PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in the Aetna variable funds. We are pleased to bring you
this annual report on the portfolios you have chosen to help you along the road
to your investment goals.
Let's recap the market during the report period, calendar year 1999. As we
approached the start of 1999, high market volatility in the U.S. plus
significant economic problems outside the U.S. created anxiety in the markets.
However, shortly into the year, fears began to abate and the financial market
environment improved. By mid-year, emerging markets began to rebound. European
performance offered hope for its best potential in a decade. An early-year
economic improvement in Japan had been initially viewed as a short-term
statistical anomaly. However, by summer, improving private-sector demand
suggested that Japan's recovery might last.
On June 30, the Federal Reserve raised short-term interest rates - the first of
three times during the year. This initially led to a sell-off in U.S. bond
markets and a flattening of equity-market returns. In fact, the U.S. market as a
whole produced negative returns for the third calendar quarter. Still, the U.S.
economy continued to show signs of steadiness and vigor.
By the close of the year, the U.S. stock market broke through to new all-time
highs. The Dow Jones Industrial Average, Standard & Poor's 500 Index and Russell
2000 Index were all up more than 20% for 1999. And the technology-laden NASDAQ
Composite soared 85.6% in 1999. Today, leading economic reports indicate that
the U.S. economy is growing robustly - and still without generating an
acceleration in inflation.
At the Aetna Variable Annuity Funds and its advisor, Aeltus Investment
Management, Inc., we strive to continuously improve our products and services.
Here are some highlights of our efforts since we last wrote to you:
o THREE NEW GET FUNDS - SERIES D, E AND G - were successfully launched
in 1999. 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.
GET H is open to investment until March 14, 2000.
o OUR Y2K TECHNOLOGY MANAGEMENT EFFORTS WERE HUGELY SUCCESSFUL. Over
New Year's weekend, we conducted a series of quality control checks
on all of our systems, the culmination of a more than two year
comprehensive preventative management project. We are pleased to
tell you that all of our business systems are operating without
incident and on schedule. Your account information is up-to-date and
our customer service and access technology are all functioning
normally.
As we start a new year - and a new millennium - you have our continued
commitment to bringing you our best in products and services. We wish you a
prosperous new year.
Sincerely,
/s/ J. Scott Fox
J. Scott Fox
President
<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 .............................................. 18
Aetna Index Plus Small Cap VP ............................................ 23
Statements of Assets and Liabilities ...................................... 30
Statements of Operations .................................................. 32
Statements of Changes in Net Assets ....................................... 34
Notes to Financial Statements ............................................. 38
Additional Information .................................................... 42
Financial Highlights ...................................................... 43
Independent Auditors' Report .............................................. 47
GENERATION PORTFOLIOS:
Investment Review ......................................................... 48
Portfolios of Investments:
Aetna Ascent VP .......................................................... 53
Aetna Crossroads VP ...................................................... 61
Aetna Legacy VP .......................................................... 69
Statements of Assets and Liabilities ...................................... 76
Statements of Operations .................................................. 77
Statements of Changes in Net Assets ....................................... 78
Notes to Financial Statements ............................................. 81
Additional Information .................................................... 88
Financial Highlights ...................................................... 89
Independent Auditors' Report .............................................. 92
<PAGE>
Aetna Index Plus Bond VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Index Plus Bond VP 12/18/97 12/31/97 12/31/98 12/31/99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Bond VP 10,000 10,031 10,182 10,409 10,761 10,851 10,798 10,680 10,755 10,733
Lehman Brothers Aggregate Bond Index 10,000 10,046 10,200 10,439 10,881 10,918 10,863 10,767 10,841 10,828
</TABLE>
-----------------------------------------------
Average Annual Total Returns
for the period ended December 31, 1999*
-----------------------------------------------
Inception Date 1 Year Inception
-----------------------------------------------
12/18/97 -1.08% 3.54%
-----------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA INDEX PLUS BOND VP
HOW DID THE PORTFOLIO PERFORM DURING THE PERIOD?
Aetna Index Plus Bond VP (Index Plus Bond) generated a -1.08% total return, net
of fund expenses, for the year ended December 31, 1999. The benchmark, Lehman
Brothers Aggregate Bond Index(a), returned -0.82% for the same period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIO?
The Federal Reserve (the "Fed") entered the picture early in the year. Continued
brisk Gross Domestic Product growth, combined with tight labor markets, led the
Fed to raise rates. The Fed funds rate was increased 25 basis points (1/4 of one
percent) during each of the last three calendar quarters of 1999, effectively
reversing the three 25-basis-point easings (or decreases) in the latter half of
1998. (The Fed funds rate is the interest rate charged on overnight loans
between banks.)
For the year, Fed action and uncertainty around future actions drove yields on
U.S. Treasury securities ("Treasuries") higher and the yield curve flatter.
Starting with the short end (short-maturities) of the curve, the 2-year Treasury
yield increased 1.70%; the 10-year, 1.79%; and the long-term 30-year was the
best performer on a yield basis, rising only 1.39%.
Inflation indicators caused sporadic concern: the 2nd quarter Employment Cost
Index showed a 1.1% increase, the largest since 1991; October's PPI (Producer
Price Index) rose 1.1%, its strongest number in nine years; and the National
Association of Purchasing Managers price paid index showed a meaningful increase
toward the latter half of the year. However, these concerns were muted as the
year ended, with December reports showing modest increases of 0.2% in the PPI,
0.1% in the CPI
See Definition of Terms. 1
<PAGE>
(Consumer Price Index), and 0.1% in average hourly earnings.
Spread sectors (any non-Treasury bond) outperformed Treasuries handily for the
year. Investment-grade corporate securities outperformed Treasuries of the
equivalent duration by 174 basis points, driven mainly by declines in swap
spreads. As swap spreads declined, mainly in the latter half of the year,
investors stepped in and increased allocations to corporates, decreasing the
yield spread between corporate bonds and Treasuries.
In securitized markets, collateralized mortgage-backed securities,
mortgage-backed securities, and asset-backed securities showed excess returns of
312, 113 and 136 basis points, respectively, also driven by declining swap
spreads and improving market supply and demand factors.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST TWELVE
MONTHS?
An overweight position in investment-grade corporate bonds throughout the year
was a positive contributor to performance, given their large excess returns
versus Treasuries during the year.
During the first six months of the year, an overweight in bank and finance paper
negatively affected performance, as these sectors underperformed due to the
Fed's increases of interest rates. On the negative side, some credit events in
investment-grade corporates during the year modestly reduced the Portfolio's
returns.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Economic momentum remains strong, with the wealth effect from rising stock
markets feeding domestic consumption. (As investors have seen their assets
increase in value, they feel more wealthy; hence the "wealth effect," which
stimulates consumption.) We expect stock markets to moderate in 2000, and any
stock market correction should reverse the wealth effect and slow the economy.
This will begin to unwind the imbalances we have seen in terms of low savings
rates in the U.S. and a high and expanding current account deficit. (The U.S.
"current account" is the record of all transactions with foreign nations that
involve the exchange of merchandise, goods, services, or unilateral gifts.) The
extent to which these imbalances unwind will determine the length and depth of
any slowdown.
We expect the Fed to continue raising the Fed funds rate in order to slow
domestic activity and unwind some of the aforementioned imbalances. Market
consensus appears to be a 6% Fed funds rate by mid-year, and that is close to
our expectation of 6-6.25%.
We continue to be defensive with regard to investment-grade corporates, favoring
issues that are rated A and above over those rated BBB. We also continue to
favor a defensive posture by holding shorter-duration securities, thus
moderating the volatility of returns resulting from changes in spreads between
corporate and Treasury yields, lowering risk in that sector. ("Duration"
measures a bond's sensitivity to increases or decreases in interest rates. The
longer the duration, the more a bond - or a bond fund - will be affected by rate
changes.)
Mortgages now appear somewhat highly priced, and we will take a defensive
posture within this sector, favoring securities that are less sensitive to
increases in Treasury volatility. Agencies now appear to be fair value, given
the extent to which spreads have come in over the past quarter, following
declines in swap spreads. We expect to favor a neutral position in agencies. We
expect to continue our overweight position in asset-backed securities, given
their short duration and high quality.
2 See Definition of Terms.
<PAGE>
- ---------------------------------------
QUALITY RATINGS
- ---------------------------------------
AAA 55.9%
AA 3.4%
A 25.4%
BBB 13.1%
BB 2.2%
- ---------------------------------------
MATURITY DISTRIBUTION
- ---------------------------------------
0 - 1 years 2.7%
1 - 5 years 31.4%
5 - 10 years 13.5%
10 - 20 years 13.4%
20 + years 39.0%
The opinions expressed reflect those of the portfolio manager only through
December 31, 1999. The manager's opinions are subject to change at any time
based on market and other conditions. The composition, industries and holdings
of the Portfolio are subject to change.
See Definition of Terms. 3
<PAGE>
Aetna Index Plus Large Cap VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Index Plus Large Cap VP 09/16/96 09/30/96 12/31/96 12/31/97 12/31/98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Large Cap VP 10,000 10,069 10,964 11,246 13,272 14,285 14,680 16,759 17,420 15,728 19,319
S&P 500 Index 10,000 10,276 11,053 10,834 13,067 14,045 14,448 16,464 17,007 15,315 18,577
<CAPTION>
Index Plus Large Cap VP 12/31/99
<S> <C> <C> <C> <C>
Aetna Index Plus Large Cap VP 20,374 21,676 20,503 24,013
S&P 500 Index 19,502 20,877 19,572 22,485
</TABLE>
Aetna Index Plus Mid Cap VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Index Plus Mid Cap VP 12/16/97 12/31/97 12/31/98 12/31/99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Small Cap VP 10,000 10,348 11,459 11,339 9,958 12,862 12,029 13,511 12,468 14,894
S&P Midcap 400 Index 10,000 10,390 11,535 11,288 9,655 12,377 11,587 13,228 12,116 14,199
</TABLE>
Aetna Index Plus Small Cap VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Index Plus Small Cap VP 12/19/97 12/31/97 12/31/98 12/31/99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Small Cap VP 10,000 10,430 11,441 10,901 8,749 10,289 9,423 10,686 10,248 11,400
S&P Smallcap 600 Index 10,000 10,403 11,555 11,040 8,731 10,268 9,345 10,786 10,264 11,543
</TABLE>
4 See Definition of Terms.
<PAGE>
- --------------------------------------------------------------------------------
Average Annual Total Returns
for the period ended December 31, 1999*
- --------------------------------------------------------------------------------
Index Plus Large Cap VP Index Plus Mid Cap VP Index Plus Small Cap VP
- --------------------------------------------------------------------------------
1 Year Inception 1 Year Inception 1 Year Inception
- --------------------------------------------------------------------------------
24.30% 30.47% 15.81% 21.56% 10.79% 6.65%
- --------------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
AETNA INDEX PLUS VPS
HOW DID THE PORTFOLIOS PERFORM DURING THE PERIOD?
The performance listed below for the Index Plus VPs (Index Plus Large Cap VP,
Index Plus Mid Cap VP and Index Plus Small Cap VP) and their respective
benchmarks is for the year ended December 31, 1999:
- --------------------------------------------------------------------------------
PORTFOLIO BENCHMARK INDEX
INDEX PLUS PORTFOLIOS RETURN BENCHMARK INDEX RETURN
- --------------------------------------------------------------------------------
Index Plus Large Cap VP 24.30% S&P 500 Index (b) 21.04%
Index Plus Mid Cap VP 15.81% S&P SmallCap 400 Index (c) 14.72%
Index Plus Small Cap VP 10.79% S&P SmallCap 600 Index (d) 12.40%
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE PORTFOLIOS?
After suffering a 12% correction that started in July and ended in mid-October,
the S&P 500 had a tremendous rally in the 4th quarter to close at record highs.
As fears of Y2K litigation risk and a Y2K-caused slowdown in orders began to
diminish, the market was propelled higher by technology shares (particularly
those associated with telecommunication and the Internet). However, the frenzied
buying of these sectors masked a deteriorating backdrop in the overall
environment for equities. These developments will receive more attention in the
new year, as the Y2K issue fades away:
o In November, the Federal Reserve (the "Fed") raised the federal
funds rate for the third time in 1999, driving interest rates
substantially higher. (The Fed funds rate is the interest rate
charged on overnight loans between banks.)
o Riots and protests against the World Trade Organization during their
meeting in Seattle suggest growing opposition to global free trade.
o Domestic economic data showed persistent strength coupled with
nascent signs of inflationary pressure.
Aetna Index Plus Large Cap VP and Aetna Index Plus Mid Cap VP performed
extremely well in this environment, as the quantitative model that we use in
this strategy favored technology shares due to their strong business momentum.
These stocks trade at extremely high valuations relative to the market, which
meant that the value factors in our model detracted from performance.
Low-P/E stocks underperformed high-P/E stocks by 65% in 1999. (P/E - or
price/earnings ratio - is arrived at by dividing a stock's current selling price
by earnings per share. P/E gives an idea of what investors are willing to pay
for a company's earning potential.) This poor performance was typical of
virtually all value-oriented investment strategies. (Value investors seek
companies whose stocks appear undervalued in relation to their assets and
earnings; they typically have low P/Es. Growth investors search for companies
that have a record of above-average earnings growth; they typically have high
P/Es.) Overall, our multi-factor model showed positive discrimination, with our
best-ranked stocks outperforming the worst-ranked stocks by approximately 35%.
This helped produce outstanding results for this strategy in the fourth quarter.
See Definition of Terms. 5
<PAGE>
Aetna Index Plus Small Cap VP underperformed its benchmark over the past twelve
months. The quantitative model that we use in this strategy has performed poorly
during this period, as the market has favored companies with very short
histories and no earnings. However, we have made changes to the quantitative
process to do a better job of assessing these new entrants, and we expect that
these changes will have a positive impact going forward.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIO'S PERFORMANCE OVER THE PAST TWELVE
MONTHS?
Aetna Index Plus Large Cap VP: An overweight position in technology helped the
Portfolio in the fourth quarter, led by positions in Cisco, Microsoft, and
QUALCOMM. During the same quarter, poor stock selection in oil stocks detracted
from performance.
Aetna Index Plus Mid Cap VP: An overweight position in technology helped the
Portfolio in the fourth quarter, led by positions in VERITAS, QLogic, and
Seibel. However, poor stock selection in the manufacturing sector detracted from
performance.
Aetna Index Plus Small Cap VP: An overweight position in consumer discretionary
detracted from performance during year. Conversely, a small overweight position
in technology worked to the benefit of the Portfolio.
WHAT IS YOUR OUTLOOK GOING FORWARD?
Going forward, we are concerned by the extreme price appreciation in technology
shares in the fourth quarter of 1999. The recent back-up in interest rates does
not provide a supportive environment for high-multiple growth stocks; and, to
the extent that the bear market in bonds continues, we feel that these issues
will have a difficult time maintaining their current valuations.
Although we are keenly aware of these risks, we remain committed to the
disciplined process that has worked so well for us over the past years, a
process that is not based on macro-economic forecasting. We will continue to
utilize our multi-factor model to evaluate each stock on its own merit. Adverse
macro-economic factors will be reflected in our stock selection when and if they
manifest themselves in the business momentum of each individual company.
INDEX PLUS LARGE CAP VP:
- ----------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
- ----------------------------------------------------------------------
Basic Materials 3.3% 3.0% 0.3%
Commercial Services 1.3% 1.2% 0.1%
Consumer Discretionary 12.0% 11.8% 0.2%
Consumer Non-Discretionary 5.0% 6.3% (1.3)%
Energy 7.3% 6.0% 1.3%
Finance 13.6% 12.6% 1.0%
Healthcare 6.5% 9.3% (2.8)%
Manufacturing 10.0% 9.5% 0.5%
Technology 32.0% 30.8% 1.2%
Utilities 9.0% 9.5% (0.5)%
6 See Definition of Terms.
<PAGE>
INDEX PLUS LARGE CAP VP (CONTINUED):
- -------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
- -------------------------------------------------
Microsoft Corp. 4.9%
General Electric Co. 4.2%
Cisco Systems, Inc. 3.8%
Exxon Corp. 3.0%
Wal-Mart Stores, Inc. 2.5%
America Online, Inc. 2.3%
Citigroup Inc. 2.0%
Lucent Technologies, Inc. 1.9%
Home Depot, Inc. 1.7%
International Business Machines Corp. 1.6%
INDEX PLUS MID CAP VP:
- --------------------------------------------------------------------------------
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS MIDCAP 400 WEIGHTING
- --------------------------------------------------------------------------------
Basic Materials 4.2% 5.0% (0.8)%
Commercial Services 3.5% 5.5% (2.0)%
Consumer Discretionary 15.1% 13.9% 1.2%
Consumer Non-Discretionary 2.5% 3.0% (0.5)%
Energy 6.6% 6.0% 0.6%
Finance 10.8% 11.9% (1.1)%
Healthcare 9.3% 10.8% (1.5)%
Manufacturing 8.4% 8.5% (0.1)%
Technology 31.2% 26.2% 5.0%
Utilities 8.4% 9.2% (0.8)%
- -------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
- -------------------------------------------------
VERITAS Software Corp. 6.1%
Siebel Systems, Inc. 2.8%
Maxim Integrated Products, Inc. 2.3%
Biogen, Inc. 2.2%
Linear Technology Corp. 1.9%
Altera Corp. 1.7%
Univision Communications, Inc. 1.6%
Intuit Inc. 1.5%
MedImmune, Inc. 1.3%
Telephone & Data Systems, Inc. 1.2%
See Definition of Terms. 7
<PAGE>
INDEX PLUS SMALL CAP VP:
- --------------------------------------------------------------------------
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS SMALLCAP 600 WEIGHTING
- --------------------------------------------------------------------------
Basic Materials 3.2% 3.6% (0.4)%
Commercial Services 10.4% 10.0% 0.4%
Consumer Discretionary 17.7% 15.4% 2.3%
Consumer Non-Discretionary 2.0% 2.2% (0.2)%
Energy 4.6% 4.9% (0.3)%
Finance 9.3% 10.4% (1.1)%
Healthcare 9.0% 10.9% (1.9)%
Manufacturing 14.5% 12.6% 1.9%
Technology 27.3% 27.9% (0.6)%
Utilities 2.0% 2.1% (0.1)%
- ------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
- ------------------------------------------
Mercury Interactive Corp. 1.8%
Whittman-Hart, Inc. 1.3%
Macromedia, Inc. 1.0%
IDEC Pharmaceuticals Corp. 0.9%
Lattice Semiconductor Corp. 0.9%
CTS Corp. 0.9%
CommScope, Inc. 0.9%
C-Cube Microsystems, Inc. 0.8%
Gentex Corp. 0.8%
Burr-Brown Corp. 0.8%
The opinions expressed reflect those of the portfolio manager only through
December 31, 1999. The manager's opinions are subject to change at any time
based on market and other conditions. The composition, industries and holdings
of the Portfolios are subject to change.
8 See Definition of Terms.
<PAGE>
- --------------------------------------------------------------------------------
DEFINITION OF TERMS
- --------------------------------------------------------------------------------
(a) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond
Index, Mortgage-Backed Securities Index and the Asset-Backed Securities
Index.
(b) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(c) The Standard & Poor's (S&P) MidCap 400 Index is an unmanaged index used to
measure stock market performance composed of companies with a weighted
average market value of $3.6 billion. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
(d) The Standard & Poor's (S&P) SmallCap 600 Index is an unmanaged index used
to measure stock market performance composed of companies with a weighted
average market value of $903 million. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
The unmanaged indices described above are not available for individual
investment.
9
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS BOND
================================================================================
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
LONG-TERM BONDS AND NOTES (97.2%)
CORPORATE BONDS (43.8%)
ABN AMRO Bank NV,7.55%,06/28/06 ...................... $ 35,000 $ 34,873
Ahold Finance USA Inc.,6.88%,05/01/29 ................ 50,000 43,885
AirTouch Communications,
Inc.,7.13%,07/15/01 ................................. 250,000 251,192
Alliant Energy Resources,7.38%,11/09/09 .............. 30,000 29,155
Associates Corp. N.A.,6.88%,11/15/08 ................. 100,000 96,125
AT&T Capital Corp.,6.75%,02/04/02 .................... 80,000 79,522
Baker Hughes, Inc.,6.00%,02/15/09 .................... 45,000 40,055
Bank of America Corp.,5.75%,03/01/04 ................. 25,000 23,694
Bombardier Capital Inc.,6.00%,01/15/02 ............... 30,000 29,259
Bombardier Capital Inc.,7.30%,12/15/02 ............... 25,000 24,893
Capco America Securitization
Corp.,5.86%,12/15/07 ................................ 91,459 85,826
Cia. Transporte Energia,8.63%,04/01/03 ++ ............ 250,000 233,750
Citigroup Inc.,7.88%,05/15/25 ........................ 225,000 224,500
Coastal Corp.,6.20%,05/15/04 ......................... 70,000 66,424
Conrail, Inc.,9.75%,06/01/00 ......................... 130,000 131,641
Crown Cork & Seal Co., Inc.,6.75%,04/15/03 ........... 300,000 290,835
DaimlerChrysler NA Holdings
Inc.,6.67%,09/25/01 ................................. 100,000 99,560
Dayton Hudson Co.,9.75%,07/01/02 ..................... 100,000 105,874
Diageo Capital Plc,7.25%,11/01/09 .................... 80,000 78,387
Dow Chemical Co.,7.38%,11/01/29 ...................... 30,000 28,695
Duke Energy Corp.,7.88%,08/15/04 ..................... 60,000 60,472
E.I. Du Pont De Nemours
Corp.,6.75%,10/15/04 ................................ 75,000 74,032
Edison International Inc.,6.88%,09/15/04 ............. 70,000 68,543
Federated Department Stores,
Inc.,8.13%,10/15/02 ................................. 200,000 203,212
First Maryland Bancorp,8.38%,05/15/02 ................ 300,000 306,507
Ford Motor Credit Corp.,6.70%,07/16/04 ............... 100,000 97,875
Ford Motor Credit Corp.,7.38%,10/28/09 ............... 100,000 98,725
General Electric Capital
Corp.,6.81%,11/03/03 ................................ 100,000 99,250
GTE North, Inc.,5.65%,11/15/08 ....................... 55,000 48,675
Hertz Corp.,7.00%,07/01/04 ........................... 30,000 29,573
Homeside Lending Inc.,6.86%,07/02/01 ................. 250,000 249,265
IBM Corp.,5.63%,04/12/04 ............................. 45,000 42,515
Lockheed Martin Corp.,7.95%,12/01/05 ................. 50,000 49,279
Lockheed Martin Corp.,7.25%,05/15/06 ................. 210,000 200,311
Lucent Technologies, Inc.,6.45%,03/15/29 ............. 50,000 43,524
MCI WorldCom, Inc.,6.95%,08/15/28 .................... 50,000 45,398
Morgan Stanley Dean Witter &
Co.,7.13%,01/15/03 .................................. 60,000 59,953
Morgan Stanley Dean Witter &
Co.,5.63%,01/20/04 .................................. 30,000 28,258
Orix Credit Alliance Corp.,6.79%,04/16/01 ............ 80,000 79,286
Panama (Republic of),7.88%,02/13/02 ++ ............... 250,000 240,625
Puget Sound Energy, Inc.,7.02%,12/01/27 .............. 250,000 221,662
Quebec Province Co.,5.75%,02/15/09 ................... 105,000 93,206
Royal Caribbean Corp.,8.25%,04/01/05 ................. 140,000 142,815
Textron Financial Corp.,7.13%,12/09/04 ............... 75,000 74,097
Tyco International Group SA,6.38%,06/15/05 ........... 70,000 65,630
U.S. West Communications
Group,7.20%,11/01/04 ................................ 100,000 99,226
United Technologies Corp.,6.50%,06/01/09 ............. 30,000 28,236
United Technologies Corp.,7.50%,09/15/29 ............. 60,000 58,731
USL Capital Corp.,6.50%,12/01/03 ..................... 100,000 97,252
----------
5,004,278
----------
NON-AGENCY MORTGAGE-BACKED SECURITIES (0.7%)
Peco Energy Transition Trust Co.,
6.05%,03/01/09 ...................................... 80,000 74,718
----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (38 4%)
Federal Home Loan Mortgage
Corp.,6.00%,07/01/29 ................................ 99,121 90,726
Federal Home Loan Mortgage
Corp.,6.50%,12/01/27 ................................ 708,327 670,228
Federal Home Loan Mortgage
Corp.,7.00%,05/01/28 ................................ 134,957 130,612
Federal Home Loan Mortgage
Corp.,7.50%,12/01/27 ................................ 243,400 241,119
Federal Home Loan Mortgage
Corp.,9.00%,07/01/16-09/01/16 ....................... 43,364 45,069
Federal National Mortgage
Association,4.75%,11/14/03 .......................... 250,000 232,110
Federal National Mortgage
Association,6.00%,12/01/12-01/01/29 ................. 579,046 536,678
Federal National Mortgage
Association,6.50%,12/01/12-10/01/29 ................. 802,398 774,687
Federal National Mortgage
Association,7.00%,05/01/28-10/01/29 ................. 412,319 398,953
Federal National Mortgage
Association,7.50%,04/01/28 .......................... 83,615 82,759
Federal National Mortgage
Association, 6.25%,07/15/04 ......................... 200,000 195,532
Government National Mortgage
Association,6.50%,10/15/28-08/15/29 ................. 277,450 260,621
Government National Mortgage
Association,7.00%,03/15/27-05/15/28 ................. 302,163 292,410
Government National Mortgage
Association,7.50%,10/15/22-11/15/29 ................. 156,912 155,592
Government National Mortgage
Association,8.00%,04/15/17-08/15/17 ................. 272,542 278,735
----------
4,385,831
----------
U.S. GOVERNMENT OBLIGATIONS (14.3%)
U.S. Treasury Bond,6.13%,08/15/07 .................... 255,000 248,625
U.S. Treasury Bond,6.50%,11/15/26 .................... 92,000 89,671
U.S. Treasury Bond,6.75%,08/15/26 .................... 200,000 200,938
U.S. Treasury Bond,7.25%,05/15/16 .................... 155,000 162,023
U.S. Treasury Bond,8.13%,05/15/21 .................... 500,000 573,125
U.S. Treasury Bond,11.75%,11/15/14 ................... 160,000 216,250
U.S. Treasury Note,5.25%,02/15/29 .................... 12,000 9,923
U.S. Treasury Note,8.75%,05/15/17 .................... 30,000 35,831
U.S. Treasury Strip,Zero Coupon,08/15/05 ............. 156,000 107,972
1,644,358
----------
TOTAL LONG-TERM BONDS AND NOTES (COST $11,606,808) ... 11,109,185
----------
10 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
SHORT-TERM INVESTMENTS (1.6%)
Federal Home Loan Bank,5.20%,01/26/00 .......... $ 190,000 $ 189,369
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $189,369) ... 189,369
-----------
TOTAL INVESTMENTS (COST $11,796,177)(A) ........ 11,298,554
OTHER ASSETS LESS LIABILITIES .................. 135,410
-----------
TOTAL NET ASSETS ............................... $11,433,964
===========
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$11,808,376. Unrealized gains and losses, based on identified tax cost at
December 31, 1999, are as follows:
Unrealized gains ..................................... $ --
Unrealized losses .................................... (509,822)
---------
Net unrealized loss ................................. $(509,822)
=========
++ 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 - DECEMBER 31, 1999
INDEX PLUS LARGE CAP
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
COMMON STOCKS (99.4%)
AIR TRANSPORT (0.3%)
AMR Corp. + .............................. 13,900 $ 931,300
Delta Air Lines, Inc. .................... 16,500 821,906
FDX Corp. + .............................. 30,300 1,240,407
Southwest Airlines Co. ................... 62,912 1,018,388
-----------
4,012,001
-----------
ALUMINUM (0.6%)
Alcan Aluminum Ltd. ...................... 33,700 1,388,019
Alcoa Inc. ............................... 56,800 4,714,400
Reynolds Metals Co. ...................... 6,000 459,750
-----------
6,562,169
-----------
AUTO PARTS AND HARDWARE (0.2%)
Black & Decker Corp. ..................... 8,200 428,450
Briggs & Stratton Corp. .................. 2,500 134,062
Cooper Tire & Rubber Co. ................. 8,300 129,169
Genuine Parts Co. ........................ 15,500 384,594
Goodyear Tire & Rubber Co. (The) ......... 14,900 419,994
Snap-On, Inc. ............................ 5,100 135,469
Stanley Works (The) ...................... 8,200 247,025
-----------
1,878,763
-----------
AUTOMOTIVE (1.2%)
Dana Corp. ............................... 12,693 379,997
Delphi Automotive Systems Corp. .......... 69,860 1,100,295
Eaton Corp. .............................. 6,900 501,113
Ford Motor Co. ........................... 110,700 5,915,531
General Motors Corp. + ................... 60,200 4,375,787
Johnson Controls, Inc. ................... 9,200 523,250
TRW, Inc. ................................ 11,500 597,281
-----------
13,393,254
-----------
BANKS AND THRIFTS (4.5%)
AmSouth Bancorporation ................... 52,950 1,022,597
Bank of America Corp. .................... 162,300 8,145,431
Bank of New York Co., Inc. ............... 68,900 2,756,000
Bank One Corp. ........................... 53,810 1,725,283
BB&T Corp. ............................... 39,700 1,086,787
Chase Manhattan Corp. .................... 77,400 6,013,012
Comerica, Inc. ........................... 14,650 683,972
Fifth Third Bancorp ...................... 25,725 1,887,572
Firstar Corp. ............................ 120,301 2,541,359
Fleet Boston Financial Corp. ............. 99,819 3,474,949
Golden West Financial Corp. .............. 14,400 482,400
Huntington Bancshares Inc. ............... 24,328 580,831
J.P. Morgan & Co. ........................ 17,400 2,203,275
KeyCorp .................................. 34,100 754,463
Mellon Financial Corp. ................... 48,300 1,645,219
Northern Trust Corp. ..................... 17,200 911,600
Old Kent Financial Corp. ................. 10,600 374,975
PNC Bank Corp. ........................... 38,300 1,704,350
Regions Financial Corp. .................. 10,200 256,275
SouthTrust Corp. ......................... 22,400 847,000
State Street Corp. ....................... 15,000 1,095,937
Summit Bancorp ........................... 16,300 499,188
Suntrust Banks, Inc. ..................... 30,500 2,098,781
Synovus Financial Corp. .................. 26,300 522,713
Union Planters Co. ....................... 13,200 520,575
Wachovia Corp. ........................... 19,000 1,292,000
Washington Mutual, Inc. .................. 54,500 1,417,000
Wells Fargo & Co. ........................ 154,700 6,255,681
-----------
52,799,225
-----------
BIOTECH AND MEDICAL PRODUCTS (1.1%)
Amgen, Inc. + ............................ 112,200 6,739,012
Bard (C.R.) Inc. ......................... 4,100 217,300
Bausch & Lomb, Inc. ...................... 8,900 609,094
Biomet, Inc. ............................. 5,500 220,000
Boston Scientific Corp. + ................ 58,100 1,270,938
Guidant Corp. + .......................... 32,800 1,541,600
Mallinckrodt Inc. ........................ 6,500 206,781
Medtronic, Inc. + ........................ 56,200 2,047,788
Saint Jude Medical, Inc. + ............... 7,900 242,431
-----------
13,094,944
-----------
CHEMICALS (1.1%)
Dow Chemical Co. ......................... 25,800 3,447,525
Du Pont (E.I.) de Nemours ................ 98,800 6,508,450
Hercules, Inc. ........................... 10,000 278,750
Monsanto Co. ............................. 29,400 1,047,375
Rohm & Haas Co. .......................... 20,700 842,231
Union Carbide Corp. ...................... 12,500 834,375
-----------
12,958,706
-----------
COMMERCIAL SERVICES (0.4%)
Deluxe Corp. ............................. 7,100 194,806
Interpublic Group of Co., Inc. (The) ..... 26,500 1,528,719
Omnicom Group, Inc. ...................... 16,800 1,680,000
Paychex, Inc. ............................ 23,000 920,000
RR Donnelley & Sons Co. .................. 5,000 124,063
-----------
4,447,588
-----------
COMPUTERS (4.4%)
Apple Computer, Inc. + ................... 19,900 2,045,969
Cabletron Systems, Inc. + ............... 17,100 444,600
Gateway, Inc. + .......................... 39,300 2,832,056
Hewlett Packard Co. ...................... 95,700 10,903,819
International Business Machines Corp. .... 175,600 18,964,800
Sun Microsystems, Inc. + ................. 196,700 15,231,956
Unisys Corp. + ........................... 28,300 903,831
-----------
51,327,031
-----------
