,100 67,100
Harmon Industries, Inc. ................. 400 5,300
Itron, Inc. + ........................... 500 4,125
KEMET Corp. + ........................... 5,400 135,337
Park Electrochemical Corp. .............. 200 7,213
Plexus Corp. + .......................... 800 90,400
Smith (A.O.) Corp. ...................... 850 17,797
Technitrol, Inc. ........................ 1,000 96,875
Three-Five Systems, Inc. + .............. 999 58,941
Vicor Corp. + ........................... 1,400 48,737
Watsco, Inc. ............................ 1,100 13,750
Zixit Corp. + ........................... 600 27,638
------------
926,780
------------
ELECTRONICS (COMPONENT DIST.) (0.2%)
Kent Electronics Corp. + ................ 1,000 29,813
Pioneer Standard Electronics Corp. ...... 400 5,900
------------
35,713
------------
ELECTRONICS (DEFENSE) (0.2%)
Mercury Computer Systems, Inc. + ........ 800 25,850
------------
ELECTRONICS (INSTRUMENTS) (2.0%)
Alpha Industries, Inc. + ................ 1,600 70,500
Analogic Corp. .......................... 500 20,000
Coherent, Inc. + ........................ 1,000 83,875
Methode Electronics, Inc. ............... 1,300 50,213
Trimble Navigation Ltd. + ............... 1,400 68,337
X-Rite, Inc. ............................ 800 7,300
------------
300,225
------------
ELECTRONICS (SEMICONDUCTORS) (4.4%)
Actel Corporation + ..................... 1,400 63,875
Alliance Semiconductor Corp. ............ 2,600 63,863
American Xtal Technology, Inc. + ........ 600 25,950
C-Cube Microsystems Inc. ................ 1,400 27,475
Dallas Semiconductor Corp. .............. 2,200 89,650
ESS Technology, Inc. + .................. 1,500 21,750
General Semiconductor Corp. + ........... 1,800 26,550
International Rectifier Corp. + ......... 3,000 168,000
Lattice Semiconductor Corp. + ........... 2,300 158,987
S3 Incorporated + ....................... 1,200 17,700
------------
663,800
------------
ENGINEERING & CONSTRUCTION (0.8%)
Butler Manufacturing Co. ................ 300 5,100
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
ENGINEERING & CONSTRUCTION (CONTINUED)
Dycom Industries, Inc. + ................ 1,825 $ 83,950
Foster Wheeler Corp. .................... 600 5,175
Morrison Knudsen Corp. + ................ 2,000 14,500
URS Corp. + ............................. 600 9,150
------------
117,875
------------
ENTERTAINMENT (0.0%)
GC Companies, Inc. + .................... 100 2,238
------------
EQUIPMENT (SEMICONDUCTORS) (1.5%)
Electroglas, Inc. + ..................... 1,300 27,950
Helix Technology Corp. .................. 900 35,100
Kulicke & Soffa Industries, Inc. + ...... 1,200 71,250
Phototronics, Inc. + .................... 800 22,700
Silicon Valley Group, Inc. + ............ 2,100 54,337
Speesfam International Inc. + ........... 500 9,094
Ultratech Stepper, Inc. + ............... 700 10,413
------------
230,844
------------
FINANCIAL (DIVERSIFIED) (0.9%)
Mutual Risk Management Ltd. ............. 1,400 24,238
Pioneer Group, Inc. + ................... 1,000 42,375
SEI Investments Co. ..................... 1,800 71,662
------------
138,275
------------
FOODS (1.2%)
Agribrands International, Ltd + ......... 400 16,775
American Italian Pasta Co. + ............ 600 12,412
Earthgrains Co. (The) ................... 1,400 27,212
Hain Celestial Group, Inc. .............. 900 33,019
J&J Snack Foods Corp. + ................. 300 5,363
Michael Foods, Inc. ..................... 1,000 24,500
Ralcorp Holdings, Inc. + ................ 500 6,125
Smithfields Foods, Inc. + ............... 1,900 53,319
------------
178,725
------------
FOOTWEAR (1.0%)
Brown Shoe Co., Inc. .................... 600 7,800
Justin Industries, Inc. ................. 1,000 21,875
K-Swiss Inc. ............................ 500 7,969
Stride Rite Corp. ....................... 1,500 9,187
Timberland Co. (The) + .................. 1,200 84,975
Wolverine World Wide, Inc. .............. 1,400 13,825
------------
145,631
------------
GAMING, LOTTERY, & PARI-MUTUEL (0.6%)
Anchor Gaming + ......................... 600 28,762
Aztar Corp. + ........................... 2,700 41,850
Pinnacle Entertainment, Inc. + .......... 900 17,494
------------
88,106
------------
GOLD/PRECIOUS METALS MINING (0.1%)
Stillwater Mining Co. + ................. 650 18,119
------------
HARDWARE & TOOLS (0.5%)
Scotts Co. (The) + ...................... 1,000 36,500
Toro Co. ................................ 800 26,350
</TABLE>
See Notes to Portfolio of Investments. 27
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
HARDWARE & TOOLS (CONTINUED)
WD-40 Co. ............................... 600 $ 12,450
------------
75,300
------------
HEALTH CARE (DRUGS) (3.0%)
Alpharma, Inc. .......................... 1,700 105,825
Barr Laboratories, Inc. + ............... 1,200 53,775
Cygnus, Inc. + .......................... 400 5,700
Dura Pharmaceuticals, Inc. + ............ 1,500 21,563
Jones Medical Industries, Inc. .......... 4,050 161,747
Medicis Pharmaceutical Corp. + .......... 1,400 79,800
Noven Pharmaceuticals, Inc. + ........... 900 27,056
------------
455,466
------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.8%)
Universal Health Services, Inc. + ....... 1,900 124,450
------------
HEALTH CARE (MANAGED CARE) (0.2%)
Coventry Health Care, Inc. + ............ 2,100 27,989
US Oncology, Inc. + ..................... 1,200 6,000
------------
33,989
------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (2.2%)
ADAC Laboratories + ..................... 1,200 28,800
CONMED Corp. + .......................... 500 12,986
Cooper Companies, Inc. .................. 500 18,188
Datascope Corp. + ....................... 600 21,600
Diagnostic Products Corp. ............... 500 16,000
Hologic, Inc. + ......................... 700 4,725
Invacare Corp. .......................... 1,000 26,250
Mentor Corp. ............................ 800 21,750
ResMed Inc. + ........................... 1,200 32,100
Respironics, Inc. + ..................... 1,100 19,800
Sola International, Inc. + .............. 800 3,900
Spacelabs Medical, Inc. + ............... 200 2,250
Sunrise Medical Inc. + .................. 800 3,900
Syncor International Corp. + ............ 400 28,800
Theragenics Corp. + ..................... 900 7,706
Varian Medical Systems, Inc. + .......... 1,500 58,687
Vital Signs, Inc. ....................... 400 7,250
Wesley Jessen VisionCare, Inc. + ........ 600 22,537
------------
337,229
------------
HEALTH CARE (SPECIAL SERVICES) (1.1%)
Advance Paradigm, Inc. + ................ 400 8,200
Curative Health Services, Inc. + ........ 400 2,413
Hooper Holmes, Inc. ..................... 2,400 19,200
Maximus, Inc. + ......................... 700 15,487
Orthodontic Centers of America, Inc. + .. 2,300 52,037
PAREXEL International Corp. + ........... 400 3,825
Pediatrix Medical Group, Inc. + ......... 500 5,813
Pharmaceutical Product Development, Inc.
+....................................... 900 18,900
Renal Care Group, Inc. + ................ 1,650 40,348
------------
166,223
------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- ------------
<S> <C> <C>
HOMEBUILDING (1.3%)
Champion Enterprises, Inc. + ............ 700 $ 3,413
D.R. Horton, Inc. ....................... 2,075 28,142
Fleetwood Enterprises, Inc. ............. 1,100 15,675
MDC Holdings, Inc. ...................... 1,400 26,075
NVR, Inc. + ............................. 600 34,200
Ryland Group, Inc. ...................... 700 15,487
Skyline Corp. ........................... 300 6,450
Standard Pacific Corp. .................. 1,900 19,000
Toll Brothers, Inc. + ................... 2,200 45,100
------------
193,542
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.3%)
Ethan Allen Interiors, Inc. ............. 650 15,600
Fedders Corp. ........................... 1,200 6,975
La-Z-Boy, Inc. .......................... 2,000 28,000
------------
50,575
------------
HOUSEWARES (0.4%)
Applica Incorporated .................... 800 9,050
Libbey Inc. ............................. 600 19,275
National Presto Industries, Inc. ........ 300 9,225
Royal Appliance Mfg. Co. + .............. 500 2,844
Salton, Inc. + .......................... 600 22,125
------------
62,519
------------
INSURANCE (LIFE/HEALTH) (0.2%)
Delphi Financial Group, Inc. + .......... 734 24,910
------------
INSURANCE (PROPERTY/CASUALTY) (1.5%)
Enhance Financial Services Group, Inc. . 1,400 20,125
Fidelity National Financial, Inc. ....... 2,200 40,287
First American Financial Corp. .......... 2,400 34,350
Radian Group Inc. ....................... 1,400 72,450
RLI Corp. ............................... 400 13,900
SCPIE Holdings Inc. ..................... 400 8,200
Selective Insurance Group, Inc. ......... 1,000 19,000
Zenith National Insurance ............... 600 12,750
221,062
------------
INSURANCE BROKERS (0.5%)
Gallagher (Arthur J.) & Co. ............. 1,300 54,600
Hilb, Rogal and Hamilton Co. ............ 500 17,344
------------
71,944
------------
INVESTMENT BANKING/BROKERAGE (1.0%)
Dain Rauscher Corp. ..................... 700 46,200
Jefferies Group, Inc. ................... 800 16,150
Morgan Keegan, Inc. ..................... 1,800 26,550
National Discount Brokers Group, Inc. + . 600 19,125
Raymond James Financial, Inc. ........... 2,200 49,500
------------
157,525
------------
INVESTMENT MANAGEMENT (0.4%)
Eaton Vance Corp. ....................... 1,300 60,125
------------
LEISURE TIME (PRODUCTS) (0.7%)
Arctic Cat, Inc. ........................ 1,500 17,812
JAKKS Pacific, Inc. + ................... 600 8,850
</TABLE>
28 See Notes to Portfolio of Investments.
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX0 PLUS SMALL CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
<S> <C> <C>
LEISURE TIME (PRODUCTS) (CONTINUED)
K2 Inc. + ............................... 900 $ 7,481
Monaco Coach Corp. + .................... 300 4,088
Polaris Industries, Inc. ................ 900 28,800
SCP Pool Corp. .......................... 750 17,625
Sturm, Ruger & Co., Inc. ................ 900 7,988
Thor Industries, Inc. ................... 400 8,400
Winnebago Industries, Inc. .............. 800 10,450
------------
111,494
------------
LODGING - HOTELS (0.2%)
Marcus Corp. ............................ 900 10,913
Prime Hospitality Corp. + ............... 1,600 15,100
------------
26,013
------------
MACHINERY - DIVERSIFIED (0.5%)
Applied Power, Inc. ..................... 1,400 46,900
Gardner Denver Machinery, Inc. + ........ 500 8,938
Manitowoc Co., Inc. (The) ............... 950 25,412
------------
81,250
------------
MANUFACTURING (DIVERSIFIED) (1.6%)
Amcol International Corp. ............... 900 14,850
Barnes Group, Inc. ...................... 600 9,788
CLARCOR, Inc. ........................... 800 15,900
CUNO Incorporated + ..................... 600 13,875
Esterline Technologies Corp. + .......... 700 10,412
GenCorp, Inc. ........................... 1,500 12,000
Graco, Inc. ............................. 800 26,000
Griffon Corp. + ......................... 1,000 5,563
Idex Corp. .............................. 1,100 34,719
Kaman Corp. ............................. 800 8,550
Lawson Products, Inc. ................... 400 9,850
Myers Industries, Inc. .................. 730 7,848
Scott Technologies, Inc. + .............. 600 10,312
Standex International Corp. ............. 400 6,350
Thomas Industries, Inc. ................. 600 10,612
Tredegar Industries, Inc. ............... 1,300 24,700
Valmont Industries, Inc. ................ 800 15,900
------------
237,229
------------
MANUFACTURING (SPECIALIZED) (3.1%)
AptarGroup, Inc. ........................ 1,300 35,100
BMC Industries, Inc. .................... 500 2,031
Brady (W.H.) Co. ........................ 900 29,250
Cognex Corp. + .......................... 1,600 82,800
CTS Corp. ............................... 1,100 49,500
Dionex Corp. + .......................... 800 21,400
Flow International Corporation + ........ 500 5,000
Insituform Technologies, Inc. + ......... 1,200 32,550
Intermagnetics General Corp. + .......... 400 7,575
Ionics, Inc. + .......................... 200 6,125
JLG Industries, Inc. .................... 1,500 17,812
Lindsay Manufacturing Co. ............... 400 7,850
Lydall, Inc. + .......................... 500 5,313
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
MANUFACTURING (SPECIALIZED) (CONTINUED)
Paxar Corp. + ........................... 2,300 $ 27,456
Regal-Beloit Corp. ...................... 800 12,850
Reliance Steel & Aluminum Co. ........... 950 18,169
Robbins & Myers, Inc. ................... 400 9,125
Roper Industries, Inc. .................. 1,000 25,625
Specialty Equipment Companies, Inc. + ... 600 16,275
SPS Technologies, Inc. + ................ 500 20,531
Valence Technology, Inc. + .............. 1,200 22,125
Watts Industries, Inc. .................. 800 10,100
------------
464,562
------------
METAL FABRICATORS (0.7%)
Brush Wellman, Inc. ..................... 600 9,375
Mueller Industries, Inc. + .............. 1,700 47,600
RTI International Metals, Inc. + ........ 600 6,825
Shaw Group, Inc. + ...................... 600 28,275
Wolverine Tube, Inc. + .................. 400 6,800
------------
98,875
------------
NATURAL GAS (DISTRIBUTION - PIPE LINE) (1.2%)
Atmos Energy Corp. ...................... 1,100 19,250
Cascade Natural Gas Corp. ............... 400 6,675
Energen Corp. ........................... 1,400 30,537
Laclede Gas Co. ......................... 600 11,550
New Jersey Resources Corp. .............. 600 22,838
Northwest Natural Gas Co. ............... 800 17,900
Piedmont Natural Gas, Inc. .............. 1,100 29,219
Southwest Gas Corp. ..................... 500 8,750
Southwestern Energy Co. ................. 1,500 9,375
UGI Corporation ......................... 1,000 20,500
------------
176,594
------------
OFFICE EQUIPMENT & SUPPLIES (0.4%)
New England Business Service, Inc. ...... 500 8,125
United Stationers, Inc. + ............... 1,600 51,800
------------
59,925
------------
OIL & GAS (DRILLING & EQUIPMENT) (1.1%)
Atwood Oceanics, Inc. + ................. 700 31,062
Cal Dive International, Inc. + .......... 300 16,256
Dril-Quip, Inc. + ....................... 300 14,025
Input/Output, Inc. ...................... 1,900 16,031
Oceaneering International, Inc. + ....... 400 7,600
Offshore Logistics, Inc. + .............. 800 11,500
Pride International, Inc. + ............. 900 22,275
SEACOR SMIT Holdings + .................. 600 23,213
Veritas DGC, Inc. + ..................... 800 20,800
------------
162,762
------------
OIL & GAS (EXPLORATION/PRODUCTION) (3.7%)
Barrett Resources Corp. + ............... 1,200 36,525
Cabot Oil & Gas Corp. ................... 1,800 38,137
Cross Timbers Oil Co. ................... 1,800 39,825
HS Resources, Inc. + .................... 1,200 36,000
Louis Dreyfus Natural Gas Corp. + ....... 2,700 84,544
</TABLE>
See Notes to Portfolio of Investments. 29
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
OIL & GAS (EXPLORATION/PRODUCTION)
(CONTINUED)
Neuvo Energy Company .................... 600 $ 11,325
Newfield Exploration Co. + .............. 2,600 101,725
Pogo Producing Co. ...................... 1,500 33,187
Remington Oil & Gas Corporation + ....... 1,400 10,500
St. Mary Land & Exploration Co. ......... 700 29,444
Stone Energy Corp. + .................... 900 53,775
Vintage Petroleum, Inc. + ............... 3,900 87,994
562,981
------------
PAPER & FOREST PRODUCTS (0.5%)
Buckeye Technologies, Inc. + ............ 1,700 37,294
Caraustar Industries, Inc. .............. 900 13,612
Deltic Timber Corporation ............... 400 8,550
Pope & Talbot, Inc. ..................... 1,000 16,000
75,456
------------
PERSONAL CARE (0.2%)
Natures Sunshine Products, Inc. ......... 600 4,200
NBTY, Inc. + ............................ 4,100 26,138
30,338
------------
PHOTOGRAPHY/IMAGING (0.7%)
Pinnacle Systems, Inc. + ................ 1,800 40,472
Zebra Technologies, Inc. + .............. 1,500 66,469
106,941
------------
PUBLISHING (0.3%)
Penton Media, Inc. ...................... 1,200 42,000
Thomas Nelson, Inc. ..................... 500 4,281
46,281
------------
RESTAURANTS (1.3%)
Applebee's International, Inc. .......... 1,000 30,312
CEC Entertainment, Inc. + ............... 950 24,344
Cheesecake Factory, Inc. (The) + ........ 1,050 28,875
IHOP Corp. + ............................ 400 6,700
Jack in the Box Inc. + .................. 1,400 34,475
Landry's Seafood Restaurants, Inc. + .... 800 6,800
Panera Bread Co. + ...................... 500 5,062
Ruby Tuesday, Inc. ...................... 2,300 28,894
Ryan's Family Steak Houses, Inc. + ...... 1,200 10,125
Sonic Corp. + ........................... 650 19,094
Taco Cabana, Inc. + ..................... 400 2,650
197,33
------------
RETAIL (BUILDING SUPPLIES) (0.1%)
Hughes Supply, Inc. ..................... 800 15,800
------------
RETAIL (DISCOUNTERS) (0.6%)
99 Cents Only Stores + .................. 1,166 46,494
Dress Barn, Inc. + ...................... 1,100 24,338
Stein Mart, Inc. + ...................... 1,500 15,375
86,207
------------
RETAIL (HOME SHOPPING) (0.4%)
Damark International, Inc. + ............ 200 4,300
Insight Enterprises, Inc. + ............. 1,000 59,312
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
RETAIL (HOME SHOPPING) (CONTINUED)
Lillian Vernon Corp. .................... 300 $ 3,150
66,762
------------
RETAIL - DEPARTMENT STORES (0.0%)
Gottschalks Inc. + ...................... 200 1,263
------------
RETAIL - SPECIALITY (2.1%)
Books-A-Million, Inc. + ................. 300 1,388
Casey's General Stores, Inc. ............ 1,900 19,712
Cost Plus, Inc. + ....................... 700 20,081
Footstar, Inc. + ........................ 1,200 39,900
Group 1 Automotive, Inc. + .............. 600 7,200
Hancock Fabrics, Inc. ................... 500 2,125
J. Baker, Inc. .......................... 1,000 5,813
Jo-Ann Stores, Inc. + ................... 600 4,200
Linens 'n Things, Inc. + ................ 1,300 35,262
Michaels Stores, Inc. + ................. 1,500 68,719
O'Reilly Automotive, Inc. + ............. 800 11,100
Pier 1 Imports, Inc. .................... 3,700 36,075
The Pep Boys - Manny, Moe & Jack ........ 800 4,800
Zale Corp. + ............................ 1,700 62,050
------------
318,425
------------
RETAIL SPECIALITY - APPAREL (0.6%)
Ann Taylor Stores Corp. + ............... 1,100 36,437
Cato Corp. (The) ........................ 1,100 12,788
Goody's Family Clothing, Inc. + ......... 1,100 6,050
Men's Wearhouse, Inc. + ................. 1,400 31,237
Wet Seal, Inc. (The) - Class A .......... 500 6,563
------------
93,075
------------
RETAIL STORES - FOOD CHAINS (0.3%)
Whole Foods Market, Inc. + .............. 1,000 41,313
------------
SAVINGS & LOAN COMPANIES (1.0%)
Anchor Bancorp Wisconsin, Inc. .......... 900 13,781
Downey Financial Corp. .................. 1,730 50,170
MAF Bancorp, Inc. ....................... 800 14,550
Queens County Bancorp, Inc. ............. 700 12,906
Staten Island Bancorp, Inc. ............. 1,500 26,438
Washington Federal, Inc. ................ 1,800 32,850
------------
150,695
------------
SERVICES (ADVERTISING/MARKETING) (1.9%)
ADVO, Inc. + ............................ 1,300 54,600
Catalina Marketing Corp. + .............. 700 71,400
Information Resources, Inc. + ........... 1,100 4,331
Snyder Communications, Inc. + ........... 3,400 80,750
True North Communications, Inc. ......... 1,800 79,200
------------
290,281
------------
SERVICES (COMMERCIAL & CONSUMER) (2.9%)
Aaron Rents, Inc. ....................... 300 3,769
Administaff, Inc. ....................... 800 50,800
Angelica Corp. .......................... 300 2,400
Central Parking Corp. ................... 1,400 33,162
Cerner Corp. + .......................... 1,600 43,600
</TABLE>
30 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
SERVICES (COMMERCIAL & CONSUMER) (CONTINUED)
Chemed Corp. ............................ 400 $ 11,275
ChoicePoint Inc. + ...................... 1,415 62,967
Copart, Inc. + .......................... 2,000 32,000
CPI Corp. ............................... 200 4,225
F.Y.I. Incorporated + ................... 600 20,213
G&K Services, Inc. ..................... 800 20,050
Insurance Auto Autions, Inc. + .......... 400 8,450
Kroll O' Gara Co. (The) + ............... 700 4,681
Lennox International Inc. ............... 1,902 25,202
MemberWorks Inc. ........................ 500 16,813
Pegasus Solutions Inc. .................. 600 6,525
Pre-Paid Legal Services, Inc. + ......... 800 23,900
Primark Corp. + ......................... 700 26,075
Regis Corp. ............................. 600 7,500
StarTek, Inc. + ......................... 700 35,262
------------
438,869
------------
SERVICES (COMPUTER SYSTEMS) (0.3%)
Analysts International Corp. ............ 400 3,725
Ciber, Inc. + ........................... 2,000 26,500
Computer Task Group, Inc. ............... 300 1,519
InterVoice, Inc. + ...................... 1,200 7,875
------------
39,619
------------
SERVICES (DATA PROCESSING) (1.6%)
BISYS Group, Inc. (The) + .............. 1,000 61,500
Factset Research Systems, Inc. + ........ 1,200 33,900
MedQuist, Inc. + ........................ 1,300 58,212
National Computer Systems, Inc. ......... 1,200 59,100
National Data Corp. ..................... 1,100 25,300
------------
238,012
------------
SERVICES (EMPLOYMENT) (0.7%)
CDI Corp. + ............................. 600 12,225
Interim Services, Inc. + ................ 2,400 42,600
On Assignment, Inc. ..................... 1,000 30,500
Staffmark, Inc. + ....................... 1,000 6,687
Volt Information Sciences, Inc. + ....... 500 16,469
------------
108,481
------------
SERVICES (FACILITIES/ENVIRONMENTAL) (0.3%)
ABM Industries, Inc. .................... 800 18,400
Tetra Technologies Inc. + ............... 1,325 30,309
------------
48,709
------------
SHIPPING (0.1%)
Kirby Corp. + ........................... 1,000 21,250
------------
SPECIALITY PRINTING (0.3%)
Bowne & Co., Inc. ....................... 1,100 11,069
Consolidated Graphics, Inc. + ........... 500 4,688
Harland (John H.) Co. ................... 1,800 26,887
------------
42,644
------------
STEEL (0.2%)
Birmingham Steel Corporation ............ 900 3,488
Castle (A.M.) & Co. ..................... 900 7,481
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ------------
<S> <C> <C>
STEEL (CONTINUED)
Commercial Metals Co. ................... 600 $ 16,500
Quanex Corp. ............................ 300 4,462
Steel Technologies, Inc. ................ 200 1,425
------------
33,356
------------
TELEPHONE LONG DISTANCE (0.1%)
General Communication, Inc. + ........... 1,500 7,688
TALK.com Inc. + ......................... 2,200 12,787
------------
20,475
------------
TEXTILES (APPAREL) (0.5%)
Ashworth, Inc. + ........................ 300 1,341
Haggar Corp. ............................ 200 2,350
Hartmarx Corp. + ........................ 900 2,306
Kellwood Co. ............................ 900 19,013
Nautica Enterprises, Inc. + ............. 1,100 11,756
Oshkosh B'Gosh, Inc. .................... 800 13,100
Oxford Industries, Inc. ................. 300 5,400
Phillips-Van Heusen Corp. ............... 1,600 15,200
Quiksilver, Inc. + ...................... 350 5,447
------------
75,913
------------
TEXTILES (HOME FURNISHINGS) (0.1%)
Interface, Inc. ......................... 2,400 9,150
------------
TEXTILES (SPECIALITY) (0.1%)
Cone Mills Corp. ........................ 1,500 9,281
Guilford Mills, Inc. .................... 300 1,275
------------
10,556
------------
TOBACCO (0.1%)
Schweitzer-Mauduit International, Inc. .. 800 10,000
------------
TRUCKERS (0.8%)
American Freightways Corp. + ............ 1,200 17,400
Arkansas Best Corp. + ................... 1,100 10,931
Heartland Express, Inc. + ............... 1,900 31,706
Landstar Systems, Inc. + ................ 400 23,825
Rollins Truck Leasing Corp. ............. 850 5,897
U.S. Freightways Corp. .................. 400 9,825
Yellow Corp. + .......................... 1,600 23,600
------------
123,184
------------
TRUCKS & PARTS (0.1%)
Oshkosh Truck Corp. ..................... 600 21,450
------------
WASTE MANAGEMENT (0.1%)
Tetra Technologies Inc. + ............... 700 9,930
------------
WATER UTILITIES (0.5%)
American States Water Co. ............... 200 5,950
Philadelphia Suburban Water Corp. ....... 1,405 28,803
United Water Resources, Inc. ............ 1,300 45,337
------------
80,090
------------
TOTAL COMMON STOCKS (COST $13,411,452) 14,413,330
------------
</TABLE>
See Notes to Portfolio of Investments. 31
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (4.9%)
Federal Home Loan Mortgage
Corp.,6.57%,07/03/00.................... $743,000 $ 743,000
Total Short-Term Investments
(Cost $743,000) 743,000
------------
Total Investments (Cost $14,154,452)(a) 15,156,330
Other Assets Less Liabilities (2,102)
------------
Total Net Assets $15,154,228
============
</TABLE>
Notes to Portfolio of Investments
(a) The cost of investments for federal income tax purposes amounts to
$14,805,232. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains................................ $ 1,775,391
Unrealized losses............................... (1,424,293)
-----------
Net unrealized gain........................ 351,098
===========
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
32 See Notes to Financial Statements.
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
================================================================================
<TABLE>
<S> <C>
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:
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 .........................................................