CONGLOMERATE AND AEROSPACE (5.4%)
Boeing Co. ............................... 135,100 5,615,094
Crane Co. ................................ 6,200 123,225
General Dynamics Corp. ................... 21,300 1,123,575
General Electric Co. ..................... 313,700 48,545,075
Goodrich (B.F.) Co. ...................... 11,800 324,500
Lockheed Martin Corp. .................... 13,400 293,125
12 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
CONGLOMERATE AND AEROSPACE (CONTINUED)
Loews Corp. .............................. 10,300 $ 625,081
National Service Industries, Inc. ........ 3,600 106,200
Northrop Grumman Corp. ................... 6,600 356,813
Perkin-Elmer Inc. + ...................... 4,000 166,750
Raytheon Co. ............................. 22,200 589,687
Textron, Inc. ............................ 14,900 1,142,644
United Technologies Corp. ................ 59,400 3,861,000
------------
62,872,769
------------
CONSUMER FINANCE (1.5%)
Associates First Capital Corp. ........... 68,300 1,873,981
Capital One Financial Corp. .............. 30,800 1,484,175
Freddie Mac Corp. ........................ 66,000 3,106,125
Federal National Mortgage Association .... 97,200 6,068,925
Household International, Inc. ............ 58,600 2,182,850
MBNA Corp. ............................... 85,375 2,326,469
Ryder System, Inc. ....................... 6,100 149,069
SLM Holding Corp. ........................ 14,900 629,525
------------
17,821,119
------------
CONSUMER PRODUCTS (2.1%)
Alberto-Culver Co. ....................... 3,100 80,019
Avon Products, Inc. ...................... 24,200 798,600
Clorox Co. ............................... 10,700 539,013
Colgate-Palmolive Co. .................... 55,000 3,575,000
Gillette Co. ............................. 50,600 2,084,087
International Flavors & Fragrances,
Inc ..................................... 9,200 347,300
Kimberly-Clark Corp. ..................... 51,100 3,334,275
Procter & Gamble Co. ..................... 126,200 13,826,787
------------
24,585,081
------------
CONSUMER SERVICES (1.1%)
Carnival Corp. ........................... 57,700 2,758,781
Cendant Corp. + .......................... 67,100 1,782,344
Darden Restaurants, Inc. ................. 12,500 226,563
H&R Block, Inc. .......................... 12,300 538,125
Harrah's Entertainment, Inc. + ........... 15,000 396,563
Marriott International, Inc. ............. 23,000 725,937
McDonald's Corp. ......................... 128,300 5,172,094
Mirage Resorts, Inc. + ................... 17,500 267,969
Tricon Global Restaurants, Inc. + ........ 23,940 924,682
Wendy's International, Inc. .............. 13,400 276,375
------------
13,069,433
------------
CONSUMER SPECIALTIES (0.1%)
Brunswick Corp. .......................... 11,900 264,775
Hasbro, Inc. ............................. 18,200 346,937
Jostens, Inc. ............................ 3,100 75,369
Mattel, Inc. ............................. 19,800 259,875
------------
946,956
------------
DATA AND IMAGING SERVICES (16.3%)
Adobe Systems, Inc. ...................... 18,800 1,264,300
America Online, Inc. + ................... 350,200 26,418,212
Autodesk, Inc. ........................... 5,700 192,375
Automatic Data Processing, Inc. .......... 58,500 3,151,687
BMC Software, Inc. + ..................... 23,500 1,878,531
Ceridian Corp. + ......................... 6,400 138,000
Cisco Systems, Inc. + .................... 409,000 43,814,125
Citrix Systems, Inc. + ................... 8,100 996,300
Computer Associates International, Inc ... 51,700 3,615,769
Computer Sciences Corp. + ................ 12,800 1,211,200
Compuware Corp. + ........................ 17,000 633,250
Eastman Kodak Co. ........................ 29,600 1,961,000
Electronic Data Systems Corp. ............ 54,400 3,641,400
EMC Corp. + .............................. 96,700 10,564,475
First Data Corp. ......................... 55,500 2,736,844
Microsoft Corp. + ........................ 484,800 56,600,400
Network Appliance, Inc. + ................ 14,800 1,229,325
Novell, Inc. + ........................... 33,400 1,333,913
Oracle Corp. + ........................... 130,100 14,579,331
Parametric Technology Co. + .............. 25,300 684,681
Polaroid Corp. ........................... 4,200 79,013
Seagate Technology, Inc. + ............... 27,700 1,289,781
Yahoo! Inc. + ............................ 25,200 10,903,725
------------
188,917,637
------------
DISCRETIONARY RETAIL (7.1%)
AutoZone, Inc. + ......................... 13,100 423,294
Bed Bath & Beyond, Inc. + ................ 17,400 604,650
Best Buy Co., Inc. + ..................... 31,800 1,595,962
Circuit City Stores, Inc. ................ 31,600 1,423,975
Consolidated Stores Corp. + .............. 9,700 157,625
Costco Wholesale Corp. + ................. 26,200 2,390,750
Dayton Hudson Co. ........................ 67,400 4,949,687
Dollar General Corp. ..................... 24,837 565,042
Federated Department Stores, Inc. + ...... 32,900 1,663,506
Gap, Inc. ................................ 132,750 6,106,500
Home Depot, Inc. ......................... 285,600 19,581,450
Kmart Corp. + ............................ 49,400 497,088
Kohl's Corp. + ........................... 24,400 1,761,375
Limited, Inc. ............................ 33,300 1,442,306
Lowe's Co., Inc. ......................... 53,700 3,208,575
May Department Stores Co. ................ 44,000 1,419,000
Nordstrom, Inc. .......................... 10,800 282,825
Office Depot, Inc. + ..................... 29,200 319,375
Sears, Roebuck & Co. ..................... 46,900 1,427,519
Staples, Inc. + .......................... 46,950 974,213
Tandy Corp. .............................. 29,600 1,455,950
The Pep Boys - Manny, Moe & Jack ......... 4,600 41,975
TJX Companies, Inc. ...................... 40,900 835,894
Toys "R" Us, Inc. + ...................... 38,000 543,875
Wal-Mart Stores, Inc. .................... 420,500 29,067,062
------------
82,739,473
------------
DIVERSIFIED FINANCIAL SERVICES (2.8%)
American Express Co. ..................... 42,000 6,982,500
Citigroup Inc. ........................... 423,050 23,505,715
See Notes to Portfolio of Investments. 13
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS LARGE CAP (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
Providian Financial Corp. ................ 19,900 $ 1,812,144
-----------
32,300,359
-----------
DRUGS (4.9%)
Allergan, Inc. ........................... 16,600 825,850
American Home Products Corp. ............. 61,400 2,421,463
Baxter International, Inc. ............... 27,500 1,727,344
Bristol-Myers Squibb Co. ................. 190,700 12,240,556
Johnson & Johnson ........................ 133,400 12,422,875
Merck & Co., Inc. ........................ 109,900 7,370,169
Pfizer, Inc. ............................. 363,800 11,800,762
Pharmacia & Upjohn, Inc. ................. 50,300 2,263,500
Schering Plough .......................... 69,000 2,910,937
Warner Lambert Co. ....................... 40,400 3,310,275
57,293,731
-----------
ELECTRIC UTILITIES (1.6%)
AES Corp. + .............................. 19,700 1,472,575
Ameren Corp. ............................. 11,800 386,450
American Electric Power Co. .............. 17,900 575,038
Carolina Power & Light Co. ............... 7,600 231,325
Central & South West Corp. ............... 15,100 302,000
Cinergy Corp. ............................ 15,500 373,938
CMS Energy Corp. ......................... 10,900 339,944
Consolidated Edison, Inc. ................ 16,800 579,600
Constellation Energy Group ............... 22,400 649,600
Dominion Resources, Inc. ................. 17,900 702,575
DTE Energy Co. ........................... 13,800 432,975
Duke Energy Corp. ........................ 35,771 1,793,021
Edison International Inc. ................ 28,300 741,106
Entergy Corp. ............................ 22,900 589,675
FirstEnergy Corp. ........................ 22,100 501,394
Florida Progress Corp. ................... 9,300 393,506
FPL Group, Inc. .......................... 17,000 727,812
GPU, Inc. ................................ 15,700 470,019
Niagara Mohawk Holdings Inc. + ........... 8,800 122,650
Peco Energy Co. .......................... 23,900 830,525
PG&E Corp. ............................... 35,600 729,800
Pinnacle West Capital Corp. .............. 7,500 229,219
PP&L Resources, Inc. ..................... 20,700 473,513
Public Service Enterprise Group, Inc. .... 28,400 988,675
Reliant Energy Inc. ...................... 28,100 642,787
Southern Co. ............................. 63,800 1,499,300
Texas Utilities Co. ...................... 25,967 923,451
Unicom Corp. ............................. 19,100 639,850
-----------
18,342,323
-----------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.4%)
Lexmark International Group, Inc. + ...... 16,700 1,511,350
PE Corp-PE Biosystems Group .............. 6,600 794,063
Pitney Bowes, Inc. ....................... 20,600 995,237
Rockwell International Corp. ............. 20,700 991,012
Tektronix, Inc. .......................... 4,100 159,388
-----------
4,451,050
----------
ELECTRONIC MEDIA (1.6%)
CBS Corp. + .............................. 74,139 4,740,263
Clear Channel Communications, Inc. + ..... 29,700 2,650,725
Comcast Corp. ............................ 68,000 3,438,250
Mediaone Group, Inc. + ................... 58,100 4,462,806
Viacom, Inc. + ........................... 51,500 3,112,531
-----------
18,404,575
-----------
FOOD AND BEVERAGE (2.6%)
Anheuser-Busch Co., Inc. ................. 54,700 3,876,862
Archer-Daniels-Midland Co. ............... 28,600 348,563
Bestfoods ................................ 26,000 1,366,625
Brown-Forman Corp. + ..................... 3,600 206,100
Campbell Soup Co. ........................ 19,800 766,012
Coca-Cola Co. ............................ 117,000 6,815,250
Coca-Cola Enterprises, Inc. .............. 30,300 609,788
Conagra, Inc. ............................ 50,400 1,137,150
Coors (Adolph) Co. ....................... 3,400 178,500
Fortune Brands, Inc. ..................... 16,500 545,531
General Mills, Inc. ...................... 28,500 1,018,875
Heinz (H.J.) Co. ......................... 33,700 1,341,681
Kellogg Co. .............................. 38,400 1,183,200
PepsiCo, Inc. ............................ 136,600 4,815,150
Quaker Oats Co. .......................... 12,400 813,750
Ralston-Ralston Purina Group ............. 30,400 847,400
Sara Lee Corp. ........................... 84,300 1,859,869
Seagram Co. Ltd. ......................... 40,800 1,833,450
Wrigley (Wm.) Jr. Co. + .................. 8,800 729,850
-----------
30,293,606
-----------
FOOD AND DRUG RETAIL (0.6%)
CVS Corp. ................................ 42,400 1,693,350
Great Atlantic & Pacific Tea Co.,
Inc ..................................... 3,400 94,775
Kroger Co. (The) + ....................... 72,900 1,375,987
Longs Drug Stores, Inc. .................. 3,700 95,506
SUPERVALU, Inc. .......................... 10,900 218,000
Sysco Corp. .............................. 31,000 1,226,438
Walgreen Co. ............................. 94,300 2,758,275
-----------
7,462,331
-----------
FOREST PRODUCTS AND BUILDING MATERIALS (1.2%)
Armstrong World Industries, Inc. ......... 2,300 76,765
Ball Corp. ............................... 4,000 157,500
Bemis Co., Inc. .......................... 4,900 170,888
Boise Cascade Corp. ...................... 8,900 360,450
Champion International Corp. ............. 12,300 761,831
Crown Cork & Seal Co., Inc. .............. 11,500 257,313
Fort James Corp. ......................... 20,600 563,925
Georgia-Pacific Corp. .................... 19,300 979,475
International Paper Co. .................. 51,400 2,900,887
Louisiana-Pacific Corp. .................. 10,100 143,925
Masco Corp. .............................. 38,000 964,250
Mead Corp. ............................... 10,100 438,719
14 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
FOREST PRODUCTS AND BUILDING MATERIALS (continued)
Owens Corning ............................ 4,500 $ 86,906
Owens-Illinois, Inc. + ................... 14,500 363,406
Pactiv Corp. + ........................... 15,900 168,938
Potlatch Corp. ........................... 2,500 111,563
Sealed Air Corp. + ....................... 9,800 507,762
Temple-Inland Inc. ....................... 7,000 461,562
Vulcan Materials Co. ..................... 9,400 375,412
Westvaco Corp. ........................... 9,400 306,675
Weyerhaeuser Co. ......................... 36,600 2,628,337
Willamette Industries, Inc. .............. 17,300 803,369
-----------
13,589,858
-----------
GAS UTILITIES (0.7%)
Coastal Corp. (The) ...................... 20,100 712,294
Columbia Energy Group .................... 7,100 449,075
Consolidated Natural Gas Co. ............. 9,000 584,437
Eastern Enterprises ...................... 1,300 74,669
El Paso Energy Corp. ..................... 21,300 826,706
Enron Corp. .............................. 88,800 3,940,500
NICOR, Inc. .............................. 800 26,000
ONEOK, Inc. .............................. 2,900 72,863
People's Energy Corp. .................... 3,300 110,550
Sempra Energy ............................ 22,600 392,675
Williams Co., Inc. (The) ................. 40,600 1,240,837
-----------
8,430,606
-----------
HEALTH SERVICES (0.4%)
Columbia/HCA Healthcare Corp. ............ 49,500 1,450,969
HEALTHSOUTH Corp. + ...................... 36,500 196,188
Humana, Inc. + ........................... 7,900 64,681
IMS Health, Inc. ......................... 29,100 791,156
Shared Medical Systems Corp. ............. 2,300 117,156
Tenet Healthcare Corp. + ................. 24,400 573,400
United Healthcare Corp. .................. 26,400 1,402,500
Wellpoint Health Networks, Inc. + ........ 5,200 342,875
-----------
4,938,925
----------
HEAVY MACHINERY (0.2%)
Cummins Engine Co., Inc. ................. 5,500 265,719
Deere & Co. .............................. 22,100 958,587
NACCO Industries, Inc. ................... 600 33,338
Navistar International Corp. + ........... 10,000 473,750
PACCAR, Inc. ............................. 10,100 447,556
-----------
2,178,950
-----------
HOUSING AND FURNISHINGS (0.2%)
Centex Corp. ............................. 3,900 96,281
Fleetwood Enterprises, Inc. .............. 2,900 59,813
Leggett & Platt, Inc. .................... 18,600 398,737
Maytag Corp. ............................. 7,700 369,600
Newell Rubbermaid Inc. ................... 26,500 768,500
Pulte Corp. .............................. 2,700 60,750
Tupperware Corp. ......................... 5,100 86,381
Whirlpool Corp. .......................... 8,300 540,019
-----------
2,380,081
-----------
INDUSTRIAL SERVICES (0.1%)
Fluor Corp. .............................. 7,200 330,300
USA Waste Management, Inc. ............... 45,800 787,188
-----------
1,117,488
-----------
INSURANCE (2.8%)
AFLAC, Inc. .............................. 39,100 1,845,031
Allstate Corp. (The) ..................... 37,800 907,200
American General Corp. ................... 27,321 2,072,981
American International Group, Inc. ....... 146,200 15,807,875
Aon Corp. ................................ 19,775 791,000
CIGNA Corp. .............................. 26,700 2,151,019
Cincinnati Financial Corp. ............... 14,100 439,744
Hartford Financial Services Group, Inc ... 21,600 1,023,300
Jefferson-Pilot Corp. .................... 10,950 747,337
Lincoln National Corp. ................... 19,800 792,000
Marsh & McLennan Co., Inc. ............... 26,150 2,502,228
MBIA, Inc. ............................... 9,400 496,438
MGIC Investment Corp. .................... 14,400 866,700
Progressive Corp. ........................ 5,700 416,813
St. Paul Co., Inc. ....................... 19,602 660,342
Torchmark Corp. .......................... 12,300 357,469
UnumProvident Corp. ...................... 22,807 731,249
-----------
32,608,726
-----------
INVESTMENT SERVICES (1.9%)
Bear Stearns Co., Inc. (The) ............. 14,100 602,775
Charles Schwab Corp. ..................... 127,000 4,873,625
Franklin Resources, Inc. ................. 23,900 766,294
Lehman Brothers Holdings Inc. ............ 18,600 1,575,188
Merrill Lynch & Co., Inc. ................ 34,500 2,880,750
Morgan Stanley Dean Witter & Co. ......... 69,000 9,849,750
Paine Webber Group Inc. .................. 17,200 667,575
T. Rowe Price & Associates ............... 10,700 395,231
-----------
21,611,188
-----------
MAJOR TELECOMMUNICATIONS (7.1%)
ALLTEL Corp. ............................. 31,600 2,612,925
AT&T Corp. ............................... 307,000 15,580,250
Bell Atlantic Corp. ...................... 147,100 9,055,844
BellSouth Corp. .......................... 178,300 8,346,669
CenturyTel, Inc. ......................... 13,950 660,881
GTE Corp. ................................ 91,900 6,484,694
MCI Worldcom, Inc. + ..................... 268,950 14,271,159
Nextel Communications, Inc. + ............ 32,400 3,341,250
SBC Communications, Inc. ................. 161,600 7,878,000
Sprint Corp. ............................. 75,000 5,048,437
Sprint PCS + ............................. 53,350 5,468,375
U.S. WEST, Inc. .......................... 47,500 3,420,000
-----------
82,168,484
-----------
MISCELLANEOUS METALS (0.2%)
Barrick Gold Corp. ....................... 37,500 663,282
See Notes to Portfolio of Investments. 15
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS LARGE CAP (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
MISCELLANEOUS METALS (CONTINUED)
Freeport-McMoRan Copper & Gold, Inc. + ... 13,000 $ 274,625
Homestake Mining Co. ..................... 20,100 157,031
Inco Ltd. + .............................. 28,100 660,350
Newmont Mining Corp. ..................... 15,500 379,750
Phelps Dodge Corp. ....................... 4,200 281,925
------------
2,416,963
------------
OIL (6.0%)
Amerada Hess Corp. ....................... 13,000 737,750
Anadarko Petroleum Corp. ................. 9,600 327,600
Apache Corp. ............................. 17,800 657,488
Ashland Oil, Inc. ........................ 6,700 220,681
Atlantic Richfield Co. ................... 50,300 4,350,950
Burlington Resources, Inc. ............... 19,500 644,719
Chevron Corp. ............................ 62,200 5,388,075
Conoco Inc. .............................. 41,000 1,019,875
Exxon Mobil Corp. ........................ 433,800 34,948,010
Kerr-McGee Corp. ......................... 13,500 837,000
Occidental Petroleum Corp. ............... 57,000 1,232,625
Phillips Petroleum Co. ................... 36,400 1,710,800
Royal Dutch Petroleum Co. ................ 210,400 12,716,050
Texaco, Inc. ............................. 53,000 2,878,562
Union Pacific Resources Group Inc. ....... 23,700 302,175
Unocal Corp. ............................. 30,100 1,010,231
USX-Marathon Group ....................... 38,300 945,531
------------
69,928,122
------------
OIL SERVICES (0.6%)
Baker Hughes, Inc. ....................... 30,900 650,831
Halliburton Co. .......................... 42,300 1,702,575
McDermott International, Inc., ADR ....... 5,500 49,844
Schlumberger, Ltd. ....................... 53,900 3,031,875
Tosco Corp. .............................. 23,800 647,062
Transocean Sedco Forex Inc. .............. 10,457 352,257
------------
6,434,444
------------
OTHER TELECOMMUNICATIONS (0.3%)
Global Crossing Holdings Ltd. + .......... 75,300 3,765,000
------------
PRINT MEDIA (0.6%)
Dow Jones & Co., Inc. .................... 6,400 435,200
Dun & Bradstreet Corp. ................... 15,200 448,400
Gannett Co., Inc. ........................ 25,400 2,071,687
Harcourt General, Inc. ................... 4,500 181,125
Knight-Ridder, Inc. ...................... 5,200 309,400
McGraw-Hill Co., Inc. .................... 18,600 1,146,225
Meredith Corp. ........................... 3,600 150,075
New York Times Co. ....................... 16,100 790,913
Times Mirror Co. ......................... 3,900 261,300
Tribune Co. .............................. 29,400 1,618,838
------------
7,413,163
------------
PRODUCER GOODS (2.8%)
Avery Dennison Corp. ..................... 14,100 1,027,537
Cooper Industries, Inc. .................. 8,900 359,894
Corning, Inc. ............................ 23,000 2,965,562
Danaher Corp. ............................ 19,900 960,175
Dover Corp. .............................. 18,300 830,363
Ecolab, Inc. ............................. 12,300 481,238
Emerson Electric Co. ..................... 41,600 2,386,800
FMC Corp. + .............................. 2,800 160,475
Grainger (W.W.), Inc. .................... 8,800 420,750
Honeywell International Inc. ............. 82,600 4,764,987
Ikon Office Solutions, Inc. .............. 16,400 111,725
Illinois Tool Works, Inc. ................ 29,100 1,966,069
Ingersoll-Rand Co. ....................... 20,600 1,134,287
ITT Industries, Inc. ..................... 8,200 274,188
Milacron, Inc. ........................... 3,200 49,200
Millipore Corp. .......................... 4,000 154,500
Minnesota Mining and Manufacturing Co .... 38,500 3,768,187
Pall Corp. ............................... 15,700 338,531
Parker-Hannifin Corp. .................... 13,900 713,244
PPG Industries, Inc. ..................... 16,400 1,026,025
Sherwin-Williams Co. ..................... 15,700 329,700
Thermo Electron Corp. + .................. 14,900 223,500
Thomas & Betts Corp. ..................... 5,000 159,375
Timken Co. ............................... 5,400 110,363
Tyco International Ltd. .................. 211,700 8,229,837
------------
32,946,512
------------
SEMICONDUCTORS AND ELECTRONICS (11.1%)
Adaptec, Inc. + .......................... 13,600 678,300
ADC Telecommunications, Inc. + ........... 22,400 1,625,400
Advanced Micro Devices Corp. + ........... 12,900 373,294
Analog Devices, Inc. + ................... 23,000 2,139,000
Andrew Corp. + ........................... 7,800 147,713
Applied Materials, Inc. + ................ 54,400 6,891,800
Comverse Technology, Inc. + .............. 11,800 1,708,050
General Instrument Corp. + ............... 24,900 2,116,500
Intel Corp. .............................. 158,800 13,071,225
KLA Instruments Corp. + .................. 12,000 1,336,500
LSI Logic Corp. + ........................ 23,300 1,572,750
Lucent Technologies, Inc. ................ 297,600 22,264,200
Micron Technology, Inc. + ................ 33,100 2,573,525
Motorola, Inc. ........................... 94,400 13,900,400
National Semiconductor Corp. + ........... 26,600 1,138,812
Nortel Networks Corp. .................... 166,220 16,788,220
QUALCOMM Inc. + .......................... 92,000 16,203,500
Scientific-Atlanta, Inc. ................. 12,200 678,625
Solectron Corp. + ........................ 45,400 4,318,675
Tellabs, Inc. + .......................... 62,600 4,018,137
Teradyne, Inc. + ......................... 26,800 1,768,800
Texas Instruments, Inc. .................. 121,800 11,799,375
Xilinx, Inc. + ........................... 49,400 2,246,156
------------
129,358,957
------------
SPECIALTY CHEMICALS (0.2%)
Air Products and Chemicals, Inc. ......... 21,600 724,950
Engelhard Corp. .......................... 11,800 222,725
16 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
SPECIALTY CHEMICALS (CONTINUED)
Grace (W.R.) & Co. + ............................ 7,800 $ 108,225
Great Lakes Chemical Corp. ...................... 5,400 206,213
Praxair, Inc. ................................... 19,800 996,187
Sigma-Aldrich Corp. ............................. 4,400 132,275
-------------
2,390,575
-------------
STEEL (0.1%)
Nucor Corp. ..................................... 7,900 433,019
USX-US Steel Group, Inc. ........................ 11,000 363,000
Worthington Industries .......................... 7,800 129,187
-------------
925,206
-------------
SURFACE TRANSPORT (0.5%)
Burlington Northern Santa Fe Corp. .............. 55,700 1,350,725
CSX Corp. ....................................... 20,500 643,188
Kansas City Southern Industries, Inc. ........... 17,100 1,276,087
Norfolk Southern Corp. .......................... 31,000 635,500
Union Pacific Corp. ............................. 29,200 1,273,850
-------------
5,179,350
-------------
TEXTILES AND APPAREL (0.2%)
Liz Claiborne, Inc. ............................. 2,600 97,825
Nike, Inc. ...................................... 26,900 1,333,231
Russell Corporation ............................. 3,100 51,925
Springs Industries, Inc. ........................ 900 35,944
VF Corp. ........................................ 10,400 312,000
-------------
1,830,925
-------------
TOBACCO (0.3%)
Nabisco Group Holdings Corp. .................... 28,300 300,687
Philip Morris Co., Inc. ......................... 111,200 2,578,450
UST, Inc. ....................................... 16,100 405,519
-------------
3,284,656
-------------
TOTAL COMMON STOCKS (COST $981,165,330) ......... 1,154,872,303
-------------
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS (1.4%)
Federal Home Loan Bank,1.50%,01/03/00 ........... 10,002,000 10,002,000
Federal Home Loan Bank,5.20%,01/26/00 ........... 5,004,000 4,987,375
U.S. Treasury Bill,4.86%,02/17/00 @ . ........... 1,700,000 1,689,673
--------------
TOTAL SHORT-TERM INVESTMENTS (COST $16,679,048) 16,679,048
--------------
TOTAL INVESTMENTS (COST $997,844,378)(A) 1,171,551,351
OTHER ASSETS LESS LIABILITIES (9,079,086)
--------------
TOTAL NET ASSETS $1,162,472,265
==============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$1,007,037,708. Unrealized gains and losses, based on identified tax cost at
December 31, 1999, are as follows:
Unrealized gains .................................. $ 201,145,661
Unrealized losses ................................. (36,632,018)
-------------
Net unrealized gain .............................. $ 164,513,643
=============
Information concerning open futures contracts at December 31, 1999 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
--------- -------- ---------- -----------
LONG CONTRACTS
--------------
S&P 500 Index Futures .... 15 $5,565,750 Mar 00 $ 59,071
========== =========
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at December 31, 1999
Category percentage are based on net assets.
See Notes to Financial Statements. 17
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS MID CAP
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
COMMON STOCKS (97.8%)
AIR TRANSPORT (0.3%)
Alaska Air Group, Inc. ++ ................ 600 $ 21,075
CNF Transportation, Inc. ................. 900 31,050
----------
52,125
----------
AUTO PARTS AND HARDWARE (0.2%)
Bandag, Inc. ............................. 600 15,000
Carlisle Co., Inc. ....................... 700 25,200
----------
40,200
----------
AUTOMOTIVE (2.1%)
Arvin Industries, Inc. ................... 800 22,700
Borg-Warner Automotive, Inc. ............. 500 20,250
Federal-Mogul Corp. ...................... 1,300 26,162
Harley-Davidson, Inc. .................... 2,800 179,375
Lear Corp. + ............................. 2,300 73,600
Meritor Automotive, Inc. ................. 2,400 46,500
Modine Manufacturing Co. ................. 900 22,500
Superior Industries International, Inc. .. 600 16,088
----------
407,175
----------
BANKS AND THRIFTS (5.6%)
Associated Banc-Corp ..................... 1,200 41,100
Astoria Financial Corp. .................. 1,400 42,612
CCB Financial Corp. ...................... 500 21,781
Charter One Financial, Inc. .............. 1,537 29,395
City National Corp. ...................... 1,200 39,525
Compass Bancshares Inc. .................. 1,800 40,163
Dime Bancorp, Inc. ....................... 2,100 31,763
First Security Corp. ..................... 3,650 93,189
First Virginia Banks, Inc. ............... 900 38,700
FirstMerit Corp. ......................... 1,500 34,500
GreenPoint Financial Corp. ............... 2,000 47,625
Hibernia Corp. ........................... 2,400 25,500
Keystone Financial, Inc. ................. 500 10,531
Marshall & Ilsley Corp. .................. 2,700 169,594
Mercantile Bankshares Corp. .............. 2,200 70,262
National Commerce Bancorporation ......... 1,800 40,837
North Fork Bancorp, Inc. ................. 2,100 36,750
Pacific Century Financial Corp. .......... 600 11,213
Provident Financial Group, Inc. .......... 1,000 35,875
Sovereign Bancorp, Inc. .................. 5,500 40,992
TCF Financial Corp. ...................... 1,600 39,800
Webster Financial Corp. .................. 700 16,494
WestAmerica Bancorp ...................... 500 13,969
Wilmington Trust Corp. ................... 300 14,475
Zions Bancorporation ..................... 1,500 88,781
----------
1,075,426
----------
BIOTECH AND MEDICAL PRODUCTS (7.1%)
Acuson Corp. + ........................... 500 6,281
Biogen, Inc. + ........................... 5,000 422,500
Chiron Corp. + ........................... 1,400 59,325
DENTSPLY International, Inc. ............. 1,000 23,625
Genzyme Corp. + .......................... 1,600 72,000
Gilead Sciences, Inc. + .................. 700 37,888
Hillenbrand Industries, Inc. ............. 700 22,181
IVAX Corp. + ............................. 2,200 56,650
MedImmune, Inc. + ........................ 1,500 248,812
Millennium Pharmaceuticals, Inc. + ....... 600 73,200
MiniMed Inc. + ........................... 600 43,950
Mylan Laboratories, Inc. ................. 900 22,669
Stryker Corp. ............................ 1,700 118,363
Sybron International Corp. + ............. 1,600 39,500
VISX, Inc. + ............................. 2,200 113,850
----------
1,360,794
----------
COMMERCIAL SERVICES (3.5%)
ACNielsen Corp. + ........................ 1,100 27,087
Banta Corp. .............................. 300 6,769
CheckFree Holdings Corporation + ......... 1,000 104,500
Cintas Corp. ............................. 900 47,812
Concord EFS, Inc. + ...................... 3,650 93,987
Convergys Corp. + ........................ 2,800 86,100
Gartner Group, Inc. + .................... 1,600 22,100
Herman Miller, Inc. ...................... 1,500 34,500
Kelly Services, Inc. ..................... 600 15,075
Manpower, Inc. ........................... 2,000 75,250
Navigant Consulting, Inc. + .............. 700 7,613
NCO Group, Inc. + ........................ 600 18,075
Ogden Corp. .............................. 800 9,550
Olsten Corp. ............................. 2,100 23,756
Robert Half International, Inc. + ........ 700 19,994
Standard Register Co. .................... 500 9,688
Sylvan Learning Systems, Inc. + .......... 400 5,200
Viad Corp. ............................... 1,800 50,175
Wallace Computer Services, Inc. .......... 1,100 18,288
----------
675,519
----------
COMPUTERS (0.3%)
NCR Corp. + .............................. 1,800 68,175
----------
CONGLOMERATE AND AEROSPACE (0.7%)
Cordant Technologies, Inc. ............... 1,200 39,600
Lancaster Colony Corp. ................... 800 26,500
Litton Industries, Inc. + ................ 800 39,900
Newport News Shipbuilding, Inc. .......... 700 19,250
Pittston Brink's Group ................... 400 8,800
Sequa Corp. + ............................ 200 10,788
----------
144,838
----------
CONSUMER FINANCE (0.9%)
Comdisco, Inc. ........................... 2,800 104,300
Finova Group, Inc. (The) ................. 900 31,950
GATX Corp. ............................... 900 30,375
----------
166,625
----------
CONSUMER PRODUCTS (0.5%)
Blyth Industries, Inc. + ................. 600 14,738
Church & Dwight Co., Inc. ................ 1,000 26,687
18 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
CONSUMER PRODUCTS (CONTINUED)
Dial Corp. ............................... 2,000 $ 48,625
----------
90,050
----------
CONSUMER SERVICES (3.0%)
Apollo Group, Inc. + ..................... 1,300 26,081
Bob Evans Farms, Inc. .................... 600 9,263
Brinker International, Inc. + ............ 2,200 52,800
Buffets, Inc. + .......................... 500 5,000
Devry, Inc. + ............................ 500 9,312
Electronic Arts, Inc. + .................. 1,300 109,200
Lone Star Steakhouse & Saloon, Inc. + .... 800 7,143
Mandaley Resort Group + .................. 2,900 58,362
Outback Steakhouse, Inc. + ............... 1,200 31,125
Papa John's International, Inc. + ........ 700 18,244
Park Place Entertainment Corp. + ......... 10,000 125,000
Rollins, Inc. ............................ 500 7,500
Sotheby's Holdings, Inc. ................. 1,100 33,000
Starbucks Corp. + ........................ 3,400 82,450
Stewart Enterprises, Inc. ................ 800 3,800
----------
578,280
----------
CONSUMER SPECIALTIES (0.4%)
Callaway Golf Co. ........................ 2,000 35,375
International Game Technology ............ 900 18,281
Premier Parks Inc. + ..................... 600 17,325
----------
70,981
----------
DATA AND IMAGING SERVICES (16.9%)
Acxiom Corp. + ........................... 1,600 38,400
Affiliated Computer Services, Inc. + ..... 900 41,400
DST Systems, Inc. + ...................... 1,200 91,575
Fiserv, Inc. + ........................... 2,300 88,119
GTECH Holdings Corp. + ................... 600 13,200
Informix Corp. + ......................... 3,500 39,813
Intuit Inc. + ............................ 4,800 287,700
Legato Systems, Inc. + ................... 2,800 192,675
Mentor Graphics Corp. + .................. 1,200 15,825
QLogic Corp. + ........................... 1,200 191,850
Quantum Corp. ............................ 3,000 45,375
Rational Software Corp. + ................ 2,200 108,075
Reynolds And Reynolds Co. (The) .......... 1,700 38,250
Siebel Systems, Inc. + ................... 6,400 537,600
Sterling Commerce, Inc. + ................ 1,600 54,500
Sterling Software, Inc. + ................ 1,600 50,400
Sykes Enterprises, Inc. + ................ 1,400 61,425
Symantec Corp. + ......................... 1,100 64,487
Symbol Technologies, Inc. ................ 1,475 93,755
Transaction Systems Architects, Inc. + ... 400 11,200
VERITAS Software Corp. + ................. 8,250 1,180,781
----------
3,246,405
----------
DISCRETIONARY RETAIL (5.0%)
Abercrombie & Fitch Co. + ................ 3,500 93,406
American Eagle Outfitters, Inc. + ........ 1,600 72,000
Barnes & Noble, Inc. + ................... 800 16,500
BJ's Wholesale Club, Inc. + .............. 2,000 73,000
Borders Group, Inc. + .................... 1,400 22,488
CDW Computer Centers, Inc. + ............. 800 62,900
Claire's Stores, Inc. .................... 1,600 35,800
Dollar Tree Stores, Inc. + ............... 1,100 53,281
Family Dollar Stores, Inc. ............... 3,200 52,200
Fastenal Co. ............................. 400 17,975
Land's End, Inc. + ....................... 700 24,325
Micro Warehouse, Inc. + .................. 600 11,100
Neiman Marcus Group, Inc. (The) + ........ 1,300 36,319
Officemax, Inc. + ........................ 1,400 7,700
Payless ShoeSource, Inc. + ............... 600 28,200
Ross Stores, Inc. ........................ 3,000 53,812
Saks Inc. + .............................. 2,600 40,463
Tiffany & Co. ............................ 2,400 214,200
Williams-Sonoma, Inc. + .................. 1,000 46,000
----------
961,669
----------
DRUGS (0.4%)
Carter-Wallace, Inc. ..................... 800 14,350
ICN Pharmaceuticals, Inc. ................ 2,000 50,625
Perrigo Co. + ............................ 1,400 11,200
----------
76,175
----------
ELECTRIC UTILITIES (6.0%)
Allegheny Energy, Inc. ................... 2,100 56,569
Alliant Energy Corp. ..................... 1,300 35,750
American Water Works Co., Inc. ........... 1,400 29,750
Black Hills Corp. ........................ 400 8,875
Calpine Corp. + .......................... 2,100 134,400
Cleco Corp. .............................. 500 16,031
CMP Group Inc. ........................... 400 11,025
Conectiv, Inc. ........................... 2,425 40,770
DPL Inc. ................................. 2,900 50,206
DQE, Inc. ................................ 600 20,775
Energy East Corp. ........................ 2,100 43,706
Hawaiian Electric Industries, Inc. ....... 700 20,213
Idacorp Inc. ............................. 600 16,088
Illinova Corp. ........................... 1,400 48,650
IPALCO Enterprises, Inc. ................ 1,100 18,769
Kansas City Power & Light Co. ............ 1,000 22,063
LG&E Energy Corp. ........................ 2,400 41,850
MidAmerican Energy Holdings Corp. + ...... 1,200 40,425
Minnesota Power, Inc. .................... 1,600 27,100
Montana Power Co. ........................ 2,100 75,731
New England Electric System .............. 1,100 56,925
NiSource Inc. ............................ 900 16,088
Northeast Utilities Corp. + .............. 2,200 45,237
NSTAR .................................... 1,100 44,550
OGE Energy Corp. ......................... 1,300 24,700
Potomac Electric Power Co. ............... 2,200 50,462
Public Service Co. of New Mexico ......... 700 11,375
See Notes to Portfolio of Investments. 19
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS MID CAP (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
ELECTRIC UTILITIES (CONTINUED)
Puget Sound Energy, Inc. ................. 1,600 $ 31,000
Sierra Pacific Resources Corp. ........... 1,600 27,700
Teco Energy, Inc. ........................ 900 16,706
UtiliCorp United Inc. .................... 1,600 31,100
Wisconsin Energy Corp. ................... 1,900 36,575
----------
1,151,164
----------
ELECTRICAL MACHINERY AND INSTRUMENTS (1.9%)
Beckman Coulter Inc. ..................... 500 25,437
Diebold, Inc. ............................ 1,300 30,550
Harris Corp. ............................. 600 16,013
Hon Industries, Inc. ..................... 1,300 28,519
Polycom, Inc. + .......................... 600 38,212
SCI Systems, Inc. + ...................... 1,500 123,281
Sensormatic Electronics Corp. + .......... 2,400 41,850
Waters Corp. + ........................... 1,100 58,300
----------
362,162
----------
ELECTRONIC MEDIA (3.1%)
Chris-Craft Industries, Inc. + ........... 600 43,275
Hispanic Broadcasting Corp. + ............ 1,000 92,219
International Speedway Corp. ............. 1,400 70,525
Univision Communications, Inc. + ......... 3,100 316,781
Westwood One, Inc. + ..................... 1,000 76,000
----------
598,800
----------
FOOD AND BEVERAGE (1.8%)
Dean Foods Co. ........................... 800 31,800
Dole Food Co., Inc. ...................... 1,000 16,250
Dreyer's Grand Ice Cream, Inc. ........... 400 6,800
Hormel Foods Corp. ....................... 1,400 56,875
IBP, Inc. ................................ 1,800 32,400
Lance, Inc. .............................. 400 4,000
McCormick & Co., Inc. .................... 1,300 38,675
Suiza Foods Corp. + ...................... 600 23,775
The J.M. Smucker Co. ..................... 300 5,850
Tyson Foods, Inc. ........................ 4,300 69,875
U.S. Foodservice + ....................... 2,000 33,500
Universal Foods Corp. .................... 900 18,338
Whitman Corp. ............................ 1,100 14,781
----------
352,919
----------
FOOD AND DRUG RETAIL (0.3%)
Hannaford Bros. Co. ...................... 800 55,450
Ruddick Corp. ............................ 800 12,400
----------
67,850
----------
FOREST PRODUCTS AND BUILDING MATERIALS (2.4%)
American Standard Companies, Inc. + ...... 1,900 87,162
Chesapeake Corp. ......................... 300 9,150
Consolidated Papers, Inc. ................ 1,600 50,900
Georgia-Pacific Corp. .................... 2,700 66,488
Glatfelter (P.H.) Co. .................... 800 11,650
Longview Fibre Company ................... 1,400 19,950
Martin Marietta Materials, Inc. .......... 900 36,900
Rayoner, Inc. ............................ 500 24,156
Sonoco Products Co. ...................... 1,880 42,770
Southdown, Inc. .......................... 700 36,138
USG Corp. ................................ 1,700 80,112
Wausau-Mosinee Paper Corp. ............... 600 7,013
----------
472,389
----------
GAS UTILITIES (1.1%)
AGL Resources, Inc. ...................... 400 6,800
Indiana Energy, Inc. ..................... 400 7,100
KeySpan Energy Corp. ..................... 2,600 60,287
MCN Energy Group, Inc. ................... 1,600 38,000
National Fuel Gas Co. .................... 1,000 46,500
Questar Corp. ............................ 1,500 22,500
Washington Gas Light Co. ................. 800 22,000
----------
203,187
----------
HEALTH SERVICES (1.6%)
Apria Healthcare Group, Inc. + ........... 1,800 32,288
Beverly Enterprises, Inc. + .............. 800 3,500
First Health Group Corp. + ............... 900 24,188
Foundation Health Systems, Inc. + ........ 4,000 39,750
Lincare Holdings Inc. + .................. 1,000 34,687
Omnicare, Inc. ........................... 700 8,400
Oxford Health Plans, Inc. + .............. 2,600 32,987
PacifiCare Health Systems, Inc. + ........ 1,600 84,800
Trigon Healthcare, Inc. + ................ 1,400 41,300
----------
301,900
----------
HEAVY MACHINERY (0.0%)
AGCO Corp. ............................... 500 6,719
Stewart & Stevenson Services, Inc. ....... 300 3,553
----------
10,272
----------
HOUSING AND FURNISHINGS (0.6%)
Clayton Homes, Inc. ...................... 2,150 19,753
Furniture Brands International, Inc. + .. 1,300 28,600
Mohawk Industries, Inc. + ................ 1,500 39,563
Shaw Industries, Inc. + .................. 2,300 35,506
----------
123,422
----------
INDUSTRIAL SERVICES (0.1%)
Granite Construction, Inc. ............... 500 9,219
Jacobs Engineering Group, Inc. + ......... 600 19,500
----------
28,719
----------
INSURANCE (2.4%)
Allmerica Financial Corp. ................ 1,400 77,875
AMBAC, Inc. .............................. 2,400 125,250
American Financial Group, Inc. ........... 1,100 29,012
Everest Reinsurance Holdings, Inc. ....... 1,300 29,006
Horace Mann Educators Corp. .............. 500 9,813
HSB Group, Inc. .......................... 300 10,144
Old Republic International Corp. ......... 900 12,262
PMI Group, Inc. (The) .................... 1,500 73,219
Protective Life Corp. .................... 1,200 38,175
Unitrin, Inc. ............................ 1,400 52,675
----------
457,431
----------
20 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
INVESTMENT SERVICES (1.1%)
E*Trade Group, Inc. + ................... 4,500 $ 117,562
Edwards (A.G.), Inc. ..................... 1,600 51,300
Investment Technology Group, Inc. ........ 300 8,625
Legg Mason, Inc. ......................... 1,100 39,875
----------
217,362
----------
MISCELLANEOUS METALS (0.1%)
Minerals Technologies Inc. ............... 300 12,019
----------
OIL (1.4%)
Devon Energy Corp. ....................... 2,200 72,325
Murphy Oil Corp. ......................... 1,000 57,375
Noble Affiliates, Inc. ................... 1,000 21,437
Ocean Energy, Inc. + ..................... 4,200 32,550
Pennzoil-Quaker State Co. + .............. 646 6,581
Pioneer Natural Resources Company + ...... 1,800 16,088
Santa Fe Snyder Corp. + .................. 3,400 27,200
Ultramar Diamond Shamrock Corp. .......... 1,600 36,300
----------
269,856
----------
OIL SERVICES (3.7%)
BJ Services Co. + ........................ 2,400 100,350
Ensco International, Inc. ................ 4,500 102,937
Global Marine Inc. + ..................... 3,300 54,863
Nabors Industries, Inc. + ................ 2,300 71,156
Noble Drilling Corp. + ................... 3,500 114,625
Smith International, Inc. + .............. 400 19,875
Tidewater, Inc. .......................... 1,500 54,000
Transocean Sedco Forex Inc. .............. 3,400 114,537
Varco International, Inc. + ............. 1,300 13,244
Weatherford International, Inc. .......... 1,800 71,888
----------
717,475
----------
OTHER TELECOMMUNICATIONS (2.4%)
Broadwing Inc. ........................... 5,500 202,812
COMSAT Corp. ............................. 900 17,888
Telephone & Data Systems, Inc. ........... 1,900 239,400
----------
460,100
----------
PRINT MEDIA (1.9%)
A.H. Belo Corp. .......................... 2,300 43,844
Harte-Hanks, Inc. ........................ 600 13,050
Houghton Mifflin Co. ..................... 400 16,875
Lee Enterprises, Inc. .................... 800 25,550
Media General, Inc. + .................... 500 26,000
Reader's Digest Association, Inc. (The) .. 2,800 81,900
Scholastic Corp. + ....................... 300 18,656
Sungard Data Systems, Inc. + ............. 900 21,375
Washington Post Co. ...................... 200 111,175
----------
358,425
----------
PRODUCER GOODS (3.2%)
Albany International Corp. + ............. 714 11,067
American Power Conversion Corp. + ........ 3,400 89,675
AMETEK, Inc. ............................. 400 7,625
Donaldson Co., Inc. ...................... 1,200 28,875
Federal Signal Corp. ..................... 500 8,031
Ferro Corp. .............................. 400 8,800
Flowserve Corp. .......................... 500 8,500
Fuller (H.B.) Co. ........................ 400 22,375
Hanover Compressor Co. + ................. 500 18,875
Harsco Corp. ............................. 1,000 31,750
Hubbell, Inc. + .......................... 1,200 32,700
Imation Corp. + .......................... 1,100 36,919
Kaydon Corp. ............................. 500 13,406
Kennametal, Inc. ......................... 700 23,538
Mark IV Industries, Inc. ................. 1,200 21,225
Nordson Corp. ............................ 400 19,300
Pentair, Inc. ............................ 800 30,800
Precision Castparts Corp. ................ 200 5,250
RPM, Inc. ................................ 2,000 20,375
SPX Corp. + .............................. 600 48,487
Tecumseh Products Co. .................... 700 33,031
Teleflex, Inc. ........................... 500 15,656
Trinity Industries, Inc. ................. 1,300 36,969
UCAR International, Inc. + ............... 1,000 17,813
York International Corp. ................. 700 19,206
----------
610,248
----------
SEMICONDUCTORS AND ELECTRONICS (12.9%)
ADTRAN, Inc. + ........................... 1,300 66,869
Altera Corp. + ........................... 6,700 332,069
Arrow Electronics, Inc. + ................ 800 20,300
Atmel Corp. + ............................ 5,200 153,725
Avnet, Inc. .............................. 500 30,250
Cirrus Logic, Inc. + ..................... 1,000 13,312
Cypress Semiconductor Corp. + ............ 3,600 116,550
Integrated Device Technology, Inc. + ..... 2,300 66,700
Jabil Circuit, Inc. + .................... 1,700 124,100
Linear Technology Corp. .................. 5,200 372,125
Maxim Integrated Products, Inc. + ........ 9,200 434,125
Microchip Technology, Inc. + ............. 1,300 88,969
Novellus Systems, Inc. + ................. 1,300 159,291
Sanmina Corp. + .......................... 1,900 189,762
Synopsys, Inc. + ......................... 1,300 86,775
Vishay Intertechnology, Inc. + ........... 2,800 88,550
Vitesse Semiconductor Corp. + ............ 2,800 146,825
----------
2,490,297
----------
SPECIALTY CHEMICALS (1.2%)
Airgas, Inc. + ........................... 1,300 12,350
Albemarle Corp. .......................... 800 15,350
Cabot Corp. .............................. 800 16,300
CK Witco Corp. ........................... 2,146 28,703
Cytec Industries Inc. + .................. 1,400 32,375
Dexter Corp. ............................. 200 7,950
Georgia Gulf Corp. ....................... 900 27,394
Hanna (M.A.) Co. ......................... 1,200 13,125
Lubrizol Corp. (The) ..................... 1,400 43,225
Schulman (A.), Inc. ...................... 400 6,525
See Notes to Portfolio of Investments. 21
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS MID CAP (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
SPECIALTY CHEMICALS (continued)
Solutia, Inc. ............................ 1,900 $ 29,331
Wellman, Inc. ............................ 400 7,450
-----------
240,078
-----------
STEEL (0.3%)
AK Steel Holding Corp. ................... 1,900 35,863
Carpenter Technology Corp. ............... 300 8,231
Maxxam, Inc. + ........................... 100 4,288
Ryerson Tull Inc. ........................ 300 5,831
-----------
54,213
-----------
SURFACE TRANSPORT (0.3%)
Alexander & Baldwin, Inc. ................ 800 18,250
Arnold Industries, Inc. .................. 600 8,438
Swift Transportation Co., Inc. + ......... 800 14,100
Wisconsin Central Transportation Co. + ... 1,000 13,437
-----------
54,225
-----------
TEXTILES AND APPAREL (0.8%)
Burlington Industries, Inc. + ............ 500 2,000
Jones Apparel Group, Inc. + .............. 4,100 111,212
Unifi, Inc. + ............................ 500 6,156
Warnaco Group, Inc. (The) ................ 1,000 12,313
Westpoint Stevens, Inc. + ................ 1,000 17,500
-----------
149,181
-----------
TOBACCO (0.3%)
R.J. Reynolds Tobacco Holdings, Inc. ..... 1,900 33,487
Universal Corp. .......................... 700 15,969
-----------
49,456
-----------
TOTAL COMMON STOCKS (COST $17,144,598) ... 18,827,587
-----------
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS (2.4%)
Federal Home Loan Bank,1.50%,01/03/00 .... $462,000 462,000
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $462,000) 462,000
-----------
TOTAL INVESTMENTS (COST $17,606,598)(A) 19,289,587
OTHER ASSETS LESS LIABILITIES (45,481)
-----------
TOTAL NET ASSETS $19,244,106
===========
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$17,906,741. Unrealized gains and losses, based on identified tax cost at
December 31, 1999, are as follows:
Unrealized gains .................................... $ 2,919,160
Unrealized losses ................................... (1,536,314)
-----------
Net unrealized gain ................................ $ 1,382,846
===========
+ Non-income producing security.
Category percentages are based on net assets.
22 See Notes to Financial Statements.
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS SMALL CAP
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
COMMON STOCKS (98.6%)
AIR TRANSPORT (1.8%)
Atlantic Coast Airlines Holdings, Inc. + ......... 600 $ 14,250
Eagle USA Airfreight, Inc. + ..................... 1,600 69,000
Expeditors International of Washington,
Inc. ............................................ 2,100 92,006
Fritz Companies, Inc. + .......................... 1,000 10,500
Midwest Express Holdings, Inc. + ................. 200 6,375
Pittston Burlington Group ........................ 1,000 10,625
SkyWest, Inc. .................................... 600 16,800
------------
219,556
------------
AUTO PARTS AND HARDWARE (0.6%)
Barnes Group, Inc. ............................... 700 11,419
CLARCOR, Inc. .................................... 900 16,200
Standard Motor Products, Inc. .................... 500 8,062
TBC Corp. + ...................................... 900 5,625
Toro Co. ......................................... 500 18,656
WD-40 Co. ........................................ 300 6,638
Wynn's International, Inc. ....................... 450 6,356
------------
72,956
------------
AUTOMOTIVE (1.3%)
Gentex Corp. + ................................... 3,800 105,450
Mascotech Inc. ................................... 1,400 17,763
Monaco Coach Corp. + ............................. 1,000 25,562
Simpson Industries, Inc. ......................... 900 10,125
------------
158,900
------------
BANKS AND THRIFTS (5.0%)
Anchor Bancorp Wisconsin, Inc. ................... 700 10,588
Banknorth Group, Inc. ............................ 600 16,050
Carolina First Corp. ............................. 800 14,600
Chittenden Corp. ................................. 900 26,662
Commerce Bancorp, Inc. ........................... 920 37,202
Commercial Federal Corp. ......................... 800 14,250
Community First Bankshares, Inc. ................. 1,500 23,625
Cullen/Frost Bankers, Inc. ....................... 1,800 46,350
Downey Financial Corp. ........................... 1,230 24,831
First Bancorp .................................... 1,000 20,750
First Midwest Bancorp, Inc. ...................... 1,350 35,775
Hudson United Bancorp ............................ 1,354 34,612
JSB Financial, Inc. .............................. 300 15,563
MAF Bancorp, Inc. ................................ 900 18,844
Premier Bancshares Corp. ......................... 900 12,263
Provident Bankshares Corp. ....................... 525 9,089
Queens County Bancorp, Inc. ...................... 900 24,412
Riggs National Corp. ............................. 600 7,913
Silicon Valley Bancshares + ...................... 700 34,650
Susquehanna Bancshares, Inc. ..................... 1,250 19,844
TrustCo Bank Corp. NY ............................ 1,380 18,285
U.S. Trust Corp. + ............................... 600 48,112
United Bankshares, Inc. .......................... 1,300 31,037
UST Corp. ........................................ 1,300 41,275
Whitney Holdings Corp. ........................... 900 33,356
------------
619,938
------------
BIOTECH AND MEDICAL PRODUCTS (5.0%)
Advanced Tissue Sciences, Inc. + ................. 1,700 4,250
Alpharma, Inc. ................................... 1,100 33,825
Barr Laboratories, Inc. + ........................ 700 21,962
Bio-Technology General Corp. + ................... 1,400 21,350
Biomatrix, Inc. + ................................ 700 13,475
Cephalon, Inc. + ................................. 900 31,106
Cooper Companies, Inc. ........................... 400 12,050
COR Therapeutics, Inc. + ......................... 700 18,813
Cygnus, Inc. + ................................... 800 14,600
Datascope Corp. + ................................ 700 28,000
Diagnostic Products Corp. ........................ 400 9,800
Enzo Biochem, Inc. + ............................. 800 36,050
IDEC Pharmaceuticals Corp. + ..................... 1,200 117,900
IDEXX Laboratories, Inc. + ....................... 1,200 19,350
Invacare Corp. ................................... 1,000 20,063
Liposome Co., Inc. + ............................. 1,500 18,305
Mentor Corp. ..................................... 900 23,231
Noven Pharmaceuticals, Inc. + .................... 500 9,063
Protein Design Labs, Inc. + ...................... 600 42,000
ResMed Inc. + .................................... 500 20,875
Spacelabs Medical, Inc. + ........................ 300 5,569
Summit Technology, Inc. + ........................ 2,400 28,050
Techne Corporation + ............................. 600 33,037
Vertex Pharmaceutical, Inc. + .................... 300 10,500
Vital Signs, Inc. ................................ 400 9,150
Wesley Jessen VisionCare, Inc. + ................. 600 22,725
------------
625,099
------------
COMMERCIAL SERVICES (5.7%)
ABM Industries, Inc. ............................. 400 8,150
ADVO, Inc. + ..................................... 1,000 23,750
Angelica Corp. ................................... 300 2,925
Billing Information Concepts Corp. + ............. 1,200 7,800
Bowne & Co., Inc. ................................ 1,200 16,200
Catalina Marketing Corp. + ....................... 800 92,600
CDI Corp. + ...................................... 300 7,238
Central Parking Corp. ............................ 1,200 22,950
Consolidated Graphics, Inc. + .................... 300 4,481
Copart, Inc. + ................................... 800 34,800
Dendrite International, Inc. + ................... 1,200 40,650
Fair Isaac & Co., Inc. ........................... 400 21,200
G&K Services, Inc. .............................. 400 12,950
Harland (John H.) Co. ............................ 1,000 18,312
Insurance Auto Autions, Inc. + ................... 400 6,300
Interim Services, Inc. + ......................... 3,300 81,675
Labor Ready, Inc. + .............................. 1,800 21,825
Lason, Inc. + .................................... 700 7,700
Maximus, Inc. + .................................. 700 23,756
NFO Worldwide, Inc. + ............................ 800 17,900
See Notes to Portfolio of Investments. 23
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS SMALL CAP (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
COMMERCIAL SERVICES (CONTINUED)
Profit Recovery Group International, Inc. (The) + .. 2,000 $ 53,125
Snyder Communications, Inc. + ...................... 100 1,925
True North Communications, Inc. .................... 1,700 75,969
Valassis Communications, Inc. + .................... 2,350 99,287
Volt Information Sciences, Inc. + .................. 500 11,938
----------
715,406
----------
CONGLOMERATE AND AEROSPACE (1.0%)
AAR Corp. .......................................... 600 10,762
Alliant Techsystems, Inc. + ........................ 400 24,925
Anixter International, Inc. + ...................... 1,200 24,750
BE Aerospace, Inc. + ............................... 1,600 13,500
GenCorp, Inc. ...................................... 1,300 12,837
Kaman Corp. ........................................ 500 6,438
Kroll O' Gara Co. (The) + .......................... 500 8,250
Tenneco Automotive Inc. ............................ 900 8,381
Triarc Co., Inc. + ................................. 500 9,188
Watkins-Johnson Co. ................................ 200 8,000
----------
127,031
----------
CONSUMER FINANCE (0.6%)
Aaron Rents, Inc. .................................. 600 10,650
Americredit Corp. + ................................ 2,300 42,550
Rollins Truck Leasing Corp. ........................ 1,850 22,084
----------
75,284
----------
CONSUMER SERVICES (3.1%)
Anchor Gaming + .................................... 400 17,375
Applebee's International, Inc. ..................... 1,500 44,250
Aztar Corp. + ...................................... 2,500 27,187
CEC Entertainment, Inc. + .......................... 1,650 46,819
Cheesecake Factory, Inc. (The) + ................... 800 28,000
Consolidated Products, Inc. + ...................... 1,100 11,138
Hollywood Park, Inc. + ............................. 1,600 35,900
IHOP Corp. + ....................................... 600 10,013
Jack in the Box Inc. + ............................. 1,200 24,825
Landry's Seafood Restaurants, Inc. + ............... 1,100 9,556
Luby's Cafeterias, Inc. ............................ 600 6,825
Marcus Corp. ....................................... 1,000 13,438
Players International, Inc. + ...................... 1,400 11,506
Pre-Paid Legal Services, Inc. + .................... 500 12,000
Prime Hospitality Corp. + .......................... 1,600 14,100
Ruby Tuesday, Inc. ................................. 1,400 25,462
Ryan's Family Steak Houses, Inc. + ................. 900 7,650
Scotts Co. (The) + ................................. 600 24,150
Sonic Corp. + ...................................... 750 21,375
----------
391,569
----------
CONSUMER SPECIALTIES (1.8%)
Action Performance Co., Inc. + ..................... 500 5,750
Arctic Cat, Inc. ................................... 800 8,000
Coachmen Industries, Inc. .......................... 1,000 15,125
Fossil, Inc. + ..................................... 1,350 31,219
Huffy Corp. ........................................ 300 1,575
Midway Games, Inc. + ............................... 1,600 38,300
Polaris Industries, Inc. ........................... 1,100 39,875
Russ Berrie & Co., Inc. ............................ 700 18,375
Sola International, Inc. + ......................... 700 9,712
Sturm, Ruger & Co., Inc. ........................... 700 6,213
Thor Industries, Inc. .............................. 500 15,219
THQ, Inc. + ........................................ 600 13,912
Winnebago Industries, Inc. ......................... 900 18,056
----------
221,331
----------
DATA AND IMAGING SERVICES (14.1%)
American Management Systems, Inc. + ................ 1,400 43,925
Analysts International Corp. ....................... 800 10,000
Apex Inc. + ........................................ 700 22,575
Aspen Technology, Inc. + ........................... 900 23,794
Auspex Systems, Inc. ............................... 900 9,225
BISYS Group, Inc. (The) + ......................... 900 58,725
Black Box Corp. + .................................. 700 46,900
Clarify, Inc. + .................................... 800 100,800
Concord Communications, Inc. + ..................... 600 26,625
DBT Online, Inc. + ................................. 600 14,625
Digi International, Inc. + ......................... 300 3,131
FileNET Corp. + .................................... 1,000 25,500
Gerber Scientific, Inc. ............................ 800 17,550
Harbinger Corp. + .................................. 1,100 34,994
HNC Software Inc. + ................................ 800 84,600
Hyperion Solutions Corp. + ......................... 400 17,400
Information Resources, Inc. + ...................... 800 7,400
InterVoice, Inc. + ................................. 400 9,300
Kronos, Inc. + ..................................... 450 27,000
Macromedia, Inc. + ................................. 1,700 124,312
Mercury Interactive Corp. + ........................ 2,100 226,669
National Computer Systems, Inc. .................... 1,100 41,387
National Instruments Corp. + ....................... 1,800 68,850
Network Equipment Technology Inc. + ................ 700 8,269
Pinnacle Systems, Inc. + ........................... 800 32,550
Progress Software Corp. + .......................... 750 42,562
Project Software & Development, Inc. + ............ 600 33,300
Proxim, Inc. + ..................................... 600 66,000
QRS Corp. + ........................................ 200 20,863
Remedy Corp. + ..................................... 1,600 75,800
SEI Investments Co. ................................ 600 71,409
Standard Microsystems Corporation + ................ 500 5,406
Verity, Inc. + ..................................... 1,200 51,075
Visio Corp. + ...................................... 1,000 47,500
Whittman-Hart, Inc. + .............................. 3,000 160,875
Xircom, Inc. + ..................................... 900 67,500
Zixit Corp. + ...................................... 900 35,663
----------
1,764,059
----------
DISCRETIONARY RETAIL (6.2%)
99 Cents Only Stores + ............................. 800 30,600
Ames Department Stores, Inc. + ..................... 900 25,931
Ann Taylor Stores Corp. + .......................... 1,700 58,544
24 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
DISCRETIONARY RETAIL (CONTINUED)
Bombay Company, Inc. + ............................. 1,200 $ 5,400
Books-A-Million, Inc. + ............................ 900 7,481
Building Materials Holding Corp. + ................. 700 7,175
Cash America International, Inc. ................... 700 6,825
Cato Corp. (The) ................................... 1,100 13,888
Cost Plus, Inc. + .................................. 1,100 39,187
CPI Corp. .......................................... 300 6,769
Discount Auto Parts, Inc. + ........................ 700 12,644
Dress Barn, Inc. + ................................. 700 11,638
Footstar, Inc. + ................................... 700 21,350
Goody's Family Clothing, Inc. + .................... 2,200 11,825
Group 1 Automotive, Inc. + ......................... 1,300 18,119
Hancock Fabrics, Inc. .............................. 1,000 3,125
Insight Enterprises, Inc. + ........................ 1,400 56,875
Jo-Ann Stores, Inc. + .............................. 800 9,000
Linens 'n Things, Inc. + ........................... 2,000 59,250
Men's Wearhouse, Inc. + ............................ 1,300 38,187
Michaels Stores, Inc. + ............................ 1,500 42,750
New England Business Service, Inc. ................. 400 9,775
O'Reilly Automotive, Inc. + ........................ 1,600 34,400
Pacific Sunwear of California, Inc. + .............. 1,600 51,000
Pier 1 Imports, Inc. ............................... 5,300 33,787
Regis Corp. ........................................ 1,500 28,313
Shopko Stores, Inc. + .............................. 1,000 23,000
Stein Mart, Inc. + ................................. 2,700 15,356
Zale Corp. + ....................................... 2,000 96,750
----------
778,944
----------
DRUGS (1.0%)
Dura Pharmaceuticals, Inc. + ....................... 1,300 18,119
Jones Medical Industries, Inc. ..................... 1,400 60,813
Medicis Pharmaceutical Corp. + ..................... 900 38,306
Theragenics Corp. + ................................ 900 8,156
----------
125,394
----------
ELECTRIC UTILITIES (1.7%)
American States Water Co. .......................... 400 14,400
Aquarion Co. ....................................... 450 16,650
Bangor Hydro-Electric Co. .......................... 300 4,894
Central Vermont Public Service Corp. ............... 400 4,250
CH Energy Group, Inc. .............................. 600 19,800
Eastern Utilities Association ...................... 700 21,219
Northwestern Corp. ................................. 800 17,600
Philadelphia Suburban Water Corp. .................. 1,205 24,928
TNP Enterprises, Inc. .............................. 400 16,500
United Illuminating Co. ............................ 500 25,688
United Water Resources, Inc. ....................... 1,200 41,025
----------
206,954
----------
ELECTRICAL MACHINERY AND INSTRUMENTS (2.3%)
Analogic Corp. ..................................... 300 9,900
Checkpoint Systems, Inc. + ......................... 900 9,169
Coherent, Inc. + ................................... 700 18,725
Dionex Corp. + ..................................... 900 37,069
Micros Systems, Inc. + ............................. 600 44,400
RSA Security Inc. + ................................ 1,200 93,000
Technitrol, Inc. ................................... 600 26,700
Trimble Navigation Ltd. + .......................... 700 15,138
Varian Medical Systems, Inc. ....................... 1,000 29,812
----------
283,913
----------
FOOD AND BEVERAGE (1.9%)
Agribrands International, Ltd + .................... 300 13,800
Canandiagua Brands, Inc. + ......................... 800 40,800
Coca-Cola Bottling Co. ............................. 300 14,212
Corn Products International, Inc. .................. 1,200 39,300
Delta & Pine Land Co. .............................. 500 8,688
Earthgrains Co. (The) .............................. 1,600 25,800
J&J Snack Foods Corp. + ............................ 300 6,150
Michael Foods, Inc. ................................ 600 14,775
Natures Sunshine Products, Inc. .................... 400 3,200
NBTY, Inc. + ....................................... 2,400 27,750
Ralcorp Holdings, Inc. + ........................... 1,300 25,919
Smithfields Foods, Inc. + .......................... 600 14,400
----------
234,794
----------
FOOD AND DRUG RETAIL (0.6%)
Casey's General Stores, Inc. ....................... 1,100 11,481
Fleming Companies, Inc. ............................ 1,100 11,275
Nash-Finch Co. ..................................... 600 3,825
Performance Food Group Company + ................... 500 12,188
United Natural Foods, Inc. + ....................... 600 7,200
Whole Foods Market, Inc. + ......................... 500 23,187
----------
69,156
----------
FOREST PRODUCTS AND BUILDING MATERIALS (1.8%)
AptarGroup, Inc. ................................... 1,300 32,662
Caraustar Industries, Inc. ......................... 900 21,600
Elcor Corp. ........................................ 600 18,075
Florida Rock Industries, Inc. ...................... 800 27,550
Myers Industries, Inc. ............................. 330 5,198
Pope & Talbot, Inc. ................................ 500 8,000
Republic Group, Inc. ............................... 500 7,562
Shorewood Packaging Corp. + ........................ 750 14,203
Simpson Manufacturing Co., Inc. + .................. 500 21,875
Texas Industries, Inc. ............................. 900 38,306
TJ International, Inc. ............................. 400 16,800
Universal Forest Products, Inc. .................... 700 10,325
Watsco, Inc. ....................................... 600 6,938
----------
229,094
----------
GAS UTILITIES (2.0%)
Atmos Energy Corp. ................................. 500 10,219
Cascade Natural Gas Corp. .......................... 400 6,450
Connecticut Energy Corp. ........................... 300 11,662
Energen Corp. ...................................... 1,200 21,675
New Jersey Resources Corp. ......................... 800 31,250
Northwest Natural Gas Co. .......................... 800 17,550
Piedmont Natural Gas, Inc. ......................... 1,000 30,250
See Notes to Portfolio of Investments. 25
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS SMALL CAP (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
GAS UTILITIES (CONTINUED)
Public Service Co. of North Carolina ............. 800 $ 25,850
Southern Union Co. + ............................. 1,477 28,248
Southwest Gas Corp. .............................. 1,000 23,000
Southwestern Energy Co. .......................... 800 5,250
Wicor, Inc. ...................................... 1,200 35,025
----------
246,429
----------
HEALTH SERVICES (2.8%)
Advance Paradigm, Inc. + ......................... 600 12,937
Bindley Western Industries, Inc. ................. 1,333 20,078
Cerner Corp. + ................................... 500 9,844
Coventry Health Care, Inc. + ..................... 3,200 21,600
Laser Vision Centers, Inc. + ..................... 1,300 13,731
Magellan Health Services, Inc. + ................. 1,000 6,313
MedQuist, Inc. + ................................. 2,000 51,625
Orthodontic Centers of America, Inc. + ........... 1,500 17,906
Patterson Dental Co. + ........................... 1,200 51,150
Pharmaceutical Product Development, Inc. .........