Cost of investments ...................................................
CAPITAL SHARES:
Authorized ............................................................
Par value .............................................................
Outstanding ...........................................................
Net asset value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
</TABLE>
34 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>
$11,485,026 $1,269,050,979 $34,809,836 $15,156,330
9,472 155,682 -- 174
145,574 800,404 15,656 5,621
-- 18,269,169 370,880 337,220
-- 58,101 318,084 --
111 -- -- --
2,053 -- 354 3,296
53 2,813 44 33
----------- -------------- ----------- -----------
11,642,289 1,288,337,148 35,514,854 15,502,674
----------- -------------- ----------- -----------
-- 14,560,188 1,711,215 318,225
1,163 1,295,730 -- 8,168
3,024 382,224 11,622 5,117
756 81,905 2,179 960
4,250 14,975 9,910 11,367
4,758 16,206 5,073 4,609
----------- -------------- ----------- -----------
13,951 16,351,228 1,739,999 348,446
----------- -------------- ----------- -----------
$11,628,338 $1,271,985,920 $33,774,855 $15,154,228
=========== ============== =========== ===========
$11,869,322 $1,113,365,629 $29,506,130 $13,977,569
(296,080) 76,496,878 513,753 1,001,878
365,200 4,150,403 81,618 14,659
(310,104) 77,973,010 3,673,354 160,122
----------- -------------- ----------- -----------
$11,628,338 $1,271,985,920 $33,774,855 $15,154,228
=========== ============== =========== ===========
$11,781,106 $1,192,554,101 $34,296,083 $14,154,452
Two Billion Two Billion Two Billion Two Billion
$ 0.001 $ 0.001 $ 0.001 $ 0.001
1,180,192 63,990,134 2,431,647 1,349,589
$ 9.85 $ 19.88 $ 13.89 $ 11.23
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
<S> <C>
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 ................................................
Expenses before reimbursement and waiver from Investment Adviser ......
Expense reimbursement and waiver from Investment Adviser ..............
Net investment expenses ..........................................
Net investment income .................................................
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ..........................................................
Futures contracts ....................................................
Net realized gain (loss) on investments ..........................
Net change in unrealized gain or loss on:
Investments ..........................................................
Futures contracts ....................................................
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 .......
</TABLE>
36 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>
$ -- $ 6,271,086 $ 119,189 $ 40,051
390,916 542,705 39,314 15,566
--------- ------------ ----------- ---------
390,916 6,813,791 158,503 55,617
-- (38,111) -- (20)
--------- ------------ ----------- ---------
390,916 6,775,680 158,503 55,597
--------- ------------ ----------- ---------
17,086 2,074,495 51,282 27,583
4,271 444,535 9,615 5,172
4,801 21,847 4,533 4,470
4,178 10,198 15,184 16,854
1,300 1,300 1,300 1,300
6,735 11,054 9,142 9,622
157 17,903 282 188
-- 18,390 -- 140
303 23,901 435 282
--------- ------------ ----------- ---------
38,831 2,623,623 91,773 65,611
(13,139) -- (14,968) (24,202)
--------- ------------ ----------- ---------
25,692 2,623,623 76,805 41,409
--------- ------------ ----------- ---------
365,224 4,152,057 81,698 14,188
--------- ------------ ----------- ---------
(114,556) 89,840,137 3,994,640 573,857
-- (221,362) -- --
--------- ------------ ----------- ---------
(114,556) 89,618,775 3,994,640 573,857
--------- ------------ ----------- ---------
201,543 (97,210,095) (1,169,236) (307,228)
-- (59,071) -- --
--------- ------------ ----------- ---------
201,543 (97,269,166) (1,169,236) (307,228)
--------- ------------ ----------- ---------
86,987 (7,650,391) 2,825,404 266,629
--------- ------------ ----------- ---------
$ 452,211 $ (3,498,334) $ 2,907,102 $ 280,817
========= ============ =========== =========
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS BOND
--------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 365,224 $ 823,762
Net realized loss on investments........... (114,556) (195,549)
Net change in unrealized gain or loss on
investments............................... 201,543 (782,257)
----------- -----------
Net increase (decrease) in net assets
resulting from operations................ 452,211 (154,044)
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................. (6,962) (823,767)
From net realized gains.................... -- (6,508)
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... (6,962) (830,275)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold.................. 247,758 1,812,578
Net asset value of shares issued upon
reinvestment of distributions............ 505 65,211
Payments for shares redeemed............... (499,138) (4,566,589)
----------- -----------
Net decrease in net assets from fund share
transactions............................. (250,875) (2,688,800)
----------- -----------
Net change in net assets................. 194,374 (3,673,119)
NET ASSETS:
Beginning of period........................ 11,433,964 15,107,083
----------- -----------
End of period.............................. $11,628,338 $11,433,964
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 365,200 $ 6,938
=========== ===========
SHARE TRANSACTIONS:
Number of shares sold...................... 25,769 178,906
Number of shares issued upon reinvestment
of distributions......................... 51 6,788
Number of shares redeemed.................. (52,018) (462,083)
----------- -----------
Net decrease.............................. (26,198) (276,389)
=========== ===========
</TABLE>
38 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
=============================================================================
INDEX PLUS LARGE CAP
-----------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................. $ 4,152,057 $ 6,626,830
Net realized gain on investments........ 89,618,775 83,370,099
Net change in unrealized gain or loss on
investments............................ (97,269,166) 103,850,751
-------------- --------------
Net increase (decrease) in net assets
resulting from operations............. (3,498,334) 193,847,680
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.............. (1,388,751) (5,248,391)
From net realized gains................. (53,387,739) (42,453,390)
-------------- --------------
Decrease in net assets from
distributions to shareholders......... (54,776,490) (47,701,781)
-------------- --------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold............... 170,529,270 539,500,276
Net asset value of shares issued upon
reinvestment of distributions......... 54,776,490 47,701,781
Payments for shares redeemed............ (57,517,281) (66,934,745)
-------------- --------------
Net increase in net assets from fund
share transactions.................... 167,788,479 520,267,312
-------------- --------------
Net change in net assets.............. 109,513,655 666,413,211
NET ASSETS:
Beginning of period..................... 1,162,472,265 496,059,054
-------------- --------------
End of period........................... $1,271,985,920 $1,162,472,265
============== ==============
End of period net assets includes
undistributed net investment income.... $ 4,150,403 $ 1,387,097
============== ==============
SHARE TRANSACTIONS:
Number of shares sold................... 8,423,334 28,561,848
Number of shares issued upon
reinvestment of distributions......... 2,706,349 2,421,894
Number of shares redeemed............... (2,828,249) (3,502,929)
-------------- --------------
Net increase........................... 8,301,434 27,480,813
============== ==============
</TABLE>
See Notes to Financial Statements. 39
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
--------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 81,698 $ 86,081
Net realized gain on investments........... 3,994,640 2,256,814
Net change in unrealized gain or loss on
investments............................... (1,169,236) (17,695)
----------- ------------
Net increase in net assets resulting from
operations............................... 2,907,102 2,325,200
----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................. (5,821) (80,340)
From net realized gains.................... (455,656) (2,105,261)
----------- ------------
Decrease in net assets from distributions
to shareholders.......................... (461,477) (2,185,601)
----------- ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold.................. 15,131,513 19,048,036
Net asset value of shares issued upon
reinvestment of distributions............ 461,477 2,185,601
Payments for shares redeemed............... (3,507,866) (12,052,024)
----------- ------------
Net increase in net assets from fund share
transactions............................. 12,085,124 9,181,613
----------- ------------
Net change in net assets................. 14,530,749 9,321,212
NET ASSETS:
Beginning of period........................ 19,244,106 9,922,894
----------- ------------
End of period.............................. $33,774,855 $ 19,244,106
=========== ============
End of period net assets includes
undistributed net investment income....... $ 81,618 $ 5,741
=========== ============
SHARE TRANSACTIONS:
Number of shares sold...................... 1,111,990 1,551,617
Number of shares issued upon reinvestment
of distributions......................... 31,608 186,865
Number of shares redeemed.................. (263,685) (999,860)
----------- ------------
Net increase.............................. 879,913 738,622
=========== ============
</TABLE>
40 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
=============================================================================
INDEX PLUS SMALL CAP
--------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 14,188 $ 26,718
Net realized gain on investments........... 573,857 324,914
Net change in unrealized gain or loss on
investments............................... (307,228) 866,892
----------- -----------
Net increase in net assets resulting from
operations............................... 280,817 1,218,524
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................. -- (25,145)
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... -- (25,145)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold.................. 5,974,720 11,946,574
Net asset value of shares issued upon
reinvestment of distributions............ -- 25,145
Payments for shares redeemed............... (3,585,262) (8,280,578)
----------- -----------
Net increase in net assets from fund share
transactions............................. 2,389,458 3,691,141
----------- -----------
Net change in net assets................. 2,670,275 4,884,520
NET ASSETS:
Beginning of period........................ 12,483,953 7,599,433
----------- -----------
End of period.............................. $15,154,228 $12,483,953
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 14,659 $ 471
=========== ===========
SHARE TRANSACTIONS:
Number of shares sold...................... 536,197 1,219,438
Number of shares issued upon reinvestment
of distributions......................... -- 2,429
Number of shares redeemed.................. (331,420) (847,768)
----------- -----------
Net increase.............................. 204,777 374,099
=========== ===========
</TABLE>
See Notes to Financial Statements. 41
<PAGE>
INDEX PLUS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (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 multiple 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 the Portfolios are offered to insurance company separate accounts that
fund both annuity and life insurance contracts and to certain tax-qualified
retirement plans. At June 30, 2000, separate accounts of Aetna Life Insurance
and Annuity Company (ALIAC) and its affiliates held 100.0%, 98.4%, 100.0% and
100.0% of Index Plus Bond, Index Plus Large Cap, Index Plus Mid Cap and Index
Plus Small Cap's shares outstanding, respectively.
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 each Portfolio has 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. Actual results could differ from these estimates.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and asked price. High yield securities are priced at
bid by external pricing sources or brokers making a market in the security.
42
<PAGE>
================================================================================
Short-term investments maturing in sixty days or less 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 (Board).
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 may invest in
financial futures contracts as a hedge against their 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
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. 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.
43
<PAGE>
INDEX PLUS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
================================================================================
E. FEDERAL INCOME TAXES
Each Portfolio has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1999, 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 (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 Code. Thus, the financial statements contain no provision for
federal income 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
repurchases of certain securities sold at a loss. 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 Code.
G. LINE OF CREDIT
Certain portfolios of the Fund, (including the Portfolios), Aetna Generation
Portfolios, Inc., Aetna Balanced VP, Inc., Aetna Variable Fund, Aetna Income
Shares, certain series of Aetna GET Fund and certain series of Aetna Series Fund
Inc., collectively Aetna Mutual Funds, have entered into a revolving credit
facility, of up to $300,000,000, with a syndicate of banks led by Citibank, N.A.
For its services as Agent, Citibank, N.A. received an agent fee of $200,000. In
addition, the revolving credit facility requires the payment of an annual
commitment fee of 0.09% based on the average daily unused amount of the credit
facility. Each of the Aetna Mutual Funds will pay its pro rata share of both the
agent fee and commitment fee. Generally, borrowings under the facility accrue
interest at the Federal Funds Rate plus a specified margin. Repayments generally
must be made within 30 days after the date of a revolving credit advance. The
revolving credit facility became effective on November 30, 1999, and there was
no outstanding balance as of June 30, 2000.
H. 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 an investment advisory fee expressed as a percentage
of its average daily net assets. Below are the Portfolios' annual investment
advisory fees at June 30, 2000:
<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>
44
<PAGE>
================================================================================
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 for each Portfolio is 0.075% on the first $5
billion in assets and 0.050% on 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 ended June 30, 2000, Aeltus paid ALIAC
$1,085,225.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through June 30, 2000 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 total return. Actual expenses for the period ended
June 30, 2000 were at or below contractual limits. Actual expense ratios are
included in the Financial Highlights.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Index Plus Bond $ 2,472,367 $ 2,464,625
Index Plus Large Cap 806,523,422 715,349,945
Index Plus Mid Cap 31,544,198 20,885,353
Index Plus Small Cap 11,144,985 9,314,807
</TABLE>
6. CAPITAL LOSS CARRYFORWARD
In accordance with applicable provisions of the Code, the following capital loss
carryforwards have been incurred as of June 30, 2000:
<TABLE>
<CAPTION>
CAPITAL LOSS YEAR OF
CARRYFORWARD EXPIRATION
------------ ----------
<S> <C> <C>
Index Plus Bond $ 61,628 2007
Index Plus Small Cap 294,301 2007
</TABLE>
These capital loss carryforwards may be used to offset future capital gains
until their respective expiration dates. It is the policy of each of the
Portfolios to reduce future distributions of realized gains to shareholders to
the extent of unexpired capital loss carryforwards.
45
<PAGE>
INDEX PLUS PORTFOLIOS
ADDITIONAL INFORMATION
JUNE 30, 2000 (UNAUDITED)
================================================================================
FUND CLOSURE
On March 1, 2000 the Board considered and agreed to submit to shareholders a
proposal by Aeltus to liquidate Index Plus Bond. The Portfolio was closed to new
investments on May 15, 2000. If approved by shareholders at a shareholders
meeting scheduled for July 28, 2000, the liquidation will occur on or about
September 1, 2000.
SUBSEQUENT EVENT
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
46
<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 YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 TO DECEMBER 31, 1997
------------- ------------ ------------ --------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 9.48 $ 10.19 $ 10.01 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.31 0.60 0.60 0.02+
Net realized and
change in unrealized
gain or loss on
investments......... 0.07 (0.70) 0.21 0.01
------- ------- ------- -------
Total from
investment
operations........ 0.38 (0.10) 0.81 0.03
------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment
income.............. (0.01) (0.60) (0.59) (0.02)
From net realized
gains on investments -- (0.01) (0.04) --
------- ------- ------- -------
Total distributions (0.01) (0.61) (0.63) (0.02)
------- ------- ------- -------
Net asset value, end
of period ........... $ 9.85 $ 9.48 $ 10.19 $ 10.01
======= ======= ======= =======
Total return* ........ 3.97% (1.08)% 8.17% 0.27%
Net assets, end of
period (000's) ...... $11,628 $11,434 $15,107 $15,009
Ratio of net
investment expenses
to average net assets 0.45%(1) 0.45% 0.45% 0.45%(1)
Ratio of net
investment income to
average net assets .. 6.41%(1) 5.86% 5.67% 5.23%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... 0.68%(1) 0.63% 0.53% --
Portfolio turnover
rate................. 22.27% 60.16% 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.
See Notes to Financial Statements. 47
<PAGE>
INDEX PLUS PORTFOLIOS
FINANCIAL HIGHLIGHTS (CONTINUED)
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 YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 TO DECEMBER 31, 1996
------------- ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 20.87 $ 17.59 $ 14.02 $ 10.91 $ 10.00
---------- ---------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............. 0.06 0.12 0.12 0.10+ 0.05+
Net realized and change in
unrealized gain or loss on
investments....................... (0.15) 4.09 4.30 3.60 0.92
---------- ---------- -------- -------- -------
Total from investment operations (0.09) 4.21 4.42 3.70 0.97
---------- ---------- -------- -------- -------
LESS DISTRIBUTIONS:
From net investment income ........ (0.02) (0.10) (0.12) (0.10) (0.05)
From net realized gains on
investments....................... (0.88) (0.83) (0.73) (0.49) (0.01)
---------- ---------- -------- -------- -------
Total distributions ............. (0.90) (0.93) (0.85) (0.59) (0.06)
---------- ---------- -------- -------- -------
Net asset value, end of period ..... $ 19.88 $ 20.87 $ 17.59 $ 14.02 $ 10.91
========== ========== ======== ======== =======
Total return* ...................... (0.51)% 24.30% 31.60% 33.89% 9.64%
Net assets, end of period (000's) .. $1,271,986 $1,162,472 $496,059 $132,517 $19,410
Ratio of net investment expenses to
average net assets ................ 0.44%(1) 0.45% 0.46% 0.50% 0.50%(1)
Ratio of net investment income to
average net assets ................ 0.70%(1) 0.78% 1.07% 1.38% 1.89%(1)
Ratio of expenses before
reimbursement and waiver to average
net assets ........................ -- 0.45% -- -- --
Portfolio turnover rate ............ 60.54% 88.04% 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.
48 See Notes to Financial Statements.
<PAGE>
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 YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 TO DECEMBER 31, 1997
------------- ------------ ------------ --------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 12.40 $ 12.20 $ 10.34 $10.00
------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.03 0.06 0.07 0.01+
Net realized and
change in unrealized
gain or loss on
investments......... 1.66 1.76 2.42 0.34
------- ------- ------- ------
Total from
investment
operations........ 1.69 1.82 2.49 0.35
------- ------- ------- ------
LESS DISTRIBUTIONS:
From net investment
income.............. -- (0.06) (0.07) (0.01)
From net realized
gains on investments (0.20) (1.56) (0.56) --
------- ------- ------- ------
Total distributions (0.20) (1.62) (0.63) (0.01)
------- ------- ------- ------
Net asset value, end
of period ........... $ 13.89 $ 12.40 $ 12.20 $10.34
======= ======= ======= ======
Total return* ........ 13.54% 15.81% 24.30% 3.50%
Net assets, end of
period (000's) ...... $33,775 $19,244 $ 9,923 $7,756
Ratio of net
investment expenses
to average net assets 0.60%(1) 0.60% 0.60% 0.60%(1)
Ratio of net
investment income to
average net assets .. 0.64%(1) 0.68% 0.68% 1.37%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... 0.72%(1) 0.80% 0.82% --
Portfolio turnover
rate................. 80.45% 143.02% 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.
See Notes to Financial Statements. 49
<PAGE>
INDEX PLUS PORTFOLIOS
FINANCIAL HIGHLIGHTS (CONTINUED)
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 YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 TO DECEMBER 31, 1997
------------- ------------ ------------ --------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 10.90 $ 9.86 $ 10.42 $10.00
------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.01 0.02 0.04 0.01+
Net realized and
change in unrealized
gain or loss on
investments......... 0.32 1.04 (0.19) 0.42
------- ------- ------- ------
Total from
investment
operations........ 0.33 1.06 (0.15) 0.43
------- ------- ------- ------
LESS DISTRIBUTIONS:
From net investment
income.............. -- (0.02) (0.04) (0.01)
From net realized
gains on investments -- -- (0.37) --
------- ------- ------- ------
Total distributions -- (0.02) (0.41) (0.01)
------- ------- ------- ------
Net asset value, end
of period ........... $ 11.23 $ 10.90 $ 9.86 $10.42
======= ======= ======= ======
Total return* ........ 3.03% 10.79% (1.35)% 4.33%
Net assets, end of
period (000's) ...... $15,154 $12,484 $ 7,599 $7,817
Ratio of net
investment expenses
to average net assets 0.60%(1) 0.60% 0.60% 0.60%(1)
Ratio of net
investment income to
average net assets .. 0.21%(1) 0.28% 0.38% 1.90%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... 0.95%(1) 0.90% 0.87% --
Portfolio turnover
rate................. 69.50% 106.89% 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.