+ ............................................... 500 5,938
Priority Healthcare Corp. + ...................... 1,204 34,841
Renal Care Group, Inc. + ......................... 1,450 33,894
Syncor International Corp. + ..................... 500 14,562
Universal Health Services, Inc. + ................ 1,700 61,200
----------
355,619
----------
HEAVY MACHINERY (0.9%)
Astec Industries, Inc. + ......................... 800 15,050
Gardner Denver Machinery, Inc. + ................. 500 8,344
JLG Industries, Inc. ............................. 1,900 30,281
Lindsay Manufacturing Co. ........................ 400 7,300
Manitowoc Co., Inc. (The) ........................ 1,050 35,700
Wabash National Corp. ............................ 800 12,000
----------
108,675
----------
HOUSING AND FURNISHINGS (2.6%)
Bassett Furniture Industries, Inc. ............... 400 6,400
Champion Enterprises, Inc. + ..................... 1,400 11,988
D.R. Horton, Inc. ................................ 1,975 27,280
Enesco Group, Inc. ............................... 500 5,531
Ethan Allen Interiors, Inc. ...................... 2,150 68,934
Fedders Corp. .................................... 1,300 7,150
Harman International Industries .................. 600 33,675
Interface, Inc. .................................. 1,500 8,625
La-Z-Boy, Inc. ................................... 2,100 35,306
Libbey Inc. ...................................... 400 11,500
MDC Holdings, Inc. ............................... 900 14,119
National Presto Industries, Inc. ................. 200 7,100
Ryland Group, Inc. ............................... 800 18,450
Skyline Corp. .................................... 300 7,050
Standard Pacific Corp. ........................... 1,600 17,600
Toll Brothers, Inc. + ............................ 1,200 22,350
U.S. Home Corp. + ................................ 900 23,006
----------
326,064
----------
INDUSTRIAL SERVICES (1.1%)
Butler Manufacturing Co. ......................... 400 8,925
Dycom Industries, Inc. + ......................... 1,350 59,484
Insituform Technologies, Inc. + .................. 1,100 31,075
Morrison Knudsen Corp. + ......................... 1,100 8,594
Service Experts, Inc. + .......................... 600 3,487
Tetra Technologies Inc. + ........................ 1,125 17,297
URS Corp. + ...................................... 500 10,844
----------
139,706
----------
INSURANCE (2.3%)
ChoicePoint Inc. + ............................... 1,000 41,375
Delphi Financial Group, Inc. + ................... 734 22,020
E.W. Blanch Holdings, Inc. ....................... 500 30,625
Enhance Financial Services Group, Inc. .......... 500 8,125
Fidelity National Financial, Inc. ................ 900 12,937
Frontier Insurance Group, Inc. ................... 1,100 3,781
Gallagher (Arthur J.) & Co. ...................... 700 45,325
Hilb, Rogal and Hamilton Co. ..................... 400 11,300
Hooper Holmes, Inc. .............................. 900 23,175
Mutual Risk Management Ltd. ...................... 1,200 20,175
Radian Group Inc. ................................ 1,500 71,625
Trenwick Group, Inc. ............................ 200 3,388
----------
293,851
----------
INVESTMENT SERVICES (1.3%)
Dain Rauscher Corp. .............................. 400 18,600
Eaton Vance Corp. ................................ 1,200 45,600
Investors Financial Services Corp. ............... 500 23,000
Jefferies Group, Inc. ............................ 1,300 28,600
Pioneer Group, Inc. + ............................ 800 12,600
Raymond James Financial, Inc. .................... 1,500 28,031
----------
156,431
----------
MISCELLANEOUS METALS (0.2%)
Amcol International Corp. ........................ 700 11,288
Brush Wellman, Inc. .............................. 500 8,406
IMCO Recycling, Inc. ............................. 600 7,575
Stillwater Mining Co. + .......................... 50 1,594
----------
28,863
----------
OIL (1.7%)
Barrett Resources Corp. + ........................ 400 11,775
Cabot Oil & Gas Corp. ............................ 400 6,425
Cross Timbers Oil Co. ............................ 2,600 23,563
HS Resources, Inc. + ............................. 1,000 17,250
Newfield Exploration Co. + ....................... 1,700 45,475
Plains Resources Inc. + .......................... 500 6,250
Pogo Producing Co. ............................... 1,700 34,850
St. Mary Land & Exploration Co. .................. 400 9,900
Stone Energy Corp. + ............................. 600 21,375
Vintage Petroleum, Inc. + ........................ 3,200 38,600
----------
215,463
----------
OIL SERVICES (0.9%)
Atwood Oceanics, Inc. + .......................... 500 19,312
Cal Dive International, Inc. + ................... 800 26,500
Dril-Quip, Inc. + ................................ 500 15,188
26 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
OIL SERVICES (CONTINUED)
Oceaneering International, Inc. + .............. 300 $ 4,481
Pride International, Inc. + .................... 800 11,700
SEACOR SMIT Holdings + ......................... 300 15,525
Seitel, Inc. + ................................. 900 6,075
Tuboscope Inc. + ............................... 600 9,525
----------
108,306
----------
OTHER TELECOMMUNICATIONS (0.4%)
General Communication, Inc. + .................. 1,500 6,562
P-Com, Inc. + .................................. 800 7,075
Symmetricom, Inc. + ............................ 500 4,969
TALK.com Inc. + ................................ 2,000 35,500
----------
54,106
----------
PRINT MEDIA (0.6%)
BARRA, Inc. + .................................. 500 15,875
Factset Research Systems, Inc. + ............... 550 43,794
Primark Corp. + ................................ 600 16,687
Thomas Nelson, Inc. ............................ 500 4,625
----------
80,981
----------
PRODUCER GOODS (8.8%)
Amcast Industrial Corp. ........................ 400 6,550
Applied Industrial Technologies, Inc. .......... 800 13,300
Applied Power, Inc. ............................ 1,100 40,425
Aviation Sales Co. + ........................... 500 8,250
Baldor Electric Co. ............................ 1,200 21,750
Belden, Inc. ................................... 800 16,800
Brady (W.H.) Co. ............................... 800 27,150
Buckeye Technologies, Inc. + ................... 1,400 20,825
C&D Technologies, Inc. ......................... 400 17,000
Cable Design Technologies, Inc. + .............. 950 21,850
Castle (A.M.) & Co. ............................ 500 5,875
Commercial Metals Co. .......................... 600 20,362
Commonwealth Industries, Inc. .................. 500 6,500
CommScope, Inc. + .............................. 2,700 108,844
Flow International Corporation + ............... 500 5,688
Global Industrial Technologies, Inc. + ......... 700 9,013
Graco, Inc. .................................... 900 32,287
Griffon Corp. + ................................ 1,000 7,813
Hughes Supply, Inc. ............................ 800 17,250
Idex Corp. ..................................... 900 27,337
Intermet Corp. ................................. 1,000 11,625
Ionics, Inc. + ................................. 500 14,062
Lawson Products, Inc. .......................... 300 6,938
Lilly Industries, Inc. ........................ 600 8,063
Lydall, Inc. + ................................. 500 3,313
MacDermid, Inc. ................................ 800 32,850
Material Sciences Corp. + ...................... 800 8,150
Mueller Industries, Inc. + ..................... 1,200 43,500
Oak Industries, Inc. + ......................... 900 95,512
Omnova Solutions Inc. .......................... 1,400 10,850
Paxar Corp. + .................................. 1,500 12,656
Regal-Beloit Corp. ............................. 400 8,250
Reliance Steel & Aluminum Co. .................. 1,650 38,672
Robbins & Myers, Inc. .......................... 400 9,050
Roper Industries, Inc. ......................... 1,700 64,281
Scott Technologies, Inc. + ..................... 600 11,325
SLI, Inc. + .................................... 1,400 18,987
Smith (A.O.) Corp. ............................. 750 16,406
Specialty Equipment Companies, Inc. + .......... 600 14,362
SPS Technologies, Inc. + ....................... 400 12,775
Standex International Corp. .................... 300 6,281
Steel Technologies, Inc. ....................... 500 7,250
Swiss Army Brands, Inc. + ..................... 100 713
Thomas Industries, Inc. ........................ 600 12,263
Tower Automotive, Inc. + ....................... 1,500 23,156
Tredegar Industries, Inc. ...................... 1,200 24,825
Valence Technology, Inc. + ..................... 900 17,100
Valmont Industries, Inc. ....................... 700 11,244
Watts Industries, Inc. ......................... 800 11,800
Wolverine Tube, Inc. + ......................... 1,000 14,125
Zebra Technologies, Inc. + ..................... 1,600 93,600
----------
1,098,853
----------
SEMICONDUCTORS AND ELECTRONICS (13.3%)
Adaptive Broadband Corp. + ..................... 400 29,525
Allen Telecom Inc. + ........................... 600 6,938
Alpha Industries, Inc. + ....................... 1,100 63,044
American Xtal Technology, Inc. + ............... 600 10,463
Artesyn Technologies, Inc. ..................... 2,000 42,000
Burr-Brown Corp. + ............................. 2,850 102,956
C-COR.net Corp. + .............................. 500 38,313
C-Cube Microsystems, Inc. + .................... 1,700 105,825
Centigram Communications Corp. + ............... 100 1,675
Cognex Corp. + ................................. 2,100 81,900
CTS Corp. ...................................... 1,500 113,062
Cybex Computer Products Corp. + ................ 400 16,200
Dallas Semiconductor Corp. ..................... 1,100 70,881
Digital Microwave Corp. + ...................... 2,000 46,875
Electro Scientific Industries, Inc. + .......... 700 51,100
Electroglas, Inc. + ............................ 600 15,225
Esterline Technologies Corp. + ................. 500 5,781
Etec Systems, Inc. + ........................... 600 26,925
General Semiconductor Corp. + .................. 1,100 15,606
Hadco Corp. + .................................. 600 30,600
Harmon Industries, Inc. ........................ 400 4,850
Helix Technology Corp. ......................... 900 40,331
Innovex, Inc. .................................. 500 4,688
International Rectifier Corp. + ................ 1,700 44,200
KEMET Corp. + .................................. 2,100 94,631
Kent Electronics Corp. + ....................... 900 20,475
Kulicke & Soffa Industries, Inc. + ............. 1,200 51,075
Lattice Semiconductor Corp. + .................. 2,500 117,812
Methode Electronics, Inc. ...................... 1,000 32,125
Micrel, Inc. + ................................. 1,700 96,794
See Notes to Portfolio of Investments. 27
<PAGE>
INDEX PLUS PORTFOLIOS
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
INDEX PLUS SMALL CAP (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Park Electrochemical Corp. ..................... 600 $ 15,938
Phototronics, Inc. + ........................... 800 22,900
PictureTel Corporation + ....................... 1,200 5,175
Pioneer Standard Electronics Corp. ............. 800 11,550
Plantronics, Inc. + ............................ 600 42,937
Plexus Corp. + ................................. 600 26,400
Powerwave Technologies, Inc. + ................. 800 46,700
Silicon Valley Group, Inc. + ................... 1,000 17,750
Three-Five Systems, Inc. + ..................... 667 27,333
Ultratech Stepper, Inc. + ...................... 600 9,675
Vicor Corp. + .................................. 1,300 52,650
-----------
1,660,883
-----------
SPECIALTY CHEMICALS (0.9%)
Cambrex Corp. .................................. 800 27,550
Chemed Corp. ................................... 200 5,725
ChemFirst Inc. ................................. 600 13,125
Geon Co. (The) ................................. 800 26,000
OM Group, Inc. ................................. 800 27,550
Quaker Chemical Corp. .......................... 600 8,550
-----------
108,500
-----------
STEEL (0.2%)
Birmingham Steel Corporation ................... 1,300 6,906
Quanex Corp. ................................... 900 22,950
-----------
29,856
-----------
SURFACE TRANSPORT (1.6%)
American Freightways Corp. + ................... 2,000 32,375
Arkansas Best Corp. + .......................... 1,100 13,200
Heartland Express, Inc. + ...................... 1,000 15,750
Kirby Corp. + .................................. 500 10,250
Landstar Systems, Inc. + ....................... 300 12,844
M.S. Carriers, Inc. + .......................... 500 11,937
Railtex, Inc. + ................................ 600 10,725
U.S. Freightways Corp. ......................... 1,400 67,025
Werner Enterprises, Inc. ....................... 650 9,141
Yellow Corp. + ................................. 1,100 18,494
-----------
201,741
-----------
TEXTILES AND APPAREL (1.4%)
Ashworth, Inc. + ............................... 300 1,238
Brown Shoe Co., Inc. ........................... 1,100 15,537
Justin Industries, Inc. ........................ 700 10,413
K-Swiss Inc. ................................... 400 7,431
Kellwood Co. ................................... 1,300 25,269
Nautica Enterprises, Inc. + .................... 1,200 13,575
Oshkosh B'Gosh, Inc. ........................... 200 4,213
Oxford Industries, Inc. ........................ 500 9,906
Phillips-Van Heusen Corp. ...................... 1,200 9,975
Quiksilver, Inc. + ............................. 750 11,625
Stride Rite Corp. .............................. 2,000 13,000
Timberland Co. (The) + ......................... 700 37,012
Wolverine World Wide, Inc. ..................... 1,300 14,219
-----------
173,413
-----------
TOBACCO (0.1%)
Schweitzer-Mauduit International, Inc. ......... 700 9,406
-----------
TOTAL COMMON STOCKS (COST $11,007,418) ......... 12,316,524
-----------
PRINCIPAL
AMOUNT
---------
SHORT-TERM INVESTMENTS (1.9%)
Federal Home Loan Bank,1.50%,01/03/00 .......... 234,000 234,000
TOTAL SHORT-TERM INVESTMENTS (COST $234,000) ... 234,000
-----------
TOTAL INVESTMENTS (COST $11,241,418)(A) ........ 12,550,524
OTHER ASSETS LESS LIABILITIES .................. (66,571)
-----------
TOTAL NET ASSETS ............................... $12,483,953
===========
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$11,342,280. Unrealized gains and losses, based on identified tax cost at
December 31, 1999, are as follows:
Unrealized gains .................................... $ 2,296,030
Unrealized losses ................................... (1,087,786)
-----------
Net unrealized gain ................................ $ 1,208,244
===========
+ Non-income producing security.
Category percentages are based on net assets.
28 See Notes to Financial Statements.
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
29
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
================================================================================
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 and open future contracts .......
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) ...........................................
30 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
INDEX PLUS BOND INDEX PLUS LARGE CAP INDEX PLUS MID CAP INDEX PLUS SMALL CAP
--------------- -------------------- ------------------ --------------------
<S> <C> <C> <C> <C>
$ 11,298,554 $1,171,551,351 $ 19,289,587 $ 12,550,524
780 51,930 3,129 575
140,423 873,266 8,331 4,873
-- 1,333,311 -- 37,112
813 -- 75,221 --
-- 12,750 -- --
2,903 -- 2,478 3,178
156 8,188 130 103
------------ -------------- ------------ ------------
11,443,629 1,173,830,796 19,378,876 12,596,365
------------ -------------- ------------ ------------
-- 9,988,113 115,550 78,077
-- 846,064 -- 17,906
3,469 354,333 6,545 4,299
867 75,929 1,227 806
3,236 25,847 7,199 8,722
2,093 68,245 4,249 2,602
------------ -------------- ------------ ------------
9,665 11,358,531 134,770 112,412
------------ -------------- ------------ ------------
$ 11,433,964 $1,162,472,265 $ 19,244,106 $ 12,483,953
============ ============== ============ ============
$ 12,120,197 $ 945,577,150 $ 17,421,006 $ 11,588,111
(497,623) 173,766,044 1,682,989 1,309,106
6,938 1,387,097 5,741 471
(195,548) 41,741,974 134,370 (413,735)
------------ -------------- ------------ ------------
$ 11,433,964 $1,162,472,265 $ 19,244,106 $ 12,483,953
============ ============== ============ ============
$ 11,796,177 $ 997,844,378 $ 17,606,598 $ 11,241,418
Two Billion Two Billion Two Billion Two Billion
$ 0.001 $ 0.001 $ 0.001 $ 0.001
1,206,390 55,688,700 1,551,734 1,144,812
$ 9.48 $ 20.87 $ 12.40 $ 10.90
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 1999
================================================================================
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 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 ...........
32 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>
$ -- $ 9,707,020 $ 145,353 $ 72,437
887,243 818,252 17,032 10,839
--------- ------------ ---------- ----------
887,243 10,525,272 162,385 83,276
-- (92,097) -- (31)
--------- ------------ ---------- ----------
887,243 10,433,175 162,385 83,245
--------- ------------ ---------- ----------
42,193 2,955,393 50,910 37,659
10,548 633,299 9,546 7,061
8,498 54,409 4,140 3,983
3,922 36,159 9,131 10,021
2,578 2,575 2,579 2,579
20,373 21,214 22,196 22,188
409 20,878 334 248
-- 72,599 2,273 603
629 24,678 501 387
--------- ------------ ---------- ----------
89,150 3,821,204 101,610 84,729
(25,669) (14,859) (25,306) (28,202)
--------- ------------ ---------- ----------
63,481 3,806,345 76,304 56,527
--------- ------------ ---------- ----------
823,762 6,626,830 86,081 26,718
--------- ------------ ---------- ----------
(195,549) 84,573,889 2,261,350 324,914
-- (1,203,790) (4,536) --
--------- ------------ ---------- ----------
(195,549) 83,370,099 2,256,814 324,914
--------- ------------ ---------- ----------
(782,257) 103,826,995 (17,695) 866,892
-- 23,756 -- --
--------- ------------ ---------- ----------
(782,257) 103,850,751 (17,695) 866,892
--------- ------------ ---------- ----------
(977,806) 187,220,850 2,239,119 1,191,806
--------- ------------ ---------- ----------
$(154,044) $193,847,680 $2,325,200 $1,218,524
========= ============ ========== ==========
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS BOND
---------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................................................. $ 823,762 $ 888,236
Net realized gain (loss) on investments ................................ (195,549) 62,856
Net change in unrealized gain or loss on investments ................... (782,257) 276,559
------------ ------------
Net increase (decrease) in net assets resulting from operations ....... (154,044) 1,227,651
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ............................................. (823,767) (882,106)
From net realized gains ................................................ (6,508) (56,333)
------------ ------------
Decrease in net assets from distributions to shareholders ............. (830,275) (938,439)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold .............................................. 1,812,578 1,961,822
Net asset value of shares issued upon reinvestment of distributions .... 65,211 75,564
Payments for shares redeemed ........................................... (4,566,589) (2,228,389)
------------ ------------
Net decrease in net assets from fund share transactions ............... (2,688,800) (191,003)
------------ ------------
Net change in net assets ............................................. (3,673,119) 98,209
NET ASSETS:
Beginning of period .................................................... 15,107,083 15,008,874
------------ ------------
End of period .......................................................... $ 11,433,964 $ 15,107,083
============ ============
End of period net assets includes undistributed net investment income .. $ 6,938 $ 6,929
============ ============
SHARE TRANSACTIONS:
Number of shares sold .................................................. 178,906 185,078
Number of shares issued upon reinvestment of distributions ............. 6,788 7,415
Number of shares redeemed .............................................. (462,083) (209,714)
------------ ------------
Net decrease .......................................................... (276,389) (17,221)
============ ============
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
----------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ............................................... $ 6,626,830 $ 2,959,670
Net realized gain on investments .................................... 83,370,099 17,020,679
Net change in unrealized gain or loss on investments ................ 103,850,751 59,891,322
--------------- ---------------
Net increase in net assets resulting from operations ............... 193,847,680 79,871,671
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .......................................... (5,248,391) (3,004,103)
From net realized gains ............................................. (42,453,390) (17,271,067)
--------------- ---------------
Decrease in net assets from distributions to shareholders .......... (47,701,781) (20,275,170)
--------------- ---------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold ........................................... 539,500,276 305,756,393
Net asset value of shares issued upon reinvestment of distributions . 47,701,781 20,275,170
Payments for shares redeemed ........................................ (66,934,745) (22,085,528)
--------------- ---------------
Net increase in net assets from fund share transactions ............ 520,267,312 303,946,035
--------------- ---------------
Net change in net assets .......................................... 666,413,211 363,542,536
NET ASSETS:
Beginning of period ................................................. 496,059,054 132,516,518
--------------- ---------------
End of period ....................................................... $ 1,162,472,265 $ 496,059,054
=============== ===============
End of period net assets includes undistributed net investment income $ 1,387,097 $ 8,658
=============== ===============
SHARE TRANSACTIONS:
Number of shares sold ............................................... 28,561,848 19,017,627
Number of shares issued upon reinvestment of distributions .......... 2,421,894 1,157,764
Number of shares redeemed ........................................... (3,502,929) (1,421,398)
--------------- ---------------
Net increase ....................................................... 27,480,813 18,753,993
=============== ===============
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
INDEX PLUS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ............................................... $ 86,081 $ 58,840
Net realized gain on investments .................................... 2,256,814 421,908
Net change in unrealized gain or loss on investments ................ (17,695) 1,443,442
------------ ------------
Net increase in net assets resulting from operations ............... 2,325,200 1,924,190
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .......................................... (80,340) (58,489)
From net realized gains ............................................. (2,105,261) (438,594)
------------ ------------
Decrease in net assets from
distributions to shareholders ...................................... (2,185,601) (497,083)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold ........................................... 19,048,036 5,622,966
Net asset value of shares issued upon reinvestment of distributions . 2,185,601 258,130
Payments for shares redeemed ........................................ (12,052,024) (5,141,703)
------------ ------------
Net increase in net assets from fund share transactions ............ 9,181,613 739,393
------------ ------------
Net change in net assets .......................................... 9,321,212 2,166,500
NET ASSETS:
Beginning of period ................................................. 9,922,894 7,756,394
------------ ------------
End of period ....................................................... $ 19,244,106 $ 9,922,894
============ ============
End of period net assets includes undistributed net investment income $ 5,741 $ --
============ ============
SHARE TRANSACTIONS:
Number of shares sold ............................................... 1,551,617 509,475
Number of shares issued upon reinvestment of distributions .......... 186,865 21,894
Number of shares redeemed ........................................... (999,860) (468,257)
------------ ------------
Net increase ....................................................... 738,622 63,112
============ ============
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
--------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ............................................. $ 26,718 $ 29,736
Net realized gain (loss) on investments ........................... 324,914 (464,243)
Net change in unrealized gain or loss on investments .............. 866,892 122,989
------------ ------------
Net increase (decrease) in net assets resulting from operations .. 1,218,524 (311,518)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ........................................ (25,145) (28,374)
From net realized gains ........................................... -- (274,406)
------------ ------------
Decrease in net assets from distributions to shareholders ........ (25,145) (302,780)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold ......................................... 11,946,574 8,260,731
Net asset value of shares issued upon reinvestment of distributions 25,145 269,228
Payments for shares redeemed ...................................... (8,280,578) (8,133,489)
------------ ------------
Net increase in net assets from fund share transactions .......... 3,691,141 396,470
------------ ------------
Net change in net assets ........................................ 4,884,520 (217,828)
NET ASSETS:
Beginning of period ............................................... 7,599,433 7,817,261
------------ ------------
End of period ..................................................... $ 12,483,953 $ 7,599,433
============ ============
End of period net assets includes
undistributed (distributions in excess of) net investment income . $ 471 $ (602)
============ ============
SHARE TRANSACTIONS:
Number of shares sold ............................................. 1,219,438 858,897
Number of shares issued upon reinvestment of distributions ........ 2,429 27,986
Number of shares redeemed ......................................... (847,768) (866,170)
------------ ------------
Net increase ..................................................... 374,099 20,713
============ ============
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
INDEX PLUS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
================================================================================
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 December 31, 1999, separate accounts of Aetna Life
Insurance and Annuity Company (ALIAC) and its affiliates held 100.0%, 98.2%,
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, 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.
38
<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 invest in
financial futures contracts as a hedge against existing portfolio securities, to
manage the risk of changes in interest rates, equity prices, currency exchange
rates or in anticipation of future purchases and sales of portfolio securities.
Upon entering into a futures contract, the Portfolios are required to deposit
with a broker an amount (initial margin) equal to a percentage of the purchase
price indicated by the futures contract. Subsequent deposits (variation margin)
are received or paid each day by the Portfolios equal to the daily fluctuations
in the market value of the contract. These amounts are recorded by the
Portfolios as unrealized gains or losses. When a contract is closed, the
Portfolios record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed. Generally, futures contracts held by the Portfolios are closed prior to
expiration.
The risks associated with financial futures may arise from an imperfect
correlation between the change in market value of the securities held by the
Portfolios and the price of the contracts. Risks may also arise from an illiquid
secondary market or from the inability of counterparties to meet the terms of
the contracts.
Realized and unrealized gains or losses on financial futures are reflected in
the accompanying financial statements. The amounts at risk under such futures
may exceed the amounts reflected in the financial statements. For federal income
tax purposes, any futures contracts which remain open at year end are
marked-to-market and the resultant net gain or loss is reported to shareholders
as federal taxable income.
C. ILLIQUID AND RESTRICTED SECURITIES
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Portfolios to sell them promptly
at an acceptable price. Restricted securities are those which can only be sold
under Rule 144A of the Securities Act of 1933 (1933 Act) or are securities
offered pursuant to Section 4(2) of the 1933 Act, and are subject to legal or
contractual restrictions on resale and may not be publicly sold without
registration under the 1933 Act. Each Portfolio may invest up to 10% of its
total assets in illiquid securities. Illiquid and restricted securities are
valued using market quotations when readily available. In the absence of market
quotations, the securities are valued based upon their fair value determined
under procedures approved by the Board. The Portfolios will not pay the costs of
disposition of restricted securities other than ordinary brokerage fees, if any.
D. DELAYED DELIVERY TRANSACTIONS
The Portfolios may purchase or sell securities on a when-issued or forward
commitment basis. The price of the underlying securities and date when the
securities will be delivered and paid for are fixed at the time the transaction
is negotiated. The market value of such securities are identified in the
Portfolios of Investments. Losses may arise due to changes in the market value
of the securities or from the inability of counterparties to meet the terms of
the contract.
E. FEDERAL INCOME TAXES
Each Portfolio intends to meet the requirements to be taxed as a regulated
investment company for the current year. As such,
39
<PAGE>
INDEX PLUS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
================================================================================
each Portfolio is relieved of federal income taxes by distributing all of its
net taxable investment income and capital gains, if any, in compliance with the
applicable provisions of the Internal Revenue Code. Furthermore, by distributing
substantially all of its net taxable investment income and capital gains during
the calendar year, each Portfolio will avoid federal excise taxes in accordance
with the applicable provisions of the Internal Revenue Code. Thus, the financial
statements contain no provision for federal 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 certain futures contracts, net losses
incurred after October 31, 1999 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 Internal Revenue Code.
G. LINE OF CREDIT
Certain portfolios of Aetna Variable Portfolios, Inc. (including the
Portfolios), Aetna Generation Portfolios, Inc., Aetna Balanced VP, Inc., Aetna
Variable, 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
December 31, 1999.
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 December 31, 1999:
ADVISORY FEE
------------
Index Plus Bond 0.30%
Index Plus Large Cap 0.35%
Index Plus Mid Cap 0.40%
Index Plus Small Cap 0.40%
40
<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 year ended December 31, 1999, Aeltus paid ALIAC
$1,540,211
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 1999 to reimburse each
Portfolio for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase each Portfolio's yield and total return. Actual expenses for the year
ended December 31, 1999 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 year ended December 31, 1999 were:
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
Index Plus Bond $ 8,228,728 $ 10,665,846
Index Plus Large Cap 1,260,764,509 748,933,435
Index Plus Mid Cap 24,763,831 18,299,423
Index Plus Small Cap 13,961,313 10,047,039
6. CAPITAL LOSS CARRYFORWARD
In accordance with applicable provisions of the Internal Revenue Code, the
following capital loss carryforwards have been incurred as of December 31, 1999:
CAPITAL LOSS YEAR OF
CARRYFORWARD EXPIRATION
------------ ----------
Index Plus Bond $ 61,628 2007
Index Plus Small Cap 294,301 2007
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.
41
<PAGE>
INDEX PLUS PORTFOLIOS
ADDITIONAL INFORMATION
DECEMBER 31, 1999
================================================================================
FEDERAL TAX STATUS OF DIVIDENDS DECLARED DURING THE FISCAL YEAR (UNAUDITED)
In accordance with federal tax authorities, certain portions of the dividends
taxable as ordinary income qualify for the corporate dividends received
deduction. The following percentages reflect the portions of such dividends
paid:
Index Plus Large Cap 14.76%
Index Plus Mid Cap 8.50%
Index Plus Small Cap 100.00%
In accordance with federal tax authorities, the following amounts of dividends
which qualify to be taxed at long-term capital gain rates were paid during the
year ended December 31, 1999:
Aggregate Per Share
--------- ---------
Index Plus Large Cap $11,870,302 $ 0.2347
Index Plus Mid Cap 298,308 0.2161
YEAR 2000 (UNAUDITED)
The Portfolio's Year 2000 remediation efforts have been completed. Currently,
the Portfolio's have no information that indicates a mission-critical vendor or
service provider will be unable to sell goods or provide services to the
Portfolios or that any customer will be unable to purchase from the Portfolios
because of Year 2000 issues. As of today, the Portfolio's have not experienced
any significant disruptions to their financial reporting or operating activities
that were caused by failure of their computerized systems resulting from Year
2000 issues.
42
<PAGE>
INDEX PLUS PORTFOLIOS
FINANCIAL HIGHLIGHTS
INDEX PLUS BOND
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
DECEMBER 18, 1997
YEAR ENDED YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, DECEMBER 31, OPERATIONS)
1999 1998 TO DECEMBER 31, 1997
------------ ------------ --------------------
<S> <C> <C> <C>
Net asset value, beginning of period ................................... $ 10.19 $ 10.01 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ................................................. 0.60 0.60 0.02+
Net realized and change in unrealized gain or loss on investments ..... (0.70) 0.21 0.01
---------- ---------- ----------
Total from investment operations .................................... (0.10) 0.81 0.03
---------- ---------- ----------
LESS DISTRIBUTIONS:
From net investment income ............................................ (0.60) (0.59) (0.02)
From net realized gains on investments ................................ (0.01) (0.04) --
---------- ---------- ----------
Total distributions ................................................. (0.61) (0.63) (0.02)
---------- ---------- ----------
Net asset value, end of period ......................................... $ 9.48 $ 10.19 $ 10.01
========== ========== ==========
Total return* .......................................................... (1.08)% 8.17% 0.27%
Net assets, end of period (000's) ...................................... $ 11,434 $ 15,107 $ 15,009
Ratio of net expenses to average net assets ............................ 0.45% 0.45% 0.45%(1)
Ratio of net investment income to average net assets ................... 5.86% 5.67% 5.23%(1)
Ratio of expenses before reimbursement and waiver to average net assets 0.63% 0.53% --
Portfolio turnover rate ................................................ 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. 43
<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
SEPTEMBER 16, 1996
(COMMENCEMENT OF
YEAR ENDED YEAR ENDED YEAR ENDED TO OPERATIONS)
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1997 1996
------------- ------------- ------------- ------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period . ...................... $ 17.59 $ 14.02 $ 10.91 $ 10.00
------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ...................................... 0.12 0.12 0.10+ 0.05+
Net realized and change in unrealized gain
or loss on investments ..................................... 4.09 4.30 3.60 0.92
------------- ------------- ------------- -------------
Total from investment operations ......................... 4.21 4.42 3.70 0.97
------------- ------------- ------------- -------------
LESS DISTRIBUTIONS:
From net investment income ................................. (0.10) (0.12) (0.10) (0.05)
From net realized gains on investments ..................... (0.83) (0.73) (0.49) (0.01)
------------- ------------- ------------- -------------
Total distributions ...................................... (0.93) (0.85) (0.59) (0.06)
------------- ------------- ------------- -------------
Net asset value, end of period .............................. $ 20.87 $ 17.59 $ 14.02 $ 10.91
============= ============= ============= =============
Total return* ............................................... 24.30% 31.60% 33.89% 9.64%
Net assets, end of period (000's) ........................... $ 1,162,472 $ 496,059 $ 132,517 $ 19,410
Ratio of net expenses to average net assets ................. 0.45% 0.46% 0.50% 0.50%(1)
Ratio of net investment income to average net assets ........ 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 ..................................... 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.
44 See Notes to Financial Statements.
<PAGE>
INDEX PLUS MID CAP
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
DECEMBER 16, 1997
YEAR ENDED YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, DECEMBER 31, OPERATIONS)
1999 1998 TO DECEMBER 31, 1997
------------ ------------ --------------------
<S> <C> <C> <C>
Net asset value, beginning of period ................. $ 12.20 $ 10.34 $ 10.00
------------- ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................... 0.06 0.07 0.01+
Net realized and change in unrealized gain
or loss on investments ............................. 1.76 2.42 0.34
------------- ------------ ------------
Total from investment operations ................. 1.82 2.49 0.35
------------- ------------ ------------
LESS DISTRIBUTIONS:
From net investment income .......................... (0.06) (0.07) (0.01)
From net realized gains on investments .............. (1.56) (0.56) --
------------- ------------ ------------
Total distributions .............................. (1.62) (0.63) (0.01)
------------- ------------ ------------
Net asset value, end of period ....................... $ 12.40 $ 12.20 $ 10.34
============= ============ ============
Total return* ........................................ 15.81% 24.30% 3.50%
Net assets, end of period (000's) .................... $ 19,244 $ 9,923 $ 7,756
Ratio of net expenses to average net assets .......... 0.60% 0.60% 0.60%(1)
Ratio of net investment income to average net
assets ............................................. 0.68% 0.68% 1.37%(1)
Ratio of expenses before reimbursement and waiver
to average net assets .............................. 0.80% 0.82% --
Portfolio turnover rate .............................. 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. 45
<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
DECEMBER 19, 1997
YEAR ENDED YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, DECEMBER 31, OPERATIONS)
1999 1998 TO DECEMBER 31, 1997
------------ ------------ --------------------
<S> <C> <C> <C>
Net asset value, beginning of period .................. $ 9.86 $ 10.42 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.02 0.04 0.01+
Net realized and change in unrealized gain or
loss on investments ................................. 1.04 (0.19) 0.42
---------- ---------- ----------
Total from investment operations ................... 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 ........................ $ 10.90 $ 9.86 $ 10.42
========== ========== ==========
Total return* ......................................... 10.79% (1.35)% 4.33%
Net assets, end of period (000's) ..................... $ 12,484 $ 7,599 $ 7,817
Ratio of net expenses to average net assets ........... 0.60% 0.60% 0.60%(1)
Ratio of net investment income to average net
assets ............................................... 0.28% 0.38% 1.90%(1)
Ratio of expenses before reimbursement and waiver
to average net assets ................................ 0.90% 0.87% --
Portfolio turnover rate ............................... 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.
46 See Notes to Financial Statements.
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders
Aetna Variable Portfolios, Inc.:
We have audited the accompanying statements of assets and liabilities of Aetna
Index Plus Bond VP, Aetna Index Plus Large Cap VP, Aetna Index Plus Mid Cap VP
and Aetna Index Plus Small Cap VP, series of Aetna Variable Portfolios, Inc.
(collectively the Index Plus Portfolios), including the portfolios of
investments as of December 31, 1999, and the related statements of operations
for the year then ended, statements of changes in net assets for each of the
years in the two-year period then ended and financial highlights for each of the
years or periods in the four-year period then ended. These financial statements
and financial highlights are the responsibility of the Index Plus Portfolios'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Aetna
Index Plus Bond VP, Aetna Index Plus Large Cap VP, Aetna Index Plus Mid Cap VP
and Aetna Index Plus Small Cap VP as of December 31, 1999, the results of their
operations for the year then ended, changes in their net assets for each of the
years in the two-year period then ended and financial highlights for each of the
years or periods in the four-year period then ended, in conformity with
generally accepted accounting principles.
KPMG LLP
Hartford, Connecticut
February 4, 2000
47
<PAGE>
Aetna Ascent VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Ascent VP Jul-95 Dec-95 Dec-96 Dec-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent VP 10,000 10,601 11,045 11,453 12,049 12,654 13,650 13,617 15,103 16,524 16,366
Russell 3000 Index 10,000 10,901 11,470 12,097 12,602 12,974 13,973 14,094 16,455 17,990 18,413
Ascent Composite 10,000 10,526 10,955 11,278 11,624 11,968 12,850 12,738 14,102 15,081 14,942
<CAPTION>
Ascent VP Dec-98 12/31/1999
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Ascent VP 17,917 17,939 15,508 17,069 16,692 18,280 17,609 19,520
Russell 3000 Index 20,816 21,195 18,823 22,857 23,632 25,454 23,779 27,636
Ascent Composite 16,112 16,035 14,531 16,216 17,293 17,089 16,635 18,253
</TABLE>
Aetna Crossroads VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Crossroads VP Jul-95 Dec-95 Dec-96 Dec-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads VP 10,000 10,532 10,930 11,233 11,739 12,207 12,985 12,995 14,151 15,323 15,268
Salomon Broad Index 10,000 10,190 10,632 10,447 10,498 10,694 11,017 10,959 11,354 11,731 12,077
Crossroads Composite 10,000 10,429 10,841 11,048 11,321 11,628 12,345 12,244 13,319 14,101 14,081
<CAPTION>
Crossroads VP Dec-98 12/31/1999
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Crossroads VP 16,408 16,528 14,984 16,170 15,890 16,943 16,494 17,822
Salomon Broad Index 12,271 12,556 13,076 13,129 13,069 12,948 13,041 13,020
Crossroads Composite 14,955 14,978 14,076 15,329 16,056 15,890 15,626 16,759
</TABLE>
Aetna Legacy VP
Growth of $10,000
[The following was depicted as a line graph in the printed material.]
<TABLE>
<CAPTION>
Legacy VP Jul-95 Dec-95 Dec-96 Dec-97
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy VP 10,000 10,451 10,827 11,036 11,403 11,773 12,363 12,347 13,236 14,088 14,156
Salomon Broad Index 10,000 10,190 10,632 10,447 10,498 10,694 11,017 10,959 11,354 11,731 12,077
Legacy Composite 10,000 10,332 10,727 10,822 11,023 11,294 11,855 11,762 12,569 13,171 13,256
<CAPTION>
Legacy VP Dec-98 12/31/1999
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Legacy VP 14,932 15,085 14,290 15,139 14,979 15,668 15,435 16,212
Salomon Broad Index 12,271 12,556 13,076 13,129 13,069 12,948 13,041 13,020
Legacy Composite 13,867 13,975 13,605 14,453 14,867 14,736 14,639 15,340
</TABLE>
48 See Definition of Terms.
<PAGE>
-------------------------------------------------------------------------
Average Annual Total Returns
for the period ended December 31, 1999*
-------------------------------------------------------------------------
Ascent VP Crossroads VP Legacy VP
-------------------------------------------------------------------------
Inception Date 1 Year Inception 1 Year Inception 1 Year Inception
-------------------------------------------------------------------------
07/05/95 14.35% 16.06% 10.22% 13.73% 7.10% 11.36%
-------------------------------------------------------------------------
* Total Return is calculated including reinvestment of income and capital gain
distributions. Performance does not take into account any separate account
charges imposed by Aetna. Past performance is no guarantee of future results.
Investment return and principal of an investment will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
Ascent VP has added the Russell 3000 Index as the primary benchmark. Ascent is
the most aggressive of the Generation Portfolios with a larger allocation to
equities. The Russell 3000 is a broad-based equity index which includes large
cap, mid cap, small cap and real estate investment trusts (REIT) securities
which are reflective of the domestic equity allocation of the Portfolio.
Crossroads VP and Legacy VP have added the Salomon Smith Barney Broad Investment
Grade Bond (Salomon Broad) Index as the primary benchmark. Crossroads and Legacy
are the more conservative of the Generation Portfolios with a larger allocation
to fixed income securities. The Salomon Broad Index is a broad-based bond index
which is reflective of the domestic bond allocation of 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 year ended December 31, 1999, the performance for the Aetna Generation
Portfolios, Inc. (Ascent VP, Crossroads VP and Legacy VP) and their respective
benchmarks and composite indices are listed below.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------
PORTFOLIO BENCHMARK INDEX COMPOSITE INDEX
GENERATION PORTFOLIOS RETURN BENCHMARK INDEX RETURN RETURN
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Ascent VP 14.35% Russell 3000 (a) 20.90% 12.57%
Crossroads VP 10.22% Salomon Broad (b) -0.83% 9.33%
Legacy VP 7.10% Salomon Broad (b) -0.83% 6.14%
</TABLE>
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 year ended
December 31, 1999. The combination of these seven indices in different weights
comprise the overall benchmarks against which we measure each Generation
Portfolio's performance.
- --------------------------------------------------------------------------------
INDEX
ASSET CLASS BENCHMARK INDEX RETURN
- --------------------------------------------------------------------------------
Large Cap Stocks S&P 500 (c) 21.04%
Small/Mid Cap Stocks Russell 2500 (d) 24.15%
International Stocks MSCI EAFE (e) 27.30%
Real Estate Stocks NAREIT Equity (f) -4.62%
U.S. Dollar Bonds Salomon Broad (b) -0.83%
International Bonds S.B. Non-U.S. WGBI (g) -5.07%
Cash Equivalents U.S. 90 Day T-Bill (h) 4.74%
Over the past twelve months, the stock market produced impressive returns
largely due to the continued strength of growth stocks, particularly in the
technology sector. For example, the S&P 500 Growth Index(i), was up 28.2%
compared to 12.7% for the S&P 500 Value Index(j). Stocks advanced despite rising
interest rates. For example, the benchmark 30-year Treasury bond yielded 5.10%
on December 31, 1998, but a year later the yield had climbed to 6.48%. Usually,
stocks have difficulty during such an adverse interest rate environment.
See Definition of Terms. 49
<PAGE>
What explains the astounding performance of equities? Certainly not attractive
valuation. According to our valuation disciplines, and that of most others
market watchers (including Federal Reserve Chairman Alan Greenspan), the market
has been overvalued by historic norms for the entire period. Earnings growth
during the period was solid, but not spectacular, so earnings alone do not
provide the answer.
Perhaps the flood of liquidity coming into U.S. stocks from both domestic and
foreign investors best explains the behavior of the market over the past twelve
months. Foreign markets tumbled during the summer of 1998, scaring many
investors into the "safe haven" of the U.S. In addition, U.S. investors
continued in their enthusiasm for owning stock mutual funds, particularly index
and growth funds. This liquidity naturally flowed to the largest and most liquid
stocks. In general, the rich got richer, as large cap growth stocks whose
price/earnings ratios began the year well ahead of the average stock saw further
multiple expansion based upon strong earnings growth and the outlook for more of
the same. As an investment discipline, Value proved very disappointing, as
stocks which appeared relatively overvalued became even more so. The most
rewarding investment style was momentum, especially price momentum - buying the
stocks which have seen their prices appreciate most.
WHAT INVESTMENTS INFLUENCED THE PORTFOLIOS' PERFORMANCE OVER THE PAST TWELVE
MONTHS?
Outperformance over the past twelve months is largely due to positive stock
selection results across all of our equity asset classes. For example, one of
our big large cap stock winners was Adobe Systems, up 188% during the
twelve-month period. Among our small and mid cap holdings was Visx Inc., a
company that develops proprietary technologies and systems for laser vision
correction, which was up 137%. Our foreign equity portfolio included Nokia, the
Finnish manufacturer of cellular phones and equipment, which was up 220%.
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
NET ASSETS NOTIONAL VALUE* ECONOMIC EXPOSURE*
ASSET CLASS 12/31/99 OF FUTURES OF OPTIONS 12/31/99 12/31/98 BENCHMARK RANGE
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASCENT
- ------
Large Cap Stocks 26.8% -- -- 26.8% 17.4% 20% 0-60%
Small/Mid Cap Stocks 10.9% -- 1.8% 12.7% 28.8% 20% 0-40%
International Stocks 29.4% -- -- 29.4% 13.1% 20% 0-40%
International Bonds 0.4% 0.6% -- 1.0% 0.6% 10% 0-20%
Real Estate Stocks 11.4% -- -- 11.4% 30.5% 20% 0-40%
U.S. Dollar Bonds 6.7% -- -- 6.7% 4.5% 10% 0-30%
Cash Equivalents 14.4% (0.6)% (1.8%) 12.0% 5.1% -- 0-30%
-------------------------------------------------------------------------------
100.0% -- -- 100.0% 100.0% 100%
===============================================================================
CROSSROADS
- ----------
Large Cap Stocks 22.1% -- -- 22.1% 13.2% 15% 0-45%
Small/Mid Cap Stocks 7.2% 1.0% 1.8% 10.0% 21.4% 15% 0-30%
International Stocks 22.2% -- -- 22.2% 11.0% 15% 0-30%
International Bonds 1.8% 1.3% -- 3.1% 2.5% 10% 0-20%
Real Estate Stocks 9.0% -- -- 9.0% 22.8% 15% 0-30%
U.S. Dollar Bonds 24.9% -- -- 24.9% 14.8% 25% 0-70%
Cash Equivalents 12.8% (2.3)% (1.8%) 8.7% 14.3% 5% 0-30%
-------------------------------------------------------------------------------
100.0% -- -- 100.0% 100.0% 100%
===============================================================================
</TABLE>
50 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
ASSET ALLOCATION: % OF
NET ASSETS NOTIONAL VALUE* ECONOMIC EXPOSURE*
ASSET CLASS 12/31/99 OF FUTURES OF OPTIONS 12/31/99 12/31/98 BENCHMARK RANGE
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
LEGACY
- ------
Large Cap Stocks 15.1% -- -- 15.1% 8.8% 10% 0-30%
Small/Mid Cap Stocks 4.9% 1.2% 1.9% 8.0% 14.5% 10% 0-20%
International Stocks 15.2% -- -- 15.2% 8.3% 10% 0-20%
International Bonds 3.4% 2.0% -- 5.4% 4.7% 10% 0-20%
Real Estate Stocks 5.5% -- -- 5.5% 16.2% 10% 0-20%
U.S. Dollar Bonds 44.0% -- -- 44.0% 24.2% 40% 0-100%
Cash Equivalents 11.9% (3.2)% (1.9)% 6.8% 23.2% 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.
WHAT IS YOUR OUTLOOK GOING FORWARD?
In response to wide credit yields, we plan to keep our equity REIT exposure to
an underweight position. We continue to hold an underweight position in
Small/Mid Cap stocks. Research has shown that when credit spreads (Treasury
yields - corporate bond yields) are wide as they are now, it indicates an
aversion to credit risk and a preference for liquidity, which are negative for
both small cap stocks and equity REITs. Alternatively, many foreign markets are
undervalued relative to their historic norms, and their fundamental outlook is
improving as growth rate expectations for foreign economies and company earnings
increase. We will continue to avoid foreign bond markets because interest rates
are generally more attractive in the U.S. than abroad. In fact, we have
increased our U.S. bond allocation in response to the increase in U.S. interest
rates over the past year.
The opinions expressed reflect those of the portfolio manager only through
December 31, 1999. The manager's opinions are subject to change at any time
based on market and other conditions. The composition, industries and holdings
of the Portfolios are subject to change.
See Definition of Terms. 51
<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 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 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.
The unmanaged indices described above are not available for individual
investment.
52
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
ASCENT
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
COMMON STOCKS (78.9%)
UNITED STATES (49.4%)
AIR TRANSPORT (0.3%)
America West Holdings Corp. + ............ 5,300 $ 109,975
Delta Air Lines, Inc. .................... 10,200 508,088
UAL Corp. + .............................. 1,300 100,831
----------
718,894
----------
AUTO PARTS AND HARDWARE (0.5%)
Audiovox Corp. + ......................... 4,300 130,075
Black & Decker Corp. ..................... 13,600 710,600
Cooper Tire & Rubber Co. ................. 19,300 300,356
----------
1,141,031
----------
AUTOMOTIVE (0.7%)
Ford Motor Co. ........................... 20,800 1,111,500
Monaco Coach Corp. + ..................... 15,300 391,107
Superior Industries International, Inc ... 500 13,406
----------
1,516,013
----------
BANKS AND THRIFTS (2.3%)
Astoria Financial Corp. .................. 2,400 73,050
Chase Manhattan Corp. .................... 17,600 1,367,300
Downey Financial Corp. ................... 1,600 32,300
Golden State Bancorp, Inc. + ............. 22,500 388,125
Golden West Financial Corp. .............. 27,000 904,500
J.P. Morgan & Co. ........................ 6,300 797,738
Republic New York Corp. .................. 2,600 187,200
SouthTrust Corp. ......................... 25,200 952,875
UnionBanCal Corp. ........................ 7,500 295,781
----------
4,998,869
----------
BIOTECH AND MEDICAL PRODUCTS (1.1%)
Bio-Rad Labs, Inc. + ..................... 24,000 561,000
Chiron Corp. + ........................... 3,700 156,787
Cooper Companies, Inc. ................... 3,800 114,475
Datascope Corp. + ........................ 2,400 96,000
Hanger Orthopedic Group, Inc. + .......... 11,200 112,000
IDEC Pharmaceuticals Corp. + ............. 1,000 98,250
Liposome Co., Inc. + ..................... 4,400 53,694
MedImmune, Inc. + ........................ 600 99,525
Mentor Corp. ............................. 4,400 113,575
Molecular Devices Corp. + ................ 3,800 197,600
Ocular Sciences, Inc. + .................. 7,400 139,675
Pathogenesis Corp. + ..................... 9,900 212,231
PolyMedica Corp. + ....................... 3,900 90,187
Thermo BioAnalysis Corp. + ............... 3,100 56,963
Varian, Inc. + ........................... 11,300 254,250
----------
2,356,212
----------
COMMERCIAL SERVICES (0.4%)
CMGI Inc. + .............................. 1,400 387,625
Franklin Covey Co. + ..................... 18,700 140,250
Galileo International, Inc. .............. 700 20,956
Herman Miller, Inc. ...................... 4,300 98,900
Mail-Well, Inc. + ........................ 4,900 66,150
Modis Professional Services + ............ 3,100 44,175
----------
758,056
----------
COMPUTERS (2.0%)
Apple Computer, Inc. + ................... 7,500 771,094
Cabletron Systems, Inc. + ............... 26,000 676,000
Gateway, Inc. + .......................... 10,400 749,450
Harmonic Inc. + .......................... 1,200 113,925
Sun Microsystems, Inc. + ................. 24,200 1,873,987
----------
4,184,456
----------
CONGLOMERATE AND AEROSPACE (0.6%)
Boeing Co. ............................... 17,200 714,875
Cordant Technologies, Inc. ............... 2,200 72,600
Northrop Grumman Corp. ................... 6,300 340,594
Textron, Inc. ............................ 800 61,350
----------
1,189,419
----------
CONSUMER FINANCE (0.3%)
Freddie Mac Corp. ........................ 11,900 560,044
----------
CONSUMER PRODUCTS (0.9%)
Kimberly-Clark Corp. ..................... 4,300 280,575
Procter & Gamble Co. ..................... 15,400 1,687,262
----------
1,967,837
----------
CONSUMER SERVICES (1.3%)
Argosy Gaming Co. + ...................... 4,700 73,144
Carnival Corp. ........................... 3,400 162,563
Extended Stay America, Inc. + ............ 48,300 368,287
Hollywood Park, Inc. + ................... 16,800 376,950
Jack in the Box Inc. + ................... 11,400 235,837
Lakes Gaming, Inc. + ..................... 12,925 102,592
MGM Grand, Inc. + ........................ 2,200 110,688
National R.V. Holdings, Inc. + ........... 22,000 423,500
Sonic Corp. + ............................ 18,850 537,225
Tricon Global Restaurants, Inc. + ........ 7,600 293,550
----------
2,684,336
----------
CONSUMER SPECIALTIES (0.7%)
Brunswick Corp. .......................... 37,800 841,050
JAKKS Pacific, Inc. + .................... 17,850 333,572
Russ Berrie & Co., Inc. .................. 13,800 362,250
----------
1,536,872
----------
DATA AND IMAGING SERVICES (6.9%)
Advanced Digital Information Corp + ...... 1,800 87,525
America Online, Inc. + ................... 15,000 1,131,562
Ancor Communications, Inc. + ............. 1,400 95,025
Aspen Technology, Inc. + ................. 2,800 74,025
Avant! Corp. + ........................... 2,200 33,000
Brio Technology, Inc. + .................. 1,900 79,800
BroadVision, Inc. + ...................... 1,100 187,069
Cisco Systems, Inc. + .................... 18,100 1,938,962
Citrix Systems, Inc. + ................... 700 86,100
Cognizant Technology Solutions Corp. + ... 1,200 131,175
Concord Communications, Inc. + ........... 1,300 57,688
See Notes to Portfolio of Investments. 53
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
ASCENT (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
DST Systems, Inc. + ...................... 200 $ 15,263
Electronic Data Systems Corp. ............ 10,400 696,150
Electronics for Imaging, Inc. + .......... 700 40,688
Emulex Corp. + ........................... 1,000 112,500
Exodus Communications, Inc. + ............ 1,200 106,575
FileNET Corp. + .......................... 2,300 58,650
First Data Corp. ......................... 14,300 705,169
Go2Net, Inc. + ........................... 500 43,500
In Focus Systems, Inc. + ................. 4,300 99,706
Legato Systems, Inc. + ................... 1,000 68,813
Mapics, Inc. + ........................... 9,500 119,937
Mercury Computer Systems, Inc. + ......... 9,600 336,000
Mercury Interactive Corp. + .............. 1,700 183,494
Microsoft Corp. + ........................ 37,300 4,354,775
National Computer Systems, Inc. .......... 600 22,575
Network Appliance, Inc. + ................ 1,200 99,675
Network Equipment Technology Inc. + ...... 7,200 85,050
Network Solutions, Inc. + ................ 600 130,537
Oracle Corp. + ........................... 1,100 123,269
Puma Technology, Inc. + .................. 1,400 182,875
QLogic Corp. + ........................... 1,300 207,837
Rational Software Corp. + ................ 1,600 78,600
Razorfish Inc. + ......................... 1,300 123,662
Remedy Corp. + ........................... 1,900 90,013
Sapient Corp. + .......................... 1,700 239,594
SEI Investments Co. ...................... 1,100 130,917
SERENA Software, Inc. + .................. 4,700 145,406
Siebel Systems, Inc. + ................... 1,600 134,400
Sterling Software, Inc. + ................ 2,700 85,050
TSI International Software Ltd. + ........ 2,200 124,575
Unify Corp. + ............................ 10,400 284,700
VeriSign, Inc. + ......................... 800 152,750
Xircom, Inc. + ........................... 13,500 1,012,500
Yahoo! Inc. + ............................ 700 302,881
-----------
14,600,017
-----------
DISCRETIONARY RETAIL (3.3%)
Abercrombie & Fitch Co. + ................ 1,000 26,688
American Eagle Outfitters, Inc. + ........ 4,550 204,750
Building Materials Holding Corp. + ....... 10,300 105,575
Cato Corp. (The) ......................... 7,600 95,950
Costco Wholesale Corp. + ................. 11,200 1,022,000
Dayton Hudson Co. ........................ 2,800 205,625
Federated Department Stores, Inc. + ...... 21,100 1,066,869
Home Depot, Inc. ......................... 15,600 1,069,575
Kohl's Corp. + ........................... 900 64,969
Lowe's Co., Inc. ......................... 11,100 663,225
Musicland Stores Corp. + ................. 41,500 350,156
PC Connection, Inc. + ................... 8,800 303,600
Sonic Automotive, Inc. + ................. 4,300 41,925
The Limited, Inc. ........................ 800 34,650
Wal-Mart Stores, Inc. .................... 23,501 1,624,464
Zale Corp. + ............................. 4,500 217,687
-----------
7,097,708
-----------
DIVERSIFIED FINANCIAL SERVICES (0.1%)
Providian Financial Corp. ................ 1,900 173,019
-----------
DRUGS (1.4%)
Allergan, Inc. ........................... 6,200 308,450
Andrx Corp. + ............................ 1,200 50,775
Dura Pharmaceuticals, Inc. + ............. 2,600 36,238
Johnson & Johnson ........................ 1,100 102,437
King Pharmaceuticals, Inc. + ............. 3,900 218,644
Medicis Pharmaceutical Corp. + ........... 3,100 131,944
Merck & Co., Inc. ........................ 8,900 596,856
Perrigo Co. + ............................ 3,900 31,200
Pfizer, Inc. ............................. 46,400 1,505,100
-----------
2,981,644
-----------
ELECTRIC UTILITIES (0.2%)
Allegheny Energy, Inc. ................... 2,800 75,425
Energy East Corp. ........................ 2,500 52,031
Florida Progress Corp. ................... 1,600 67,700
GPU, Inc. ................................ 9,500 284,406
Potomac Electric Power Co. ............... 300 6,881
Puget Sound Energy, Inc. ................. 700 13,563
-----------
500,006
-----------
ELECTRONIC MEDIA (0.4%)
Clear Channel Communications, Inc. + ..... 3,700 330,225
Pixar, Inc. + ............................ 2,700 95,512
Univision Communications, Inc. * ......... 3,300 337,219
-----------
762,956
-----------
FOOD AND BEVERAGE (0.4%)
Canandiagua Brands, Inc. + ............... 3,100 158,100
Coors (Adolph) Co. ....................... 1,400 73,500
Corn Products International, Inc. ........ 7,600 248,900
Earthgrains Co. (The) .................... 3,000 48,375
IBP, Inc. ................................ 3,700 66,600
Kellogg Co. .............................. 1,900 58,544
M&F Worldwide Corp. + .................... 29,600 149,850
Sara Lee Corp. ........................... 5,700 125,756
-----------
929,625
-----------
FOOD AND DRUG RETAIL (0.4%)
Sysco Corp. .............................. 21,600 854,550
-----------
FOREST PRODUCTS AND BUILDING MATERIALS (0.7%)
Champion International Corp. ............. 2,000 123,875
Georgia-Pacific Corp. .................... 18,700 949,025
International Paper Co. .................. 2,200 124,162
Temple-Inland Inc. ....................... 500 32,969
USG Corp. ................................ 2,000 94,250
Weyerhaeuser Co. ......................... 1,400 100,538
54 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Willamette Industries, Inc. .............. 1,100 $ 51,081
----------
1,475,900
----------
GAS UTILITIES (0.7%)
Energen Corp. ............................ 32,600 588,837
Kinder Morgan Inc. ....................... 4,200 84,788
Northwest Natural Gas Co. ................ 1,500 32,906
People's Energy Corp. .................... 700 23,450
Questar Corp. ............................ 6,100 91,500
Sempra Energy ............................ 44,426 771,902
----------
1,593,383
----------
HEALTH SERVICES (0.2%)
Lincare Holdings Inc. + .................. 800 27,750
MedQuist, Inc. + ......................... 2,100 54,206
Patterson Dental Co. + ................... 4,900 208,862
Sunquest Information Systems, Inc. + ..... 3,900 52,650
United Healthcare Corp. .................. 1,100 58,438
----------
401,906
----------
HEAVY MACHINERY (0.1%)
PACCAR, Inc. ............................. 3,800 168,388
----------
HOUSING AND FURNISHINGS (0.6%)
Maytag Corp. ............................. 800 38,400
MDC Holdings, Inc. ....................... 44,600 699,662
Pulte Corp. .............................. 11,000 247,500
Ryland Group, Inc. ....................... 9,000 207,563
----------
1,193,125
----------
INDUSTRIAL SERVICES (0.1%)
Reckson Service Industries, Inc. + ....... 4,332 270,209
----------
INSURANCE (0.6%)
AFLAC, Inc. .............................. 7,000 330,312
CIGNA Corp. .............................. 2,600 209,462
Conseco, Inc. ............................ 6,700 119,763
Lincoln National Corp. ................... 14,900 596,000
Mony Group Inc. + ........................ 1,000 29,188
PMI Group, Inc. (The) .................... 1,600 78,100
----------
1,362,825
----------
INVESTMENT SERVICES (0.8%)
Donaldson, Lufkin & Jenrette, Inc. ....... 1,200 58,050
Goldman Sachs Group, Inc. (The) .......... 200 18,838
Lehman Brothers Holdings Inc. ............ 12,300 1,041,656
Morgan Stanley Dean Witter & Co. ......... 4,000 571,000
----------
1,689,544
----------
MAJOR TELECOMMUNICATIONS (1.6%)
AT&T Corp. ............................... 16,500 837,375
BellSouth Corp. .......................... 23,300 1,090,731
MCI Worldcom, Inc. + ..................... 27,900 1,480,444
Western Wireless Corporation ............. 1,800 120,150
----------
3,528,700
----------
MISCELLANEOUS METALS (0.1%)
Freeport-McMoRan Copper & Gold, Inc. + ... 5,500 116,187
Minerals Technologies Inc. ............... 300 12,019
----------
128,206
----------
OIL (1.1%)
Apache Corp. ............................. 1,300 48,019
Atlantic Richfield Co. ................... 10,100 873,650
Kerr-McGee Corp. ......................... 3,200 198,400
Penn Virginia Corp. ...................... 24,000 402,000
Pennzoil-Quaker State Co. + .............. 2,030 20,681
Phillips Petroleum Co. ................... 1,700 79,900
Tesoro Petroleum Corp. + ................. 37,000 427,812
Ultramar Diamond Shamrock Corp. .......... 2,700 61,256
USX-Marathon Group ....................... 11,500 283,906
----------
2,395,624
----------
OIL SERVICES (0.3%)
Atwood Oceanics, Inc. + .................. 1,600 61,800
Nabors Industries, Inc. + ................ 13,100 405,281
Pride International, Inc. + .............. 3,900 57,038
Seitel, Inc. + ........................... 10,200 68,850
Tidewater, Inc. .......................... 700 25,200
Transocean Sedco Forex Inc. .............. 3,000 101,062
----------
719,231
----------
OTHER TELECOMMUNICATIONS (0.3%)
Broadwing Inc. ........................... 1,400 51,625
Citizens Utilities Co. + ................. 1,124 15,947
NEXTLINK Communications, Inc. + .......... 4,200 348,862
Telephone & Data Systems, Inc. ........... 1,500 189,000
United States Cellular Corp. + ........... 1,300 131,219
----------
736,653
----------
PRINT MEDIA (0.6%)
Central Newspapers, Inc. ................. 2,000 78,750
Gannett Co., Inc. ........................ 1,600 130,500
McClatchy Co. ............................ 4,600 198,950
Tribune Co. .............................. 14,800 814,925
----------
1,223,125
----------
PRODUCER GOODS (0.5%)
Dover Corp. .............................. 6,800 308,550
Graco, Inc. .............................. 2,700 96,863
Parker-Hannifin Corp. .................... 1,300 66,706
RTI International Metals, Inc. + ......... 13,900 104,250
Tecumseh Products Co. .................... 500 23,594
Transportation Technologies
Industries, Inc. + ...................... 14,100 254,681
Zebra Technologies, Inc. + ............... 4,000 234,000
----------
1,088,644
----------
REAL ESTATE INVESTMENT TRUSTS (11.3%)
Alexandria Real Estate Equities, Inc ..... 4,100 130,431
AMB Property Corp. ....................... 1,800 35,888
Apartment Investment & Management Co ..... 21,600 859,950
Avalon Bay Communities, Inc. ............. 14,170 486,208
Beacon Capital + * ....................... 38,400 460,800
Boston Properties, Inc. .................. 38,600 1,201,425
See Notes to Portfolio of Investments. 55
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
ASCENT (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Bradley Real Estate, Inc. ................ 6,300 $ 109,856
Cabot Industrial Trust ................... 7,300 134,138
Capital Automotive REIT, Inc. ............ 18,400 224,250
Captec Net Lease Realty, Inc. ............ 6,400 48,000
CBL & Associates Properties, Inc. ........ 16,800 346,500
Colonial Properties Trust ................ 23,100 535,631
Cornerstone Properties, Inc. ............. 22,500 329,062
Crescent Real Estate Equities, Inc. ...... 27,700 508,987
Criimi Mae, Inc. ......................... 12,200 17,538
Developers Diversified Realty Corp. ...... 16,000 206,000
Duke-Weeks Realty Corp. .................. 18,774 366,093
Equity Office Properties Trust ........... 99,600 2,452,650
Equity Residential Properties Trust ...... 55,424 2,365,912
First Industrial Realty Trust, Inc. ...... 9,800 268,887
General Growth Properties, Inc. .......... 14,900 417,200
Glenborough Realty Trust, Inc. ........... 9,900 132,413
Health Care REIT, Inc. ................... 4,600 69,575
Healthcare Realty Trust, Inc. ............ 9,857 154,016
Home Properties of New York, Inc. ........ 23,100 633,806
Hospitality Properties Trust ............. 18,600 354,562
HRPT Properties Trust .................... 41,500 373,500
Kimco Realty Corp. ....................... 53,200 1,802,150
Koger Equity, Inc. ....................... 10,600 178,875
Liberty Property Trust ................... 28,500 691,125
Manufactured Home Communities, Inc. ...... 2,400 58,350
National Golf Properties, Inc. ........... 3,900 77,025
Pan Pacific Retail Properties, Inc. ...... 6,300 102,769
Parkway Properties, Inc. ................. 4,800 138,300
Post Properties, Inc. .................... 20,600 787,950
Prentiss Properties Trust ................ 26,100 548,100
ProLogis Trust ........................... 39,600 762,300
PS Business Parks, Inc. .................. 20,800 473,200
Public Storage, Inc. ..................... 14,710 333,733
Reckson Associates Realty Corp. - Class B 2,233 50,801
Senior Housing Properties Trust .......... 4,180 51,989
Shurgard Storage Centers, Inc. ........... 3,900 90,431
Simon Property Group, Inc. ............... 33,100 759,231
SL Green Realty Corp. .................... 8,700 189,225
Spieker Properties, Inc. ................. 26,900 980,169
Starwood Financial Inc. .................. 21,570 365,342
Starwood Hotels & Resort Worldwide, Inc .. 18,650 438,275
Summit Properties Inc. ................... 23,600 421,850
Sun Communities, Inc. .................... 11,950 384,641
Vornado Operating Co. + .................. 1,495 8,970
Vornado Realty Trust ..................... 29,900 971,750
Weingarten Realty Investors .............. 7,500 292,031
-----------
24,181,860
-----------
SEMICONDUCTORS AND ELECTRONICS (4.7%)
Adaptec, Inc. + .......................... 3,900 194,512
ADC Telecommunications, Inc. + ........... 1,700 123,356
Alpha Industries, Inc. + ................. 1,600 91,700
Altera Corp. + ........................... 2,600 128,863
Amkor Technology, Inc. + ................. 1,200 33,900
Anaren Microwave, Inc. + ................. 4,500 243,562
Applied Materials, Inc. + ................ 11,400 1,444,237
Applied Micro Circuits Corp. + ........... 1,100 139,975
Applied Science and Technology, Inc. + ... 5,400 179,466
AVX Corp. ................................ 200 9,988
BroadCom Corp. + ......................... 700 190,663
Carrier Access Corp. + ................... 2,300 154,819
Comverse Technology, Inc. + .............. 800 115,800
Cybex Computer Products Corp. + .......... 1,700 68,850
Hadco Corp. + ............................ 2,700 137,700
Intel Corp. .............................. 8,600 707,887
KLA Instruments Corp. + .................. 9,200 1,024,650
Lattice Semiconductor Corp. + ............ 4,400 207,350
Lucent Technologies, Inc. ................ 8,600 643,387
Maxim Integrated Products, Inc. + ........ 1,600 75,500
Microchip Technology, Inc. + ............. 900 61,594
Micron Technology, Inc. + ................ 6,700 520,925
Novellus Systems, Inc. + ................. 1,200 147,038
PMC Sierra Inc. + ........................ 700 112,219
Powerwave Technologies, Inc. + ........... 600 35,025
QUALCOMM Inc. + .......................... 4,000 704,500
RF Micro Devices, Inc. + ................. 1,700 116,344
SanDisk Corporation + .................... 1,600 154,000
Sawtek, Inc. + ........................... 5,200 346,125
Scientific-Atlanta, Inc. ................. 5,400 300,375
SDL, Inc. + .............................. 200 43,600
Semtech Corp. + .......................... 8,100 422,212
Synopsys, Inc. + ......................... 300 20,025
Tellabs, Inc. + .......................... 16,300 1,046,256
Xilinx, Inc. + ........................... 2,800 127,313
-----------
10,073,716
-----------
SPECIALTY CHEMICALS (0.1%)
Lubrizol Corp. (The) ..................... 1,800 55,575
OM Group, Inc. ........................... 3,500 120,531
Praxair, Inc. ............................ 1,200 60,375
-----------
236,481
-----------
STEEL (0.1%)
Quanex Corp. ............................. 7,300 186,150
Steel Dynamics, Inc. + ................... 4,800 76,500
-----------
262,650
-----------
SURFACE TRANSPORT (0.5%)
Burlington Northern Santa Fe Corp. ....... 36,100 875,425
Covenant Transport, Inc. + ............... 2,000 34,750
Union Pacific Corp. ...................... 1,700 74,163
-----------
984,338
-----------
56 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
TEXTILES AND APPAREL (0.1%)
K-Swiss Inc. ............................. 5,600 $ 104,037
Nike, Inc. ............................... 1,900 94,169
Polymer Group, Inc. + .................... 4,300 78,475
Tommy Hilfiger Corp. + ................... 1,600 37,300
------------
313,981
------------
TOBACCO (0.1%)
Schweitzer-Mauduit International, Inc .... 12,500 167,969
------------
TOTAL UNITED STATES (COST $100,050,144)... 105,708,022
------------
FOREIGN COMMON STOCKS (29.5%)
AUSTRALIA (0.6%)
Foster's Brewing Group Ltd. (Food
and Beverage) ........................... 415,000 1,191,502
------------
CANADA (1.3%)
Alcan Aluminum Ltd. (Aluminum) ........... 1,700 70,019
BCE Inc. (Other Telecommunications) ...... 16,800 1,508,543
Canadian National Railway Co. (Surface
Transport) .............................. 34,800 915,675
Trizec Hahn Corp. (Real Estate
Investment Trusts) ...................... 11,200 189,000
------------
TOTAL CANADA 2,683,237
------------
DENMARK (1.3%)
Carli Gry International A/S
(Textiles and Apparel) .................. 28,100 319,137
Novo-Nordisk A/S (Drugs) ................. 4,800 636,002
Tele Danmark A/S (Other Telecommunications) 12,000 890,728
Vestas Wind Systems A/S (Producer Goods) + 5,600 991,861
------------
TOTAL DENMARK 2,837,728
------------
FINLAND (2.4%)
Comptel Oyj (Computer Software) + ........ 22,700 1,595,435
Nokia Corp., ADR (Semiconductors
and Electronics) ........................ 5,900 1,121,000
Perlos Oyj (Semiconductors and
Electronics) + .......................... 26,300 926,345
Pohjola Group Insurance Corp. (Insurance) 9,100 549,467
Tietoenator Oyj (Computer Software) ...... 15,100 942,145
------------
TOTAL FINLAND 5,134,392
------------
FRANCE (1.4%)
Axa (Insurance) .......................... 3,400 473,548
France Telecom SA (Other
Telecommunications) ..................... 3,400 449,255
Groupe Danone (Food and Beverage) ........ 2,500 588,715
Total Fina SA (Oil Services) ............. 4,446 592,836
Vivendi (Conglomerate and Aerospace) ..... 9,436 851,309
------------
TOTAL FRANCE 2,955,663
------------
GERMANY (3.0%)
Buderus AG (Forest Products and
Building Materials) ..................... 87,300 1,475,953
DePfa Deutsche Pfandbriefbank AG
(Banks and Thrifts) ..................... 13,700 $1,022,995
Fresenius Medical Care AG (Biotech
and Medical Products) ................... 10,100 862,935
Intershop Communications AG (Data
and Imaging Services) + ................. 3,600 1,014,401
Mannesmann AG (Data and Imaging Services) 3,700 891,777
Siemens AG (Electrical Machinery
and Instruments) ........................ 8,600 1,093,077
------------
TOTAL GERMANY 6,361,138
------------
HONG KONG (0.3%)
China Telecom Ltd., ADR (Other
Telecommunications) + ................... 5,100 655,669
------------
IRELAND (1.0%)
Allied Irish Banks (Banks and Thrifts) ... 36,426 414,961
CRH Plc (Forest Products and
Building Materials) ..................... 22,344 481,198
Waterford Wedgewood (Housing and
Furnishings) ............................ 1,178,599 1,197,944
------------
TOTAL IRELAND 2,094,103
------------
ITALY (0.1%)
Banca Nazionale del Lavoro (Banks
and Thrifts) + .......................... 89,200 297,127
------------
JAPAN (4.8%)
Canon, Inc. (Semiconductors and
Electronics) ............................ 17,000 675,607
FamilyMart Co., Ltd. (Discretionary Retail) 8,900 592,404
Fuji Heavy Industries Ltd. (Automotive) .. 44,000 301,488
Fujitsu Limited (Computers) .............. 11,000 501,762
Matsushita Electric Industrial Co., Ltd.
(Electrical Machinery and Instruments) .. 23,000 637,138
Matsushita-Kotobuki Electronics
Industries, Ltd. (Electrical
Machinery and Instruments) .............. 14,000 281,617
Nippon Telegraph & Telephone (Major
Telecommunications) ..................... 38 650,940
NTT Mobile Communication Network,
Inc. (Other Telecommunications) * ....... 22 846,319
Promise Co., Ltd. (Consumer Finance) ..... 2,000 101,801
Seino Transportation Co. Ltd. ............
(Surface Transport) ..................... 187,000 992,110
Sekisui Chemical Co., Ltd. ...............
(Specialty Chemicals) ................... 86,000 381,343
Shin-Etsu Chemical Co., Ltd. .............