50 See Notes to Financial Statements.
<PAGE>
AETNA ASCENT VP
GROWTH OF $10,000
[Line Chart]
<TABLE>
<CAPTION>
7/95 12/95
---- -----
<S> <C> <C> <C> <C> <C> <C>
Aetna Ascent VP 10,000 10,601 11,045 11,453 12,049 12,654
Russell 3000 Index 10,000 10,901 11,470 12,097 12,602 12,974
Ascent Composite Index 10,000 10,526 10,955 11,278 11,624 11,968
<CAPTION>
12/96 12/97
----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent VP 13,650 13,617 15,103 16,524 16,366 17,917 17,939 15,508
Russell 3000 Index 13,973 14,094 16,455 17,990 18,413 20,816 21,195 18,823
Ascent Composite Index 12,850 12,738 14,102 15,081 14,942 16,112 16,035 14,531
<CAPTION>
12/98 12/99 06/00
----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent VP 17,069 16,692 18,280 17,609 19,520 20,658 19,959
Russell 3000 Index 22,857 23,632 25,454 23,779 27,636 28,899 27,899
Ascent Composite Index 16,216 17,293 17,089 16,635 18,253 18,846 18,756
</TABLE>
[End Line Chart]
AETNA CROSSROADS VP
GROWTH OF $10,000
[Line Chart]
<TABLE>
<CAPTION>
7/95 12/95
---- -----
<S> <C> <C> <C> <C> <C> <C>
Aetna Crossroads VP 10,000 10,532 10,930 11,233 11,739 12,207
Salomon Broad Index 10,000 10,190 10,632 10,447 10,498 10,694
Crossroads Composite Index 10,000 10,429 10,841 11,048 11,321 11,628
<CAPTION>
12/96 12/97
----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads VP 12,985 12,995 14,151 15,323 15,268 16,408 16,528 14,984
Salomon Broad Index 11,017 10,959 11,354 11,731 12,077 12,271 12,556 13,076
Crossroads Composite Index 12,345 12,244 13,319 14,101 14,081 14,955 14,978 14,076
<CAPTION>
12/98 12/99 06/00
----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads VP 16,170 15,890 16,943 16,494 17,822 18,469 18,066
Salomon Broad Index 13,129 13,069 12,948 13,041 13,020 13,305 13,531
Crossroads Composite Index 15,329 16,056 15,890 15,626 16,759 17,242 17,245
</TABLE>
[End Line Chart]
See Definition of Terms. 51
<PAGE>
AETNA LEGACY VP
GROWTH OF $10,000
[Line Chart]
<TABLE>
<CAPTION>
7/95 12/95
---- -----
<S> <C> <C> <C> <C> <C> <C>
Aetna Legacy VP 10,000 10,451 10,827 11,036 11,403 11,773
Salomon Broad Index 10,000 10,190 10,632 10,447 10,498 10,694
Legacy Composite Index 10,000 10,332 10,727 10,822 11,023 11,294
<CAPTION>
12/96 12/97
----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy VP 12,363 12,347 13,236 14,088 14,156 14,932 15,085 14,290
Salomon Broad Index 11,017 10,959 11,354 11,731 12,077 12,271 12,556 13,076
Legacy Composite Index 11,855 11,762 12,569 13,171 13,256 13,867 13,975 13,605
<CAPTION>
12/98 12/99 06/00
----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy VP 15,139 14,979 15,668 15,435 16,212 16,809 16,713
Salomon Broad Index 13,129 13,069 12,948 13,041 13,020 13,305 13,531
Legacy Composite Index 14,453 14,867 14,736 14,639 15,340 15,723 15,804
</TABLE>
[End Line Chart]
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
FOR THE PERIOD ENDED JUNE 30, 2000*
-------------------------------------------------------------------------------------
ASCENT VP CROSSROADS VP LEGACY VP
-------------------------------------------------------------------------------------
INCEPTION DATE 1 YEAR INCEPTION 1 YEAR INCEPTION 1 YEAR INCEPTION
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
07/05/95 9.18% 14.86% 6.63% 12.59% 6.68% 10.85%
-------------------------------------------------------------------------------------
</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.
The primary benchmark for Ascent VP is the Russell 3000 Index. 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 real estate investment trusts (REIT) securities
which are reflective of the domestic equity allocation of the Portfolio. The
primary benchmark for Crossroads VP and Legacy VP is the Salomon Smith Barney
Broad Investment Grade Bond (Salomon Broad) Index. 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 those 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, 2000, the performance for the Aetna
Generation Portfolios, Inc. (Ascent, Crossroads and Legacy) and their respective
benchmarks and composite indices are listed below:
<TABLE>
<CAPTION>
PORTFOLIO BENCHMARK INDEX COMPOSITE INDEX
GENERATION PORTFOLIOS RETURN BENCHMARK INDEX RETURN RETURN
<S> <C> <C> <C> <C>
Ascent 2.25% Russell 3000 (a) 0.95% 2.76%
Crossroads 1.37% Salomon Broad (b) 3.92% 2.90%
Legacy 3.09% Salomon Broad (b) 3.92% 3.02%
</TABLE>
52 See Definition of Terms.
<PAGE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIOS?
Serving as a backdrop for each of the Generation Portfolios' performance are the
returns for the various indices for each of the asset classes among which the
Generation Portfolios allocate investments (shown below) for the six month
period ended June 30, 2000. The combination of these seven indices in different
weights comprise the overall composite benchmarks against which we measure each
Generation Portfolios' performance.
<TABLE>
<CAPTION>
INDEX
ASSET CLASS BENCHMARK INDEX RETURN
<S> <C> <C>
Large Cap Stocks S&P 500 (c) -0.42%
Small/Mid Cap Stocks Russell 2500 (d) 5.69%
International Stocks MSCI EAFE (e) -3.95%
Real Estate Stocks NAREIT Equity (f) 13.19%
U.S. Dollar Bonds Salomon Broad (b) 3.92%
International Bonds S.B. Non-U.S. WGBI (g) -1.94%
Cash Equivalents U.S. 90 Day T-Bill (h) 2.79%
</TABLE>
Equity: For the first half of 2000, broad equity market performance has been
negative to modestly positive: the Standard & Poor's (S&P) 500 Index was down
0.42%, NASDAQ Composite Index(k) was down 2.54% and the Russell 2000 Index(l)
was up a modest 3.04%. Money market instruments and bonds, as measured by the
Lehman Brothers Aggregate Bond Index(m), outperformed these past winners.
Commodities in general, and oil in particular, outperformed equities. Real
estate, too, was a better performing asset class, judging by the recovery in
Real Estate Investment Trusts (REITs) shares. A value orientation was of no help
in the first half, as the S&P Barra Value Index(j) was down 4.07%, upstaged once
again by the S&P Barra Growth Index(i), which ended the half with a 2.58% gain.
The industries that delivered solid returns in the first half, as in recent
periods, were semiconductors and networking infrastructure. Biotech soared,
slumped, and soared again while pharmaceuticals, an old-growth sector, roared
back from a rut in February to add both return and diversification to growth
portfolios. On the value side, REITs and energy industries such as natural gas
generated strong returns in an otherwise difficult market.
At the halfway point in 2000, market action tells us that something has changed,
but it does not tell us exactly what. The U.S. equity market looks tired, based
upon the return performance of the past six months. It has lost forward
momentum, remains narrowly based, and set new standards for daily and intra-day
volatility. Meanwhile, global economic growth has rebounded, but it is no longer
possible to be complacent on the issue of inflation. Central banks are moving
their monetary policy stances toward neutrality, or even restraint. Business
conditions remain exceptionally vigorous despite some deceleration from the
recent white-hot pace of the U.S. private sector. Earnings growth has been
robust and the immediate outlook is for more of the same.
At the beginning of the year, it appeared that two opposing factors would set
the story line for this year's market results. One was the undeterred spirit of
"dip-buying"; the record shows that getting in to the market on sell-offs has
been a profitable tactic of late. The other factor was the Federal Reserve Bank
(Fed) shift toward a less accommodating monetary policy. By raising interest
rates in order to restrain the economy, the Fed put increased pressure on what
has been a richly valued market. It still looks as if the clash of these two
factors will determine the year's final numbers.
In general, returns for U.S.-based investors in foreign markets were also
negative in the first half, with China being the exception. The dollar held firm
against other currencies, so foreign exchange returns were negative for most
overseas investments made by U.S. residents. We continue to closely monitor the
exchange value of the U.S. dollar, since a flat to weakening dollar will enhance
returns generated overseas and entice more money to flow there. U.S. markets
remain vulnerable to alternatives (in Europe, Japan, and other advanced
economies) to U.S. dollar investments.
Fixed Income: During the first quarter, U.S. Treasuries rallied as a reduced
supply more than offset the impact of strong growth and Fed interest rate
tightening. This reversed in the second quarter, as worries around inflation and
the eventual magnitude of Fed tightening needed to slow the economy and control
inflation took center stage.
See Definition of Terms. 53
<PAGE>
On the heels of 7.3% growth in Gross Domestic Product for the fourth quarter,
the first quarter remained strong at 5.5%. Combined with the previously
mentioned rise in inflation, this led the Fed to increase interest rates 100
basis points (1.00%) over the first half of 2000. (One basis point equals one
hundredth of one percent, or 0.01%.)
As we entered May and June, economic data began showing evidence of a slowdown.
Inflation indicators were tame for both April and May, and other economic
reports showed decelerating growth and less pricing pressure. Combined with a
soft May employment report, these indicators led the Treasury market to revert
back to the bullish action of the first quarter. For the first six months,
ten-year Treasuries declined in yield by 41 basis points. The yield curve
inverted as Fed tightening caused the two-year Treasury to increase by 12 basis
points, while the thirty-year Treasury declined in yield by 58 basis points. (An
inverted yield curve occurs when short-term interest rates are higher than
long-term interest rates.)
With the Fed tightening interest rates, spread products underperformed
Treasuries by a wide margin in the first quarter, while recovering somewhat in
the second quarter as evidence of a slowdown came into focus. For the six
months, corporate bonds (-265 basis points) were the weakest performers, while
mortgage-backed securities (-51 basis points), agencies (-113 basis points),
asset backed securities (-26 basis points), and collateral mortgage-backed
securities (-121 basis points) all showed negative returns when compared to
Treasuries of equal durations.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIOS' PERFORMANCE OVER THE PAST SIX
MONTHS?
Equity - Ascent: Year to date, the Portfolio's modest underperformance compared
to its custom benchmark was primarily due to adverse stock selection in the
large cap sectors of consumer cyclicals, consumer staples, and financials. Mid
cap, small cap, and international stocks positively contributed to performance.
Top equity performers included: Scientific-Atlanta, up +167%; ADC
Telecommunications Inc., up +131%; and Serena Software Inc., up +120%.
Overall asset allocation decisions had a positive impact on performance, led by
an underweight position in large cap stocks and international fixed income
securities, and an overweight in real estate securities.
Equity - Crossroads: Year to date, the Portfolio's underperformance compared to
its custom benchmark was primarily due to adverse stock selection in the large
cap sectors of healthcare, financials, consumer cyclicals, and consumer staples.
Mid cap, small cap, international stocks and real estate securities positively
contributed to performance. Top equity performers included: Advanced Micro
Devices, up +167%; Scientific-Atlanta, up +167%; and Micron Technology, up
+127%.
Overall asset allocation decisions had a positive impact on performance, led by
an underweight position in international fixed income securities and an
overweight position in real estate securities.
Equity - Legacy: Year to date, the Portfolio's modest outperformance compared to
its custom benchmark was primarily due to positive stock selection in the small
cap, mid cap, international, and real estate stocks. Top equity performers for
the period included: Scientific-Atlanta, up +167%; Advanced Micro Devices, up
+167%; and ADC Telecommunications Inc., up +131%.
Overall asset allocation decisions had a positive impact on performance, led by
an underweight position in international fixed income securities and an
overweight position in real estate securities.
Fixed Income - All Portfolios: Portfolio performance was boosted by an
underweight position in corporate bonds, mortgage-backed securities, and
agencies at the beginning of the year. However, we switched to an overweight
position in spread sectors later in the first quarter, and the continued poor
performance of spread products had an adverse impact on performance for the
remainder of the period.
The contribution from our duration position was mixed. A short duration posture
through much of the first quarter detracted from performance, as we
underestimated the impact of a reduced Treasury supply which in fact produced a
rally in the face of Fed tightening. However, we were short duration through
much of the April sell-off, and neutral to modestly long during the rally in
mid-May, leading to gains. Our short duration posture during June showed modest
negative results as Treasuries rallied early, then retreated.
54 See Definition of Terms.
<PAGE>
Asset allocation decisions detracted somewhat from the overall performance
during the period. Despite already low valuation levels, equity REITs continued
to suffer, and our overweight position hurt performance. Our underweight
position in U.S. and international bonds helped performance as these asset
classes performed poorly over the past year.
Listed below are the asset class allocation breakdowns:
<TABLE>
<CAPTION>
ASSET ALLOCATION: % OF NOTIONAL
NET ASSETS VALUE* ECONOMIC EXPOSURE*
ASSET CLASS 06/30/00 OF FUTURES 6/30/00 12/31/99 BENCHMARK RANGE
<S> <C> <C> <C> <C> <C> <C>
Ascent
------
Large Cap Stocks 27.0% -- 27.0% 26.8% 35% 0-70%
Small/Mid Cap Stocks 21.8% -- 21.8% 12.7% 20% 0-40%
International Stocks 18.6% -- 18.6% 29.4% 20% 0-40%
International Bonds 0.4% -- 0.4% 1.0% 5% 0-10%
Real Estate Stocks 7.7% -- 7.7% 11.4% 5% 0-10%
U.S. Dollar Bonds 13.9% -- 13.9% 6.7% 15% 0-30%
Cash Equivalents 10.6% -- 10.6% 12.0% -- 0-30%
-----------------------------------------------------------------------------------
100.0% -- 100.0% 100.0% 100%
===================================================================================
Crossroads
----------
Large Cap Stocks 24.6% -- 24.6% 22.1% 25% 0-50%
Small/Mid Cap Stocks 16.5% 1.1% 17.6% 10.0% 15% 0-30%
International Stocks 14.7% -- 14.7% 22.2% 15% 0-30%
International Bonds 1.8% -- 1.8% 3.1% 5% 0-10%
Real Estate Stocks 7.8% -- 7.8% 9.0% 5% 0-10%
U.S. Dollar Bonds 26.7% -- 26.7% 24.9% 30% 0-60%
Cash Equivalents 7.9% (1.1)% 6.8% 8.7% 5% 0-30%
-----------------------------------------------------------------------------------
100.0% -- 100.0% 100.0% 100%
===================================================================================
Legacy
------
Large Cap Stocks 14.7% -- 14.7% 15.1% 15% 0-30%
Small/Mid Cap Stocks 11.1% 1.3% 12.4% 8.0% 10% 0-20%
International Stocks 10.0% -- 10.0% 15.2% 10% 0-20%
International Bonds 3.6% -- 3.6% 5.4% 5% 0-10%
Real Estate Stocks 7.7% -- 7.7% 5.5% 5% 0-10%
U.S. Dollar Bonds 40.3% -- 40.3% 44.0% 45% 0-90%
Cash Equivalents 12.6% (1.3)% 11.3% 6.8% 10% 0-30%
-----------------------------------------------------------------------------------
100.0% -- 100.0% 100.0% 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.
See Definition of Terms. 55
<PAGE>
WHAT IS YOUR OUTLOOK GOING FORWARD?
The picture is mixed as the 2000 market heads into its second half. Robust
earnings growth, low inflation, and a friendly Fed have been key contributors to
the record returns generated by the bull market of the late 1990s. Although the
earnings outlook remains favorable, recent economic reports have shown some
level of weakness. The Fed chose not to raise interest rates at their June
meeting, but we don't believe we've seen the end of the tightening. We contend
higher rates are needed to slow the economy and relieve labor market pressures.
On the equity side, we currently have a neutral weight compared to the benchmark
for all sectors; on the fixed income side, we have managed our duration to the
shorter side in anticipation of the higher rates.
Our outlook for the second half of the year is one of balance between market
risks related to the slowing of the U.S. economy and other market positives,
such as the resolution of the Presidential race and the approaching end of the
Fed's interest rate increases. Given the uncertainty of the outcomes, we feel
the wild volatility that characterized 2000's first half is likely to persist
into the second half.
The opinions expressed reflect those of the portfolio manager only through June
30, 2000. 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.
56 See Definition of Terms.
<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.
(i) S&P 500 Barra Growth Index is the Standard & Poor's 500 Growth Index.
Companies in each U.S. index are split into two groups based on
price-to-book ratio to create growth and value indices. The Growth index
contains companies with higher price-to-book ratios, while the Value index
contains those with lower ratios.
(j) S&P 500 Barra Value Index is the Standard & Poor's 500 Value Index.
Companies in each U.S. index are split into two groups based on
price-to-book ratio to create growth and value indices. The Value index
contains companies with lower price-to-book ratios, while the Growth index
contains those with higher ratios.
(k) NASDAQ Composite Index is an unmanaged index of the National Market System
which includes over 5,000 stocks traded only over-the-counter and not on an
exchange.
(l) The Russell 2000 Index consists of the smallest 2,000 of the 3,000 largest
companies, based on market capitalization.
(m) 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.
The unmanaged indices described above are not available for individual
investment.
57
<PAGE>
*START*
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
ASCENT
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
COMMON STOCKS (76.3%)
UNITED STATES (56.7%)
AIRLINES (0.4%)
UAL Corp. + ........................... 13,000 $ 756,438
-------------
BANKS (REGIONAL) (0.2%)
First United Bancshares, Inc. ......... 10,000 151,875
GBC Bancorp ........................... 13,000 380,250
-------------
532,125
-------------
BEVERAGES (NON-ALCOHOLIC) (0.4%)
Pepsi Bottling Group, Inc. ............ 26,000 758,875
-------------
BEVERAGES (ALCOHOLIC) (1.0%)
Anheuser-Busch Co., Inc. .............. 24,200 1,807,438
Canandiagua Brands, Inc. + ............ 8,000 403,500
-------------
2,210,938
-------------
BIOTECHNOLOGY (0.1%)
MedImmune, Inc. + ..................... 3,900 288,600
-------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (1.3%)
Powertel, Inc. + ...................... 2,000 141,875
Powerwave Technologies, Inc. + ........ 7,200 316,800
Price Communications Corp. + .......... 11,300 266,256
Sprint PCS + .......................... 34,700 2,064,650
-------------
2,789,581
-------------
CHEMICALS (0.2%)
Georgia Gulf Corp. .................... 20,000 416,250
-------------
CHEMICALS SPECIALITY (0.3%)
Gentek, Inc. .......................... 20,000 223,750
Millennium Chemicals, Inc. + .......... 20,000 340,000
-------------
563,750
-------------
COMMUNICATIONS EQUIPMENT (2.0%)
ADC Telecommunications, Inc. + ........ 22,800 1,912,350
Anixter International, Inc. + ......... 8,000 212,000
Audiovox Corp. + ...................... 22,000 485,375
Ciena Corp. + ......................... 1,600 266,700
Scientific-Atlanta, Inc. .............. 20,400 1,519,800
-------------
4,396,225
-------------
COMPUTERS (HARDWARE) (1.4%)
Brocade Communications Systems, Inc. .. 5,200 954,119
Sun Microsystems, Inc. + .............. 23,400 2,127,937
-------------
3,082,056
-------------
COMPUTERS (NETWORKING) (1.5%)
Cisco Systems, Inc. + ................. 28,900 1,836,956
Network Appliance, Inc. + ............. 17,700 1,424,850
-------------
3,261,806
-------------
COMPUTERS (PERIPHERALS) (1.0%)
Advanced Digital Information Corp. + .. 12,000 191,250
EMC Corp. + ........................... 25,900 1,992,681
-------------
2,183,931
-------------
COMPUTERS SOFTWARE/SERVICES (3.9%)
Adobe Systems, Inc. ................... 6,600 858,000
BEA Systems, Inc. + ................... 24,000 1,186,500
BroadVision, Inc. + ................... 14,000 711,375
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMPUTERS SOFTWARE/SERVICES (CONTINUED)
Oracle Corp. + ........................ 38,000 $ 3,194,375
SERENA Software, Inc. + ............... 7,050 320,114
Symantec Corp. + ...................... 10,000 539,375
VeriSign, Inc. + ...................... 1,900 335,350
VERITAS Software Corp. + .............. 11,400 1,288,378
-------------
8,433,467
-------------
ELECTRIC COMPANIES (0.8%)
Energy East Corp. ..................... 25,000 476,563
NSTAR Corp. ........................... 17,000 691,687
RGS Energy Group Inc. ................. 25,800 574,050
-------------
1,742,300
-------------
ELECTRICAL EQUIPMENT (2.6%)
Amphenol Corp. ........................ 7,000 463,313
AVX Corp. ............................. 16,000 367,000
Black Box Corp. + ..................... 6,000 475,031
General Electric Co. .................. 47,100 2,496,300
KEMET Corp. + ......................... 18,000 451,125
Technitrol, Inc. ...................... 6,000 581,250
Three-Five Systems, Inc. + ............ 6,000 354,000
Vishay Intertechnology, Inc. + ........ 14,250 540,609
-------------
5,728,628
-------------
ELECTRONICS (DEFENSE) (0.2%)
Litton Industries, Inc. + ............. 10,000 420,000
-------------
ELECTRONICS (INSTRUMENTS) (1.2%)
Credence Systems Corp. + .............. 13,000 717,437
CyberOptics Corp. ..................... 6,800 314,500
Meade Instruments Corp. ............... 18,000 452,250
Robotic Vision Systems, Inc. + ........ 30,000 540,000
Varian, Inc. + ........................ 12,000 553,500
-------------
2,577,687
-------------
ELECTRONICS (SEMICONDUCTORS) (5.0%)
Altera Corp. + ........................ 15,300 1,559,644
Atmel Corp. + ......................... 4,800 177,000
Integrated Device Technology, Inc. + .. 12,000 718,500
Intel Corp. ........................... 24,500 3,275,344
International Rectifier Corp. + ....... 6,500 364,000
Kopin Corporation + ................... 5,700 394,725
Micron Technology, Inc. + ............. 7,400 651,662
PMC Sierra Inc. + ..................... 1,300 230,994
QLogic Corp. + ........................ 2,600 171,763
SDL, Inc. + ........................... 3,000 855,562
Silicon Storage Technology, Inc. + .... 5,000 441,562
Texas Instruments, Inc. ............... 19,300 1,325,669
Xilinx, Inc. + ........................ 8,800 726,550
-------------
10,892,975
-------------
ENGINEERING & CONSTRUCTION (0.1%)
LCC International, Inc. + ............. 10,000 273,125
-------------
EQUIPMENT (SEMICONDUCTORS) (1.7%)
Applied Materials, Inc. + ............. 30,300 2,745,937