(Specialty Chemicals) ................... 17,000 732,185
SoftBank Corp. (Semiconductors and
Electronics) ............................ 1,500 1,435,983
Sony Corp. (Housing and Furnishings) .... 4,400 1,305,012
Terumo Corp. (Biotech and Medical Products) 17,000 454,287
The Tokio Marine & Fire Insurance
Co., Ltd. (Insurance) ................... 39,000 456,196
------------
TOTAL JAPAN .............................. 10,346,192
------------
See Notes to Portfolio of Investments. 57
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
ASCENT (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
MEXICO (0.3%)
Telefonos de Mexico SA, ADR (Other
Telecommunications) * 6,601 $ 742,505
-----------
NETHERLANDS (4.1%)
Akzo Nobel NV (Specialty Chemicals) ...... 12,900 646,499
Getronics NV (Computers) ................. 10,600 844,851
ING Groep NV (Diversified Financial
Services) ............................... 11,559 697,246
Kloninklijke KPN NV (Major
Telecommunications) ..................... 6,100 594,843
KPNQwest N.V. (Other Telecommunications) * 17,800 1,184,051
Philips Electronics NV (Electrical
Machinery and Instruments) .............. 6,300 855,901
STMicroelectronics (Semiconductors
and Electronics) ........................ 5,400 830,360
United Pan-Europe Communications NV
(Other Telecommunications) + ............ 13,100 1,674,264
Vendex KBB N.V. (Discretionary Retail) ... 19,477 517,458
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd Bezit
(Print Media) ........................... 16,900 887,442
-----------
TOTAL NETHERLANDS 8,732,915
-----------
NORWAY (0.6%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ..................... 96,900 477,996
Ocean Rig ASA (Oil Services) + ........... 79,163 385,560
Petroleum Geo-Services ASA (PGS)
(Oil Services) * ........................ 29,000 517,889
-----------
TOTAL NORWAY 1,381,445
-----------
SPAIN (1.0%)
Telefonica Publicidad e
Informacion, S.A. (Consumer
Services) * ............................. 23,300 1,131,364
Telefonica de Espana (Major
Telecommunications) * ................... 38,862 969,897
-----------
TOTAL SPAIN 2,101,261
-----------
SWEDEN (1.5%)
Ericsson Telephone, ADR
(Telecommunications Equipment) .......... 23,400 1,537,087
HiQ International AB (Data and
Imaging Services) ....................... 15,100 967,835
Icon Medialab International AB
(Data and Imaging Services) * ........... 20,000 696,225
-----------
TOTAL SWEDEN 3,201,147
-----------
SWITZERLAND (0.7%)
Adecco SA (Surface Transport) ............ 970 755,385
The Swatch Group AG (Consumer
Specialties) ............................ 700 806,255
-----------
TOTAL SWITZERLAND 1,561,640
-----------
UNITED KINGDOM (5.1%)
AstraZeneca Group Plc (Drugs) ............ 9,800 406,613
Bank of Scotland (Banks and Thrifts) ..... 74,712 867,921
British Telecom Plc (Other
Telecommunications) ..................... 49,364 1,206,730
Cable & Wireless Plc (Other
Telecommunications) + ................... 111,900 1,896,559
Dixons Group Plc (Discretionary
Retail) ................................. 11,763 282,992
Granada Group Plc (Electronic Media) + ... 47,657 483,171
Kingfisher Plc (Discretionary Retail) .... 33,032 366,650
Prudential Plc (Insurance) ............... 66,300 1,306,875
Shell Transport & Trading Co. (Oil) ...... 77,100 640,915
Shire Pharmaceuticals Group PLC (Drugs) * 12,199 355,302
SmithKline Beecham Plc (Drugs) ........... 29,376 374,956
Viatel, Inc. (Other Telecommunications) + 25,800 1,383,525
Vodafone Group Plc (Other
Telecommunications) ..................... 85,150 422,017
WPP Group Plc (Commercial Services) ...... 64,400 1,020,741
-----------
TOTAL UNITED KINGDOM 11,014,967
-----------
TOTAL FOREIGN COMMON STOCKS (COST $47,032,439) 63,292,631
-----------
TOTAL COMMON STOCKS (COST $147,082,583) 169,000,653
-----------
PREFERRED STOCKS (0.0%)
Criimi Mae, Inc. + ....................... 918 7,688
TOTAL PREFERRED STOCKS (COST $78,731) .... 7,688
-----------
NUMBER OF
CONTRACTS
---------
CALL OPTIONS PURCHASED (0.2%)
Russell 2000 Index, Strike $470, Mar. 00 . 76 346,750
-----------
TOTAL CALL OPTIONS PURCHASED (COST $205,428) 346,750
-----------
PRINCIPAL
AMOUNT
---------
LONG-TERM BONDS AND NOTES (7.2%)
CORPORATE BONDS (1.7%)
ABN AMRO Bank NV,7.55%,06/28/06 .......... $ 35,000 34,873
AT&T Capital Corp.,6.75%,02/04/02 ........ 90,000 89,462
Bank of America
Corp.,5.75%,03/01/04 .................... 30,000 28,432
Capital Auto Receivables Asset
Trust,6.30%,05/15/04 .................... 370,000 367,471
Chemical Master Credit Card
Trust,7.09%,02/15/09 .................... 130,000 128,333
Conoco Inc.,5.90%,04/15/04 ............... 70,000 66,827
DaimlerChrysler NA Holdings
Inc.,7.20%,09/01/09 ..................... 84,000 82,472
Diageo Capital Plc,7.25%,11/01/09 ........ 90,000 88,186
Dow Chemical Co.,7.38%,11/01/29 .......... 30,000 28,695
Eastman Kodak Co.,6.50%,08/15/01 ......... 110,000 109,212
Ford Motor Credit
Corp.,6.70%,07/16/04 .................... 80,000 78,300
Ford Motor Credit
Corp.,7.38%,10/28/09 .................... 150,000 148,087
Fortune Brands, Inc.,6.63%,07/15/28 ...... 90,000 76,077
General Electric Capital Corp.,
6.81%,11/03/03 .......................... 110,000 109,175
GTE Corp.,9.38%,12/01/00 ................. 300,000 307,221
58 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
CORPORATE BONDS (CONTINUED)
MBNA Master Credit Card Trust,6.40%,
01/18/05 ................................ $ 400,000 $ 395,600
Morgan Stanley Dean Witter & Co.,7.13%,
01/15/03 ................................ 65,000 64,949
Morgan Stanley Dean Witter &
Co.,5.63%,01/20/04 ...................... 35,000 32,968
Quebec Province Co.,5.75%,02/15/09 ....... 185,000 164,221
Quebec Province Co.,7.50%,09/15/29 ....... 40,000 38,775
Raytheon Co.,6.75%,08/15/07 .............. 150,000 139,939
Texaco Capital, Inc.,5.50%,01/15/09 ...... 230,000 201,735
Tyco International Group SA,6.13%,01/15/09 700,000 616,546
U.S. West Communications Group,5.63%,
11/15/08 ................................ 90,000 78,213
United Technologies Corp.,7.50%,09/15/29 . 175,000 171,298
------------
TOTAL CORPORATE BONDS (COST $3,795,338) .. 3,647,067
------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (3.0%)
Federal Home Loan Mortgage
Association,5.75%,03/15/09 .............. 1,027,000 935,728
Federal National Mortgage
Association,6.00%,06/01/28-01/01/29 ..... 811,223 742,521
Federal National Mortgage
Association,6.63%,09/15/09 .............. 970,000 942,112
Federal National Mortgage
Association-Convertible
Loan,6.50%,11/01/27 ..................... 784,654 742,481
Government National Mortgage
Association,6.50%,01/15/29 .............. 1,128,973 1,060,529
Government National Mortgage
Association,7.00%,04/15/26-02/15/28 ..... 1,605,950 1,552,913
Government National Mortgage
Association,8.00%,07/15/24 .............. 410,899 416,075
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $6,695,344) 6,392,359
------------
U.S. GOVERNMENT OBLIGATIONS (2.5%)
U.S. Treasury
Note,5.25%,08/15/03-02/15/29 ............ 1,180,000 1,100,568
U.S. Treasury Note,5.38%,06/30/03 ........ 1,285,000 1,246,450
U.S. Treasury Note,5.50%,08/31/01 ........ 630,000 622,812
U.S. Treasury Note,5.63%,09/30/01 ........ 75,000 74,250
U.S. Treasury Note,5.88%,11/15/04 ........ 327,000 320,614
U.S. Treasury Note,6.00%,08/15/04-08/15/09 2,021,000 1,972,323
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (COST $5,447,336) 5,337,017
------------
TOTAL LONG-TERM BONDS AND NOTES (COST $15,938,018) 15,376,443
------------
SHORT-TERM INVESTMENTS (10.4%)
Federal Home Loan Bank,1.50%,01/03/00 .... 5,666,000 5,665,999
Merrill Lynch & Co., Inc.,5.57%,01/26/00 . 3,500,000 3,487,545
U.S. Treasury Bill,4.86%,02/17/00 @ ...... 1,700,000 1,689,673
U.S. Treasury Bill,4.92%,02/17/00 @ ...... 500,000 496,925
U.S. Treasury Bill,4.96%,02/17/00 @ ...... 100,000 99,380
U.S. Treasury Bill,4.98%,02/17/00 @ ...... 200,000 198,755
U.S. Treasury Bill,5.01%,02/17/00 @ ...... 200,000 198,748
U.S. Treasury Bill,5.03%,02/17/00 @ ...... 2,200,000 2,186,168
U.S. Treasury Bill,5.06%,02/17/00 @ ...... 200,000 198,735
Wheels Inc.,7.50%,01/05/00 + ............. 8,000,000 7,996,666
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $22,218,594)....................... 22,218,594
------------
TOTAL INVESTMENTS (COST $185,523,354)(A) . 206,950,128
OTHER ASSETS LESS LIABILITIES ............ 7,461,375
------------
TOTAL NET ASSETS ......................... $214,411,503
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$186,149,521. Unrealized gains and losses, based on identified tax cost at
December 31, 1999, are as follows:
Unrealized gains ................................... $ 30,888,795
Unrealized losses .................................. (10,088,188)
------------
Net unrealized gain ............................... $ 20,800,607
============
Information concerning open futures contracts at December 31, 1999 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
----------- ------------- ------------ --------------
LONG CONTRACTS
--------------
Long-Term Euro Bond
Futures............... 6 $ 628,808 Mar 00 $ (14,914)
Swiss Government Bond
Futures............... 8 602,148 Mar 00 (6,142)
---------- ----------
$1,230,956 $ (21,056)
========== ==========
Information concerning options written at December 31, 1999 is shown below:
NO. OF EXERCISE EXPIRATION MARKET
CONTRACTS PRICE DATE VALUE
------------ ----------- ------------- --------------
PUT OPTIONS
-----------
Russell 2000 Index ... 76 $470.00 Mar 00 $(78,850)
========
+ Non-income producing security.
* Restricted security. This security has been determined to be illiquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at December 31, 1999.
++ 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.
See Notes to Financial Statements. 59
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
ASCENT (CONTINUED)
================================================================================
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
Acquisition date and cost concerning illiquid securities at December 31, 1999 is
shown below:
ACQUISITION
DATE COST
----------- ----
Beacon Capital ..................... 3/17/98 $ 578,511
Wheels Inc. ........................ 12/28/99 7,996,667
----------
$8,575,178
==========
The market value of the total illiquid securities above is $8,457,466 which
represents 3.94% of the total net assets.
Category percentages are based on net assets.
60 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
CROSSROADS
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
COMMON STOCKS (60.9%)
UNITED STATES (38.5%)
AIR TRANSPORT (0.3%)
America West Holdings Corp. * ............ 4,300 $ 89,225
Delta Air Lines, Inc. .................... 7,300 363,631
UAL Corp. + .............................. 1,200 93,075
----------
545,931
----------
AUTO PARTS AND HARDWARE (0.6%)
Audiovox Corp. + ......................... 2,900 87,725
Black & Decker Corp. ..................... 17,700 924,825
Cooper Tire & Rubber Co. ................. 13,800 214,762
----------
1,227,312
----------
AUTOMOTIVE (0.5%)
Ford Motor Co. ........................... 11,000 587,812
Monaco Coach Corp. + ..................... 8,100 207,056
Superior Industries International, Inc. .. 2,300 61,669
TRW, Inc. ................................ 800 41,550
----------
898,087
----------
BANKS AND THRIFTS (1.9%)
Astoria Financial Corp. .................. 1,800 54,788
Chase Manhattan Corp. .................... 13,100 1,017,706
Downey Financial Corp. ................... 900 18,169
Golden State Bancorp, Inc. + ............. 21,900 377,775
Golden West Financial Corp. .............. 19,200 643,200
J.P. Morgan & Co. ........................ 4,700 595,137
Republic New York Corp. .................. 1,700 122,400
SouthTrust Corp. ......................... 17,600 665,500
UnionBanCal Corp. ........................ 6,800 268,175
----------
3,762,850
----------
BIOTECH AND MEDICAL PRODUCTS (0.6%)
Bio-Rad Labs, Inc. + ..................... 8,100 189,337
Chiron Corp. + ........................... 1,300 55,088
Cooper Companies, Inc. ................... 2,200 66,275
Datascope Corp. + ........................ 1,700 68,000
Gliatech Inc. + .......................... 2,600 43,225
Hanger Orthopedic Group, Inc. + .......... 9,200 92,000
IDEC Pharmaceuticals Corp. + ............. 600 58,950
Liposome Co., Inc. + ..................... 2,400 29,288
Mallinckrodt Inc. ........................ 500 15,906
MedImmune, Inc. + ........................ 400 66,350
Mentor Corp. ............................. 2,500 64,531
Molecular Devices Corp. + ................ 2,600 135,200
Ocular Sciences, Inc. + .................. 5,900 111,362
Pathogenesis Corp. + ..................... 4,800 102,900
PolyMedica Corp. + ....................... 2,600 60,125
Varian, Inc. + ........................... 3,500 78,750
----------
1,237,287
----------
COMMERCIAL SERVICES (0.3%)
CMGI Inc. + .............................. 800 221,500
Franklin Covey Co. + ..................... 14,600 109,500
Galileo International, Inc. .............. 600 17,962
Herman Miller, Inc. ...................... 4,100 94,300
Mail-Well, Inc. + ........................ 3,300 44,550
Modis Professional Services + ............ 3,100 44,175
----------
531,987
----------
COMPUTERS (1.4%)
Apple Computer, Inc. + ................... 5,900 606,594
Cabletron Systems, Inc. + ............... 19,600 509,600
Gateway, Inc. + .......................... 4,500 324,281
Harmonic Inc. + .......................... 600 56,962
Sun Microsystems, Inc. * ................. 16,400 1,269,975
----------
2,767,412
----------
CONGLOMERATE AND AEROSPACE (0.3%)
Boeing Co. ............................... 12,500 519,531
Cordant Technologies, Inc. ............... 2,400 79,200
General Electric Co. ..................... 1 155
Textron, Inc. ............................ 600 46,012
----------
644,898
----------
CONSUMER FINANCE (0.2%)
Crescent Operating, Inc. + ............... 320 880
Federal Home Loan Mortgage Corp .......... 7,800 367,087
----------
367,967
----------
CONSUMER PRODUCTS (0.6%)
Kimberly-Clark Corp. ..................... 3,300 215,325
Procter & Gamble Co. ..................... 8,300 909,369
----------
1,124,694
----------
CONSUMER SERVICES (1.1%)
Argosy Gaming Co. + ...................... 2,600 40,463
Carnival Corp. ........................... 2,700 129,094
Extended Stay America, Inc. * ............ 27,100 206,637
H&R Block, Inc. .......................... 13,600 595,000
Hollywood Park, Inc. + ................... 9,000 201,938
Jack in the Box Inc. + ................... 6,200 128,263
Lakes Gaming, Inc. + ..................... 8,450 67,072
MGM Grand, Inc. + ........................ 2,100 105,656
National R.V. Holdings, Inc. + ........... 13,150 253,137
Sonic Corp. + ............................ 6,100 173,850
Tricon Global Restaurants, Inc. * ........ 5,700 220,162
----------
2,121,272
----------
CONSUMER SPECIALTIES (0.5%)
Brunswick Corp. .......................... 29,500 656,375
JAKKS Pacific, Inc. + .................... 9,900 185,006
Russ Berrie & Co., Inc. .................. 4,700 123,375
----------
964,756
----------
DATA AND IMAGING SERVICES (4.9%)
Advanced Digital Information
Corp. + ................................. 1,000 48,625
America Online, Inc. + ................... 9,800 739,287
Ancor Communications, Inc. * ............. 800 54,300
Aspen Technology, Inc. + ................. 1,500 39,656
Avant! Corp. + ........................... 1,500 22,500
Brio Technology, Inc. + .................. 1,100 46,200
See Notes to Portfolio of Investments. 61
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
CROSSROADS (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
BroadVision, Inc. + ...................... 200 $ 34,013
Cisco Systems, Inc. + .................... 12,700 1,360,487
Citrix Systems, Inc. + ................... 600 73,800
Cognizant Technology Solutions Corp. + ... 700 76,519
Concord Communications, Inc. + ........... 700 31,063
DST Systems, Inc. + ...................... 200 15,263
Electronic Data Systems Corp. ............ 7,000 468,562
Electronics for Imaging, Inc. + .......... 700 40,688
Emulex Corp. + ........................... 200 22,500
Exodus Communications, Inc. + ............ 600 53,288
FileNET Corp. + .......................... 2,000 51,000
First Data Corp. ......................... 10,900 537,506
Go2Net, Inc. + ........................... 300 26,100
In Focus Systems, Inc. + ................. 3,000 69,562
Legato Systems, Inc. + ................... 1,000 68,812
Mapics, Inc. + ........................... 5,300 66,913
Mercury Computer Systems, Inc. + ......... 3,600 126,000
Mercury Interactive Corp. + .............. 1,200 129,525
Microsoft Corp. * ........................ 26,100 3,047,175
National Computer Systems, Inc. .......... 300 11,288
Network Appliance, Inc. + ................ 1,000 83,062
Network Equipment Technology Inc. + ...... 3,800 44,888
Network Solutions, Inc. + ................ 400 87,025
Puma Technology, Inc. * .................. 800 104,500
QLogic Corp. + ........................... 1,100 175,862
Rational Software Corp. + ................ 1,300 63,863
Razorfish Inc. * ......................... 700 66,588
Remedy Corp. + ........................... 1,100 52,113
Sapient Corp. * .......................... 1,200 169,125
SEI Co. .................................. 1,400 166,622
SERENA Software, Inc. + .................. 2,600 80,437
Siebel Systems, Inc. + ................... 1,400 117,600
Sterling Software, Inc. + ................ 2,700 85,050
TSI International Software Ltd. + ........ 1,600 90,600
Unify Corp. + ............................ 8,200 224,475
VeriSign, Inc. + ......................... 1,000 190,937
Xircom, Inc. + ........................... 6,900 517,500
Yahoo! Inc. + ............................ 300 129,806
----------
9,710,685
----------
DISCRETIONARY RETAIL (1.8%)
Abercrombie & Fitch Co. + ................ 900 24,019
American Eagle Outfitters, Inc. + ........ 4,100 184,500
Building Materials Holding Corp. + ....... 2,800 28,700
Costco Wholesale Corp. + ................. 1,000 91,250
Dayton Hudson Co. ........................ 1,600 117,500
Federated Department Stores, Inc. + ...... 15,600 788,775
Home Depot, Inc. ......................... 12,150 833,034
Kohl's Corp. + ........................... 600 43,312
Musicland Stores Corp. + ................. 20,100 169,594
Office Depot, Inc. + ..................... 3,000 32,813
PC Connection, Inc. + ................... 4,100 141,450
Sonic Automotive, Inc. + ................. 3,000 29,250
The Limited, Inc. ........................ 600 25,988
Wal-Mart Stores, Inc. .................... 16,500 1,140,562
----------
3,650,747
----------
DIVERSIFIED FINANCIAL SERVICES (1.0%)
Citigroup Inc. ........................... 26,850 1,491,853
Providian Financial Corp. ................ 4,950 450,760
----------
1,942,613
----------
DRUGS (1.1%)
Allergan, Inc. ........................... 4,800 238,800
Andrx Corp. + ............................ 900 38,081
Bristol-Myers Squibb Co. ................. 2,100 134,794
Dura Pharmaceuticals, Inc. + ............. 1,400 19,513
Johnson & Johnson ........................ 800 74,500
Medicis Pharmaceutical Corp. + ........... 1,700 72,356
Merck & Co., Inc. ........................ 6,500 435,906
Perrigo Co. + ............................ 3,500 28,000
Pfizer, Inc. ............................. 32,400 1,050,975
----------
2,092,925
----------
ELECTRIC UTILITIES (0.1%)
Allegheny Energy, Inc. ................... 3,000 80,813
Edison International Inc. ................ 1,800 47,138
Energy East Corp. ........................ 1,700 35,381
Potomac Electric Power Co. ............... 400 9,175
Public Service Enterprise Group, Inc. .... 900 31,331
Puget Sound Energy, Inc. ................. 600 11,625
----------
215,463
----------
ELECTRONIC MEDIA (0.3%)
Clear Channel Communications, Inc. + ..... 2,900 258,825
Pixar, Inc. + ............................ 2,400 84,900
Univision Communications, Inc. + ......... 2,500 255,469
----------
599,194
----------
FOOD AND BEVERAGE (0.3%)
Canandiagua Brands, Inc. + ............... 1,600 81,600
Coors (Adolph) Co. ....................... 1,400 73,500
Corn Products International, Inc ......... 4,100 134,275
Earthgrains Co. (The) .................... 1,600 25,800
IBP, Inc. ................................ 4,001 72,014
Kellogg Co. .............................. 1,500 46,219
M&F Worldwide Corp. + .................... 13,800 69,863
Sara Lee Corp. ........................... 4,400 97,075
----------
600,346
----------
FOOD AND DRUG RETAIL (0.3%)
Sysco Corp. .............................. 13,600 538,050
----------
FOREST PRODUCTS AND BUILDING MATERIALS (0 5%)
Champion International Corp. ............. 1,500 92,906
Georgia-Pacific Corp. .................... 13,200 669,900
62 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
International Paper Co. .................. 1,700 $ 95,944
Temple-Inland Inc. ....................... 300 19,781
USG Corp. ................................ 1,900 89,537
Weyerhaeuser Co. ......................... 1,000 71,813
----------
1,039,881
----------
GAS UTILITIES (0.5%)
Energen Corp. ............................ 16,200 292,612
Kinder Morgan Inc. ....................... 3,700 74,694
Northwest Natural Gas Co. ................ 800 17,550
People's Energy Corp. .................... 500 16,750
Questar Corp. ............................ 5,800 87,000
Sempra Energy ............................ 32,967 572,802
----------
1,061,408
----------
HEALTH SERVICES (0.1%)
Lincare Holdings Inc. * .................. 800 27,750
MedQuist, Inc. + ......................... 1,200 30,975
Patterson Dental Co. * ................... 2,700 115,088
Sunquest Information Systems, Inc. + ..... 2,400 32,400
----------
206,213
----------
HEAVY MACHINERY (0.2%)
PACCAR, Inc. ............................. 7,100 314,619
----------
HOUSING AND FURNISHINGS (0.3%)
Maytag Corp. ............................. 500 24,000
MDC Holdings, Inc. ....................... 24,300 381,206
Pulte Corp. .............................. 7,400 166,500
Ryland Group, Inc. ....................... 4,900 113,006
----------
684,712
----------
INDUSTRIAL SERVICES (0.0%)
Modtech, Inc. + .......................... 1,361 8,166
Reckson Service Industries, Inc. + ....... 1,292 80,589
----------
88,755
----------
INSURANCE (0.5%)
AFLAC, Inc. .............................. 1,300 61,344
CIGNA Corp. .............................. 1,000 80,563
Conseco, Inc. ............................ 4,700 84,012
Lincoln National Corp. ................... 14,300 572,000
MGIC Investment Corp. .................... 1,100 66,206
Mony Group Inc. + ........................ 700 20,431
PMI Group, Inc. (The) .................... 1,500 73,219
----------
957,775
----------
INVESTMENT SERVICES (0.8%)
Donaldson, Lufkin & Jenrette, Inc ........ 500 24,188
Lehman Brothers Holdings Inc. ............ 12,600 1,067,062
Morgan Stanley Dean Witter & Co .......... 3,100 442,525
----------
1,533,775
----------
MAJOR TELECOMMUNICATIONS (1.3%)
AT&T Corp. ............................... 11,500 583,625
BellSouth Corp. .......................... 20,700 969,019
MCI Worldcom, Inc. + ..................... 19,800 1,050,637
Western Wireless Corporation ............. 1,000 66,750
----------
2,670,031
----------
MISCELLANEOUS METALS (0.0%)
Freeport-McMoRan Copper & Gold, Inc. + ... 3,600 76,050
----------
OIL (0.5%)
Apache Corp. ............................. 1,000 36,938
Atlantic Richfield Co. ................... 2,600 224,900
Kerr-McGee Corp. ......................... 2,300 142,600
Penn Virginia Corp. ...................... 6,900 115,575
Phillips Petroleum Co. ................... 1,300 61,100
Tesoro Petroleum Corp. + ................. 18,200 210,437
Ultramar Diamond Shamrock Corp. .......... 2,500 56,719
USX-Marathon Group ....................... 8,000 197,500
----------
1,045,769
----------
OIL SERVICES (0.4%)
Nabors Industries, Inc. + ................ 9,999 309,344
Pride International, Inc. + .............. 2,100 30,713
Seitel, Inc. + ........................... 24,400 164,700
Tidewater, Inc. .......................... 900 32,400
Tosco Corp. .............................. 2,900 78,844
Transocean Sedco Forex Inc. .............. 3,100 104,431
----------
720,432
----------
OTHER TELECOMMUNICATIONS (0.3%)
Broadwing Inc. ........................... 1,900 70,063
Citizens Utilities Co. + ................. 1,116 15,833
NEXTLINK Communications, Inc. + .......... 3,200 265,800
Telephone & Data Systems, Inc. ........... 800 100,800
United States Cellular Corp. + ........... 1,100 111,031
----------
563,527
----------
PRINT MEDIA (1.2%)
Central Newspapers, Inc. ................. 1,900 74,813
Gannett Co., Inc. ........................ 1,200 97,875
Knight-Ridder, Inc. ...................... 24,400 1,451,800
McClatchy Co. ............................ 4,800 207,600
Times Mirror Co. ......................... 400 26,800
Tribune Co. .............................. 9,800 539,612
----------
2,398,500
----------
PRODUCER GOODS (0.5%)
Dover Corp. .............................. 1,000 45,375
Graco, Inc. .............................. 1,400 50,225
Ingersoll-Rand Co. ....................... 8,200 451,512
Parker-Hannifin Corp. .................... 900 46,181
Tecumseh Products Co. .................... 500 23,594
Transportation Technologies
Industries, Inc. + ...................... 8,600 155,338
Zebra Technologies, Inc. * ............... 2,200 128,700
----------
900,925
----------
REAL ESTATE INVESTMENT TRUSTS (9.1%)
Alexandria Real Estate Equities, Inc. .... 2,800 89,075
AMB Property Corp. ....................... 1,000 19,938
Apartment Investment & Management Co. .... 14,800 589,225
See Notes to Portfolio of Investments. 63
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
CROSSROADS (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Avalon Bay Communities, Inc. ............. 11,613 $ 398,471
Beacon Capital + * ....................... 25,900 310,800
Boston Properties, Inc. .................. 27,400 852,825
Bradley Real Estate, Inc. ................ 4,400 76,725
Cabot Industrial Trust ................... 4,700 86,363
Capital Automotive REIT, Inc. ............ 13,000 158,437
Captec Net Lease Realty, Inc. ............ 3,800 28,500
CBL & Associates Properties, Inc. ........ 10,100 208,312
Colonial Properties Trust ................ 11,000 255,062
Crescent Real Estate Equities, Inc. ...... 18,500 339,937
Criimi Mae, Inc. ......................... 8,100 11,644
Developers Diversified Realty Corp. ...... 11,500 148,063
Duke-Weeks Realty Corp. .................. 18,124 353,418
Equity Office Properties Trust ........... 70,500 1,736,062
Equity Residential Properties Trust ...... 36,637 1,563,942
Essex Property Trust, Inc. ............... 18,600 632,400
General Growth Properties, Inc. .......... 13,400 375,200
Glenborough Realty Trust, Inc. ........... 6,900 92,288
Health Care Property Investors, Inc. ..... 4,852 115,842
Health Care REIT, Inc. ................... 3,200 48,400
Healthcare Realty Trust, Inc. ............ 9,391 146,734
Home Properties of New York, Inc. ........ 16,000 439,000
Hospitality Properties Trust ............. 10,500 200,156
HRPT Properties Trust .................... 42,300 380,700
Kimco Realty Corp. ....................... 36,800 1,246,600
Koger Equity, Inc. ....................... 6,500 109,688
Liberty Property Trust ................... 15,300 371,025
Manufactured Home Communities, Inc. ...... 2,000 48,625
National Golf Properties, Inc. ........... 2,200 43,450
Pan Pacific Retail Properties, Inc. ...... 4,400 71,775
Parkway Properties, Inc. ................. 7,000 201,687
Post Properties, Inc. .................... 12,200 466,650
Prentiss Properties Trust ................ 17,200 361,200
ProLogis Trust ........................... 27,100 521,675
PS Business Parks, Inc. .................. 19,100 434,525
Public Storage, Inc. ..................... 1,116 25,319
Reckson Associates Realty Corp. - Class B 1,530 34,808
Senior Housing Properties Trust .......... 4,190 52,113
Shurgard Storage Centers, Inc. ........... 2,500 57,969
Simon Property Group, Inc. ............... 11,700 268,369
SL Green Realty Corp. .................... 5,900 128,325
Spieker Properties, Inc. ................. 17,700 644,944
Starwood Financial Inc. .................. 14,900 252,369
Starwood Hotels & Resort
Worldwide, Inc. ......................... 13,600 319,600
Summit Properties Inc. ................... 16,600 296,725
Sun Communities, Inc. .................... 46,550 1,498,328
Vornado Operating Co. + .................. 965 5,790
Vornado Realty Trust ..................... 20,400 663,000
-----------
17,782,078
-----------
SEMICONDUCTORS AND ELECTRONICS (3.6%)
Adaptec, Inc. + .......................... 5,000 249,375
ADC Telecommunications, Inc. + ........... 1,300 94,331
Altera Corp. + ........................... 2,900 143,731
Amkor Technology, Inc. + ................. 600 16,950
Anaren Microwave, Inc. + ................. 2,400 129,900
Applied Materials, Inc. + ................ 8,300 1,051,506
Applied Micro Circuits Corp. + ........... 1,200 152,700
Applied Science and Technology, Inc. + ... 3,000 99,703
AVX Corp. ................................ 200 9,988
BroadCom Corp. + ......................... 500 136,187
Carrier Access Corp. + ................... 500 33,656
Comverse Technology, Inc. + .............. 600 86,850
Cybex Computer Products Corp. + .......... 1,000 40,500
Hadco Corp. + ............................ 2,700 137,700
Intel Corp. .............................. 6,200 510,337
Inter-Tel, Inc. .......................... 1,900 47,500
KLA Instruments Corp. + .................. 5,200 579,150
Lattice Semiconductor Corp. + ............ 2,800 131,950
Lucent Technologies, Inc. ................ 6,000 448,875
Maxim Integrated Products, Inc. + ........ 1,400 66,063
Microchip Technology, Inc. + ............. 500 34,219
Micron Technology, Inc. + ................ 5,000 388,750
MIPS Technologies, Inc. * ................ 1,200 62,400
Novellus Systems, Inc. + ................. 600 73,519
Park Electrochemical Corp. ............... 2,800 74,375
PMC Sierra Inc. * ........................ 700 112,219
Powerwave Technologies, Inc. + ........... 300 17,513
QUALCOMM Inc. + .......................... 4,800 845,400
RF Micro Devices, Inc. + ................. 1,600 109,500
Sawtek, Inc. + ........................... 1,600 106,500
SDL, Inc. + .............................. 100 21,800
Semtech Corp. * .......................... 3,200 166,800
Synopsys, Inc. + ......................... 200 13,350
Tellabs, Inc. + .......................... 9,700 622,619
Texas Instruments, Inc. .................. 3,600 348,750
-----------
7,164,666
-----------
SPECIALTY CHEMICALS (0.1%)
Lubrizol Corp. (The) ..................... 1,900 58,663
OM Group, Inc. ........................... 1,900 65,431
Praxair, Inc. ............................ 900 45,281
-----------
169,375
-----------
STEEL (0.1%)
Quanex Corp. ............................. 3,900 99,450
Steel Dynamics, Inc. + ................... 1,600 25,500
-----------
124,950
-----------
SURFACE TRANSPORT (0.3%)
Burlington Northern Santa Fe Corp ........ 26,100 632,925
Covenant Transport, Inc. + ............... 1,300 22,587
Union Pacific Corp. ...................... 600 26,175
-----------
681,687
-----------
64 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
TEXTILES AND APPAREL (0.1%)
K-Swiss Inc. ............................. 2,500 $ 46,445
Nike, Inc. ............................... 1,500 74,344
Polymer Group, Inc. * .................... 2,400 43,800
Tommy Hilfiger Corp. + ................... 1,600 37,300
201,889
-----------
TOTAL UNITED STATES (COST $71,534,166) 75,931,493
-----------
FOREIGN COMMON STOCKS (22.4%)
AUSTRALIA (0.4%)
Foster's Brewing Group Ltd.
(Food and Beverage) ..................... 287,000 824,003
-----------
CANADA (1.0%)
Alcan Aluminum Ltd. (Aluminum) ........... 1,300 53,544
BCE Inc. (Other
Telecommunications) ..................... 12,500 1,122,428
Canadian National Railway Co. ............
(Surface Transport) ..................... 24,100 634,131
Trizec Hahn Corp. (Real Estate
Investment Trusts) ...................... 7,800 131,625
-----------
TOTAL CANADA 1,941,728
-----------
DENMARK (1.0%)
Carli Gry International A/S
(Textiles and Apparel) .................. 14,800 168,086
Novo-Nordisk A/S (Drugs) ................. 3,500 463,752
Tele Danmark A/S
(Other Telecommunications) .............. 8,600 638,355
Vestas Wind Systems A/S (Producer Goods) * 3,900 690,760
-----------
TOTAL DENMARK 1,960,953
-----------
FINLAND (1.3%)
Comptel Oyj (Computer Software) + ........ 2,000 140,567
Nokia Corp., ADR
(Telecommunications) .................... 4,700 893,000
Perlos Oyj (Semiconductors and
Electronics) + .......................... 12,000 422,667
Pohjola Group Insurance Corp. (Insurance) 6,300 380,400
Tietoenator Oyj (Computer Software) ...... 10,400 648,895
-----------
TOTAL FINLAND 2,485,529
-----------
FRANCE (0.9%)
Axa (Insurance) .......................... 2,200 306,414
France Telecom SA (Other
Telecommunications) ..................... 2,600 343,548
Groupe Danone (Food and Beverage) ........ 900 211,937
Total Fina SA (Oil Services) ............. 3,287 438,293
Vivendi (Conglomerate and Aerospace) ..... 6,527 588,861
-----------
TOTAL FRANCE 1,889,053
-----------
GERMANY (2.1%)
Buderus AG (Forest Products and
Building Materials) ..................... 49,000 828,427
DePfa Deutsche Pfandbriefbank
AG (Banks and Thrifts) .................. 9,400 701,909
Fresenius Medical Care AG
(Biotech and Medical Products) .......... 7,000 598,074
Intershop Communications AG
(Data and Imaging Services) + ........... 2,600 732,623
Mannesmann AG (Data and Imaging
Services) ............................... 2,000 482,041
Siemens AG (Electrical
Machinery and Instruments) .............. 6,400 813,453
-----------
TOTAL GERMANY 4,156,527
-----------
HONG KONG (0.2%)
China Telecom Ltd., ADR (Other
Telecommunications) + ................... 2,900 372,831
-----------
IRELAND (0.8%)
Allied Irish Banks (Banks and Thrifts) ... 26,379 300,506
CRH Plc (Forest Products and
Building Materials) ..................... 18,281 393,698
Waterford Wedgewood (Housing
and Furnishings) ........................ 814,982 828,359
-----------
TOTAL IRELAND 1,522,563
-----------
ITALY (0.1%)
Banca Nazionale del Lavoro
(Banks and Thrifts) + ................... 70,400 234,504
-----------
JAPAN (3.8%)
Canon, Inc. (Semiconductors and
Electronics) ............................ 12,000 476,899
FamilyMart Co., Ltd. .....................
(Discretionary Retail) .................. 6,600 439,311
Fuji Heavy Industries Ltd. (Automotive) .. 35,000 239,820
Fujitsu Limited (Computers) .............. 8,000 364,918
Matsushita Electric Industrial Co., Ltd.
(Electrical Machinery and Instruments) .. 16,000 443,226
Matsushita-Kotobuki Electronics Industries,
Ltd. (Electrical Machinery and Instruments) 11,000 221,271
Nippon Telegraph & Telephone
(Major Telecommunications) .............. 33 565,290
NTT Mobile Communication Network, Inc.
(Other Telecommunications) + ............ 17 653,974
Promise Co., Ltd. (Consumer Finance) ..... 1,500 76,351
Seino Transportation Co. Ltd.
(Surface Transport) ..................... 130,000 689,702
Sekisui Chemical Co., Ltd.
(Specialty Chemicals) ................... 53,000 235,014
Shin-Etsu Chemical Co., Ltd.
(Specialty Chemicals) ................... 12,000 516,836
SoftBank Corp. (Semiconductors
and Electronics) ........................ 1,000 957,322
Sony Corp. (Housing and Furnishings) ..... 3,100 919,440
Terumo Corp. (Biotech and
Medical Products) ....................... 14,000 374,119
The Tokio Marine & Fire Insurance Co., Ltd.
(Insurance) ............................. 28,000 327,525
-----------
TOTAL JAPAN 7,501,018
-----------
MEXICO (0.3%)
Telefonos de Mexico SA, ADR
(Other Telecommunications) + ............ 4,900 551,250
-----------
NETHERLANDS (3.2%)
Akzo Nobel NV (Specialty Chemicals) ...... 9,500 476,104
See Notes to Portfolio of Investments. 65
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
CROSSROADS (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
NETHERLANDS (CONTINUED)
Getronics NV (Computers) ................. 7,700 $ 613,713
ING Groep NV (Diversified Financial
Services) ............................... 7,792 470,018
Kloninklijke KPN NV (Major
Telecommunications) ..................... 4,600 448,570
KPNQwest N.V. (Other Telecommunications) * 12,300 818,193
Philips Electronics NV (Electrical
Machinery and Instruments) .............. 4,300 584,186
Royal Dutch Petroleum Co. (Oil) .......... 1,500 90,656
STMicroelectronics (Semiconductors
and Electronics) ........................ 4,200 645,835
United Pan-Europe Communications NV
(Other Telecommunications) * ............ 9,100 1,163,039
Vendex KBB N.V. (Discretionary Retail) ... 14,055 373,408
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd
Bezit (Print Media) ..................... 12,500 656,392
------------
TOTAL NETHERLANDS 6,340,114
------------
NORWAY (0.5%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ..................... 69,900 344,808
Ocean Rig ASA (Oil Services) + ........... 58,945 287,088
Petroleum Geo-Services ASA
(PGS) (Oil Services) + .................. 20,900 373,237
------------
TOTAL NORWAY 1,005,133
------------
SPAIN (0.8%)
Telefonica Publicidad e
Informacion, S.A. (Consumer Services) + . 16,800 815,747
Telefonica de Espana (Major
Telecommunications) * ................... 28,254 705,149
------------
TOTAL SPAIN 1,520,896
------------
SWEDEN (1.1%)
Ericsson Telephone, ADR
(Telecommunications Equipment) .......... 17,400 1,142,962
HiQ International AB (Data and
Imaging Services) ....................... 10,400 666,588
Icon Medialab International AB
(Data and Imaging Services) + ........... 11,000 382,924
------------
TOTAL SWEDEN 2,192,474
------------
SWITZERLAND (0.6%)
Adecco SA (Surface Transport) ............ 760 591,848
The Swatch Group AG (Consumer Specialties) 500 575,897
------------
TOTAL SWITZERLAND 1,167,745
------------
UNITED KINGDOM (4.3%)
AstraZeneca Group Plc (Drugs) ............ 7,200 298,736
Bank of Scotland (Banks and Thrifts) ..... 51,904 602,963
British Telecom Plc (Other
Telecommunications) ..................... 31,819 777,833
Cable & Wireless Plc (Other
Telecommunications) + ................... 77,700 1,316,913
Dixons Group Plc (Discretionary Retail) .. 9,853 237,041
Granada Group Plc (Electronic Media) + ... 30,817 312,439
Kingfisher Plc (Discretionary Retail) .... 26,909 298,686
Prudential Plc (Insurance) ............... 45,900 904,760
Shell Transport & Trading Co. (Oil) ...... 57,200 475,491
Shire Pharmaceuticals Group PLC (Drugs) + 11,574 337,081
SmithKline Beecham Plc (Drugs) ........... 24,218 309,119
Stagecoach Holdings Plc (Surface Transport) 196,141 505,464
Viatel, Inc. (Other
Telecommunications) + ................... 19,100 1,024,237
Vodafone Group Plc (Other
Telecommunications) ..................... 61,715 305,869
WPP Group Plc (Commercial Services) ...... 47,600 754,461
------------
TOTAL UNITED KINGDOM 8,461,093
------------
TOTAL FOREIGN COMMON STOCKS (COST $32,626,664) 44,127,414
------------
TOTAL COMMON STOCKS (COST $104,160,830) .. 120,058,907
------------
PREFERRED STOCKS (0.0%)
Criimi Mae, Inc. + ....................... 609 5,100
------------
TOTAL PREFERRED STOCKS (COST $52,024) 5,100
------------
NUMBER OF
CONTRACTS
---------
CALL OPTIONS PURCHASED (0.2%)
Russell 2000 Index, Strike $470, Mar. 00 . 71 323,938
------------
TOTAL CALL OPTIONS PURCHASED (COST $191,913) 323,938
------------
PRINCIPAL
AMOUNT
---------
LONG-TERM BONDS AND NOTES (26.8%)
CORPORATE BONDS (6.9%)
ABN AMRO Bank NV,7.55%,06/28/06 .......... $ 130,000 129,527
AT&T Capital Corp.,6.75%,02/04/02 ........ 350,000 347,907
Bank of America Corp.,5.75%,03/01/04 ..... 100,000 94,774
Capital Auto Receivables Asset
Trust,6.30%,05/15/04 .................... 1,100,000 1,092,480
Chemical Master Credit Card
Trust,7.09%,02/15/09 .................... 640,000 631,795
Conoco Inc.,5.90%,04/15/04 ............... 330,000 315,041
DaimlerChrysler NA Holdings
Inc.,7.20%,09/01/09 ..................... 241,000 236,615
Diageo Capital Plc,7.25%,11/01/09 ........ 320,000 313,549
Dow Chemical Co.,7.38%,11/01/29 .......... 110,000 105,215
Eastman Kodak Co.,6.50%,08/15/01 ......... 300,000 297,852
Ford Motor Credit Corp.,6.70%,07/16/04 ... 310,000 303,413
Ford Motor Credit Corp.,7.38%,10/28/09 ... 500,000 493,625
Fortune Brands, Inc.,6.63%,07/15/28 ...... 250,000 211,326
General Electric Capital
Corp.,6.81%,11/03/03 .................... 380,000 377,150
GTE Corp.,9.38%,12/01/00 ................. 900,000 921,663
Household Finance Corp.,5.88%,09/25/04 ... 625,000 589,769
Korea Development Bank,7.13%,09/17/01 .... 700,000 694,862
MBNA Master Credit Card
Trust,6.40%,01/18/05 .................... 1,400,000 1,384,600
Morgan Stanley Dean Witter
7.125,7.13%,01/15/03 .................... 225,000 224,822
66 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
CORPORATE BONDS (CONTINUED)
Morgan Stanley Dean Witter &
Co.,5.63%,01/20/04 ...................... 115,000 $ 108,322
National Australia
Bank,6.40%,12/10/07 ..................... 1,000,000 951,140
Norwest Financial,
Inc.,5.38%,09/30/03 ..................... 625,000 588,862
Quebec Province
Co.,5.75%,02/15/09 ...................... 400,000 355,072
Quebec Province
Co.,7.50%,09/15/29 ...................... 130,000 126,018
Raytheon Co.,6.75%,08/15/07 .............. 420,000 391,831
Texaco Capital,
Inc.,5.50%,01/15/09 ..................... 625,000 548,194
Tyco International Group
SA,6.13%,01/15/09 ....................... 1,200,000 1,056,936
U.S. West Communications
Group,5.63%,11/15/08 .................... 290,000 252,019
United Technologies
Corp.,7.50%,09/15/29 .................... 450,000 440,481
------------
TOTAL CORPORATE BONDS (COST $14,053,361) . 13,584,860
------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (10.2%)
Federal National Mortgage
Association,5.75%,03/15/09 .............. 3,070,000 2,797,163
Federal National Mortgage
Association,6.00%,06/01/28-02/01/29 ..... 4,914,056 4,497,883
Federal National Mortgage
Association,6.63%,09/15/09 .............. 2,940,000 2,855,475
Federal National Mortgage
Association - Convertible
Loan,6.50%,02/01/28 ..................... 1,721,607 1,625,949
Government National Mortgage
Association,6.50%,01/15/29 .............. 3,043,319 2,858,818
Government National Mortgage
Association,7.00%,12/15/27-02/15/28 ..... 3,904,265 3,774,657
Government National Mortgage
Association,7.50%,12/15/23 .............. 1,226,341 1,220,624
Government National Mortgage
Association,8.00%,07/15/24 .............. 493,079 499,290
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $21,146,995) ........... 20,129,859
------------
U.S. GOVERNMENT OBLIGATIONS (9.7%)
U.S. Treasury
Note,5.25%,08/15/03-02/15/29 ............ 8,632,000 8,142,356
U.S. Treasury Note,5.50%,03/31/03 ........ 5,635,000 5,495,026
U.S. Treasury Note,6.00%,08/15/04
- 08/15/09 ............................. 5,803,000 5,651,069
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $19,669,352) ...................... 19,288,451
------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $54,869,708) ...................... 53,003,170
------------
SHORT-TERM INVESTMENTS (9.7%)
Federal Home Loan Bank,1.50%,01/03/00 .... 3,981,000 3,981,000
Merrill Lynch & Co., Inc.,5.57%,01/26/00 . 2,500,000 2,491,103
U.S. Treasury Bill,4.86%,02/17/00 @ ...... 1,200,000 1,192,710
U.S. Treasury Bill,4.87%,02/17/00 @ ...... 100,000 99,392
U.S. Treasury Bill,4.92%,02/17/00 @ ...... 300,000 298,155
U.S. Treasury Bill,4.96%,02/17/00 @ ...... 200,000 198,760
U.S. Treasury Bill,4.98%,02/17/00 @ ...... 100,000 99,378
U.S. Treasury Bill,5.01%,02/17/00 @ ...... 100,000 99,374
U.S. Treasury Bill,5.03%,02/17/00 @ ...... 4,600,000 4,571,078
U.S. Treasury Bill,5.06%,02/17/00 @ ...... 200,000 198,735
Wheels Inc.,7.50%,01/05/00 + ............. 6,000,000 5,997,499
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $19,227,184) ...................... 19,227,184
------------
TOTAL INVESTMENTS (COST $178,501,659)(A) . 192,618,299
OTHER ASSETS LESS LIABILITIES ............ 5,083,249
------------
TOTAL NET ASSETS ......................... 197,701,548
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$179,216,892. Unrealized gains and losses, based on identified tax cost at
December 31, 1999, are as follows:
Unrealized gains ................................... $ 21,670,830
Unrealized losses .................................. (8,269,423)
------------
Net unrealized gain ............................... $ 13,401,407
============
Information concerning open futures contracts at December 31, 1999 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
---------- ------------ ----------- ---------------
LONG CONTRACTS
--------------
Russell 2000 Index
Futures................ 8 2,039,800 Mar 00 39,379
Long-Term Euro Bond
Futures................ 14 1,467,218 Mar 00 (34,800)
Swiss Government Bond
Futures................ 13 978,490 Mar 00 (9,973)
---------- ----------
$4,485,508 $ (5,394)
========== ==========
Information concerning options written at December 31, 1999 is shown below:
NO. OF EXERCISE EXPIRATION MARKET
CONTRACTS PRICE DATE VALUE
------------ ----------- ------------- --------------
PUT OPTIONS
-----------
Russell 2000 Index ... 71 $470.00 Mar 00 $(73,663)
========
See Notes to Financial Statements. 67
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
CROSSROADS (CONTINUED)
================================================================================
NOTES TO PORTFOLIO OF INVESTMENTS (CONTINUED)
+ Non-income producing security.
* Restricted security. This security has been determined to be illiquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at December 31, 1999.
++ 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 December 31, 1999 is
shown below:
ACQUISITION
DATE COST
------------ ----------
Beacon Capital ..................... 3/17/98 $ 390,193
Wheels Inc. ........................ 12/28/99 5,997,500
----------
$6,387,693
==========
The market value of the total illiquid securities above is $6,308,299 which
represents 3.19% of the total net assets.
Category percentages are based on net assets.
68 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
LEGACY
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
COMMON STOCKS (40.9%)
UNITED STATES (25.6%)
AIR TRANSPORT (0.2%)
America West Holdings Corp. + ............ 800 $ 16,600
Delta Air Lines, Inc. .................... 3,300 164,381
UAL Corp. + .............................. 600 46,538
----------
227,519
----------
ALUMINUM (0.1%)
Alcoa Inc. ............................... 800 66,400
----------
AUTO PARTS AND HARDWARE (0.5%)
Audiovox Corp. + ......................... 1,400 42,350
Black & Decker Corp. ..................... 10,100 527,725
Cooper Tire & Rubber Co. ................. 7,100 110,494
----------
680,569
----------
AUTOMOTIVE (0.3%)
Delphi Automotive Systems Corp. .......... 1,607 25,310
Ford Motor Co. ........................... 4,000 213,750
Monaco Coach Corp. + ..................... 3,700 94,582
Superior Industries International, Inc. .. 100 2,681
TRW, Inc. ................................ 400 20,775
----------
357,098
----------
BANKS AND THRIFTS (1.3%)
Astoria Financial Corp. .................. 900 27,394
Chase Manhattan Corp. .................... 5,500 427,281
Downey Financial Corp. ................... 400 8,075
Golden State Bancorp, Inc. * ............. 11,400 196,650
Golden West Financial Corp. .............. 9,300 311,550
J.P. Morgan & Co. ........................ 2,100 265,913
Republic New York Corp. .................. 800 57,600
SouthTrust Corp. ......................... 8,500 321,406
UnionBanCal Corp. ........................ 3,100 122,256
----------
1,738,125
----------
BIOTECH AND MEDICAL PRODUCTS (0.5%)
Bio-Rad Labs, Inc. + ..................... 4,500 105,187
Chiron Corp. + ........................... 600 25,425
Cooper Companies, Inc. ................... 1,000 30,125
Datascope Corp. + ........................ 800 32,000
Gliatech Inc. + .......................... 600 9,975
Hanger Orthopedic Group, Inc. * .......... 6,300 63,000
IDEC Pharmaceuticals Corp. + ............. 200 19,650
Liposome Co., Inc. + ..................... 1,100 13,423
Mallinckrodt Inc. ........................ 200 6,363
MedImmune, Inc. + ........................ 200 33,175
Mentor Corp. ............................. 1,600 41,300
Molecular Devices Corp. + ................ 1,300 67,600
Ocular Sciences, Inc. + .................. 3,100 58,512
PolyMedica Corp. + ....................... 2,100 48,563
Varian, Inc. + ........................... 3,200 72,000
----------
626,298
----------
COMMERCIAL SERVICES (0.2%)
CMGI Inc. + .............................. 400 110,750
Franklin Covey Co. + ..................... 7,500 56,250
Galileo International, Inc. .............. 300 8,981
Herman Miller, Inc. ...................... 1,700 39,100
Mail-Well, Inc. + ........................ 1,700 22,950
Modis Professional Services + ............ 1,300 18,525
----------
256,556
----------
COMPUTERS (1.0%)
Apple Computer, Inc. + ................... 2,600 267,313
Cabletron Systems, Inc. + ............... 9,000 234,000
Gateway, Inc. + .......................... 3,000 216,188
Harmonic Inc. + .......................... 300 28,481
Sun Microsystems, Inc. + ................. 7,400 573,037
----------
1,319,019
----------
CONGLOMERATE AND AEROSPACE (0.2%)
Boeing Co. ............................... 5,200 216,125
Cordant Technologies, Inc. ............... 1,200 39,600
Textron, Inc. ............................ 300 23,006
----------
278,731
----------
CONSUMER FINANCE (0.0%)
Freddie Mac Corp. ........................ 1,301 61,186
----------
CONSUMER PRODUCTS (0.4%)
Kimberly-Clark Corp. ..................... 1,400 91,350
Procter & Gamble Co. ..................... 3,900 427,294
----------
518,644
----------
CONSUMER SERVICES (0.6%)
Argosy Gaming Co. + ...................... 1,500 23,344
Carnival Corp. ........................... 1,200 57,375
Extended Stay America, Inc. + ............ 12,300 93,787
H&R Block, Inc. .......................... 5,300 231,875
Hollywood Park, Inc. + ................... 4,200 94,237
Jack in the Box Inc. + ................... 2,800 57,925
MGM Grand, Inc. + ........................ 900 45,281
National R.V. Holdings, Inc. + ........... 3,750 72,188
Sonic Corp. * ............................ 800 22,800
Tricon Global Restaurants, Inc. * ........ 3,200 123,600
----------
822,412
----------
CONSUMER SPECIALTIES (0.3%)
Brunswick Corp. .......................... 14,900 331,525
JAKKS Pacific, Inc. + .................... 2,700 50,456
----------
381,981
----------
DATA AND IMAGING SERVICES (3.3%)
Advanced Digital Information
Corp. + ................................. 500 24,313
America Online, Inc. + ................... 4,800 362,100
Ancor Communications, Inc. + ............. 400 27,150
Aspen Technology, Inc. + ................. 700 18,506
Avant! Corp. + ........................... 700 10,500
Brio Technology, Inc. + .................. 500 21,000
BroadVision, Inc. + ...................... 100 17,006
See Notes to Portfolio of Investments. 69
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
LEGACY (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
DATA AND IMAGING SERVICES (CONTINUED)
Cisco Systems, Inc. + .................... 5,800 $ 621,325
Citrix Systems, Inc. + ................... 200 24,600
Cognizant Technology Solutions Corp. + ... 300 32,794
Concord Communications, Inc. + ........... 300 13,313
DST Systems, Inc. + ...................... 100 7,631
Electronics for Imaging, Inc. + .......... 300 17,438
Emulex Corp. + ........................... 200 22,500
Exodus Communications, Inc. + ............ 400 35,525
FileNET Corp. + .......................... 900 22,950
First Data Corp. ......................... 7,200 355,050
Go2Net, Inc. + ........................... 100 8,700
In Focus Systems, Inc. + ................. 1,600 37,100
Legato Systems, Inc. + ................... 400 27,525
Mapics, Inc. + ........................... 2,400 30,300
Mercury Computer Systems, Inc. + ......... 2,600 91,000
Mercury Interactive Corp. + .............. 600 64,762
Microsoft Corp. + ........................ 11,800 1,377,650
National Computer Systems, Inc. .......... 200 7,525
Network Appliance, Inc. * ................ 400 33,225
Network Equipment Technology Inc. * ...... 1,700 20,081
Network Solutions, Inc. + ................ 200 43,512
Puma Technology, Inc. + .................. 400 52,250
QLogic Corp. + ........................... 500 79,937
Rational Software Corp. + ................ 600 29,475
Razorfish Inc. + ......................... 300 28,537
Remedy Corp. + ........................... 400 18,950
Sapient Corp. + .......................... 500 70,469
SEI Investments Co. ...................... 500 59,508
SERENA Software, Inc. + .................. 950 29,391
Siebel Systems, Inc. + ................... 600 50,400
Sterling Software, Inc. * ................ 1,200 37,800
Unify Corp. + ............................ 3,400 93,075
VeriSign, Inc. + ......................... 400 76,375
Xircom, Inc. + ........................... 3,500 262,500
Yahoo! Inc. + ............................ 100 43,269
----------
4,307,017
----------
DISCRETIONARY RETAIL (1.7%)
Abercrombie & Fitch Co. + ................ 400 10,675
American Eagle Outfitters, Inc. + ........ 2,200 99,000
Building Materials Holding Corp. + ....... 4,200 43,050
Cato Corp. (The) ......................... 900 11,363
Costco Wholesale Corp. + ................. 400 36,500
Dayton Hudson Co. ........................ 1,100 80,781
Federated Department Stores, Inc. + ...... 8,500 429,781
Footstar, Inc. * ......................... 200 6,100
Home Depot, Inc. ......................... 5,550 380,522
Kohl's Corp. + ........................... 300 21,656
Lowe's Co., Inc. ......................... 5,500 328,625
Musicland Stores Corp. + ................. 9,400 79,312
Office Depot, Inc. + ..................... 1,400 15,313
PC Connection, Inc. * ................... 1,900 65,550
Sonic Automotive, Inc. * ................. 1,500 14,625
The Limited, Inc. ........................ 300 12,994
Wal-Mart Stores, Inc. .................... 7,700 532,262
----------
2,168,109
----------
DIVERSIFIED FINANCIAL SERVICES (0.5%)
Citigroup Inc. ........................... 12,450 691,753
----------
DRUGS (0.8%)
Allergan, Inc. ........................... 2,200 109,450
Andrx Corp. + ............................ 400 16,925
Bristol-Myers Squibb Co. ................. 1,200 77,025
Dura Pharmaceuticals, Inc. + ............. 700 9,756
Johnson & Johnson ........................ 300 27,938
Medicis Pharmaceutical Corp. + ........... 800 34,050
Merck & Co., Inc. ........................ 3,300 221,306
Perrigo Co. + ............................ 1,600 12,800
Pfizer, Inc. ............................. 14,600 473,587
----------
982,837
----------
ELECTRIC UTILITIES (0.1%)
Allegheny Energy, Inc. ................... 1,200 32,325
Edison International Inc. ................ 800 20,950
Energy East Corp. ........................ 900 18,731
Peco Energy Co. .......................... 300 10,425
Potomac Electric Power Co. ............... 200 4,588
Public Service Enterprise Group, Inc. .... 400 13,925
Puget Sound Energy, Inc. ................. 300 5,812
----------
106,756
----------
ELECTRONIC MEDIA (0.2%)
Clear Channel Communications, Inc. + ..... 1,300 116,025
Pixar, Inc. * ............................ 1,100 38,913
Univision Communications, Inc. + ......... 1,100 112,406
----------
267,344
----------
FOOD AND BEVERAGE (0.2%)
Canandiagua Brands, Inc. + ............... 800 40,800
Corn Products International, Inc ......... 1,900 62,225
IBP, Inc. ................................ 1,300 23,400
Kellogg Co. .............................. 600 18,488
M&F Worldwide Corp. + .................... 15,300 77,456
Sara Lee Corp. ........................... 2,000 44,125
----------
266,494
----------
FOOD AND DRUG RETAIL (0.2%)
Sysco Corp. .............................. 6,400 253,200
----------
FOREST PRODUCTS AND BUILDING MATERIALS (0.2%)
Champion International Corp. ............. 700 43,356
Georgia-Pacific Corp. .................... 2,000 101,500
International Paper Co. .................. 700 39,506
Temple-Inland Inc. ....................... 200 13,188
USG Corp. ................................ 800 37,700
70 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Weyerhaeuser Co. ......................... 500 $ 35,906
----------
271,156
----------
GAS UTILITIES (0.3%)
El Paso Energy Corp. ..................... 200 7,763
Energen Corp. ............................ 7,400 133,662
Kinder Morgan Inc. ....................... 1,800 36,338
Northwest Natural Gas Co. ................ 400 8,775
People's Energy Corp. .................... 200 6,700
Questar Corp. ............................ 2,300 34,500
Sempra Energy ............................ 11,308 196,476
----------
424,214
----------
HEALTH SERVICES (0.1%)
Lincare Holdings Inc. + .................. 300 10,406
MedQuist, Inc. + ......................... 500 12,906
Patterson Dental Co. * ................... 1,300 55,413
Sunquest Information Systems, Inc. + ..... 1,200 16,200
United Healthcare Corp. .................. 1,100 58,438
----------
153,363
----------
HEAVY MACHINERY (0.0%)
PACCAR, Inc. ............................. 1,200 53,175
----------
HOUSING AND FURNISHINGS (0.2%)
Maytag Corp. ............................. 200 9,600
MDC Holdings, Inc. ....................... 9,200 144,325
Pulte Corp. .............................. 3,200 72,000
Ryland Group, Inc. ....................... 2,200 50,737
----------
276,662
----------
INDUSTRIAL SERVICES (0.0%)
Modtech, Inc. + .......................... 595 3,570
Reckson Service Industries, Inc. + ....... 912 56,886
----------
60,456
----------
INSURANCE (0.5%)
AFLAC, Inc. .............................. 600 28,313
CIGNA Corp. .............................. 500 40,281
Conseco, Inc. ............................ 1,200 21,450
Lincoln National Corp. ................... 6,200 248,000
MGIC Investment Corp. .................... 4,600 276,863
Mony Group Inc. + ........................ 300 8,756
PMI Group, Inc. (The) .................... 750 36,609
----------
660,272
----------
INVESTMENT SERVICES (0.5%)
Donaldson, Lufkin & Jenrette, Inc ........ 700 33,863
Lehman Brothers Holdings Inc. ............ 4,200 355,687
Morgan Stanley Dean Witter & Co .......... 1,400 199,850
----------
589,400
----------
MAJOR TELECOMMUNICATIONS (0.9%)
AT&T Corp. ............................... 5,300 268,975
BellSouth Corp. .......................... 8,400 393,225
MCI Worldcom, Inc. + ..................... 8,850 469,603
Western Wireless Corporation ............. 600 40,050
----------
1,171,853
----------
MISCELLANEOUS METALS (0.0%)
Freeport-McMoRan Copper & Gold, Inc. + ... 1,700 35,913
----------
OIL (0.5%)
Apache Corp. ............................. 500 18,469
Atlantic Richfield Co. ................... 1,200 103,800
Kerr-McGee Corp. ......................... 1,200 74,400
Penn Virginia Corp. ...................... 13,900 232,825
Pennzoil-Quaker State Co. * .............. 1,200 12,225
Phillips Petroleum Co. ................... 600 28,200
Tesoro Petroleum Corp. + ................. 8,200 94,812
Ultramar Diamond Shamrock Corp. .......... 1,300 29,494
USX-Marathon Group ....................... 3,700 91,344
----------
685,569
----------
OIL SERVICES (0.2%)
Nabors Industries, Inc. + ................ 4,500 139,218
Pride International, Inc. * .............. 400 5,850
Seitel, Inc. + ........................... 10,100 68,175
Tosco Corp. .............................. 1,300 35,344
Transocean Sedco Forex Inc. .............. 1,700 57,269
----------
305,856
----------
OTHER TELECOMMUNICATIONS (0.2%)
Broadwing Inc. ........................... 500 18,438
Citizens Utilities Co. + ................. 608 8,626
NEXTLINK Communications, Inc. + .......... 1,500 124,594
Telephone & Data Systems, Inc. ........... 400 50,400
United States Cellular Corp. + ........... 300 30,281
----------
232,339
----------
PRINT MEDIA (0.9%)
Central Newspapers, Inc. ................. 800 31,500
Gannett Co., Inc. ........................ 500 40,781
Knight-Ridder, Inc. ...................... 12,900 767,550
McClatchy Co. ............................ 900 38,925
Times Mirror Co. ......................... 200 13,400
Tribune Co. .............................. 4,700 258,794
----------
1,150,950
----------
PRODUCER GOODS (0.1%)
Dover Corp. .............................. 500 22,688
Graco, Inc. .............................. 700 25,112
Parker-Hannifin Corp. .................... 400 20,525
Zebra Technologies, Inc. + ............... 1,100 64,350
----------
132,675
----------
REAL ESTATE INVESTMENT TRUSTS (5.5%)
Alexandria Real Estate
Equities, Inc. .......................... 1,400 44,538
AMB Property Corp. ....................... 400 7,975
Apartment Investment & Management Co. .... 5,400 214,987
Archstone Communities Trust .............. 4,100 84,050
Avalon Bay Communities, Inc. ............. 1,001 34,347
Beacon Capital + * ....................... 11,300 135,600
Bedford Property Investors, Inc .......... 1,200 20,475
Boston Properties, Inc. .................. 14,800 460,650
Camden Property Trust .................... 7,310 200,111
See Notes to Portfolio of Investments. 71
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
LEGACY (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
UNITED STATES (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Capital Automotive REIT, Inc. ............ 6,600 $ 80,438
Captec Net Lease Realty, Inc. ............ 1,800 13,500
CBL & Associates Properties, Inc. ........ 15,800 325,875
Colonial Properties Trust ................ 5,400 125,212
Crescent Real Estate Equities, Inc. ...... 7,000 128,625
Criimi Mae, Inc. ......................... 16,500 23,719
Developers Diversified Realty Corp. ...... 2,100 27,038
Duke-Weeks Realty Corp. .................. 2,578 50,271
Equity Office Properties Trust ........... 11,700 288,112
Equity Residential Properties Trust ...... 17,589 750,830
General Growth Properties, Inc. .......... 5,000 140,000
Glenborough Realty Trust, Inc. ........... 2,200 29,425
Glimcher Realty Trust .................... 3,100 39,913
Golf Trust of America, Inc. .............. 3,100 52,506
Health Care REIT, Inc. ................... 3,150 47,644
Healthcare Realty Trust, Inc. ............ 2,592 40,500
Home Properties of New York, Inc. ........ 8,000 219,500
Hospitality Properties Trust ............. 5,400 102,937
Kimco Realty Corp. ....................... 15,400 521,675
Koger Equity, Inc. ....................... 2,900 48,938
Liberty Property Trust ................... 11,100 269,175
Manufactured Home Communities, Inc. ...... 1,300 31,606
Pan Pacific Retail Properties, Inc. ...... 2,200 35,888
Parkway Properties, Inc. ................. 2,900 83,556
Pennsylvania Real Estate Investment Trust 2,100 30,581
Post Properties, Inc. .................... 6,900 263,925
Prentiss Properties Trust ................ 9,300 195,300
ProLogis Trust ........................... 9,300 179,025
PS Business Parks, Inc. .................. 17,100 389,025
Public Storage, Inc. ..................... 3,200 72,600
Reckson Associates Realty Corp. - Class B 884 20,111
Senior Housing Properties Trust .......... 800 9,950
Shurgard Storage Centers, Inc. ........... 1,800 41,738
Simon Property Group, Inc. ............... 9,300 213,319
SL Green Realty Corp. .................... 2,900 63,075
Starwood Financial Inc. .................. 7,278 123,271
Starwood Hotels & Resort Worldwide, Inc. . 3,700 86,950
Summit Properties Inc. ................... 8,500 151,937
Sun Communities, Inc. .................... 9,600 309,000
Vornado Operating Co. * .................. 515 3,090
Vornado Realty Trust ..................... 10,700 347,750
------------
7,180,263
------------
SEMICONDUCTORS AND ELECTRONICS (2.5%)
Adaptec, Inc. + .......................... 1,300 64,837
ADC Telecommunications, Inc. + ........... 600 43,538
Altera Corp. + ........................... 1,200 59,475
Amkor Technology, Inc. + ................. 300 8,475
Anaren Microwave, Inc. * ................. 1,100 59,537
Applied Materials, Inc. + ................ 4,000 506,750
Applied Micro Circuits Corp. + ........... 400 50,900
Applied Science and Technology, Inc. + ... 1,400 46,528
AVX Corp. ................................ 100 4,994
BroadCom Corp. + ......................... 300 81,712
Carrier Access Corp. * ................... 300 20,194
Comverse Technology, Inc. + .............. 300 43,425
Cybex Computer Products Corp. + .......... 2,200 89,100
Intel Corp. .............................. 2,800 230,475
Inter-Tel, Inc. .......................... 900 22,500
KLA Instruments Corp. + .................. 2,400 267,300
Lattice Semiconductor Corp. + ............ 1,800 84,825
Lucent Technologies, Inc. ................ 2,700 201,994
Maxim Integrated Products, Inc. + ........ 600 28,313
Microchip Technology, Inc. + ............. 200 13,688
Micron Technology, Inc. + ................ 2,200 171,050
MIPS Technologies, Inc. + ................ 600 31,200
Novellus Systems, Inc. + ................. 300 36,759
Park Electrochemical Corp. ............... 900 23,906
PMC Sierra Inc. + ........................ 300 48,094
Powerwave Technologies, Inc. + ........... 100 5,838
QUALCOMM Inc. * .......................... 2,000 352,250
RF Micro Devices, Inc. + ................. 700 47,906
Sawtek, Inc. * ........................... 700 46,594
SDL, Inc. + .............................. 100 21,800
Semtech Corp. + .......................... 1,700 88,612
Synopsys, Inc. + ......................... 100 6,675
Tellabs, Inc. + .......................... 5,100 327,356
Texas Instruments, Inc. .................. 1,400 135,625
------------
3,272,225
------------
SPECIALTY CHEMICALS (0.1%)
Lubrizol Corp. (The) ..................... 800 24,700
OM Group, Inc. ........................... 900 30,994
Praxair, Inc. ............................ 400 20,125
------------
75,819
------------
STEEL (0.0%)
Quanex Corp. ............................. 1,800 45,900
------------
SURFACE TRANSPORT (0.2%)
Burlington Northern Santa Fe Corp. ....... 11,700 283,725
Covenant Transport, Inc. + ............... 700 12,162
Union Pacific Corp. ...................... 600 26,175
------------
322,062
------------
TEXTILES AND APPAREL (0.1%)
K-Swiss Inc. ............................. 1,400 26,009
Nike, Inc. ............................... 700 34,694
Polymer Group, Inc. * .................... 1,200 21,900
Tommy Hilfiger Corp. + ................... 700 16,319
98,922
------------
TOTAL UNITED STATES (COST $31,568,849) ... 33,577,092
------------
72 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
FOREIGN COMMON STOCKS (15.3%)
AUSTRALIA (0.3%)
Foster's Brewing Group Ltd.
(Food and Beverage) ..................... 126,400 $ 362,906
------------
CANADA (0.7%)
Alcan Aluminum Ltd. (Aluminum) ........... 600 24,713
BCE Inc. (Other Telecommunications) ...... 5,800 520,806
Canadian National Railway Co. ............