</TABLE>
58 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
EQUIPMENT (SEMICONDUCTORS) (CONTINUED)
Teradyne, Inc. + ...................... 12,900 $ 948,150
-------------
3,694,087
-------------
FINANCIAL (DIVERSIFIED) (0.9%)
Citigroup Inc. ........................ 19,800 1,192,950
Eastgroup Properties, Inc. ............ 4,600 96,888
Koger Equity, Inc. .................... 10,600 178,875
National Golf Properties, Inc. ........ 3,000 63,375
Pacific Gulf Properties, Inc. ......... 2,600 65,163
Pan Pacific Retail Properties, Inc. ... 6,300 126,787
Parkway Properties, Inc. .............. 5,200 158,600
-------------
1,882,638
-------------
FOODS (1.0%)
PepsiCo, Inc. ......................... 38,500 1,710,844
Smithfields Foods, Inc. + ............. 8,900 249,756
Suiza Foods Corp. + ................... 4,000 195,500
-------------
2,156,100
-------------
GAMING, LOTTERY, & PARI-MUTUEL (0.8%)
Argosy Gaming Co. + ................... 36,000 517,500
Aztar Corp. + ......................... 10,400 161,200
Isle of Capris Casinos, Inc. .......... 20,000 271,250
Mandaley Resort Group + ............... 22,000 440,000
MGM Grand, Inc. + ..................... 7,400 237,725
-------------
1,627,675
-------------
HARDWARE & TOOLS (0.2%)
Toro Co. .............................. 12,000 395,250
-------------
HEALTH CARE (DRUGS) (0.3%)
Noven Pharmaceuticals, Inc. + ......... 20,900 628,306
-------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (2.7%)
Eli Lilly & Co. ....................... 26,100 2,606,737
Pfizer, Inc. .......................... 68,575 3,291,600
-------------
5,898,337
-------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.3%)
RehabCare Group, Inc. ................. 24,000 654,000
-------------
HEALTH CARE (MANAGED CARE) (1.7%)
Oxford Health Plans, Inc. + ........... 17,000 404,812
PacifiCare Health Systems, Inc. + ..... 6,000 361,125
Trigon Healthcare, Inc. + ............. 10,000 515,625
UnitedHealth Group Incorporated ....... 27,200 2,332,400
-------------
3,613,962
-------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.4%)
INAMED Corporation + .................. 12,000 439,500
Zoll Medical Corp. .................... 9,000 441,000
-------------
880,500
-------------
HEALTH CARE DIVERSIFIED (0.6%)
Abbott Laboratories ................... 21,000 935,813
IVAX Corp. + .......................... 11,000 456,500
-------------
1,392,313
-------------
INSURANCE (LIFE/HEALTH) (0.5%)
Hancock John Financial Services, Inc. + 17,000 402,688
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
INSURANCE (LIFE/HEALTH) (CONTINUED)
Mony Group Inc. + ..................... 17,000 $ 574,812
-------------
977,500
-------------
INSURANCE (MULTI-LINE) (1.3%)
American International Group, Inc. .... 8,400 987,000
CIGNA Corp. ........................... 19,700 1,841,950
-------------
2,828,950
-------------
INSURANCE (PROPERTY/CASUALTY) (0.3%)
Renaissancere Holdings Company ........ 17,000 740,563
-------------
INVESTMENT BANKING/BROKERAGE (0.8%)
Lehman Brothers Holdings Inc. ......... 6,500 614,656
Raymond James Financial, Inc. ......... 25,000 562,500
Tucker Anthony Sutro Corporation ...... 30,000 540,000
-------------
1,717,156
-------------
LEISURE TIME (PRODUCTS) (0.2%)
Direct Focus, Inc. + .................. 10,000 490,000
-------------
MANUFACTURING (SPECIALIZED) (0.4%)
Millipore Corp. ....................... 12,600 949,725
-------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.5%)
Enron Corp. ........................... 11,500 741,750
KeySpan Energy Corp. .................. 10,000 307,500
-------------
1,049,250
-------------
OFFICE EQUIPMENT & SUPPLIES (0.1%)
Steelcase, Inc. ....................... 15,900 270,300
-------------
OIL & GAS (DRILLING & EQUIPMENT) (1.5%)
Atwood Oceanics, Inc. + ............... 4,000 177,500
Helmerich & Payne, Inc. ............... 20,000 747,500
Rowan Co., Inc. + ..................... 54,000 1,640,250
Transocean Sedco Forex Inc. ........... 11,500 614,531
-------------
3,179,781
-------------
OIL & GAS (EXPLORATION/PRODUCTION) (1.9%)
Anadarko Petroleum Corp. .............. 13,900 685,444
Apache Corp. .......................... 25,800 1,517,362
Basin Exploration, Inc. + ............. 10,000 178,750
Ocean Energy, Inc. + .................. 26,000 368,875
Patina Oil & Gas Corp. ................ 16,000 332,000
Penn Virginia Corp. ................... 19,000 467,875
Vintage Petroleum, Inc. + ............. 20,000 451,250
-------------
4,001,556
-------------
OIL & GAS (REFINING & MARKETING) (0.3%)
Ultramar Diamond Shamrock Corp. ....... 28,000 694,750
-------------
OIL (DOMESTIC INTEGRATED) (0.4%)
Phillips Petroleum Co. ................ 18,100 917,444
-------------
PHOTOGRAPHY/IMAGING (0.6%)
Imation Corp. + ....................... 17,000 499,375
Infocus Corp. ......................... 22,500 724,219
-------------
1,223,594
-------------
POWER PRODUCERS (INDEPENDENT) (0.9%)
AES Corp. + ........................... 37,500 1,710,938
Calpine Corp. + ....................... 2,500 164,375
-------------
1,875,313
-------------
</TABLE>
See Notes to Portfolio of Investments. 59
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
ASCENT (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
REIT DIVERSIFIED (7.3%)
Alexandria Real Estate Equities, Inc. . 6,400 $ 219,600
AMB Property Corp. .................... 13,400 305,688
Apartment Investment & Management Co. . 13,800 596,850
Archstone Communities Trust ........... 17,500 368,594
Arden Realty Group, Inc. .............. 8,500 199,750
Avalon Bay Communities, Inc. .......... 9,270 387,022
Beacon Capital + + .................... 38,400 568,320
Boston Properties, Inc. ............... 26,700 1,031,287
Brandywine Realty Trust ............... 9,000 172,125
BRE Properties, Inc. .................. 13,300 384,037
Capital Automotive REIT ............... 14,700 207,638
Catellus Development Corp. + .......... 10,800 162,000
CBL & Associates Properties, Inc. ..... 13,000 324,188
Colonial Properties Trust ............. 9,400 257,325
Developers Diversified Realty Corp. ... 47,800 714,012
Duke-Weeks Realty Corp. ............... 14,574 326,093
Equity Office Properties Trust ........ 37,700 1,039,106
Equity Residential Properties Trust ... 21,402 984,492
Essex Property Trust, Inc. ............ 4,300 180,600
FelCor Lodging Trust Inc. ............. 5,900 109,150
First Industrial Realty Trust, Inc. ... 5,200 153,400
General Growth Properties, Inc. ....... 15,300 485,775
Glimcher Realty Trust ................. 16,300 234,313
Health Care Property Investors, Inc. .. 7,700 209,825
Healthcare Realty Trust, Inc. ......... 6,157 105,054
Highwood Properties, Inc. ............. 7,000 168,000
Home Properties of New York, Inc. ..... 8,300 249,000
Hospitality Properties Trust .......... 10,800 243,675
Host Marriott Corp. ................... 9,500 89,063
Kimco Realty Corp. .................... 11,800 483,800
Liberty Property Trust ................ 11,100 287,906
Post Properties, Inc. ................. 10,600 466,400
Prentiss Properties Trust ............. 3,000 72,000
ProLogis Trust ........................ 30,800 656,425
PS Business Parks, Inc. ............... 13,300 319,200
Simon Property Group, Inc. ............ 25,200 559,125
SL Green Realty Corp. ................. 16,200 433,350
Spieker Properties, Inc. .............. 17,200 791,200
Starwood Hotels & Resort Worldwide,
Inc................................... 6,800 221,425
Summit Properties Inc. ................ 14,800 310,800
United Dominion Realty Trust, Inc. .... 11,500 126,500
Vornado Realty Trust .................. 14,400 500,400
Weingarten Realty Investors ........... 4,800 193,800
-------------
15,898,313
-------------
RETAIL (BUILDING SUPPLIES) (0.2%)
Hughes Supply, Inc. ................... 24,000 474,000
-------------
RETAIL (COMPUTERS & ELECTRONICS) (0.4%)
Tech Data Corp. + ..................... 17,500 762,344
-------------
RETAIL (HOME SHOPPING) (0.3%)
PolyMedica Corp. + .................... 13,000 562,250
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
RETAIL - SPECIALITY (0.1%)
Sonic Automotive, Inc. + .............. 25,000 $ 267,215
-------------
RETAIL SPECIALITY - APPAREL (0.7%)
Braun's Fashions Corporation .......... 15,000 550,313
Hot Topic, Inc. + ..................... 15,000 480,000
Wilsons The Leather Experts Inc. + .... 26,000 381,875
-------------
1,412,188
-------------
SAVINGS & LOAN COMPANIES (0.3%)
Astoria Financial Corp. ............... 13,000 334,750
Downey Financial Corp. ................ 12,000 348,000
-------------
682,750
-------------
SERVICES (ADVERTISING/MARKETING) (0.3%)
ADVO, Inc. + .......................... 15,000 630,000
-------------
SERVICES (COMMERCIAL & CONSUMER) (1.1%)
Convergys Corp. + ..................... 16,300 845,562
Dollar Thrifty Automotive Group, Inc. + 24,000 442,500
F.Y.I. Incorporated + ................. 15,000 505,313
West Teleservices Corp. ............... 25,000 632,813
-------------
2,426,188
-------------
SERVICES (DATA PROCESSING) (0.5%)
Paychex, Inc. ......................... 28,000 1,176,000
-------------
SPECIALITY PRINTING (0.2%)
Harland (John H.) Co. ................. 34,000 507,875
-------------
TELEPHONE (0.9%)
Telephone & Data Systems, Inc. ........ 1,500 150,375
U.S. WEST, Inc. ....................... 21,000 1,800,750
-------------
1,951,125
-------------
TELEPHONE LONG DISTANCE (0.1%)
Time Warner Telecom Inc. .............. 2,000 128,750
-------------
TEXTILES (APPAREL) (0.1%)
Kellwood Co. .......................... 6,800 143,650
-------------
TRUCKERS (0.3%)
Arkansas Best Corp. + ................. 34,000 337,875
Yellow Corp. + ........................ 18,000 265,500
-------------
603,375
-------------
TOTAL UNITED STATES COMMON STOCKS
(COST $112,422,710) 122,673,830
-------------
FOREIGN COMMON STOCKS (19.6%)
BRAZIL (0.4%)
Embratel Participacoes S.A. (Other
Telecommunications)................... 37,700 890,662
-------------
CANADA (1.2%)
Nortel Networks Corp. (Communications
Equipment)............................ 38,500 2,627,625
-------------
DENMARK (1.4%)
Novo Nordisk A/S (Health Care -
Drugs/Pharmaceuticals)................ 4,800 820,313
Tele Danmark A/S (Telephone) .......... 7,500 506,913
</TABLE>
60 See Notes to Portfolio of Investments.
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
DENMARK (CONTINUED)
Vestas Wind Systems A/S (Electrical
Equipment)............................ 44,800 $ 1,652,138
-------------
TOTAL DENMARK 2,979,364
-------------
FINLAND (2.0%)
Comptel Oyj (Data & Imaging Services) + 63,000 1,274,252
JOT Automation Group Oyj (Data &
Imaging Services) .................... 150,100 1,005,751
Nokia Oyj, ADR (Communications
Equipment) 26,300 1,313,356
Perlos Oyj (Electronics - Component
Dist.) + ............................. 26,300 834,481
-------------
TOTAL FINLAND 4,427,840
-------------
FRANCE (2.3%)
Alcatel (Communications Equipment) .... 11,000 724,406
AXA (Insurance) ....................... 2,883 455,996
Genset (Biotech. & Medical Prod.) ..... 17,000 393,125
Schneider Electric SA (Electrical
Equipment)............................ 6,600 461,848
Societe Television Francaise 1
(Broadcasting - TV, Radio & Cable) ... 6,000 419,862
STMicroelectronics N.V. (Electronics -
Semiconductors)....................... 12,900 816,143
Total Fina Elf (Oil) .................. 5,746 884,593
Vivendi (Manufacturing - Diversified) . 8,836 783,060
-------------
TOTAL FRANCE 4,939,033
-------------
GERMANY (1.5%)
Buderus AG (Forest Prod. & Building
Mats.)................................ 38,500 609,313
DePfa Deutsche Pfandbriefbank AG (Banks
- Major Regional) .................... 7,800 788,823
Intershop Communications AG (Data &
Imaging Services) + .................. 2,700 1,224,214
Siemens AG (Electrical Mach. &
Instrument)........................... 4,200 634,106
-------------
TOTAL GERMANY 3,256,456
-------------
HONG KONG (0.4%)
China Telecom Ltd., ADR
(Cellular/Wireless Telecomms.) + ..... 5,100 906,844
-------------
IRELAND (0.1%)
CRH Plc (Construction) ................ 16,979 307,614
-------------
ITALY (0.4%)
Banca Nazionale del Lavoro
(Banks & Thrifts) + .................. 89,200 315,518
Telecom Italia SpA (Other
Telecommunications)................... 54,200 555,924
-------------
TOTAL ITALY 871,442
-------------
JAPAN (2.2%)
Canon, Inc. (Electrical Mach &
Instrument)........................... 14,000 698,644
Crayfish Co., Ltd. (Data & Imaging
Services) + .......................... 70,000 490,000
Internet Initiative Japan Inc., ADR
(Computers Software/Services) ........ 4,600 272,550
Minebea Co., Ltd. (Machinery -
Diversified).......................... 66,000 829,639
Murata Manufacturing Co., Ltd.
(Electronics - Component Dist.) ...... 5,000 719,248
Shin-Etsu Chemical Co., Ltd. (Chemicals
Speciality)........................... 5,000 254,241
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
JAPAN (CONTINUED)
Softbank Corp. (Semiconductors &
Electronic)........................... 5,100 $ 694,107
Sony Corporation (Household Furnishings
& App.) .............................. 7,400 692,406
-------------
TOTAL JAPAN 4,650,835
-------------
MEXICO (0.4%)
Telefonos de Mexico SA de CV, ADR
(Telephone Long Distance) + .......... 13,200 754,052
-------------
NETHERLANDS (1.5%)
ING Groep N.V. (Financial -
Diversified).......................... 11,736 796,500
Koninklijke (Royal) Philips Electronis
N.V. (Electrical Mach & Instrument) .. 29,000 1,373,274
United Pan-Europe Communications N.V.
(Other Telecommunications) + ......... 32,100 842,810
VNU N.V. (Publishing) ................. 4,675 242,444
-------------
TOTAL NETHERLANDS 3,255,028
-------------
SPAIN (0.5%)
Telefonica Publicidad e Informacion,
S.A. (Services - Advertising/Mktg.) .. 25,689 243,543
Telefonica S.A. (Other
Telecommunications) + ................ 38,862 838,185
-------------
TOTAL SPAIN 1,081,728
-------------
SWEDEN (2.0%)
HiQ International AB (Services - Data
Processing)........................... 136,000 1,317,980
Information Highway AB (Semiconductors
& Electronic) + ...................... 60,700 470,596
Skandia Forsakrings AB (Insurance) .... 24,600 653,494
Telefonaktiebolaget LM Ericsson AB
(Semiconductors & Electronic) ........ 55,200 1,104,000
Telelogic AB (Semiconductors &
Electronic) + ........................ 114,000 844,830
-------------
TOTAL SWEDEN 4,390,900
-------------
SWITZERLAND (1.0%)
Fantastic Corporation (Data & Imaging
Services) + .......................... 18,900 186,609
Gretag Imaging Group (Producer Goods) + 2,200 424,829
Logitech International S.A. (Data &
Imaging Services) + .................. 1,130 806,813
Swatch Group AG (The) (Consumer
Specialties).......................... 600 765,283
-------------
TOTAL SWITZERLAND 2,183,534
-------------
UNITED KINGDOM (2.3%)
Celltech Group Plc (Biotech &
Medical Prod.) + ..................... 30,000 581,338
Lloyds TSB Group Plc (Diversified
Financial Services) .................. 43,600 411,878
Shire Pharmaceuticals Group Plc (Drugs)
+..................................... 19,279 1,000,098
Viatel, Inc. (Other Telecommunications)
+..................................... 32,800 936,850
Vodafone AirTouch Plc
(Cellular/Wireless Telecomms.) ....... 270,419 1,093,064
WPP Group Plc (Commercial Services) ... 64,400 940,828
-------------
TOTAL UNITED KINGDOM 4,964,056
-------------
</TABLE>
See Notes to Portfolio of Investments. 61
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
ASCENT (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
-------------
<S> <C>
TOTAL FOREIGN COMMON STOCKS
(COST $33,545,432) $ 42,487,013
-------------
TOTAL COMMON STOCKS
(COST $145,968,142) 165,160,843
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (14.3%)
CORPORATE BONDS (3.2%)
ABN AMRO Bank NV, 7.55%, 06/28/06 ..... $ 35,000 34,968
Allstate Corp., 7.88%, 05/01/05 ....... 55,000 55,330
AT&T Capital Corp., 6.75%, 02/04/02 ... 90,000 88,760
Bank of America Corp., 5.75%, 03/01/04 30,000 28,202
Bombardier Capital Inc.,6.00%,01/15/02 320,000 312,000
Capital Auto Receivables Asset
Trust, 6.30%, 05/15/04................ 370,000 366,153
Chemical Master Credit Card
Trust, 7.09%, 02/15/09................ 130,000 128,943
Citigroup Inc., 6.20%, 03/15/09 ....... 25,000 22,941
Conoco Inc., 5.90%, 04/15/04 .......... 105,000 100,268
Cox Communications Inc., 7.75%,
08/15/06 ............................. 290,000 288,965
DaimlerChrysler NA Holdings Inc.,
7.20%, 09/01/09 ...................... 264,000 254,150
Deere & Co., 8.10%, 05/15/30 .......... 15,000 14,610
Deutche Telekom Int. Finance,
8.25%, 06/15/30 # .................... 109,000 110,698
Diageo Capital Plc, 7.25%, 11/01/09 ... 90,000 90,230
Dominion Resources, Inc., 8.13%,
06/15/10 ............................. 65,000 65,599
Duke Energy Corp., 7.38%, 03/01/10 .... 50,000 49,184
Eastman Kodak Co., 7.25%, 06/15/05 .... 160,000 159,776
Electronic Data Systems
Corp., 6.85%, 10/15/04................ 310,000 303,158
Enron Corp., 7.88%, 06/15/03 .......... 320,000 322,182
First Union National
Bank, 7.88%, 02/15/10................. 35,000 34,552
Ford Motor Co., 7.45%, 07/16/31 ....... 30,000 28,372
Ford Motor Credit Corp., 7.38%,
10/28/09 ............................. 45,000 43,527
Ford Motor Credit Corp.,7.50%,03/15/05 245,000 243,162
General Electric Capital
Corp., 6.81%, 11/03/03................ 110,000 108,699
General Motors Acceptance
Corp., 7.63%, 06/15/04................ 70,000 70,034
General Motors Acceptance
Corp., 7.75%, 01/19/10................ 70,000 69,590
GTE California Inc., 7.65%, 03/15/07 .. 95,000 94,798
GTE Corp., 9.38%, 12/01/00 ............ 300,000 302,805
Hewlett-Packard Co., 7.15%, 06/15/05 .. 240,000 240,439
Honeywell International, 7.50%,
03/01/10 ............................. 110,000 110,221
Household Finance Corp., 7.88%,
03/01/07 ............................. 40,000 39,845
J. Seagram & Sons, 7.60%, 12/15/28 .... 55,000 52,529
MBNA Master Credit Card Trust,
6.40%,01/18/05........................ 400,000 394,000
MCI WorldCom, Inc., 6.95%, 08/15/28 ... 98,000 86,328
Mellon Bank NA, 7.63%, 09/15/07 ....... 60,000 59,827
Morgan Stanley Dean Witter &
Co., 5.63%, 01/20/04.................. 35,000 33,006
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Morgan Stanley Dean Witter &
Co., 7.13%, 01/15/03.................. 65,000 64,583
National Rural Utilities, 5.50%,
01/15/05 ............................. 165,000 153,320
Norsk Hydro A/S, 7.15%, 01/15/29 ...... 180,000 160,983
Ontario (Province of), 6.00%, 02/21/06 65,000 61,315
Pepsi Bottling Holdings
Inc., 5.38%, 02/17/04................. 85,000 80,073
PPG Industries Inc., 7.05%, 08/15/09 .. 130,000 125,967
Quebec Province Co., 5.75%, 02/15/09 .. 185,000 165,658
Quebec Province Co., 7.50%, 09/15/29 .. 40,000 39,296
Raytheon Co., 8.30%, 03/01/10 ......... 40,000 40,284
Saskatchewan (Province of),
9.38%,12/15/20........................ 80,000 94,514
Sempra Energy, 7.95%, 03/01/10 ........ 50,000 50,424
Tennessee Gas Pipeline, 7.00%, 10/15/28 180,000 157,660
Texaco Capital, Inc., 5.50%, 01/15/09 . 180,000 158,915
Textron Financial Corp., 7.13%,
12/09/04 ............................. 320,000 313,674
Time Warner Inc., 8.11%, 08/15/06 ..... 55,000 55,999
Tyco International Group SA,
6.13%,01/15/09........................ 140,000 123,788
U.S. West Communications Group,
5.63%,11/15/08........................ 90,000 77,759
Vodafone AirTouch Plc, 7.63%,
02/15/05 ++ .......................... 55,000 55,076
Vodafone AirTouch Plc, 7.75%,
02/15/10 ++ .......................... 50,000 49,573
WorldCom, Inc., 8.00%, 05/15/06 ....... 110,000 111,894
-------------
TOTAL CORPORATE BONDS (COST $6,999,358) 6,948,606
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (6.0%)
Federal Home Loan Mortgage
Corp., 7.00%, 07/14/25 # ............. 500,000 483,165
Federal Home Loan Mortgage
Corp., 7.50%, 12/01/11-07/15/30....... 1,717,000 1,698,520
Federal Home Loan Mortgage
Corp., 8.00%, 07/15/30 # ............. 700,000 703,941
Federal National Mortgage
Association, 5.75%, 03/15/09.......... 1,027,000 935,371
Federal National Mortgage
Association, 6.00%, 06/01/28.......... 450,630 413,453
Federal National Mortgage
Association, 6.50%, 07/25/15-07/01/29 # 2,100,000 1,992,603
Federal National Mortgage
Association, 6.63%, 09/15/09.......... 970,000 936,807
Federal National Mortgage
Association, 7.50%, 07/01/11.......... 183,000 182,828
Federal National Mortgage
Association, 8.00%, 07/15/30 # ....... 1,400,000 1,405,908
Federal National Mortgage
Association, 8.50%, 09/01/26.......... 1,060,480 1,080,523
Federal National Mortgage Association -
Convertible Loan, 6.50%, 11/01/27 .... 755,866 713,583
Government National Mortgage
Association, 6.50%, 01/15/29.......... 526,165 499,362
Government National Mortgage
Association, 7.00%, 04/15/26-02/15/28. 1,530,120 1,487,759
</TABLE>
62 See Notes to Portfolio of Investments.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
ASCENT (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(CONTINUED)
Government National Mortgage
Association, 8.00%, 07/15/24.......... $ 378,468 $ 383,199
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $13,068,757) 12,916,932
-------------
U.S. GOVERNMENT OBLIGATIONS (5.1%)
U.S. Treasury Note, 5.25%, 08/15/03 * . 3,080,000 2,985,660
U.S. Treasury Note, 5.25%, 05/15/04 * . 210,000 202,616
U.S. Treasury Note, 5.25%, 02/15/29 ... 398,000 353,225
U.S. Treasury Note, 5.38%, 06/30/03 ... 285,000 277,430
U.S. Treasury Note, 5.50%, 08/31/01 ... 1,250,000 1,236,137
U.S. Treasury Note, 5.63%, 05/15/08 ... 2,285,000 2,204,317
U.S. Treasury Note, 5.88%, 11/15/04 ... 50,000 49,274
U.S. Treasury Note, 6.00%, 08/15/04 ... 693,000 686,500
U.S. Treasury Note, 6.00%, 08/15/09 * . 1,055,000 1,046,592
U.S. Treasury Note, 6.13%, 08/15/29 # . 870,000 878,700
U.S. Treasury Note, 6.50%, 03/31/02 ... 409,000 409,254
U.S. Treasury Note, 6.50%, 02/15/10 * . 534,000 552,273
U.S. Treasury Note, 8.13%, 08/15/21 ... 211,000 257,783
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $11,066,642) 11,139,761
-------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $31,134,757) 31,005,299
-------------
SHORT-TERM INVESTMENTS (10.4%)
Cooper Industries, Inc., 6.63%,
07/20/00 * ++ ........................ 4,500,000 4,485,911
GTE Corp., 6.60%, 07/18/00 * ++ ....... 5,000,000 4,986,250
Torchmark Corp., 7.25%, 07/03/00 ...... 9,271,000 9,271,000
U.S. Treasury Bill, 6.18%, 11/09/00 ... 3,900,000 3,818,217
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $22,557,425) 22,561,378
-------------
TOTAL INVESTMENTS
(COST $199,660,324)(A) 218,727,520
OTHER ASSETS LESS LIABILITIES (2,134,789)
-------------
TOTAL NET ASSETS $216,592,731
=============
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$203,320,141. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................ $ 23,427,945
Unrealized losses........................... (8,020,566)
-------------
Net unrealized gain........................ $ 15,407,379
=============
</TABLE>
+ Non-income producing security.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
# When-issued or delayed delivery security.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 2000.
++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.
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
----------- -------------
<S> <C> <C>
Beacon Capital........................ 3/17/98 $578,511
========
</TABLE>
The market value of the total illiquid securities above is $568,320 which
represents 0.26% of the total net assets.
Category percentages are based on net assets.
See Notes to Portfolio of Investments. 63
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
CROSSROADS
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
COMMON STOCKS (64.7%)
UNITED STATES (49.1%)
AIRLINES (0.4%)
AMR Corp. + .......................... 6,900 $ 182,419
UAL Corp. + .......................... 8,400 488,775
-------------
671,194
-------------
AUTOMOBILES (0.2%)
General Motors Corp. + ............... 5,100 296,119
-------------
BANKS (MAJOR REGIONAL) (0.2%)
Fleet Boston Financial Corp. ......... 8,300 282,200
-------------
BANKS (REGIONAL) (0.2%)
First United Bancshares, Inc. ........ 7,000 106,313
GBC Bancorp .......................... 8,400 245,700
-------------
352,013
-------------
BEVERAGES (NON-ALCOHOLIC) (0.3%)
Pepsi Bottling Group, Inc. ........... 16,800 490,350
-------------
BEVERAGES (ALCOHOLIC) (0.4%)
Anheuser-Busch Co., Inc. ............. 4,300 321,156
Canandiagua Brands, Inc. + ........... 5,200 262,275
Coors (Adolph) Co. ................... 3,800 229,900
-------------
813,331
-------------
BIOTECHNOLOGY (0.1%)
MedImmune, Inc. + .................... 2,500 185,000
-------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.8%)
Powertel, Inc. + ..................... 1,300 92,219
Powerwave Technologies, Inc. + ....... 4,700 206,800
Price Communications Corp. + ......... 7,300 172,006
Sprint PCS + ......................... 15,600 928,200
-------------
1,399,225
-------------
CHEMICALS (0.3%)
Eastman Chemical Co. ................. 5,000 238,750
Georgia Gulf Corp. ................... 12,900 268,481
-------------
507,231
-------------
CHEMICALS SPECIALITY (0.2%)
Gentek, Inc. ......................... 12,900 144,319
Millennium Chemicals, Inc. + ......... 12,900 219,300
-------------
363,619
-------------
COMMUNICATIONS EQUIPMENT (2.0%)
ADC Telecommunications, Inc. + ....... 10,800 905,850
Anixter International, Inc. + ........ 5,200 137,800
Audiovox Corp. + ..................... 14,300 315,494
Ciena Corp. + ........................ 1,000 166,687
Comverse Technology, Inc. + .......... 3,000 279,000
Corning, Inc. ........................ 4,000 1,079,500
Scientific-Atlanta, Inc. ............. 10,900 812,050
-------------
3,696,381
-------------
COMPUTERS (HARDWARE) (1.5%)
Apple Computer, Inc. + ............... 15,400 806,575
Brocade Communications Systems, Inc. . 3,400 623,847
Hewlett-Packard Co. .................. 5,400 674,325
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMPUTERS (HARDWARE) (CONTINUED)
Sun Microsystems, Inc. + ............. 8,300 $ 754,781
-------------
2,859,528
-------------
COMPUTERS (NETWORKING) (0.9%)
Cisco Systems, Inc. + ................ 27,300 1,735,256
-------------
COMPUTERS (PERIPHERALS) (0.5%)
Advanced Digital Information Corp. + . 7,800 124,313
EMC Corp. + .......................... 11,000 846,312
-------------
970,625
-------------
COMPUTERS SOFTWARE/SERVICES (2.1%)
Adobe Systems, Inc. .................. 2,100 273,000
BEA Systems, Inc. + .................. 15,600 771,225
BroadVision, Inc. + .................. 9,100 462,393
Oracle Corp. + ....................... 13,200 1,109,625
SERENA Software, Inc. + .............. 4,600 208,869
Siebel Systems, Inc. + ............... 1,100 179,919
Symantec Corp. + ..................... 6,500 350,594
VeriSign, Inc. + ..................... 1,200 211,800
VERITAS Software Corp. + ............. 2,700 305,142
-------------
3,872,567
-------------
DISTRIBUTORS (FOOD & HEALTH) (0.4%)
Cardinal Health, Inc. ................ 4,200 310,800
Sysco Corp. .......................... 8,800 370,709
-------------
681,509
-------------
ELECTRIC COMPANIES (0.7%)
Energy East Corp. .................... 16,200 308,812
NSTAR Corp. .......................... 11,000 447,562
Reliant Energy Inc. .................. 8,200 242,413
RGS Energy Group Inc. ................ 16,700 371,575
-------------
1,370,362
-------------
ELECTRICAL EQUIPMENT (2.2%)
American Power Conversion Corp. + .... 6,500 265,281
Amphenol Corp. ....................... 4,500 297,844
AVX Corp. ............................ 10,400 238,550
Black Box Corp. + .................... 3,900 308,770
General Electric Co. ................. 29,303 1,553,059
KEMET Corp. + ........................ 11,600 290,725
Molex, Inc. .......................... 4,475 215,359
Technitrol, Inc. ..................... 3,900 377,813
Three-Five Systems, Inc. + ........... 3,900 230,100
Vishay Intertechnology, Inc. + ....... 9,150 347,128
-------------
4,124,629
-------------
ELECTRONICS (DEFENSE) (0.1%)
Litton Industries, Inc. + ............ 6,500 273,000
-------------
ELECTRONICS (INSTRUMENTS) (1.0%)
Credence Systems Corp. + ............. 8,400 463,575
CyberOptics Corp. .................... 4,400 203,500
Meade Instruments Corp. .............. 11,700 293,962
Robotic Vision Systems, Inc. + ....... 19,400 349,200
Tektronix, Inc. ...................... 3,400 251,600
</TABLE>
64 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
ELECTRONICS (INSTRUMENTS) (CONTINUED)
Varian, Inc. + ....................... 7,800 $ 359,775
-------------
1,921,612
-------------
ELECTRONICS (SEMICONDUCTORS) (5.8%)
Advanced Micro Devices Corp. + ....... 10,500 811,125
Altera Corp. + ....................... 7,500 764,531
Analog Devices, Inc. + ............... 9,800 744,800
Atmel Corp. + ........................ 3,100 114,313
Integrated Device Technology, Inc. + . 7,800 467,025
Intel Corp. .......................... 18,900 2,526,694
International Rectifier Corp. + ...... 4,200 235,200
Kopin Corporation + .................. 3,700 256,225
Linear Technology Corp. .............. 5,100 326,081
LSI Logic Corp. + .................... 4,100 221,913
Maxim Integrated Products, Inc. + .... 4,500 305,719
Micron Technology, Inc. + ............ 10,200 898,237
National Semiconductor Corp. + ....... 12,300 698,025
PMC Sierra Inc. + .................... 800 142,150
QLogic Corp. + ....................... 1,700 112,306
SDL, Inc. + .......................... 1,900 541,856
Silicon Storage Technology, Inc. + ... 3,200 282,600
Texas Instruments, Inc. .............. 8,600 590,713
Xilinx, Inc. + ....................... 10,100 833,881
-------------
10,873,394
-------------
ENGINEERING & CONSTRUCTION (0.1%)
LCC International, Inc. + ............ 6,500 177,531
-------------
ENTERTAINMENT (0.1%)
Viacom, Inc. + ....................... 3,500 238,656
-------------
EQUIPMENT (SEMICONDUCTORS) (0.7%)
Applied Materials, Inc. + ............ 4,600 416,875
KLA Instruments Corp. + .............. 4,100 240,106
Teradyne, Inc. + ..................... 8,100 595,350
-------------
1,252,331
-------------
FINANCIAL (DIVERSIFIED) (1.4%)
American Express Co. ................. 9,100 474,337
Citigroup Inc. ....................... 25,100 1,512,275
Eastgroup Properties, Inc. ........... 4,300 90,569
Koger Equity, Inc. ................... 9,300 156,937
National Golf Properties, Inc. ....... 2,700 57,038
Pacific Gulf Properties, Inc. ........ 2,400 60,150
Pan Pacific Retail Properties, Inc. .. 5,500 110,688
Parkway Properties, Inc. ............. 4,800 146,400
-------------
2,608,394
-------------
FOODS (0.4%)
PepsiCo, Inc. ........................ 11,500 511,031
Smithfields Foods, Inc. + ............ 5,800 162,763
Suiza Foods Corp. + .................. 2,600 127,075
-------------
800,869
-------------
GAMING, LOTTERY, & PARI-MUTUEL (0.6%)
Argosy Gaming Co. + .................. 23,300 334,938
Aztar Corp. + ........................ 6,700 103,850
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
GAMING, LOTTERY, & PARI-MUTUEL (CONTINUED)
Isle of Capris Casinos, Inc. ......... 12,900 $ 174,956
Mandaley Resort Group + .............. 14,300 286,000
MGM Grand, Inc. + .................... 4,800 154,200
-------------
1,053,944
-------------
HARDWARE & TOOLS (0.1%)
Toro Co. ............................. 7,800 256,913
-------------
HEALTH CARE (DRUGS) (0.2%)
Noven Pharmaceuticals, Inc. + ........ 13,500 405,844
-------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (1.9%)
Eli Lilly & Co. ...................... 7,100 709,112
Pfizer, Inc. ......................... 46,975 2,254,800
Pharmacia Corporation ................ 9,300 480,694
-------------
3,444,606
-------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.2%)
RehabCare Group, Inc. ................ 15,600 425,100
-------------
HEALTH CARE (MANAGED CARE) (0.9%)
Oxford Health Plans, Inc. + .......... 11,000 261,938
PacifiCare Health Systems, Inc. + .... 3,900 234,731
Trigon Healthcare, Inc. + ............ 6,500 335,156
UnitedHealth Group Incorporated ...... 9,700 831,775
-------------
1,663,600
-------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.4%)
INAMED Corporation + ................. 7,800 285,675
PE Corp-PE Biosystems Group .......... 2,700 177,862
Zoll Medical Corp. ................... 5,800 284,200
-------------
747,737
-------------
HEALTH CARE DIVERSIFIED (0.2%)
Allergan, Inc. ....................... 1,300 96,850
IVAX Corp. + ......................... 7,100 294,650
-------------
391,500
-------------
INSURANCE (LIFE/HEALTH) (0.5%)
AFLAC, Inc. .......................... 4,900 225,094
Hancock John Financial Services, Inc.
+.................................... 11,000 260,563
Mony Group Inc. + .................... 11,000 371,937
-------------
857,594
-------------
INSURANCE (MULTI-LINE) (0.8%)
American International Group, Inc. ... 6,600 775,500
CIGNA Corp. .......................... 8,100 757,350
-------------
1,532,850
-------------
INSURANCE (PROPERTY/CASUALTY) (0.3%)
Renaissancere Holdings Company ....... 11,000 479,188
-------------
INVESTMENT BANKING/BROKERAGE (0.8%)
Lehman Brothers Holdings Inc. ........ 8,900 841,606
Raymond James Financial, Inc. ........ 16,200 364,500
Tucker Anthony Sutro Corporation ..... 19,400 349,200
-------------
1,555,306
-------------
LEISURE TIME (PRODUCTS) (0.2%)
Direct Focus, Inc. + ................. 6,500 318,500
-------------
MACHINERY - DIVERSIFIED (0.1%)
Dover Corp. .......................... 6,300 255,544
-------------
</TABLE>
See Notes to Portfolio of Investments. 65
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
CROSSROADS (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
MANUFACTURING (SPECIALIZED) (0.4%)
Millipore Corp. ...................... 10,300 $ 776,362
-------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.6%)
Coastal Corp. (The) .................. 14,000 852,250
El Paso Energy Corp. ................. 2,000 101,875
KeySpan Energy Corp. ................. 6,500 199,875
-------------
1,154,000
-------------
OFFICE EQUIPMENT & SUPPLIES (0.1%)
Steelcase, Inc. ...................... 10,300 175,100
-------------
OIL & GAS (DRILLING & EQUIPMENT) (0.3%)
Atwood Oceanics, Inc. + .............. 2,600 115,375
Helmerich & Payne, Inc. .............. 12,900 482,137
-------------
597,512
-------------
OIL & GAS (EXPLORATION/PRODUCTION) (1.9%)
Apache Corp. ......................... 16,100 946,881
Basin Exploration, Inc. + ............ 6,500 116,188
Kerr-McGee Corp. ..................... 12,100 713,144
Ocean Energy, Inc. + ................. 16,800 238,350
Patina Oil & Gas Corp. ............... 10,300 213,725
Penn Virginia Corp. .................. 12,300 302,887
Union Pacific Resources Group Inc. ... 30,400 668,800
Unocal Corp. ......................... 2,300 76,188
Vintage Petroleum, Inc. + ............ 12,900 291,056
-------------
3,567,219
-------------
OIL & GAS (REFINING & MARKETING) (0.7%)
Ashland Oil, Inc. .................... 6,600 231,413
Sunoco Inc. .......................... 15,100 444,506
Tosco Corp. .......................... 9,200 260,475
Ultramar Diamond Shamrock Corp. ...... 18,100 449,106
-------------
1,385,500
-------------
OIL (DOMESTIC INTEGRATED) (1.3%)
Amerada Hess Corp. ................... 11,800 728,650
Conoco Inc. .......................... 4,200 103,163
Occidental Petroleum Corp. ........... 32,500 684,531
Phillips Petroleum Co. ............... 13,000 658,937
USX-Marathon Group ................... 10,500 263,156
-------------
2,438,437
-------------
OIL (INTERNATIONAL INTEGRATED) (1.1%)
Chevron Corp. ........................ 5,100 432,544
Exxon Mobil Corp. .................... 17,700 1,389,450
Texaco, Inc. ......................... 5,200 276,900
-------------
2,098,894
-------------
PAPER & FOREST PRODUCTS (0.1%)
Westvaco Corp. ....................... 5,900 146,394
-------------
PHOTOGRAPHY/IMAGING (0.4%)
Imation Corp. + ...................... 11,000 323,125
Infocus Corp. ........................ 14,600 469,937
-------------
793,062
-------------
POWER PRODUCERS (INDEPENDENT) (0.1%)
Calpine Corp. + ...................... 1,600 105,200
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
PUBLISHING - NEWSPAPERS (0.4%)
Dow Jones & Co., Inc. ................ 9,900 $ 725,175
-------------
REIT DIVERSIFIED (7.5%)
Alexandria Real Estate Equities, Inc. 5,700 195,581
AMB Property Corp. ................... 12,200 278,312
Apartment Investment & Management Co. 12,400 536,300
Archstone Communities Trust .......... 15,300 322,256
Arden Realty Group, Inc. ............. 7,700 180,950
Avalon Bay Communities, Inc. ......... 8,313 347,068
Beacon Capital + + ................... 25,900 383,320
Boston Properties, Inc. .............. 23,000 888,375
Brandywine Realty Trust .............. 8,400 160,650
BRE Properties, Inc. ................. 12,100 349,387
Capital Automotive REIT .............. 13,400 189,275
Catellus Development Corp. + ......... 9,300 139,500
CBL & Associates Properties, Inc. .... 11,900 296,756
Colonial Properties Trust ............ 8,500 232,687
Developers Diversified Realty Corp. .. 42,700 637,831
Duke-Weeks Realty Corp. .............. 13,224 295,887
Equity Office Properties Trust ....... 32,400 893,025
Equity Residential Properties Trust .. 18,401 846,446
Essex Property Trust, Inc. ........... 4,000 168,000
FelCor Lodging Trust Inc. ............ 5,300 98,050
First Industrial Realty Trust, Inc. .. 4,700 138,650
General Growth Properties, Inc. ...... 13,800 438,150
Glimcher Realty Trust ................ 14,400 207,000
Health Care Property Investors, Inc. . 6,900 188,025
Healthcare Realty Trust, Inc. ........ 5,691 97,103
Highwood Properties, Inc. ............ 6,400 153,600
Home Properties of New York, Inc. .... 7,500 225,000
Hospitality Properties Trust ......... 9,800 221,113
Host Marriott Corp. .................. 8,600 80,625
Kimco Realty Corp. ................... 10,200 418,200
Liberty Property Trust ............... 10,100 261,969
Post Properties, Inc. ................ 9,600 422,400
Prentiss Properties Trust ............ 2,100 50,400
ProLogis Trust ....................... 26,500 564,781
PS Business Parks, Inc. .............. 12,000 288,000
Simon Property Group, Inc. ........... 22,500 499,219
SL Green Realty Corp. ................ 14,700 393,225
Spieker Properties, Inc. ............. 15,400 708,400
Starwood Hotels & Resort Worldwide,
Inc.................................. 6,200 201,888
Summit Properties Inc. ............... 13,400 281,400
United Dominion Realty Trust, Inc. ... 10,300 113,300
Vornado Realty Trust ................. 12,900 448,275
Weingarten Realty Investors .......... 4,300 173,613
-------------
14,013,992
-------------
RETAIL (BUILDING SUPPLIES) (0.2%)
Hughes Supply, Inc. .................. 15,600 308,100
-------------
RETAIL (COMPUTERS & ELECTRONICS) (0.3%)
Best Buy Co., Inc. + ................. 1,600 101,200
</TABLE>
66 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
RETAIL (COMPUTERS & ELECTRONICS) (CONTINUED)
Tech Data Corp. + .................... 11,300 $ 492,256
-------------
593,456
-------------
RETAIL (HOME SHOPPING) (0.2%)
PolyMedica Corp. + ................... 8,400 363,300
-------------
RETAIL - DEPARTMENT STORES (0.2%)
Kohl's Corp. + ....................... 5,900 328,188
-------------
RETAIL - GENERAL MERCHANDISE CHAIN (0.4%)
Wal-Mart Stores, Inc. ................ 12,800 737,600
-------------
RETAIL - SPECIALITY (0.1%)
Sonic Automotive, Inc. + ............. 16,200 173,138
-------------
RETAIL SPECIALITY - APPAREL (0.5%)
Braun's Fashions Corporation ......... 9,700 355,869
Hot Topic, Inc. + .................... 9,700 310,400
Wilsons The Leather Experts Inc. + ... 16,800 246,750
-------------
913,019
-------------
SAVINGS & LOAN COMPANIES (0.3%)
Astoria Financial Corp. .............. 8,400 216,300
Downey Financial Corp. ............... 7,800 226,200
Golden West Financial Corp. .......... 5,100 208,144
-------------
650,644
-------------
SERVICES (ADVERTISING/MARKETING) (0.2%)
ADVO, Inc. + ......................... 9,700 407,400
-------------
SERVICES (COMMERCIAL & CONSUMER) (0.7%)
Convergys Corp. + .................... 3,900 202,313
Dollar Thrifty Automotive Group, Inc.
+.................................... 15,600 287,625
F.Y.I. Incorporated + ................ 9,700 326,769
West Teleservices Corp. .............. 16,200 410,062
-------------
1,226,769
-------------
SPECIALITY PRINTING (0.2%)
Harland (John H.) Co. ................ 22,000 328,625
-------------
TELEPHONE (0.4%)
Telephone & Data Systems, Inc. ....... 1,000 100,250
U.S. WEST, Inc. ...................... 6,500 557,375
-------------
657,625
-------------
TELEPHONE LONG DISTANCE (0.0%)
Time Warner Telecom Inc. ............. 1,300 83,688
-------------
TEXTILES (APPAREL) (0.1%)
Kellwood Co. ......................... 4,400 92,950
Liz Claiborne, Inc. .................. 3,600 126,900
-------------
219,850
-------------
TRUCKERS (0.2%)
Arkansas Best Corp. + ................ 22,000 218,625
Yellow Corp. + ....................... 11,600 171,100
-------------
389,725
-------------
TOTAL UNITED STATES COMMON STOCKS
(COST $86,977,196) 91,563,126
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
FOREIGN COMMON STOCKS (15.6%)
BRAZIL (0.3%)
Embratel Participacoes S.A. (Other
Telecommunications).................. 27,100 $ 640,238
-------------
CANADA (0.6%)
Nortel Networks Corp. (Communications
Equipment)........................... 15,300 1,044,225
-------------
DENMARK (1.1%)
Novo Nordisk A/S (Health Care -
Drugs/Pharmaceuticals)............... 3,500 598,144
Tele Danmark A/S (Telephone) ......... 4,600 310,907
Vestas Wind Systems A/S (Electrical
Equipment)........................... 31,200 1,150,596
-------------
TOTAL DENMARK 2,059,647
-------------
FINLAND (1.7%)
Comptel Oyj (Data & Imaging Services)
+.................................... 45,500 920,293
JOT Automation Group Oyj (Data &
Imaging Services) ................... 107,800 722,318
Nokia Oyj, ADR (Communications
Equipment) 18,800 938,825
Perlos Oyj (Electronics - Component
Dist.) + ............................ 16,000 507,669
-------------
TOTAL FINLAND 3,089,105
-------------
FRANCE (1.9%)
Alcatel (Communications Equipment) ... 8,000 526,840
AXA (Insurance) ...................... 1,883 297,829
Genset (Biotech. & Medical Prod.) .... 11,300 261,313
Schneider Electric SA (Electrical
Equipment)........................... 4,500 314,896
Societe Television Francaise 1
(Broadcasting - TV, Radio & Cable) .. 4,000 279,908
STMicroelectronics N.V. (Electronics -
Semiconductors)...................... 9,000 569,402
Total Fina Elf (Oil) ................. 4,087 629,191
Vivendi (Manufacturing - Diversified) 6,327 560,709
-------------
TOTAL FRANCE 3,440,088
-------------
GERMANY (1.0%)
Buderus AG (Forest Prod. & Building
Mats.)............................... 26,800 424,145
DePfa Deutsche Pfandbriefbank AG
(Banks - Major Regional) ............ 4,900 495,543
Intershop Communications AG (Data &
Imaging Services) + ................. 1,500 680,119
Siemens AG (Electrical Mach. &
Instrument).......................... 2,000 301,955
-------------
TOTAL GERMANY 1,901,762
-------------
HONG KONG (0.4%)
China Telecom Ltd., ADR
(Cellular/Wireless Telecomms.) + .... 3,900 693,469
-------------
IRELAND (0.1%)
CRH Plc (Construction) ............... 13,892 251,686
-------------
ITALY (0.3%)
Banca Nazionale del Lavoro
(Banks & Thrifts) + ................. 70,400 249,018
</TABLE>
See Notes to Portfolio of Investments. 67
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
ITALY (CONTINUED)
Telecom Italia SpA (Other
Telecommunications).................. 38,900 $ 398,994
-------------
TOTAL ITALY 648,012
-------------
JAPAN (1.8%)
Canon, Inc. (Electrical Mach. &
Instrument).......................... 9,000 449,128
Crayfish Co., Ltd. (Data & Imaging
Services) + ......................... 44,500 311,500
Internet Initiative Japan Inc., ADR
(Computers Software/Services) ....... 3,400 201,450
Minebea Co., Ltd. (Machinery -
Diversified)......................... 48,000 603,374
Murata Manufacturing Co., Ltd.
(Electronics - Component Dist.) ..... 4,000 575,398
Shin-Etsu Chemical Co., Ltd.
(Chemicals Speciality) .............. 4,000 203,393
Softbank Corp. (Semiconductors &
Electronic).......................... 3,600 489,958
Sony Corporation (Household
Furnishings & App.) ................. 5,400 505,269
-------------
TOTAL JAPAN 3,339,470
-------------
MEXICO (0.3%)
Telefonos de Mexico SA de CV, ADR
(Telephone Long Distance) + ......... 9,800 559,825
-------------
NETHERLANDS (1.6%)
ING Groep N.V. (Financial -
Diversified)......................... 7,911 536,905
Koninklijke (Royal) Philips Electronis
N.V. (Electrical Mach. & Instrument) 20,000 947,086
Royal Dutch Petroleum Co. (Oil) ...... 12,500 769,531
United Pan-Europe Communications N.V.
(Other Telecommunications) + ........ 22,500 590,754
VNU N.V. (Publishing) ................ 2,553 132,398
-------------
TOTAL NETHERLANDS 2,976,674
-------------
SPAIN (0.4%)
Telefonica Publicidad e Informacion,
S.A. (Services -
Advertising/Marketing)............... 14,400 136,518
Telefonica S.A. (Other
Telecommunications) + ............... 28,254 609,390
-------------
TOTAL SPAIN 745,908
-------------
SWEDEN (1.5%)
HiQ International AB (Services - Data
Processing).......................... 80,000 775,282
Information Highway AB (Semiconductors
& Electronic) + ..................... 40,900 317,090
Skandia Forsakrings AB (Insurance) ... 15,200 403,785
Telefonaktiebolaget LM Ericsson AB
(Semiconductors & Electronic) ....... 36,400 728,000
Telelogic AB (Semiconductors &
Electronic) + ....................... 82,000 607,685
-------------
TOTAL SWEDEN 2,831,842
-------------
SWITZERLAND (0.8%)
Fantastic Corporation (Data & Imaging
Services) + ......................... 12,800 126,381
Gretag Imaging Group (Producer Goods)
+.................................... 1,500 289,656
Logitech International S.A. (Data &
Imaging Services) + ................. 750 535,495
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Swatch Group AG (The) (Consumer
Specialties)......................... 400 $ 510,189
-------------
TOTAL SWITZERLAND 1,461,721
-------------
UNITED KINGDOM (1.8%)
Celltech Group Plc (Biotech. &
Medical Prod.) + .................... 21,600 418,563
Lloyds TSB Group Plc (Diversified
Financial Services) ................. 28,900 273,011
Shire Pharmaceuticals Group Plc
(Drugs) + ........................... 13,851 718,520
Viatel, Inc. (Other
Telecommunications) + ............... 23,500 671,219
Vodafone AirTouch Plc
(Cellular/Wireless Telecomms.) ...... 134,744 544,650
WPP Group Plc (Commercial Services) .. 47,600 695,395
-------------
TOTAL UNITED KINGDOM 3,321,358
-------------
TOTAL FOREIGN COMMON STOCKS
(COST $22,732,891) 29,005,030
-------------
TOTAL COMMON STOCKS
(COST $109,710,087) 120,568,156
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (28.6%)
CORPORATE BONDS (10.4%)
ABN AMRO Bank NV, 7.55%, 06/28/06 ...... $ 130,000 129,880
Allstate Corp., 7.88%, 05/01/05 ........ 120,000 120,720
AT&T Capital Corp., 6.75%, 02/04/02 .... 350,000 345,177
Bank of America Corp., 5.75%,
03/01/04 ............................ 100,000 94,008
Bombardier Capital Inc., 6.00%,
01/15/02 540,000 526,500
Capital Auto Receivables Asset
Trust, 6.30%, 05/15/04................. 1,100,000 1,088,564
Chemical Master Credit Card
Trust, 7.09%, 02/15/09................. 640,000 634,797
Citigroup Inc., 6.20%, 03/15/09 ........ 55,000 50,470
Conoco Inc., 5.90%, 04/15/04 ........... 245,000 233,958
Cox Communications Inc., 7.75%,
08/15/06 ............................ 495,000 493,233
DaimlerChrysler NA Holdings
Inc., 7.20%, 09/01/09.................. 531,000 511,188
Deere & Co., 8.10%, 05/15/30 ........... 55,000 53,571
Deutche Telekom Int. Finance,
8.25%, 06/15/30 # .................... 189,000 191,945
Diageo Capital Plc, 7.25%, 11/01/09 .... 320,000 320,819
Dominion Resources, Inc.,
8.13%, 06/15/10...................... 110,000 111,014
Duke Energy Corp., 7.38%, 03/01/10 ..... 165,000 162,305
Eastman Kodak Co., 7.25%, 06/15/05 ..... 275,000 274,615
Electronic Data Systems Corp.,
6.85%,10/15/04....................... 530,000 518,303
Enron Corp., 7.88%, 06/15/03 ........... 550,000 553,751
First Union National Bank,
7.88%,02/15/10....................... 115,000 113,528
Ford Motor Co., 7.45%, 07/16/31 ...... 110,000 104,030
Ford Motor Credit Corp., 7.38%,
10/28/09 ............................ 140,000 135,418
Ford Motor Credit Corp., 7.50%,
03/15/05 ............................ 875,000 868,437
General Electric Capital Corp.,
6.81%, 11/03/03...................... 380,000 375,505
</TABLE>
68 See Notes to Portfolio of Investments.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
CROSSROADS (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
General Motors Acceptance
Corp., 7.63%, 06/15/04............... $ 115,000 $ 115,056
General Motors Acceptance
Corp., 7.75%, 01/19/10............... 170,000 169,005
GTE California Inc., 7.65%, 03/15/07 . 190,000 189,595
GTE Corp., 9.38%, 12/01/00 ........... 900,000 908,415
Hewlett-Packard Co., 7.15%, 06/15/05 . 470,000 470,860
Honeywell International, 7.50%,
03/01/10 ............................ 385,000 385,772
Household Finance Corp., 5.88%,
09/25/04 ............................ 625,000 582,900
Household Finance Corp., 7.88%,
03/01/07 ............................ 140,000 139,457
J. Seagram & Sons, 7.60%,
12/15/28 ............................ 95,000 90,733
MBNA Master Credit Card Trust,
6.40%, 01/18/05...................... 1,400,000 1,379,000
MCI WorldCom, Inc., 6.95%, 08/15/28 .. 196,000 172,656
Mellon Bank NA, 7.63%, 09/15/07 ...... 120,000 119,653
Morgan Stanley Dean Witter &
Co., 5.63%, 01/20/04................. 115,000 108,447
Morgan Stanley Dean Witter &
Co., 7.13%, 01/15/03................. 225,000 223,558
National Australia Bank, 6.40%,
12/10/07 ............................ 1,000,000 969,300
National Rural Utilities,
5.50%, 01/15/05...................... 300,000 278,763
Norsk Hydro A/S, 7.15%, 01/15/29 ..... 360,000 321,966
Norwest Financial, Inc., 5.38%,
09/30/03 ............................ 625,000 588,175
Ontario (Province of),6.00%,02/21/06 . 130,000 122,629
Pepsi Bottling Holdings
Inc., 5.38%, 02/17/04................ 290,000 273,189
PPG Industries Inc., 7.05%, 08/15/09 . 220,000 213,176
Quebec Province Co., 5.75%, 02/15/09 . 400,000 358,180
Quebec Province Co., 7.50%, 09/15/29 . 130,000 127,713
Raytheon Co., 8.30%, 03/01/10 ........ 135,000 135,958
Saskatchewan (Province of),
9.38%,12/15/20....................... 120,000 141,772
Sempra Energy, 7.95%, 03/01/10 ....... 160,000 161,355
Tennessee Gas Pipeline, 7.00%,
10/15/28 ............................ 330,000 289,044
Texaco Capital, Inc., 5.50%,
01/15/09 ............................ 350,000 309,001
Textron Financial Corp.,
7.13%, 12/09/04 ..................... 530,000 519,522
Time Warner Inc., 8.11%, 08/15/06 .... 205,000 208,723
Tyco International Group SA,
6.13%, 01/15/09...................... 500,000 442,100
U.S. West Communications Group,
5.63%, 11/15/08...................... 290,000 250,557
Vodafone AirTouch Plc, 7.63%,
02/15/05 ++.......................... 190,000 190,263
Vodafone AirTouch Plc,
7.75%, 02/15/10 ++................... 170,000 168,547
WorldCom, Inc., 8.00%, 05/15/06 ...... 220,000 223,788
-------------
TOTAL CORPORATE BONDS (COST $19,646,693) 19,360,564
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (13.1%)
Federal Home Loan Mortgage
Corp., 7.50%, 12/01/11............... 508,000 508,000
Federal Home Loan Mortgage
Corp., 7.50%, 07/15/30 # ............ 1,415,000 1,396,322
Federal Home Loan Mortgage
Corp., 8.00%, 07/15/30 # ............ 1,300,000 1,307,319
Federal National Mortgage
Association, 5.75%, 03/15/09......... 3,070,000 2,796,095
Federal National Mortgage
Association, 6.00%, 02/01/29......... 1,729,239 1,584,415
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal National Mortgage
Association, 6.50%, 07/25/15 # ...... $1,100,000 $ 1,060,378
Federal National Mortgage
Association, 6.50%, 07/01/29 # ...... 300,000 282,843
Federal National Mortgage
Association, 6.63%, 09/15/09......... 2,940,000 2,839,393
Federal National Mortgage
Association, 7.50%, 07/01/11-01/01/30 839,935 831,782
Federal National Mortgage
Association, 8.00%, 07/15/30 # ...... 300,000 301,266
Federal National Mortgage
Association, 8.50%, 09/01/26......... 1,800,186 1,834,210
Federal National Mortgage Association
- Convertible Loan, 6.50%, 02/01/28 . 1,672,294 1,578,745
Government National Mortgage
Association, 6.50%, 01/15/29......... 2,930,756 2,781,463
Government National Mortgage
Association, 7.00%, 12/15/27-02/15/28 3,737,626 3,633,673
Government National Mortgage
Association, 7.50%, 12/15/23......... 1,143,845 1,139,910
Government National Mortgage
Association, 8.00%, 07/15/24......... 454,161 459,838
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $24,908,191) 24,335,652
-------------
U.S. GOVERNMENT OBLIGATIONS (5.1%)
U.S. Treasury Note, 5.25%, 08/15/03 * 2,390,000 2,316,794
U.S. Treasury Note, 5.25%, 02/15/29 .. 1,068,000 947,850
U.S. Treasury Note, 5.50%, 03/31/03 .. 3,415,000 3,339,221
U.S. Treasury Note, 6.00%, 08/15/09 .. 178,000 176,581
U.S. Treasury Note, 6.13%, 08/15/29 # 1,339,000 1,352,390
U.S. Treasury Note, 6.50%, 03/31/02 .. 509,000 509,316
U.S. Treasury Note, 6.50%, 02/15/10 .. 925,000 956,654
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $9,573,899) 9,598,806
-------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $54,128,783) 53,295,022
-------------
SHORT-TERM INVESTMENTS (8.9%)
Cooper Industries,
Inc., 6.63%, 07/20/00 * ++ ......... 3,500,000 3,489,042
GTE Corp., 6.60%, 07/18/00 * ++ ...... 4,000,000 3,988,267
Torchmark Corp., 7.25%, 07/03/00 ..... 4,654,000 4,654,000
U.S. Treasury Bill, 6.18%, 11/09/00 @. 4,500,000 4,405,634
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $16,532,382) 16,536,943
-------------
TOTAL INVESTMENTS
(COST $180,371,252)(A) 190,400,121
OTHER ASSETS LESS LIABILITIES (4,149,618)
-------------
TOTAL NET ASSETS $186,250,503
=============
</TABLE>
See Notes to Portfolio of Investments. 69
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
CROSSROADS (CONTINUED)
--------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$184,235,942. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................ $ 13,394,988
Unrealized losses........................... (7,230,809)
-------------
Net unrealized gain........................ $ 6,164,179
=============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
------------ ------------- ------------- ----------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
Russell 2000 Index
Futures............... 8 $2,094,400 Sep 00 $(17,000)
========== ========
</TABLE>
+ Non-income producing security.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
# When-issued or delayed delivery security.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 2000.
++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, 2000.
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
------------- --------
<S> <C> <C>
Beacon Capital................ 03/17/98 $390,193
========
</TABLE>
The market value of the total illiquid securities above is $383,320 which
represents 0.21% of the total net assets.
Category percentages are based on net assets.
70 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
LEGACY
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
COMMON STOCKS (44.3%)
UNITED STATES (33.7%)
AIRLINES (0.2%)
AMR Corp. + .......................... 2,800 $ 74,025
UAL Corp. + .......................... 3,700 215,294
-------------
289,319
-------------
ALUMINUM (0.0%)
Alcoa Inc. ........................... 12 348
-------------
AUTOMOBILES (0.1%)
General Motors Corp. + ............... 2,100 121,931
-------------
BANKS (MAJOR REGIONAL) (0.1%)
Fleet Boston Financial Corp. ......... 3,400 115,600
-------------
BANKS (REGIONAL) (0.1%)
First United Bancshares, Inc. ........ 3,000 45,563
GBC Bancorp .......................... 3,700 108,225
-------------
153,788
-------------
BEVERAGES (NON-ALCOHOLIC) (0.2%)
Pepsi Bottling Group, Inc. ........... 7,600 221,825
-------------
BEVERAGES (ALCOHOLIC) (0.3%)
Anheuser-Busch Co., Inc. ............. 1,700 126,969
Canandiagua Brands, Inc. + ........... 2,300 116,006
Coors (Adolph) Co. ................... 1,500 90,750
-------------
333,725
-------------
BIOTECHNOLOGY (0.1%)
MedImmune, Inc. + .................... 1,200 88,800
-------------
CELLULAR/WIRELESS TELECOMMUNICATIONS (0.4%)
Powertel, Inc. + ..................... 600 42,563
Powerwave Technologies, Inc. + ....... 2,100 92,400
Price Communications Corp. + ......... 3,300 77,756
Sprint PCS + ......................... 4,500 267,750
-------------
480,469
-------------
CHEMICALS (0.2%)
Eastman Chemical Co. ................. 2,000 95,500
Georgia Gulf Corp. ................... 5,900 122,794
-------------
218,294
-------------
CHEMICALS SPECIALITY (0.1%)
Gentek, Inc. ......................... 5,900 66,006
Millennium Chemicals, Inc. + ......... 5,900 100,300
-------------
166,306
-------------
COMMUNICATIONS EQUIPMENT (1.3%)
ADC Telecommunications, Inc. + ....... 4,400 369,050
Anixter International, Inc. + ........ 2,300 60,950
Audiovox Corp. + ..................... 6,300 138,993
Ciena Corp. + ........................ 500 83,344
Comverse Technology, Inc. + .......... 1,200 111,600
Corning, Inc. ........................ 1,600 431,800
QUALCOMM Inc. + ...................... 1,400 84,000
Scientific-Atlanta, Inc. ............. 4,400 327,800
-------------
1,607,537
-------------
COMPUTERS (HARDWARE) (1.0%)
Apple Computer, Inc. + ............... 6,200 324,725
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
COMPUTERS (HARDWARE) (CONTINUED)
Brocade Communications Systems, Inc. . 1,500 $ 275,226
Hewlett-Packard Co. .................. 2,200 274,725
Sun Microsystems, Inc. + ............. 3,300 300,094
-------------
1,174,770
-------------
COMPUTERS (NETWORKING) (0.6%)
Cisco Systems, Inc. + ................ 10,700 680,119
-------------
COMPUTERS (PERIPHERALS) (0.3%)
Advanced Digital Information Corp. + . 3,500 55,781
EMC Corp. + .......................... 4,500 346,219
-------------
402,000
-------------
COMPUTERS SOFTWARE/SERVICES (1.4%)
Adobe Systems, Inc. .................. 900 117,000
BEA Systems, Inc. + .................. 6,900 341,119
BroadVision, Inc. + .................. 4,000 203,250
Oracle Corp. + ....................... 5,300 445,531
SERENA Software, Inc. + .............. 2,000 90,812
Siebel Systems, Inc. + ............... 500 81,781
Symantec Corp. + ..................... 2,900 156,419
VeriSign, Inc. + ..................... 499 88,074
VERITAS Software Corp. + ............. 1,400 158,222
-------------
1,682,208
-------------
DISTRIBUTORS (FOOD & HEALTH) (0.2%)
Cardinal Health, Inc. ................ 1,700 125,800
Sysco Corp. .......................... 3,400 143,225
-------------
269,025
-------------
ELECTRIC COMPANIES (0.5%)
Energy East Corp. .................... 7,200 137,250
NSTAR Corp. .......................... 4,900 199,369
Reliant Energy Inc. .................. 3,300 97,556
RGS Energy Group Inc. ................ 7,600 169,100
-------------
603,275
-------------
ELECTRICAL EQUIPMENT (1.4%)
American Power Conversion Corp. + .... 2,600 106,112
Amphenol Corp. ....................... 2,000 132,375
AVX Corp. ............................ 4,600 105,513
Black Box Corp. + .................... 1,700 134,592
General Electric Co. ................. 11,800 625,400
KEMET Corp. + ........................ 5,200 130,325
Molex, Inc. .......................... 1,800 86,625
Technitrol, Inc. ..................... 1,800 174,375
Three-Five Systems, Inc. + ........... 1,700 100,300
Vishay Intertechnology, Inc. + ....... 4,050 153,647
-------------
1,749,264
-------------
ELECTRONICS (DEFENSE) (0.1%)
Litton Industries, Inc. + ............ 2,900 121,800
-------------
ELECTRONICS (INSTRUMENTS) (0.7%)
Credence Systems Corp. + ............. 3,700 204,194
CyberOptics Corp. .................... 1,900 87,875
Meade Instruments Corp. .............. 5,200 130,650
Robotic Vision Systems, Inc. + ....... 8,600 154,800
</TABLE>
See Notes to Portfolio of Investments. 71
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
LEGACY (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
ELECTRONICS (INSTRUMENTS) (CONTINUED)
Tektronix, Inc. ...................... 1,400 $ 103,600
Varian, Inc. + ....................... 3,500 161,437
-------------
842,556
-------------
ELECTRONICS (SEMICONDUCTORS) (3.8%)
Advanced Micro Devices Corp. + ....... 4,200 324,450
Altera Corp. + ....................... 3,000 305,812
Analog Devices, Inc. + ............... 3,900 296,400
Atmel Corp. + ........................ 1,400 51,625
Conexant Systems, Inc. + ............. 1,800 87,525
Integrated Device Technology, Inc. + . 3,500 209,562
Intel Corp. .......................... 7,600 1,016,025
International Rectifier Corp. + ...... 1,900 106,400
Kopin Corporation + .................. 1,600 110,800
Linear Technology Corp. .............. 2,100 134,269
LSI Logic Corp. + .................... 1,600 86,600
Maxim Integrated Products, Inc. + .... 1,800 122,288
Micron Technology, Inc. + ............ 4,100 361,056
National Semiconductor Corp. + ....... 6,500 368,875
PMC Sierra Inc. + .................... 400 71,075
QLogic Corp. + ....................... 800 52,850
SDL, Inc. + .......................... 900 256,669
Silicon Storage Technology, Inc. + ... 1,400 123,638
Texas Instruments, Inc. .............. 3,500 240,406
Xilinx, Inc. + ....................... 4,100 338,506
-------------
4,664,831
-------------
ENGINEERING & CONSTRUCTION (0.1%)
LCC International, Inc. + ............ 2,900 79,206
-------------
ENTERTAINMENT (0.1%)
Viacom, Inc. + ....................... 1,400 95,463
-------------
EQUIPMENT (SEMICONDUCTORS) (0.4%)
Applied Materials, Inc. + ............ 1,800 163,125
KLA Instruments Corp. + .............. 1,600 93,700
Teradyne, Inc. + ..................... 3,800 279,300
-------------
536,125
-------------
FINANCIAL (DIVERSIFIED) (1.0%)
American Express Co. ................. 3,700 192,862
Citigroup Inc. ....................... 10,100 608,525
Eastgroup Properties, Inc. ........... 2,800 58,975
Koger Equity, Inc. ................... 6,300 106,312
National Golf Properties, Inc. ....... 1,600 33,800
Pacific Gulf Properties, Inc. ........ 1,600 40,100
Pan Pacific Retail Properties, Inc. .. 3,500 70,438
Parkway Properties, Inc. ............. 3,300 100,650
-------------
1,211,662
-------------
FOODS (0.3%)
PepsiCo, Inc. ........................ 4,600 204,412
Smithfields Foods, Inc. + ............ 2,600 72,963
Suiza Foods Corp. + .................. 1,200 58,650
-------------
336,025
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
GAMING, LOTTERY, & PARI-MUTUEL (0.4%)
Argosy Gaming Co. + .................. 10,400 $ 149,500
Aztar Corp. + ........................ 3,000 46,500
Isle of Capris Casinos, Inc. ......... 5,900 80,019
Mandaley Resort Group + .............. 6,300 126,000
MGM Grand, Inc. + .................... 2,100 67,462
-------------
469,481
-------------
HARDWARE & TOOLS (0.1%)
Toro Co. ............................. 3,500 115,281
-------------
HEALTH CARE (DRUGS) (0.2%)
Noven Pharmaceuticals, Inc. + ........ 6,100 183,381
-------------
HEALTH CARE (DRUGS/PHARMACEUTICALS) (1.1%)
Eli Lilly & Co. ...................... 2,900 289,637
Pfizer, Inc. ......................... 19,000 912,000
Pharmacia Corporation ................ 3,800 196,413
-------------
1,398,050
-------------
HEALTH CARE (HOSPITAL MANAGEMENT) (0.2%)
RehabCare Group, Inc. ................ 7,000 190,750
-------------
HEALTH CARE (MANAGED CARE) (0.6%)
Oxford Health Plans, Inc. + .......... 4,900 116,681
PacifiCare Health Systems, Inc. + .... 1,700 102,319
Trigon Healthcare, Inc. + ............ 2,900 149,531
UnitedHealth Group Incorporated ...... 3,900 334,425
-------------
702,956
-------------
HEALTH CARE (MEDICAL PRODUCTS/SUPPLIES) (0.3%)
INAMED Corporation + ................. 3,500 128,187
PE Corp-PE Biosystems Group .......... 1,400 92,225
Zoll Medical Corp. ................... 2,600 127,400
-------------
347,812
-------------
HEALTH CARE DIVERSIFIED (0.1%)
Allergan, Inc. ....................... 500 37,250
IVAX Corp. + ......................... 3,200 132,800
-------------
170,050
-------------
INSURANCE (LIFE/HEALTH) (0.3%)
AFLAC, Inc. .......................... 2,000 91,875
Hancock John Financial Services, Inc.
+.................................... 4,900 116,069
Mony Group Inc. + .................... 4,900 165,681
-------------
373,625
-------------
INSURANCE (MULTI-LINE) (0.5%)
American International Group, Inc. ... 2,700 317,250
CIGNA Corp. .......................... 3,300 308,550
-------------
625,800
-------------
INSURANCE (PROPERTY/CASUALTY) (0.2%)
Renaissancere Holdings Company ....... 4,900 213,456
-------------
INVESTMENT BANKING/BROKERAGE (0.5%)
Lehman Brothers Holdings Inc. ........ 3,600 340,425
Raymond James Financial, Inc. ........ 7,200 162,000
Tucker Anthony Sutro Corporation ..... 8,600 154,800
-------------
657,225
-------------
LEISURE TIME (PRODUCTS) (0.1%)
Direct Focus, Inc. + ................. 2,900 142,100
-------------
</TABLE>
72 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
MACHINERY - DIVERSIFIED (0.1%)
Dover Corp. .......................... 2,500 $ 101,406
-------------
MANUFACTURING (SPECIALIZED) (0.3%)
Millipore Corp. ...................... 4,200 316,575
-------------
METALS MINING (0.0%)
Freeport-McMoRan Copper & Gold, Inc. + 34 315
-------------
NATURAL GAS - DISTRIBUTION - PIPE LINE (0.1%)
El Paso Energy Corp. ................. 800 40,750
KeySpan Energy Corp. ................. 2,900 89,175
-------------
129,925
-------------
OFFICE EQUIPMENT & SUPPLIES (0.1%)
Steelcase, Inc. ...................... 4,600 78,200
-------------
OIL & GAS (DRILLING & EQUIPMENT) (0.2%)
Atwood Oceanics, Inc. + .............. 1,200 53,250
Helmerich & Payne, Inc. .............. 5,900 220,513
-------------
273,763
-------------
OIL & GAS (EXPLORATION/PRODUCTION) (1.3%)
Apache Corp. ......................... 9,416 553,778
Basin Exploration, Inc. + ............ 2,900 51,838
Kerr-McGee Corp. ..................... 4,900 288,794
Ocean Energy, Inc. + ................. 7,500 106,406
Patina Oil & Gas Corp. ............... 4,700 97,525
Penn Virginia Corp. .................. 5,500 135,437
Union Pacific Resources Group Inc. ... 12,300 270,600
Unocal Corp. ......................... 900 29,813
Vintage Petroleum, Inc. + ............ 5,900 133,119
-------------
1,667,310
-------------
OIL & GAS (REFINING & MARKETING) (0.5%)
Ashland Oil, Inc. .................... 2,600 91,163
Sunoco Inc. .......................... 6,100 179,569
Tosco Corp. .......................... 3,700 104,756
Ultramar Diamond Shamrock Corp. ...... 8,200 203,462
-------------
578,950
-------------
OIL (DOMESTIC INTEGRATED) (0.6%)
Amerada Hess Corp. ................... 1,600 98,800
Conoco Inc. .......................... 1,700 41,756
Occidental Petroleum Corp. ........... 13,000 273,812
Phillips Petroleum Co. ............... 5,300 268,644
USX-Marathon Group ................... 4,200 105,263
-------------
788,275
-------------
OIL (INTERNATIONAL INTEGRATED) (0.7%)
Chevron Corp. ........................ 2,000 169,625
Exxon Mobil Corp. .................... 7,100 557,350
Texaco, Inc. ......................... 2,100 111,825
-------------
838,800
-------------
PAPER & FOREST PRODUCTS (0.0%)
Westvaco Corp. ....................... 2,400 59,550
-------------
PHOTOGRAPHY/IMAGING (0.3%)
Imation Corp. + ...................... 4,900 143,937
Infocus Corp. ........................ 6,500 209,219
-------------
353,156
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
POWER PRODUCERS (INDEPENDENT) (0.0%)
Calpine Corp. + ...................... 700 $ 46,025
-------------
PUBLISHING - NEWSPAPERS (0.2%)
Dow Jones & Co., Inc. ................ 4,000 293,000
-------------
REIT DIVERSIFIED (7.4%)
Alexandria Real Estate Equities, Inc. 3,700 126,956
AMB Property Corp. ................... 8,200 187,062
Apartment Investment & Management Co. 8,100 350,325
Archstone Communities Trust .......... 9,800 206,412
Arden Realty Group, Inc. ............. 4,900 115,150
Avalon Bay Communities, Inc. ......... 5,601 233,842
Beacon Capital + + ................... 11,300 167,240
Boston Properties, Inc. .............. 15,200 587,100
Brandywine Realty Trust .............. 5,700 109,013
BRE Properties, Inc. ................. 7,900 228,112
Capital Automotive REIT .............. 9,300 131,363
Catellus Development Corp. + ......... 6,200 93,000
CBL & Associates Properties, Inc. .... 7,900 197,006
Colonial Properties Trust ............ 5,600 153,300
Developers Diversified Realty Corp. .. 28,300 422,731
Duke-Weeks Realty Corp. .............. 8,878 198,645
Equity Office Properties Trust ....... 21,500 592,594
Equity Residential Properties Trust .. 12,202 561,292
Essex Property Trust, Inc. ........... 2,600 109,200
FelCor Lodging Trust Inc. ............ 3,400 62,900
First Industrial Realty Trust, Inc. .. 3,200 94,400
General Growth Properties, Inc. ...... 9,100 288,925
Glimcher Realty Trust ................ 9,600 138,000
Health Care Property Investors, Inc. . 4,600 125,350
Healthcare Realty Trust, Inc. ........ 3,792 64,701
Highwood Properties, Inc. ............ 4,200 100,800
Home Properties of New York, Inc. .... 4,900 147,000
Hospitality Properties Trust ......... 6,400 144,400
Host Marriott Corp. .................. 5,700 53,438
Kimco Realty Corp. ................... 6,700 274,700
Liberty Property Trust ............... 6,800 176,375
Post Properties, Inc. ................ 6,300 277,200
Prentiss Properties Trust ............ 1,700 40,800
ProLogis Trust ....................... 17,600 375,100
PS Business Parks, Inc. .............. 7,900 189,600
Simon Property Group, Inc. ........... 14,700 326,156
SL Green Realty Corp. ................ 9,700 259,475
Spieker Properties, Inc. ............. 10,100 464,600
Starwood Hotels & Resort Worldwide,
Inc.................................. 4,000 130,250
Summit Properties Inc. ............... 8,800 184,800
United Dominion Realty Trust, Inc. ... 6,600 72,600
Vornado Realty Trust ................. 8,500 295,375
Weingarten Realty Investors .......... 2,900 117,088
9,174,376
-------------
RETAIL (BUILDING SUPPLIES) (0.1%)
Hughes Supply, Inc. .................. 6,900 136,275
-------------
</TABLE>
See Notes to Portfolio of Investments. 73
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
LEGACY (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
UNITED STATES (CONTINUED)
RETAIL (COMPUTERS & ELECTRONICS) (0.2%)
Best Buy Co., Inc. + ................. 700 $ 44,275
Tech Data Corp. + .................... 5,000 217,813
-------------
262,088
-------------
RETAIL (HOME SHOPPING) (0.1%)
PolyMedica Corp. + ................... 3,700 160,025
-------------
RETAIL - DEPARTMENT STORES (0.1%)
Kohl's Corp. + ....................... 2,400 133,500
-------------
RETAIL - GENERAL MERCHANDISE CHAIN (0.2%)
Wal-Mart Stores, Inc. ................ 5,100 293,888
-------------
RETAIL - SPECIALITY (0.1%)
Sonic Automotive, Inc. + ............. 7,200 76,950
-------------
RETAIL SPECIALITY - APPAREL (0.3%)
Braun's Fashions Corporation ......... 4,400 161,425
Hot Topic, Inc. + .................... 4,300 137,600
Wilsons The Leather Experts Inc. + ... 7,600 111,625
-------------
410,650
-------------
SAVINGS & LOAN COMPANIES (0.2%)
Astoria Financial Corp. .............. 3,700 95,275
Downey Financial Corp. ............... 3,500 101,500
Golden West Financial Corp. .......... 2,100 85,706
-------------
282,481
-------------
SERVICES (ADVERTISING/MARKETING) (0.1%)
ADVO, Inc. + ......................... 4,300 180,600
-------------
SERVICES (COMMERCIAL & CONSUMER) (0.4%)
Convergys Corp. + .................... 1,600 83,000
Dollar Thrifty Automotive Group, Inc.
+.................................... 6,900 127,219
F.Y.I. Incorporated + ................ 4,300 144,856
West Teleservices Corp. .............. 7,200 182,250
-------------
537,325
-------------
SPECIALITY PRINTING (0.1%)
Harland (John H.) Co. ................ 9,800 146,388
-------------
TELEPHONE (0.2%)
Telephone & Data Systems, Inc. ....... 400 40,100
U.S. WEST, Inc. ...................... 2,600 222,950
-------------
263,050
-------------
TELEPHONE LONG DISTANCE (0.0%)
Time Warner Telecom Inc. ............. 600 38,625
-------------
TEXTILES (APPAREL) (0.1%)
Kellwood Co. ......................... 2,000 42,250
Liz Claiborne, Inc. .................. 1,500 52,875
-------------
95,125
-------------
TRUCKERS (0.1%)
Arkansas Best Corp. + ................ 9,800 97,388
Yellow Corp. + ....................... 5,300 78,175
-------------
175,563
-------------
TOTAL UNITED STATES COMMON STOCKS
(COST $39,100,622) 41,728,397
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
FOREIGN COMMON STOCKS (10.6%)
BRAZIL (0.3%)
Embratel Participacoes S.A. (Other
Telecommunications).................. 13,200 $ 311,850
-------------
CANADA (0.3%)
Nortel Networks Corp. (Communications
Equipment)........................... 6,122 417,826
-------------
DENMARK (0.7%)
Novo Nordisk A/S (Health Care -
Drugs/Pharmaceuticals)............... 1,600 273,438
Tele Danmark A/S (Telephone) ......... 2,100 141,936
Vestas Wind Systems A/S (Electrical
Equipment)........................... 12,800 472,039
-------------
TOTAL DENMARK 887,413
-------------
FINLAND (1.3%)
Comptel Oyj (Data & Imaging Services)
+.................................... 23,300 471,271
JOT Automation Group Oyj (Data &
Imaging Services) ................... 52,700 353,118
Nokia Oyj, ADR (Communications
Equipment)........................... 9,200 459,425
Perlos Oyj (Electronics - Component
Dist.) + ............................ 9,200 291,910
-------------
TOTAL FINLAND 1,575,724
-------------
FRANCE (1.3%)
Alcatel (Communications Equipment) ... 4,000 263,420
AXA (Insurance) ...................... 1,408 222,699
Genset (Biotech. & Medical Prod.) .... 4,800 111,000
Schneider Electric SA (Electrical
Equipment)........................... 1,400 97,968
Societe Television Francaise 1
(Broadcasting - TV, Radio & Cable) .. 2,000 139,954
STMicroelectronics N.V. (Electronics -
Semiconductors)...................... 3,900 246,741
Total Fina Elf (Oil) ................. 1,596 245,703
Vivendi (Manufacturing - Diversified) 2,990 264,979
-------------
TOTAL FRANCE 1,592,464
-------------
GERMANY (0.6%)
Buderus AG (Forest Prod. & Building
Mats.)............................... 7,500 118,697
DePfa Deutsche Pfandbriefbank AG
(Banks - Major Regional) ............ 1,800 182,036
Intershop Communications AG (Data &
Imaging Services) + ................. 800 362,730
Siemens AG (Electrical Mach. &
Instrument).......................... 300 45,294
-------------
TOTAL GERMANY 708,757
-------------
HONG KONG (0.3%)
China Telecom Ltd., ADR
(Cellular/Wireless Telecomms.) + .... 1,800 320,063
-------------
IRELAND (0.1%)
CRH Plc (Construction) ............... 9,262 167,803
-------------
ITALY (0.3%)
Banca Nazionale del Lavoro
(Banks & Thrifts) + ................. 42,800 151,392
</TABLE>
74 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
ITALY (CONTINUED)
Telecom Italia SpA (Other
Telecommunications).................. 19,000 $ 194,881
-------------
TOTAL ITALY 346,273
-------------
JAPAN (1.2%)
Canon, Inc. (Electrical Mach. &
Instrument).......................... 4,000 199,612
Crayfish Co., Ltd. (Data & Imaging
Services) + ......................... 24,300 170,100
Internet Initiative Japan Inc., ADR
(Computers Software/Services) ....... 1,700 100,725
Minebea Co., Ltd. (Machinery -
Diversified)......................... 23,000 289,117
Murata Manufacturing Co., Ltd.
(Electronics - Component Dist.) ..... 1,000 143,850
Shin-Etsu Chemical Co., Ltd.
(Chemicals Speciality) .............. 3,000 152,545
Softbank Corp. (Semiconductors &
Electronic).......................... 1,800 244,979
Sony Corporation (Household
Furnishings & App.) ................. 1,800 168,423
-------------
TOTAL JAPAN 1,469,351
-------------
MEXICO (0.2%)
Telefonos de Mexico SA de CV, ADR
(Telephone Long Distance) + ......... 4,600 262,775
-------------
NETHERLANDS (1.1%)
ING Groep N.V. (Financial -
Diversified)......................... 4,578 310,700
Koninklijke (Royal) Philips Electronis
N.V. (Electrical Mach. & Instrument) 8,600 407,247
Royal Dutch Petroleum Co. (Oil) ...... 5,000 307,812
United Pan-Europe Communications N.V.
(Other Telecommunications) + ........ 10,000 262,558
VNU N.V. (Publishing) ................ 1,031 53,467
-------------
TOTAL NETHERLANDS 1,341,784
-------------
SPAIN (0.3%)
Telefonica Publicidad e Informacion,
S.A. (Services - Advertising/Mktg.) . 6,000 56,883
Telefonica S.A. (Other
Telecommunications) + ............... 13,056 281,595
-------------
TOTAL SPAIN 338,478
-------------
SWEDEN (1.0%)
HiQ International AB (Services - Data
Processing).......................... 42,000 407,023
Information Highway AB (Semiconductors
& Electronic) + ..................... 18,000 139,551
Skandia Forsakrings AB (Insurance) ... 7,400 196,579
Telefonaktiebolaget LM Ericsson AB
(Semiconductors & Electronic) ....... 15,600 312,000
Telelogic AB (Semiconductors &
Electronic) + ....................... 33,000 244,556
-------------
TOTAL SWEDEN 1,299,709
-------------
SWITZERLAND (0.4%)
Fantastic Corporation (Data & Imaging
Services) + ......................... 5,700 56,279
Gretag Imaging Group (Producer Goods)
+.................................... 600 115,862
Logitech International S.A. (Data &
Imaging Services) + ................. 360 257,038
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
----------- -------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Swatch Group AG (The) (Consumer
Specialties)......................... 100 $ 127,547
-------------
TOTAL SWITZERLAND 556,726
-------------
UNITED KINGDOM (1.2%)
Celltech Group Plc (Biotech & Medical
Prod) + ............................. 10,500 203,468
Lloyds TSB Group Plc (Diversified
Financial Services) ................. 12,300 116,195
Shire Pharmaceuticals Group Plc
(Drugs) + ........................... 5,970 309,694
Viatel, Inc. (Other
Telecommunications) + ............... 11,500 328,469
Vodafone AirTouch Plc
(Cellular/Wireless Telecomms.) ...... 66,339 268,149
WPP Group Plc (Commercial Services) .. 21,900 319,940
-------------
TOTAL UNITED KINGDOM 1,545,915
-------------
TOTAL FOREIGN COMMON STOCKS
(COST $10,492,692) 13,142,911
-------------
TOTAL COMMON STOCKS
(COST $49,593,314) 54,871,308
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (44.4%)
CORPORATE BONDS (18.0%)
ABN AMRO Bank NV, 7.55%, 06/28/06 ...... $ 150,000 149,862
Allstate Corp., 7.88%, 05/01/05 ........ 120,000 120,720
AT&T Capital Corp., 6.75%, 02/04/02 .... 400,000 394,488
Bank of America Corp., 5.75%, 03/01/04 . 120,000 112,810
Bombardier Capital Inc., 6.00%, 01/15/02 565,000 550,875
Capital Auto Receivables Asset
Trust, 6.30%, 05/15/04................. 1,100,000 1,088,564
Chemical Master Credit Card
Trust, 7.09%, 02/15/09................. 855,000 848,049
Chrysler Financial
Corp., 5.25%, 10/19/00................. 450,000 447,804
Citigroup Inc., 6.20%, 03/15/09 ........ 55,000 50,470
Conoco Inc., 5.90%, 04/15/04 ........... 325,000 310,352
Cox Communications Inc., 7.75%, 08/15/06 515,000 513,161
DaimlerChrysler NA Holdings Inc.,
7.20%,09/01/09......................... 271,000 260,889
Deere & Co., 8.10%, 05/15/30 ........... 64,000 62,337
Deutche Telekom Int. Finance,
8.25%, 06/15/30 # ..................... 194,000 197,023
Diageo Capital Plc, 7.25%, 11/01/09 .... 380,000 380,973
Dominion Resources, Inc.,
8.13%, 06/15/10........................ 110,000 111,014
Duke Energy Corp., 7.38%, 03/01/10 ..... 190,000 186,897
Eastman Kodak Co., 7.25%, 06/15/05 ..... 290,000 289,594
Electronic Data Systems Corp.,
6.85%,10/15/04......................... 550,000 537,861
Enron Corp., 7.88%, 06/15/03 ........... 570,000 573,887
First Union National Bank,
7.88%,02/15/10......................... 135,000 133,272
Ford Motor Co., 7.45%, 07/16/31 ........ 128,000 121,053
Ford Motor Credit Corp., 7.38%, 10/28/09 165,000 159,600
Ford Motor Credit Corp., 7.50%, 03/15/05 1,035,000 1,027,237
General Electric Capital Corp.,
6.81%, 11/03/03........................ 450,000 444,676
</TABLE>
See Notes to Portfolio of Investments. 75
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - JUNE 30, 2000 (UNAUDITED)
LEGACY (CONTINUED)
------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
General Motors Acceptance
Corp., 7.63%, 06/15/04................. $ 120,000 $ 120,058
General Motors Acceptance
Corp., 7.75%, 01/19/10................. 185,000 183,918
GTE California Inc., 7.65%, 03/15/07 ... 195,000 194,585
GTE Corp., 9.38%, 12/01/00 ............. 1,000,000 1,009,350
Hewlett-Packard Co., 7.15%, 06/15/05 ... 480,000 480,878
Honeywell International, 7.50%, 03/01/10 450,000 450,902
Household Finance Corp., 5.88%, 09/25/04 835,000 778,754
Household Finance Corp., 7.88%, 03/01/07 160,000 159,379
J. Seagram & Sons, 7.60%, 12/15/28 ..... 100,000 95,508
MBNA Master Credit Card Trust,
6.40%,01/18/05......................... 1,200,000 1,182,000
MCI WorldCom, Inc., 6.95%, 08/15/28 .... 200,000 176,180
Mellon Bank NA, 7.63%, 09/15/07 ........ 120,000 119,653
Morgan Stanley Dean Witter & Co.,
5.63%,01/20/04......................... 130,000 122,593
Morgan Stanley Dean Witter & Co.,
7.13%,01/15/03......................... 270,000 268,269
National Australia Bank, 6.40%, 12/10/07 2,000,000 1,938,600
National Rural Utilities,
5.50%, 01/15/05........................ 325,000 301,993
Norsk Hydro A/S, 7.15%, 01/15/29 ....... 365,000 326,438
Norwest Financial, Inc., 5.38%, 09/30/03 835,000 785,802
Ontario (Province of), 6.00%, 02/21/06 . 135,000 127,346
Pepsi Bottling Holdings Inc.,
5.38%,02/17/04......................... 335,000 315,580
PPG Industries Inc., 7.05%, 08/15/09 ... 230,000 222,865
Quebec Province Co., 5.75%, 02/15/09 ... 360,000 322,362
Quebec Province Co., 7.50%, 09/15/29 ... 140,000 137,537
Raytheon Co., 8.30%, 03/01/10 .......... 160,000 161,136
Saskatchewan (Province of),
9.38%,12/15/20......................... 145,000 171,307
Sempra Energy,7.95%,03/01/10 ......... 190,000 191,610
Tennessee Gas Pipeline, 7.00%, 10/15/28 330,000 289,044
Texaco Capital, Inc., 5.50%, 01/15/09 .. 375,000 331,073
Textron Financial Corp., 7.13%, 12/09/04 555,000 544,028
Time Warner Inc., 8.11%, 08/15/06 ...... 235,000 239,268
Tyco International Group SA,
6.13%,01/15/09......................... 590,000 521,678
U.S. West Communications Group,
5.63%, 11/15/08........................ 340,000 293,757
Vodafone AirTouch Plc, 7.63%,
02/15/05 ++............................ 225,000 225,311
Vodafone AirTouch Plc,7.75%,02/15/10
++................................... 200,000 198,290
WorldCom, Inc.,8.00%,05/15/06 ........ 230,000 233,961
-------------
TOTAL CORPORATE BONDS (COST $22,659,792) 22,294,481
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (20.8%)
Federal Home Loan Mortgage
Corp., 7.50%, 12/01/11................. 571,000 571,000
Federal Home Loan Mortgage
Corp., 7.50%, 07/15/30 # .............. 480,000 473,664
Federal Home Loan Mortgage
Corp., 8.00%, 07/15/30 # .............. 900,000 905,067
Federal National Mortgage
Association, 5.75%, 03/15/09........... 3,398,000 3,094,830
Federal National Mortgage
Association, 6.00%, 06/01/28........... 1,261,764 1,157,668
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal National Mortgage
Association, 6.50%, 07/25/15 # ........ $1,100,000 $ 1,060,378
Federal National Mortgage
Association, 6.63%, 09/15/09........... 3,340,000 3,225,705
Federal National Mortgage
Association, 7.50%, 07/01/11........... 329,000 328,691
Federal National Mortgage
Association, 8.50%, 09/01/26........... 1,879,800 1,915,328
Federal National Mortgage Association
- Conventional Loan, 6.50%, 02/01/28 .. 1,675,523 1,581,794
Government National Mortgage
Association, 6.50%, 01/15/29........... 3,687,080 3,499,260
Government National Mortgage
Association, 7.00%, 04/15/27........... 335,236 326,017
Government National Mortgage
Association, 7.00%, 01/15/28........... 396,722 385,686
Government National Mortgage
Association, 7.00%, 01/15/28........... 369,750 359,464
Government National Mortgage
Association, 7.00%, 02/15/28........... 1,176,652 1,143,918
Government National Mortgage
Association, 7.00%, 02/15/28........... 299,176 290,853
Government National Mortgage
Association, 7.00%, 02/15/28........... 637,026 619,304
Government National Mortgage
Association, 7.00%, 02/15/28........... 930,189 904,311
Government National Mortgage
Association, 7.00%, 07/15/28........... 724,782 704,619
Government National Mortgage
Association, 7.50%, 12/15/23........... 2,605,432 2,596,469
Government National Mortgage
Association, 8.00%, 07/15/24........... 529,855 536,478
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $26,379,183) 25,680,504
-------------
U.S. GOVERNMENT OBLIGATIONS (5.6%)
U.S. Treasury Note, 5.25%, 02/15/29 * .. 904,000 802,300
U.S. Treasury Note, 5.50%, 03/31/03 * .. 255,000 249,342
U.S. Treasury Note, 6.00%, 08/15/09 .... 717,000 711,285
U.S. Treasury Note, 6.13%, 08/15/29 #... 2,802,000 2,830,020
U.S. Treasury Note, 6.50%, 05/31/02 .... 350,000 350,437
U.S. Treasury Note, 6.50%, 10/15/06 .... 25,000 25,301
U.S. Treasury Note, 6.50%, 02/15/10 .... 957,000 989,749
U.S. Treasury Note, 6.75%, 05/15/05 .... 913,000 934,255
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $6,739,169) 6,892,689
-------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $55,778,144) 54,867,674
-------------
SHORT-TERM INVESTMENTS (12.8%)
Cooper Industries, Inc., 6.63%, 07/20/00
* ++................................... 3,500,000 3,489,042
GTE Corp., 6.60%, 07/18/00 * ++ ........ 4,500,000 4,486,800
Torchmark Corp., 7.25%, 07/03/00 ....... 5,029,000 5,029,000
</TABLE>
76 See Notes to Portfolio of Investments.
<PAGE>
------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
----------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (CONTINUED)
U.S. Treasury Bill,6.18%,11/09/00 @ .. $ 2,900,000 $ 2,839,187
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $15,841,090) 15,844,029
-------------
TOTAL INVESTMENTS
(COST $121,212,548)(A) 125,583,011
OTHER ASSETS LESS LIABILITIES (1,859,073)
-------------
TOTAL NET ASSETS $123,723,938
-------------
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$122,840,616. Unrealized gains and losses, based on identified tax cost at
June 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................ $ 6,596,483
Unrealized losses........................... (3,854,088)
-------------
Net unrealized gain........................ $ 2,742,395
=============
</TABLE>
Information concerning open futures contracts at June 30, 2000 is shown below:
<TABLE>
<CAPTION>
NO. OF NOTIONAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ---------- ------------ -------------
LONG CONTRACTS
----------------------
<S> <C> <C> <C> <C>
Russell 2000 Index
Futures...............
6 $1,567,800 Sep 00 $(12,750)
========== ========
</TABLE>
+ Non-income producing security.
+ Restricted security. This security has been determined to be illiquid under
guidelines established by the Board of Directors.
# When-issued or delayed delivery security.
* Segregated securities for purchases of delayed delivery or when-issued
securities held at June 30, 2000.
++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, 2000.
Acquisition date and cost concerning illiquid securities at June 30, 2000 is
shown below:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
----------- ----------
<S> <C> <C>
Beacon Capital................ 03/17/98 $170,239
==========
</TABLE>
The market value of the total illiquid securities above is $167,240 which
represents 0.14% of the total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 77
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS:
Investments, at market
value.................... $218,727,520 $190,400,121 $125,583,011
Cash ..................... 3,391 2,718 1,332
Cash denominated in
foreign currencies ...... 1,721,049 1,386,102 952,999
Receivable for:
Dividends and interest .. 654,258 918,047 849,634
Investments sold ........ 11,984,664 8,130,305 4,096,761
Fund shares sold ........ -- -- 2,222
Variation margin ........ -- 27,400 20,550
Recoverable foreign taxes 40,525 31,660 13,287
Prepaid expenses ......... 739 699 501
Gross unrealized gain on
forward foreign currency
exchange contracts ...... 12,787 13,743 6,195
------------ ------------ ------------
Total assets ........ 233,144,933 200,910,795 131,526,492
------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased ... 16,309,883 14,240,204 6,991,663
Fund shares redeemed .... 31,944 239,284 684,700
Accrued investment
advisory fees ........... 112,815 97,209 64,944
Accrued administrative
service fees ............ 14,102 12,151 8,118
Accrued custody fees ..... 56,787 51,827 39,605
Other liabilities ........ 9,543 5,724 5,666
Gross unrealized loss on
forward foreign currency
exchange contracts ...... 17,128 13,893 7,858
------------ ------------ ------------
Total liabilities ... 16,552,202 14,660,292 7,802,554
------------ ------------ ------------
NET ASSETS ......... $216,592,731 $186,250,503 $123,723,938
============ ============ ============
NET ASSETS REPRESENTED BY:
Paid-in capital .......... $191,392,962 $170,580,268 $115,267,157
Net unrealized gain on
investments, open futures
contracts and foreign
currency related
transactions............. 19,079,989 10,022,457 4,362,258
Undistributed net
investment income ....... 2,358,260 2,782,928 2,512,787
Accumulated net realized
gain on investments ..... 3,761,520 2,864,850 1,581,736
------------ ------------ ------------
NET ASSETS ......... $216,592,731 $186,250,503 $123,723,938
============ ============ ============
Cost of investments ...... $199,660,324 $180,371,252 $121,212,548
Cost of cash denominated
in foreign currencies ... $ 1,718,585 $ 1,385,822 $ 952,942
CAPITAL SHARES:
Authorized ............... Two Billion Two Billion Two Billion
Par value ................ $ 0.001 $ 0.001 $ 0.001
Outstanding .............. 14,361,003 13,586,701 9,797,390
Net asset value, offering
and redemption price per
share (net assets divided
by shares outstanding) .. $ 15.08 $ 13.71 $ 12.63
</TABLE>
78 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends .......................... $ 1,397,892 $ 1,103,706 $ 573,830
Interest ........................... 1,758,316 2,350,844 2,357,073
----------- ----------- ----------
3,156,208 3,454,550 2,930,903
Foreign taxes withheld on dividends (24,478) (17,573) (8,493)
----------- ----------- ----------
Total investment income ....... 3,131,730 3,436,977 2,922,410
----------- ----------- ----------
INVESTMENT EXPENSES:
Investment advisory fees ........... 640,401 570,090 374,374
Administrative services fees ....... 80,050 71,261 46,797
Printing and postage fees .......... 11,571 9,288 7,947
Custody fees ....................... 74,009 69,119 50,178
Transfer agent fees ................ 1,300 1,300 1,300
Audit fees ......................... 9,946 9,923 9,810
Directors' fees .................... 2,889 2,691 1,694
Registration fees .................. 1,348 -- --
Miscellaneous expenses ............. 4,899 3,969 3,063
----------- ----------- ----------
Expenses before reimbursement and
waiver from Investment Adviser .... 826,413 737,641 495,163
Expense reimbursement and waiver
from Investment Adviser ........... (26,233) (70,901) (88,572)
----------- ----------- ----------
Net investment expenses ....... 800,180 666,740 406,591
----------- ----------- ----------
Net investment income .............. 2,331,550 2,770,237 2,515,819
----------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ....................... 5,107,179 4,297,239 2,254,531
Written options ................... 146,072 136,462 96,100
Futures and forward foreign
currency exchange contracts ...... (594,492) (583,961) (392,792)
Foreign currency related
transactions...................... (61,741) (34,574) 12,302
----------- ----------- ----------
Net realized gain on
investments.................... 4,597,018 3,815,166 1,970,141
----------- ----------- ----------
Net change in unrealized gain or loss on:
Investments ....................... (2,359,578) (4,087,771) (654,157)
Options ........................... (67,222) (62,799) (44,225)
Futures and forward foreign
currency exchange contracts ...... 44,125 1,443 1,851
Foreign currency related
transactions...................... 14,343 13,446 6,574
----------- ----------- ----------
Net change in unrealized gain
or loss on investments ....... (2,368,332) (4,135,681) (689,957)
----------- ----------- ----------
Net realized and change in
unrealized gain or loss on
investments........................ 2,228,686 (320,515) 1,280,184
----------- ----------- ----------
Net increase in net assets resulting
from operations ................... $ 4,560,236 $ 2,449,722 $3,796,003
=========== =========== ==========
</TABLE>
See Notes to Financial Statements. 79
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASCENT
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 2,331,550 $ 4,685,397
Net realized gain on investments.......... 4,597,018 11,305,041
Net change in unrealized gain or loss on
investments.............................. (2,368,332) 11,534,181
------------ ------------
Net increase in net assets resulting from
operations.............................. 4,560,236 27,524,619
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (892,041) (4,511,270)
From net realized gains................... (1,642,262) (9,713,831)
------------ ------------
Decrease in net assets from distributions
to shareholders......................... (2,534,303) (14,225,101)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 9,079,427 14,642,381
Net asset value of shares issued upon
reinvestment of distributions............ 2,534,303 14,225,101
Payments for shares redeemed.............. (11,458,435) (35,351,313)
------------ ------------
Net increase (decrease) in net assets
from fund share transactions............ 155,295 (6,483,831)
------------ ------------
Net change in net assets................ 2,181,228 6,815,687
NET ASSETS:
Beginning of period....................... 214,411,503 207,595,816
------------ ------------
End of period............................. $216,592,731 $214,411,503
============ ============
End of period net assets includes
undistributed net investment income...... $ 2,358,260 $ 918,751
============ ============
SHARE TRANSACTIONS:
Number of shares sold..................... 591,456 1,025,848
Number of shares issued upon reinvestment
of distributions........................ 165,101 1,004,027
Number of shares redeemed................. (764,396) (2,467,556)
------------ ------------
Net decrease............................. (7,839) (437,681)
============ ============
</TABLE>
80 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
CROSSROADS
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 2,770,237 $ 5,834,377
Net realized gain on investments.......... 3,815,166 8,301,943
Net change in unrealized gain or loss on
investments.............................. (4,135,681) 4,750,921
------------ ------------
Net increase in net assets resulting from
operations.............................. 2,449,722 18,887,241
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (1,218,865) (4,966,477)
From net realized gains................... (2,165,389) (7,017,489)
------------ ------------
Decrease in net assets from distributions
to shareholders......................... (3,384,254) (11,983,966)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 4,646,642 15,649,406
Net asset value of shares issued upon
reinvestment of distributions........... 3,384,254 11,983,966
Payments for shares redeemed.............. (18,547,409) (30,397,144)
------------ ------------
Net decrease in net assets from fund
share transactions...................... (10,516,513) (2,763,772)
------------ ------------
Net change in net assets................ (11,451,045) 4,139,503
NET ASSETS:
Beginning of period....................... 197,701,548 193,562,045
------------ ------------
End of period............................. $186,250,503 $197,701,548
============ ============
End of period net assets includes
undistributed net investment income...... $ 2,782,928 $ 1,231,556
============ ============
SHARE TRANSACTIONS:
Number of shares sold..................... 332,708 1,164,134
Number of shares issued upon reinvestment
of distributions........................ 242,599 902,479
Number of shares redeemed................. (1,346,971) (2,241,606)
------------ ------------
Net decrease............................. (771,664) (174,993)
============ ============
</TABLE>
See Notes to Financial Statements. 81
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LEGACY
---------------------------------
SIX MONTH
PERIOD ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1999
------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................... $ 2,515,819 $ 5,058,747
Net realized gain on investments.......... 1,970,141 4,308,972
Net change in unrealized gain or loss on
investments.............................. (689,957) (71,449)
------------ ------------
Net increase in net assets resulting from
operations.............................. 3,796,003 9,296,270
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income................ (1,046,457) (4,123,361)
From net realized gains................... (1,364,650) (3,293,641)
------------ ------------
Decrease in net assets from distributions
to shareholders......................... (2,411,107) (7,417,002)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold................. 3,952,121 10,629,306
Net asset value of shares issued upon
reinvestment of distributions........... 2,411,107 7,417,002
Payments for shares redeemed.............. (15,231,056) (37,245,054)
------------ ------------
Net decrease in net assets from fund
share transactions...................... (8,867,828) (19,198,746)
------------ ------------
Net change in net assets................ (7,482,932) (17,319,478)
NET ASSETS:
Beginning of period....................... 131,206,870 148,526,348
------------ ------------
End of period............................. $123,723,938 $131,206,870
============ ============
End of period net assets includes
undistributed net investment income...... $ 2,512,787 $ 1,043,425
============ ============
SHARE TRANSACTIONS:
Number of shares sold..................... 313,643 849,143
Number of shares issued upon reinvestment
of distributions........................ 188,663 605,625
Number of shares redeemed................. (1,205,708) (2,959,102)
------------ ------------
Net decrease............................. (703,402) (1,504,334)
============ ============
</TABLE>
82 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000 (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 the Portfolios are offered to insurance company separate accounts that
fund both annuity and life insurance contracts and to certain tax-qualified
retirement plans. At June 30, 2000, separate accounts of Aetna Life Insurance
and Annuity Company (ALIAC) and its affiliates held 98.5%, 98.9% and 99.0% of
Ascent, Crossroads and Legacy's shares outstanding, respectively.
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 each Portfolio has 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.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and asked price. High yield securities are priced at
bid by external pricing sources or brokers making a market in the security.
Short-term investments maturing in sixty days or less 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 (Board).
The accounting records of the Portfolios are maintained in U.S. dollars.
Investment securities and other assets and liabilities denominated in foreign
currencies are translated into U.S. dollars at the prevailing rates of exchange
at the end of each day.
83
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
Purchases and sales of securities, income receipts, and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the respective
dates of the transactions. 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.
B. OPTIONS CONTRACTS
The Portfolios may purchase and write (sell) call options and put options and
write (sell) covered call options 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 may invest in
financial futures contracts as a hedge against their 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
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
84
<PAGE>
--------------------------------------------------------------------------------
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 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. The Portfolios will not pay the costs of
disposition of restricted securities other than ordinary brokerage fees, if any.
E. FEDERAL INCOME TAXES
Each Portfolio has met the requirements to be taxed as a regulated investment
company for the year ended December 31, 1999, 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 (Code). Furthermore, by distributing substantially all of
its net taxable investment income and capital gains during the calender year,
each Portfolio will avoid federal excise taxes in accordance with the applicable
provisions of the Code. Thus, the financial statements contain no provisions for
federal income 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 and options contracts, certain investments in foreign equity securities
and repurchases of certain securities sold at a loss. 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 Code.
G. LINE OF CREDIT
The Company, certain portfolios of Aetna Variable Portfolios, Inc., Aetna
Balanced VP, Inc., Aetna Variable Fund, Aetna Income Shares, certain series of
Aetna GET Fund and certain series of Aetna Series Fund Inc., collectively Aetna
Mutual Funds, have entered into a revolving credit facility, of up to
$300,000,000, with a syndicate of banks led by Citibank, N.A. For its services
as Agent, Citibank, N.A. received an agent fee of $200,000. In addition, the
revolving credit facility requires the payment of an annual commitment fee of
0.09% based on the average daily unused amount of the credit facility. Each of
the Aetna Mutual Funds will pay its pro rata share of both the agent fee and
commitment fee. Generally, borrowings under the facility accrue interest at the
Federal Funds Rate plus a specified margin. Repayments generally must be made
within 30 days after the date of a revolving credit advance. The revolving
credit facility became effective on November 30, 1999, and there was no
outstanding balance as of June 30, 2000.
85
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
H. 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 an investment 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 for each Portfolio is 0.075% on the first $5
billion of assets and 0.050% on 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 0.30% of the average daily net assets.
For the period ended June 30, 2000, Aeltus paid ALIAC $792,433.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 2000 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 total return. Actual expenses for the period ended
June 30, 2000 were at or below contractual limits. Actual expense ratios are
included in the Financial Highlights.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended June 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Ascent $239,507,930 $229,933,922
Crossroads 212,987,901 211,538,798
Legacy 114,975,525 121,673,869
</TABLE>
86
<PAGE>
--------------------------------------------------------------------------------
6. OPTIONS
For the period ended June 30, 2000, the following reflects the written option
activity:
<TABLE>
<CAPTION>
PUT OPTIONS WRITTEN
-------------------------------------------------------
Number of Premium Realized
ASCENT Contracts Received Gain (Loss)
-------------------------------------------------------
<S> <C> <C> <C>
Outstanding
December 31, 1999 76 $ 146,072 $ --
Written -- -- --
Expired (76) (146,072) 146,072
-------------------------------------------------------
Outstanding
June 30, 2000 -- $ -- $146,072
=======================================================
</TABLE>
<TABLE>
<CAPTION>
PUT OPTIONS WRITTEN
-------------------------------------------------------
Number of Premium Realized
CROSSROADS Contracts Received Gain (Loss)
-------------------------------------------------------
<S> <C> <C> <C>
Outstanding
December 31, 1999 71 $ 136,462 $ --
Written -- -- --
Expired (71) (136,462) 136,462
-------------------------------------------------------
Outstanding
June 30, 2000 -- $ -- $136,462
-------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PUT OPTIONS WRITTEN
-------------------------------------------------------
Number of Premium Realized
LEGACY Contracts Received Gain (Loss)
-------------------------------------------------------
<S> <C> <C> <C>
Outstanding
December 31, 1999 50 $ 96,100 $ --
Written -- -- --
Expired (50) (96,100) 96,100
-------------------------------------------------------
Outstanding
June 30, 2000 -- $ -- $ 96,100
-------------------------------------------------------
</TABLE>
7. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of June 30, 2000, 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 had net unrealized
losses of $4,341, $150 and $1,663, respectively, on these contracts, which are
included in the accompanying financial statements. The terms of the open
contracts are as follows:
<TABLE>
<CAPTION>
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIZED
DATE TYPE CURRENCY TO RECEIVE/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------ --- -------- -----------
ASCENT
------
<S> <C> <C> <C> <C> <C> <C>
7/17/00 Buy JPY 13,910,000 $130,146 $ 131,904 $ 1,758
7/5/00 Sell EURO 789,000 738,741 755,869 (17,128)
7/17/00 Sell JPY 84,535,000 811,276 801,620 9,656
8/31/00 Sell JPY 75,704,614 725,140 723,767 1,373
--------
$ (4,341)
========
</TABLE>
87
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIZED
DATE TYPE CURRENCY TO RECEIVE/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------ --- -------- -----------
CROSSROADS
----------
<S> <C> <C> <C> <C> <C> <C>
7/17/00 Buy JPY 10,590,00 $ 99,083 $ 100,422 $ 1,339
7/5/00 Sell EURO 640,000 599,232 613,125 (13,893)
7/17/00 Sell JPY 107,120,000 1,028,023 1,015,787 12,236
8/31/00 Sell JPY 9,280,788 88,896 88,728 168
--------
$ (150)
========
LEGACY
------
7/17/00 Buy JPY $ 4,470,000 $ 41,823 $ 42,387 $ 564
7/17/00 Buy JPY 3,500,000 33,154 33,189 35
7/5/00 Sell EURO 362,000 338,941 346,799 (7,858)
7/17/00 Sell JPY 48,978,425 470,042 464,448 5,594
8/31/00 Sell JPY 81,122 777 775 2
--------
$ (1,663)
========
</TABLE>
88
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
ADDITIONAL INFORMATION
JUNE 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
SUBSEQUENT EVENT
Aetna Inc. ("Aetna"), of which Aeltus Investment Management, Inc. ("Aeltus") is
an indirect wholly-owned subsidiary, has entered into an agreement to sell
certain of its businesses, including Aeltus, to ING Groep N.V. ("ING"), an
integrated financial services provider.
Consummation of the transaction is subject to a number of contingencies,
including regulatory and shareholder approvals and other closing conditions.
Under the Investment Company Act of 1940, the transaction would result in a
change in control of Aeltus and, therefore, constitute an assignment of the
Aetna variable funds' investment advisory agreements, which would result in a
termination of those agreements. Consequently, it is anticipated that Aeltus
will seek approval of new agreements from the Boards of the Aetna variable
funds, and the shareholders of each fund prior to consummation of the
transaction. The transaction is targeted to close by the end of 2000. Additional
information regarding the transaction and its impact upon the funds will be
provided to you in the near future.
89
<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 YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 1996 TO DECEMBER 31, 1995
------------- ------------ ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $ 14.92 $ 14.02 $ 14.12 $ 12.62 $ 10.80 $ 10.00
-------- -------- -------- -------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ........ 0.16 0.39 0.33 0.25+ 0.22+ 0.12+
Net realized and change in
unrealized gain or loss on
investments.................. 0.18 1.56 0.27 2.25 2.29 0.93
-------- -------- -------- -------- ------- -------
Total from investment
operations................. 0.34 1.95 0.60 2.50 2.51 1.05
-------- -------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income.... (0.06) (0.33) (0.35) (0.34) (0.23) (0.25)
From net realized gains on
investments.................. (0.12) (0.72) (0.35) (0.66) (0.46) --
-------- -------- -------- -------- ------- -------
Total distributions ........ (0.18) (1.05) (0.70) (1.00) (0.69) (0.25)
-------- -------- -------- -------- ------- -------
Net asset value, end of period $ 15.08 $ 14.92 $ 14.02 $ 14.12 $ 12.62 $ 10.80
======== ======== ======== ======== ======= =======
Total return* ................. 2.25% 14.35% 4.30% 19.90% 23.58% 10.45%
Net assets, end of period
(000's)....................... $216,593 $214,412 $207,596 $148,810 $45,155 $18,850
Ratio of net investment
expenses to average net assets 0.75%(1) 0.74% 0.75% 0.75% 0.84% 1.59%(1)
Ratio of net investment income
to average net assets ........ 2.18%(1) 2.31% 2.59% 2.51% 2.53% 2.26%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets ........... 0.77%(1) -- -- -- -- --
Portfolio turnover rate ....... 129.23% 135.30% 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.
90 See Notes to Financial Statements.
<PAGE>
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 YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 1996 TO DECEMBER 31, 1995
------------- ------------ ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $ 13.77 $ 13.32 $ 13.09 $ 11.98 $ 10.74 $ 10.00
-------- -------- -------- -------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ........ 0.21 0.45 0.38 0.30+ 0.27+ 0.13+
Net realized and change in
unrealized gain or loss on
investments.................. (0.02) 0.87 0.39 1.79 1.72 0.80
-------- -------- -------- -------- ------- -------
Total from investment
operations................. 0.19 1.32 0.77 2.09 1.99 0.93
-------- -------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment income.... (0.09) (0.36) (0.41) (0.38) (0.30) (0.19)
From net realized gains on
investments.................. (0.16) (0.51) (0.13) (0.60) (0.45) --
-------- -------- -------- -------- ------- -------
Total distributions ........ (0.25) (0.87) (0.54) (0.98) (0.75) (0.19)
-------- -------- -------- -------- ------- -------
Net asset value, end of period $ 13.71 $ 13.77 $ 13.32 $ 13.09 $ 11.98 $ 10.74
======== ======== ======== ======== ======= =======
Total return* ................. 1.37% 10.22% 5.91% 17.57% 18.81% 9.30%
Net assets, end of period
(000's)....................... $186,251 $197,702 $193,562 $122,990 $37,690 $18,813
Ratio of net investment
expenses to average net assets 0.70%(1) 0.74% 0.75% 0.75% 0.80% 1.60%(1)
Ratio of net investment income
to average net assets ........ 2.91%(1) 3.05% 3.17% 3.20% 3.01% 2.56%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets ........... 0.77%(1) -- -- -- -- --
Portfolio turnover rate ....... 127.72% 142.06% 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.
See Notes to Financial Statements. 91
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
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 YEAR ENDED (COMMENCEMENT OF
JUNE 30, 2000 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
(UNAUDITED) 1999 1998 1997 1996 TO DECEMBER 31, 1995
------------- ------------ ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $ 12.49 $ 12.37 $ 12.10 $ 11.25 $ 10.64 $ 10.00
-------- -------- -------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ........ 0.27 0.52 0.41 0.36+ 0.33+ 0.15+
Net realized and change in
unrealized gain or loss on
investments.................. 0.12 0.34 0.43 1.26 1.15 0.68
-------- -------- -------- ------- ------- -------
Total from investment
operations................. 0.39 0.86 0.84 1.62 1.48 0.83
-------- -------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income.... (0.11) (0.41) (0.41) (0.39) (0.36) (0.19)
From net realized gains on
investments.................. (0.14) (0.33) (0.16) (0.38) (0.51) --
-------- -------- -------- ------- ------- -------
Total distributions ........ (0.25) (0.74) (0.57) (0.77) (0.87) (0.19)
-------- -------- -------- ------- ------- -------
Net asset value, end of period. $ 12.63 $ 12.49 $ 12.37 $ 12.10 $ 11.25 $ 10.64
======== ======== ======== ======= ======= =======
Total return* ................. 3.09% 7.10% 6.94% 14.50% 14.19% 8.27%
Net assets, end of period
(000's)....................... $123,724 $131,207 $148,526 $81,650 $27,754 $18,253
Ratio of net investment
expenses to average net assets 0.65%(1) 0.75% 0.76% 0.75% 0.80% 1.62%(1)
Ratio of net investment income
to average net assets ........ 4.03%(1) 3.75% 3.81% 3.75% 3.45% 2.91%(1)
Ratio of expenses before
reimbursement and waiver to
average net assets ........... 0.79%(1) -- -- -- -- --
Portfolio turnover rate ....... 108.00% 139.77% 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.
92 See Notes to Financial Statements.