(Surface Transport) ..................... 10,500 276,281
Trizec Hahn Corp. (Real Estate Investment
Trusts) ................................. 4,100 69,188
------------
TOTAL CANADA 890,988
------------
DENMARK (0.7%)
Carli Gry International A/S
(Textiles and Apparel) .................. 8,800 99,943
Novo-Nordisk A/S (Drugs) ................. 1,600 212,001
Tele Danmark A/S (Other Telecommunications) 4,100 304,332
Vestas Wind Systems A/S (Producer Goods) * 1,700 301,100
------------
TOTAL DENMARK 917,376
------------
FINLAND (0.7%)
Comptel Oyj (Computer Software) + ........ 1,000 70,283
Nokia Corp., ADR (Telecommunications) .... 2,800 532,000
Pohjola Group Insurance Corp. (Insurance). 700 42,267
Tietoenator Oyj (Computer Software) ...... 4,500 280,772
------------
TOTAL FINLAND 925,322
------------
FRANCE (0.7%)
Axa (Insurance) .......................... 1,300 181,062
France Telecom SA (Other
Telecommunications) ..................... 1,200 158,560
Groupe Danone (Food and Beverage) ........ 500 117,743
Total Fina SA (Oil Services) ............. 1,596 212,813
Vivendi (Conglomerate and Aerospace) ..... 2,890 260,734
------------
TOTAL FRANCE 930,912
------------
GERMANY (1.4%)
Buderus AG (Forest Products and
Building Materials) ..................... 21,300 360,112
DePfa Deutsche Pfandbriefbank
AG (Banks and Thrifts) .................. 4,100 306,152
Fresenius Medical Care AG
(Biotech and Medical Products) .......... 3,000 256,317
Intershop Communications AG
(Data and Imaging Services) + ........... 1,300 366,312
Mannesmann AG (Data and Imaging Services) 1,000 241,021
Siemens AG (Electrical Machinery and
Instruments) ............................ 2,500 317,755
------------
TOTAL GERMANY 1,847,669
------------
HONG KONG (0.1%)
China Telecom Ltd., ADR (Other
Telecommunications) + ................... 1,300 167,131
------------
IRELAND (0.6%)
Allied Irish Banks (Banks and Thrifts) ... 12,168 138,616
CRH Plc (Forest Products and Building
Materials) .............................. 12,188 262,479
Waterford Wedgewood (Housing
and Furnishings) ........................ 354,195 360,009
------------
TOTAL IRELAND 761,104
------------
ITALY (0.1%)
Banca Nazionale del Lavoro (Banks and
Thrifts) + .............................. 42,800 142,568
------------
JAPAN (2.5%)
Canon, Inc. (Semiconductors and Electronics) 6,000 238,449
FamilyMart Co., Ltd. (Discretionary Retail) 3,300 219,655
Fuji Heavy Industries Ltd. (Automotive) .. 20,000 137,040
Fujitsu Limited (Computers) .............. 3,000 136,844
Matsushita Electric Industrial Co., Ltd.
(Electrical Machinery and Instruments) .. 7,000 193,912
Matsushita-Kotobuki Electronics Industries,
Ltd. (Electrical Machinery and Instruments) 5,000 100,578
NTT Mobile Communication Network, Inc. (Other
Telecommunications) + ................... 8 307,753
Seino Transportation Co. Ltd. ............
(Surface Transport) ..................... 56,000 297,103
Sekisui Chemical Co., Ltd. ...............
(Specialty Chemicals) ................... 29,000 128,592
Shin-Etsu Chemical Co., Ltd. .............
(Specialty Chemicals) ................... 6,000 258,418
SoftBank Corp. (Semiconductors and
Electronics) ............................. 500 478,661
Sony Corp. (Housing and Furnishings) ...... 1,100 326,253
Terumo Corp. (Biotech and Medical Products) 11,000 293,951
The Tokio Marine & Fire Insurance Co., Ltd.
(Insurance) ............................. 13,000 152,065
------------
TOTAL JAPAN 3,269,274
------------
MEXICO (0.2%)
Telefonos de Mexico SA, ADR
(Other Telecommunications) + ............ 2,300 258,750
----------
NETHERLANDS (2.5%)
Akzo Nobel NV (Specialty Chemicals) ...... 4,400 220,511
Getronics NV (Computers) ................. 3,600 286,930
ING Groep NV (Diversified Financial
Services) ............................... 4,509 271,986
Kloninklijke KPN NV (Major
Telecommunications) ..................... 2,100 204,782
KPNQwest N.V. (Other Telecommunications) + 5,300 352,555
Philips Electronics NV (Electrical
Machinery and Instruments) .............. 1,900 258,129
Royal Dutch Petroleum Co. (Oil) .......... 4,100 247,794
STMicroelectronics (Semiconductors and
Electronics) ............................ 2,600 399,803
United Pan-Europe Communications NV (Other
Telecommunications) + ................... 3,900 498,445
Vendex KBB N.V. (Discretionary Retail) ... 6,425 170,697
See Notes to Portfolio of Investments. 73
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1999
LEGACY (CONTINUED)
================================================================================
NUMBER OF MARKET
SHARES VALUE
--------- ------
NETHERLANDS (CONTINUED)
VNU-Verenigde Nederlandes
Uitgeversbedrijven Verenigd
Bezit (Print Media) ..................... 5,800 $ 304,566
------------
TOTAL NETHERLANDS 3,216,198
------------
NORWAY (0.4%)
Christiania Bank Og Kredkasse
(Banks and Thrifts) ..................... 33,400 164,758
Ocean Rig ASA (Oil Services) + ........... 26,778 130,422
Petroleum Geo-Services ASA
(PGS) (Oil Services) * .................. 10,000 178,583
------------
TOTAL NORWAY 473,763
------------
SPAIN (0.5%)
Telefonica Publicidad e
Informacion, S.A. (Consumer Services) * . 8,000 388,451
Telefonica de Espana (Major
Telecommunications) * ................... 13,056 325,845
------------
TOTAL SPAIN 714,296
------------
SWEDEN (0.6%)
Ericsson Telephone, ADR
(Telecommunications Equipment) .......... 8,000 525,500
HiQ International AB (Data and
Imaging Services) ....................... 2,200 141,009
Icon Medialab International AB
(Data and Imaging Services) + ........... 5,000 174,056
------------
TOTAL SWEDEN ............................. 840,565
------------
SWITZERLAND (0.4%)
Adecco SA (Surface Transport) ............ 320 249,199
The Swatch Group AG (Consumer Specialties) 200 230,359
------------
TOTAL SWITZERLAND 479,558
------------
UNITED KINGDOM (2.9%)
AstraZeneca Group Plc (Drugs) ............ 3,400 141,070
Bank of Scotland (Banks and Thrifts) ..... 23,103 268,385
British Telecom Plc (Other
Telecommunications) ..................... 19,319 472,263
Cable & Wireless Plc (Other
Telecommunications) + ................... 33,700 571,171
Dixons Group Plc (Discretionary Retail) .. 6,133 147,546
Granada Group Plc (Electronic Media) * ... 12,746 129,226
Kingfisher Plc (Discretionary Retail) .... 15,957 177,120
Prudential Plc (Insurance) ............... 19,900 392,260
Shell Transport & Trading Co. (Oil) ...... 26,400 219,457
Shire Pharmaceuticals Group PLC (Drugs) + 3,128 91,103
SmithKline Beecham Plc (Drugs) ........... 14,631 186,751
Stagecoach Holdings Plc (Surface Transport) 118,400 305,122
Viatel, Inc. (Other
Telecommunications) + ................... 3,600 193,050
Vodafone Group Plc (Other
Telecommunications) ..................... 29,375 145,587
WPP Group Plc (Commercial Services) ...... 21,900 347,115
------------
TOTAL UNITED KINGDOM 3,787,226
------------
TOTAL FOREIGN COMMON STOCKS (COST $14,728,482) 19,985,606
------------
TOTAL COMMON STOCKS (COST $46,297,331) ... 53,562,698
------------
PREFERRED STOCKS (0.0%)
Criimi Mae, Inc. * ....................... 1,239 10,377
------------
TOTAL PREFERRED STOCKS (COST $103,811) 10,377
------------
NUMBER OF
CONTRACTS
---------
CALL OPTIONS PURCHASED (0.2%)
Russell 2000 Index, Strike $470, Mar. 00 50 228,125
------------
TOTAL OPTIONS PURCHASED (COST $135,150) .. 228,125
------------
PRINCIPAL
AMOUNT
---------
LONG-TERM BONDS AND NOTES (47.5%)
CORPORATE BONDS (12.9%)
ABN AMRO Bank NV,7.55%,06/28/06 .......... $ 150,000 149,454
AT&T Capital Corp.,6.75%,02/04/02 ........ 400,000 397,608
Bank of America Corp.,5.75%,03/01/04 ..... 120,000 113,729
Capital Auto Receivables Asset Trust,6.30%,
05/15/04 ................................ 1,100,000 1,092,480
Capital One Bank,6.66%,06/19/00 .......... 700,000 700,203
Chemical Master Credit Card Trust,7.09%,
02/15/09 ................................ 855,000 844,039
Chrysler Financial Corp.,5.25%,10/19/00 .. 450,000 445,442
Conoco Inc.,5.90%,04/15/04 ............... 450,000 429,602
DaimlerChrysler NA Holdings Inc.,
7.20%,09/01/09 .......................... 271,000 266,069
Diageo Capital Plc,7.25%,11/01/09 ........ 380,000 372,339
Dow Chemical Co.,7.38%,11/01/29 .......... 130,000 124,345
Eastman Kodak Co.,6.50%,08/15/01 ......... 335,000 332,601
Ford Motor Credit Corp.,6.70%,07/16/04 ... 350,000 342,563
Ford Motor Credit Corp.,7.38%,10/28/09 ... 600,000 592,350
Fortune Brands, Inc.,6.63%,07/15/28 ...... 280,000 236,685
General Electric Capital
Corp.,6.81%,11/03/03 .................... 450,000 446,625
GTE Corp.,9.38%,12/01/00 ................. 1,000,000 1,024,070
Household Finance Corp.,5.88%,09/25/04 ... 835,000 787,931
Korea Development Bank,7.13%,09/17/01 .... 700,000 694,862
MBNA Master Credit Card Trust,6.40%,
01/18/05 ................................ 1,200,000 1,186,800
Morgan Stanley Dean Witter & Co.,7.13%,
01/15/03 ................................ 270,000 269,787
Morgan Stanley Dean Witter & Co.,5.63%,
01/20/04 ................................ 130,000 122,451
National Australia Bank,6.40%,12/10/07 ... 2,000,000 1,902,280
Norwest Financial, Inc.,5.38%,09/30/03 ... 835,000 786,720
Quebec Province Co.,5.75%,02/15/09 ....... 360,000 319,565
Quebec Province Co.,7.50%,09/15/29 ....... 140,000 135,712
Raytheon Co.,6.75%,08/15/07 .............. 480,000 447,806
Texaco Capital, Inc.,5.50%,01/15/09 ...... 700,000 613,977
Tyco International Group SA,6.13%,01/15/09 1,000,000 880,780
U.S. West Communications Group,5.63%,
11/15/08 ................................ 340,000 295,471
United Technologies
Corp.,7.50%,09/15/29 .................... 500,000 489,423
------------
TOTAL CORPORATE BONDS (COST $17,388,728) . 16,843,769
------------
74 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (19.2%)
Federal National Mortgage
Association,5.75%,03/15/09 .............. $3,398,000 $ 3,096,013
Federal National Mortgage
Association,6.00%,06/01/28-01/01/29 ..... 3,701,998 3,388,476
Federal National Mortgage
Association,6.50%,08/01/28 .............. 383,644 362,327
Federal National Mortgage
Association,6.63%,09/15/09 .............. 3,340,000 3,243,975
Federal National Mortgage
Association - Conventional
Loan,6.50%,02/01/28 ..................... 1,736,435 1,639,954
Government National Mortgage
Association,6.50%,01/15/29-03/15/29 ..... 5,490,661 5,157,788
Government National Mortgage
Association,7.00%,04/15/27-07/15/28 ..... 5,020,970 4,854,580
Government National Mortgage
Association,7.50%,12/15/23 .............. 2,793,333 2,780,309
Government National Mortgage
Association,8.00%,07/15/24 .............. 575,258 582,505
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (COST $26,341,551) 25,105,927
------------
U.S. GOVERNMENT OBLIGATIONS (15.4%)
U.S. Treasury
Note,5.25%,08/15/03-02/15/29 ............ 5,825,000 5,388,168
U.S. Treasury
Note,5.50%,03/31/03 ..................... 5,730,000 5,587,667
U.S. Treasury
Note,6.00%,08/15/04-08/15/09 ............ 8,259,000 8,040,050
U.S. Treasury
Note,6.50%,05/31/02-08/15/05 ............ 1,200,000 1,201,694
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $20,677,285)....................... 20,217,579
------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $64,407,564)....................... 62,167,275
------------
SHORT-TERM INVESTMENTS (9.3%)
Federal Home Loan
Bank,1.50%,01/03/00 ..................... 3,625,000 3,625,000
U.S. Treasury
Bill,4.86%,02/17/00 @ ................... 600,000 596,355
U.S. Treasury
Bill,4.92%,02/17/00 @ ................... 200,000 198,770
U.S. Treasury
Bill,4.96%,02/17/00 @ ................... 100,000 99,380
U.S. Treasury
Bill,5.03%,02/17/00 @ ................... 3,400,000 3,378,623
U.S. Treasury
Bill,5.06%,02/17/00 @ ................... 300,000 298,104
Wheels Inc.,7.50%,01/05/00 + ............. 4,000,000 3,998,333
------------
TOTAL SHORT-TERM INVESTMENTS
(COST $12,194,564)....................... 12,194,565
------------
TOTAL INVESTMENTS (COST $123,138,420)(A) . 128,163,040
OTHER ASSETS LESS LIABILITIES ............ 3,043,830
------------
TOTAL NET ASSETS ......................... $131,206,870
============
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$123,359,449. Unrealized gains and losses, based on identified tax cost at
December 31, 1999, are as follows:
Unrealized gains ................................... $ 10,001,861
Unrealized losses .................................. (5,198,270)
------------
Net unrealized gain ............................... $ 4,803,591
============
Information concerning open futures contracts at December 31, 1999 is shown
below:
NOTIONAL
NO. OF MARKET EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
---------- ------------ ----------- ----------------
LONG CONTRACTS
--------------
Russell 2000 Index
Futures................ 6 $1,529,850 Mar 00 $ 29,534
Long-Term Euro Bond
Futures................ 15 1,572,019 Mar 00 (37,285)
Swiss Government Bond
Futures................ 14 1,053,759 Mar 00 (10,739)
----------- --------------
$4,155,628 $ (18,490)
=========== ==============
Information concerning options written at December 31, 1999 is shown below:
NO. OF EXERCISE EXPIRATION MARKET
CONTRACTS PRICE DATE VALUE
------------ ----------- ------------- --------------
PUT OPTIONS
-----------
Russell 2000 Index ... 50 $470.00 Mar 00 $(51,875)
========
+ Non-income producing security.
* Restricted security. This security has been determined to be illiquid
under guidelines established by the Board of Directors.
@ Security pledged to cover initial margin requirements on open futures
contracts at December 31, 1999.
++ 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 December 31, 1999 is
shown below:
ACQUISITION
DATE COST
----------- ----------
Beacon Capital ..................... 3/17/98 $ 170,239
Wheels Inc. ........................ 12/28/99 3,998,333
----------
$4,168,572
==========
The market value of the total illiquid securities above is $4,133,933 which
represents 3.15% of the total net assets.
Category percentages are based on net assets.
See Notes to Financial Statements. 75
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
================================================================================
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
------ ---------- ------
<S> <C> <C> <C>
ASSETS:
Investments, at market value ............................ $206,950,128 $192,618,299 $128,163,040
Cash .................................................... 118,082 54,764 29,879
Foreign currency ........................................ 4,036,364 3,171,443 1,519,710
Receivable for:
Dividends and interest ................................. 506,519 1,002,616 998,967
Investments sold ....................................... 4,911,785 2,708,297 1,045,970
Fund shares sold ....................................... 4,071 -- 15,173
Variation margin ....................................... -- 38,211 28,597
Recoverable foreign taxes .............................. 27,333 21,934 12,747
Prepaid expenses ........................................ 2,164 2,048 1,464
Gross unrealized gain on forward
foreign currency exchange contracts .................... 15,245 12,237 6,481
------------ ------------ ------------
Total assets ....................................... 216,571,691 199,629,849 131,822,028
------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased .................................. 1,294,585 953,391 430,936
Fund shares redeemed ................................... 555,985 700,348 1,583
Variation margin ....................................... 91 -- --
Put options written, at market value (Premiums received;
Ascent $146,072, Crossroads $136,462 and Legacy $96,100) 78,850 73,663 51,875
Accrued investment advisory fees ........................ 111,969 104,723 70,124
Accrued administrative service fees ..................... 13,996 13,090 8,765
Accrued custody fees .................................... 55,032 50,202 44,130
Other liabilities ....................................... 7,025 7,447 3,490
Gross unrealized loss on forward
foreign currency exchange contracts .................... 42,655 25,437 4,255
------------ ------------ ------------
Total liabilities .................................. 2,160,188 1,928,301 615,158
------------ ------------ ------------
NET ASSETS ........................................ $214,411,503 $197,701,548 $131,206,870
============ ============ ============
NET ASSETS REPRESENTED BY:
Paid-in capital ......................................... $191,237,667 $181,096,781 $124,134,985
Net unrealized gain on investments, open futures
contracts and foreign currency related transactions .... 21,448,321 14,158,138 5,052,215
Undistributed net investment income ..................... 918,751 1,231,556 1,043,425
Accumulated net realized gain on
investments ............................................ 806,764 1,215,073 976,245
------------ ------------ ------------
NET ASSETS ........................................ $214,411,503 $197,701,548 $131,206,870
============ ============ ============
Cost of investments ..................................... $185,523,354 $178,501,659 $123,138,420
Cost of foreign currency ................................ $ 4,037,041 $ 3,173,190 $ 1,519,687
CAPITAL SHARES:
Authorized .............................................. Two Billion Two Billion Two Billion
Par value ............................................... $ 0.001 $ 0.001 $ 0.001
Outstanding ............................................. 14,368,842 14,358,365 10,500,792
Net asset value, offering and redemption price per
share (net assets divided by shares outstanding) ....... $ 14.92 $ 13.77 $ 12.49
</TABLE>
76 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 1999
================================================================================
<TABLE>
<CAPTION>
ASCENT CROSSROADS LEGACY
------ ---------- ------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends ....................................................... $ 4,840,539 $ 3,406,820 $ 1,681,117
Interest ........................................................ 1,383,915 3,866,003 4,403,332
------------ ------------ ------------
6,224,454 7,272,823 6,084,449
Foreign taxes withheld on dividends ............................. (43,071) (31,818) (17,772)
------------ ------------ ------------
Total investment income .................................... 6,181,383 7,241,005 6,066,677
------------ ------------ ------------
INVESTMENT EXPENSES:
Investment advisory fees ........................................ 1,216,353 1,146,645 809,797
Administrative services fees .................................... 152,044 143,331 101,225
Printing and postage fees ....................................... 21,335 16,700 13,152
Custody fees .................................................... 61,393 55,294 49,074
Transfer agent fees ............................................. 2,577 2,577 2,577
Audit fees ...................................................... 24,328 24,322 24,258
Directors' fees ................................................. 5,866 5,556 4,076
Registration fees ............................................... 4,027 4,832 999
Miscellaneous expenses .......................................... 8,063 7,371 5,199
------------ ------------ ------------
Expenses before reimbursement and waiver from Investment Adviser 1,495,986 1,406,628 1,010,357
Expense reimbursement and waiver from Investment Adviser ........ -- -- (2,427)
------------ ------------ ------------
Net expenses ............................................... 1,495,986 1,406,628 1,007,930
------------ ------------ ------------
Net investment income ........................................... 4,685,397 5,834,377 5,058,747
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments .................................................... 11,820,208 8,390,390 4,411,230
Written options ................................................ (1,300,238) (893,427) (385,270)
Futures and forward foreign currency exchange contracts ........ 1,666,327 904,151 404,158
Foreign currency related transactions .......................... (881,256) (99,171) (121,146)
------------ ------------ ------------
Net realized gain on investments ........................... 11,305,041 8,301,943 4,308,972
------------ ------------ ------------
Net change in unrealized gain or loss on:
Investments .................................................... 11,345,142 4,583,968 (168,363)
Written options ................................................ 67,222 62,799 44,225
Futures and forward foreign currency exchange contracts ........ 118,849 107,856 54,418
Foreign currency related transactions .......................... 2,968 (3,702) (1,729)
------------ ------------ ------------
Net change in unrealized gain or loss on investments ....... 11,534,181 4,750,921 (71,449)
------------ ------------ ------------
Net realized and change in unrealized gain or loss on investments 22,839,222 13,052,864 4,237,523
------------ ------------ ------------
Net increase in net assets resulting from operations ............ $ 27,524,619 $ 18,887,241 $ 9,296,270
============ ============ ============
</TABLE>
See Notes to Financial Statements. 77
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
ASCENT
-------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ............................................... $ 4,685,397 $ 4,785,925
Net realized gain on investments .................................... 11,305,041 3,839,619
Net change in unrealized gain or loss on investments ................ 11,534,181 (1,925,904)
------------- -------------
Net increase in net assets resulting from operations ............... 27,524,619 6,699,640
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income .......................................... (4,511,270) (4,979,306)
From net realized gains ............................................. (9,713,831) (4,834,598)
------------- -------------
Decrease in net assets from distributions to shareholders .......... (14,225,101) (9,813,904)
------------- -------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold ........................................... 14,642,381 61,786,543
Net asset value of shares issued upon reinvestment of distributions . 14,225,101 9,813,904
Payments for shares redeemed ........................................ (35,351,313) (9,700,764)
------------- -------------
Net increase (decrease) in net assets from fund share transactions . (6,483,831) 61,899,683
------------- -------------
Net change in net assets .......................................... 6,815,687 58,785,419
NET ASSETS:
Beginning of period ................................................. 207,595,816 148,810,397
------------- -------------
End of period ....................................................... $ 214,411,503 $ 207,595,816
============= =============
End of period net assets includes undistributed net investment income $ 918,751 $ 578,631
============= =============
SHARE TRANSACTIONS:
Number of shares sold ............................................... 1,025,848 4,231,255
Number of shares issued upon reinvestment of distributions .......... 1,004,027 698,611
Number of shares redeemed ........................................... (2,467,556) (663,321)
------------- -------------
Net increase (decrease) ............................................ (437,681) 4,266,545
============= =============
</TABLE>
78 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
CROSSROADS
-------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income .................................... $ 5,834,377 $ 5,356,634
Net realized gain on investments ......................... 8,301,943 1,981,947
Net change in unrealized gain or loss on investments ..... 4,750,921 1,113,364
------------- -------------
Net increase in net assets resulting from operations .... 18,887,241 8,451,945
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ............................... (4,966,477) (5,665,597)
From net realized gains .................................. (7,017,489) (1,755,177)
------------- -------------
Decrease in net assets from distributions to shareholders (11,983,966) (7,420,774)
------------- -------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold ................................ 15,649,406 69,477,764
Net asset value of shares issued upon
reinvestment of distributions .......................... 11,983,966 7,420,774
Payments for shares redeemed ............................. (30,397,144) (7,357,412)
------------- -------------
Net increase (decrease) in net assets
from fund share transactions ............................ (2,763,772) 69,541,126
------------- -------------
Net change in net assets ............................... 4,139,503 70,572,297
NET ASSETS:
Beginning of period ...................................... 193,562,045 122,989,748
------------- -------------
End of period ............................................ $ 197,701,548 $ 193,562,045
============= =============
End of period net assets includes
undistributed net investment income ..................... $ 1,231,556 $ 289,728
============= =============
SHARE TRANSACTIONS:
Number of shares sold .................................... 1,164,134 5,136,875
Number of shares issued upon reinvestment of distributions 902,479 558,939
Number of shares redeemed ................................ (2,241,606) (561,586)
------------- -------------
Net increase (decrease) ................................. (174,993) 5,134,228
============= =============
</TABLE>
See Notes to Financial Statements. 79
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
LEGACY
------------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, 1999 DECEMBER 31, 1998
----------------- -----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ............................................. $ 5,058,747 $ 4,736,935
Net realized gain on investments .................................. 4,308,972 1,477,725
Net change in unrealized gain or loss on investments .............. (71,449) 765,471
------------- -------------
Net increase in net assets resulting from operations ............. 9,296,270 6,980,131
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income ........................................ (4,123,361) (4,684,974)
From net realized gains ........................................... (3,293,641) (1,728,893)
------------- -------------
Decrease in net assets from distributions to shareholders ........ (7,417,002) (6,413,867)
------------- -------------
FROM FUND SHARE TRANSACTIONS:
Proceeds from shares sold ......................................... 10,629,306 76,155,195
Net asset value of shares issued upon reinvestment of distributions 7,417,002 6,413,867
Payments for shares redeemed ...................................... (37,245,054) (16,258,488)
------------- -------------
Net increase (decrease) in net assets from fund share transactions (19,198,746) 66,310,574
------------- -------------
Net change in net assets ........................................ (17,319,478) 66,876,838
NET ASSETS:
Beginning of period ............................................... 148,526,348 81,649,510
------------- -------------
End of period ..................................................... $ 131,206,870 $ 148,526,348
============= =============
End of period net assets includes
undistributed net investment income .............................. $ 1,043,425 $ 194,717
============= =============
SHARE TRANSACTIONS:
Number of shares sold ............................................. 849,143 6,061,578
Number of shares issued upon reinvestment of distributions ........ 605,625 520,120
Number of shares redeemed ......................................... (2,959,102) (1,324,436)
------------- -------------
Net increase (decrease) .......................................... (1,504,334) 5,257,262
============= =============
</TABLE>
80 See Notes to Financial Statements.
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
================================================================================
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 December 31, 1999, separate accounts of Aetna Life
Insurance and Annuity Company (ALIAC) and its affiliates held 98.5%, 98.8% and
99.2% 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.
81
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
================================================================================
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 invest in
financial futures contracts as a hedge against its existing portfolio
securities, to manage the risk of changes in interest rates, equity prices,
currency exchange rates or in anticipation of future purchases and sales of
portfolio securities.
Upon entering into a futures contract, the Portfolios are required to deposit
with a broker an amount (initial margin) equal to a percentage of the purchase
price indicated by the futures contract. Subsequent deposits (variation margin)
are received or paid each day by the Portfolios equal to the daily fluctuations
in the market value of the contract. These amounts are recorded by the
Portfolios as unrealized gains or losses. When a contract is closed, the
Portfolios record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed. Generally, futures contracts held by the Portfolios are closed prior to
expiration.
A forward foreign currency exchange contract is an agreement to pay or receive
specific amounts of a currency at a future date in exchange for another currency
at an agreed upon exchange rate. The Portfolios, where authorized, may use
forward foreign currency exchange contracts to hedge against foreign currency
exchange rate risks on their non-U.S. dollar denominated 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
82
<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 intends to meet the requirements to be taxed as a regulated
investment company 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. 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 and options contracts, passive foreign investment companies 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 Internal Revenue Code.
G. LINE OF CREDIT
The Company (Ascent, Crossroads and Legacy), 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 December 31, 1999.
83
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
================================================================================
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 year ended December 31, 1999, Aeltus paid ALIAC $1,586,744.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 1999 to reimburse each
Portfolio for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase each Portfolio's yield and total return. Actual expenses for the year
ended December 31, 1999 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 year ended December 31, 1999 were:
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
Ascent $261,810,832 $295,871,415
Crossroads 249,913,163 250,964,731
Legacy 174,724,672 171,591,603
84
<PAGE>
================================================================================
6. OPTIONS
For the year ended December 31, 1999, the following reflects the written option
activity:
CALL OPTIONS WRITTEN
------------------------------------------
NUMBER OF PREMIUM REALIZED
ASCENT CONTRACTS RECEIVED GAIN (LOSS)
------------------------------------------
Outstanding December 31, 1998 -- $ -- $ --
Written 791 1,908,323 --
Closed (791) (1,908,323) (1,300,238)
------------------------------------------
Outstanding December 31, 1999 -- $ -- $(1,300,238)
==========================================
PUT OPTIONS WRITTEN
------------------------------------------
NUMBER OF PREMIUM REALIZED
ASCENT CONTRACTS RECEIVED GAIN (LOSS)
------------------------------------------
Outstanding December 31, 1998 -- $ -- $ --
Written 76 146,072 --
Closed -- -- --
------------------------------------------
Outstanding December 31, 1999 76 $ 146,072 $ --
==========================================
CALL OPTIONS WRITTEN
------------------------------------------
NUMBER OF PREMIUM REALIZED
CROSSROADS CONTRACTS RECEIVED GAIN (LOSS)
------------------------------------------
Outstanding December 31, 1998 -- $ -- $ --
Written 306 741,803 --
Closed (306) (741,803) (923,625)
------------------------------------------
Outstanding December 31, 1999 -- $ -- $ (923,625)
==========================================
PUT OPTIONS WRITTEN
------------------------------------------
NUMBER OF PREMIUM REALIZED
CROSSROADS CONTRACTS RECEIVED GAIN (LOSS)
------------------------------------------
Outstanding December 31, 1998 -- $ -- $ --
Written 113 217,186 --
Closed (42) (80,724) 30,198
------------------------------------------
Outstanding December 31, 1999 71 $ 136,462 $ 30,198
==========================================
CALL OPTIONS WRITTEN
------------------------------------------
NUMBER OF PREMIUM REALIZED
LEGACY CONTRACTS RECEIVED GAIN (LOSS)
------------------------------------------
Outstanding December 31, 1998 -- $ -- $ --
Written 133 324,980 --
Closed (133) (324,980) (405,402)
------------------------------------------
Outstanding December 31, 1999 -- $ -- $ (405,402)
==========================================
85
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 1999
================================================================================
PUT OPTIONS WRITTEN
------------------------------------------
NUMBER OF PREMIUM REALIZED
LEGACY CONTRACTS RECEIVED GAIN (LOSS)
------------------------------------------
Outstanding December 31, 1998 -- $ -- $ --
Written 78 149,916 --
Closed (28) (53,816) 20,132
------------------------------------------
Outstanding December 31, 1999 50 $ 96,100 $ 20,132
==========================================
7. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of December 31, 1999, the Portfolios had the following open forward foreign
currency exchange contracts that obligate the Portfolios to deliver currencies
at specified future dates. Ascent and Crossroads had a net unrealized loss of
$27,410 and $13,200, respectively, and Legacy had a net unrealized gain of
$2,226 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)
---- ---- -------- ------------------ --- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASCENT
- ------
5/18/00 Buy HKD 910,000 $ 116,074 $ 117,007 $ 933
2/17/00 Buy JPY 74,300,000 728,274 731,914 3,640
1/4/00 Sell EURO 925,000 934,157 929,856 4,301
1/4/00 Sell EURO 601,000 610,526 604,155 6,371
5/18/00 Sell HKD 910,000 116,003 117,007 (1,004)
1/27/00 Sell JPY 127,310,000 1,224,488 1,250,341 (25,853)
2/17/00 Sell JPY 158,835,000 1,548,854 1,564,652 (15,798)
--------
$(27,410)
========
CROSSROADS
- ----------
5/18/00 Buy HKD 720,000 $ 91,839 $ 92,577 $ 738
2/17/00 Buy JPY 43,340,00 424,810 426,933 2,123
1/4/00 Sell EURO 1,109,00 1,119,979 1,114,822 5,157
1/4/00 Sell EURO 398,000 404,308 400,089 4,219
5/18/00 Sell HKD 720,000 91,783 92,577 (794)
1/27/00 Sell JPY 47,660,000 458,402 468,080 (9,678)
2/17/00 Sell JPY 150,460,000 1,467,186 1,482,151 (14,965)
--------
$(13,200)
========
</TABLE>
86
<PAGE>
================================================================================
<TABLE>
<CAPTION>
EXCHANGE CONTRACTS IN EXCHANGE CONTRACTS UNREALIZED
DATE TYPE CURRENCY TO RECEIVE/DELIVER FOR AT VALUE GAIN (LOSS)
---- ---- -------- ------------------ --- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
LEGACY
- ------
5/18/00 Buy HKD 430,000 $ 54,848 $ 55,289 $ 441
2/17/00 Buy JPY 29,930,000 293,368 294,834 1,466
1/4/00 Sell EURO 589,000 594,831 592,092 2,739
1/4/00 Sell EURO 173,000 175,742 173,908 1,834
5/18/00 Sell HKD 430,000 54,814 55,289 (475)
1/27/00 Sell JPY 1,020,000 9,811 10,018 (207)
2/17/00 Sell 95,977,900 935,913 939,485 (3,572)
--------
$ 2,226
========
</TABLE>
87
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
ADDITIONAL INFORMATION
DECEMBER 31, 1999
================================================================================
FEDERAL TAX STATUS OF DIVIDENDS DECLARED DURING THE FISCAL YEAR (UNAUDITED)
In accordance with federal tax authorities, certain portions of the dividends
taxable as ordinary income qualify for the corporate dividends received
deduction. The following percentages reflect the portions of such dividends
paid:
Ascent 4.99%
Crossroads 3.65%
Legacy 2.47%
In accordance with federal tax authorities, Crossroads paid $52,793 and $0.0038
of aggregate and per share dividends, respectively, which qualify to be taxed at
long-term capital gain rates.
YEAR 2000 (UNAUDITED)
The Portfolio's Year 2000 remediation efforts have been completed. Currently,
the Portfolio's have no information that indicates a mission-critical vendor or
service provider will be unable to sell goods or provide services to the
Portfolios or that any customer will be unable to purchase from the Portfolios
because of Year 2000 issues. As of today, the Portfolio's have not experienced
any significant disruptions to their financial reporting or operating activities
that were caused by failure of their computerized systems resulting from Year
2000 issues.
88
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
FINANCIAL HIGHLIGHTS
ASCENT
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JULY 5, 1995
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
1999 1998 1997 1996 TO DECEMBER 31, 1995
------------ ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ..................... $ 14.02 $ 14.12 $ 12.62 $ 10.80 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ......... 0.39 0.33 0.25+ 0.22+ 0.12+
Net realized and
change in unrealized
gain or loss on
investments .................. 1.56 0.27 2.25 2.29 0.93
----------- ----------- ----------- ----------- -----------
Total from investment
operations ................. 1.95 0.60 2.50 2.51 1.05
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
From net investment income .... (0.33) (0.35) (0.34) (0.23) (0.25)
From net realized
gains on investments ......... (0.72) (0.35) (0.66) (0.46) --
----------- ----------- ----------- ----------- -----------
Total distributions ......... (1.05) (0.70) (1.00) (0.69) (0.25)
----------- ----------- ----------- ----------- -----------
Net asset value, end
of period ..................... $ 14.92 $ 14.02 $ 14.12 $ 12.62 $ 10.80
=========== =========== =========== =========== ===========
Total return* .................. 14.35% 4.30% 19.90% 23.58% 10.45%
Net assets, end of
period (000's) ................ $ 214,412 $ 207,596 $ 148,810 $ 45,155 $ 18,850
Ratio of total expenses
to average net assets ......... 0.74% 0.75% 0.75% 0.84% 1.59%(1)
Ratio of net investment
income to average net assets .. 2.31% 2.59% 2.51% 2.53% 2.26%(1)
Portfolio turnover rate ........ 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.
See Notes to Financial Statements. 89
<PAGE>
AETNA GENERATION PORTFOLIOS, INC.
FINANCIAL HIGHLIGHTS (CONTINUED)
CROSSROADS
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JULY 5, 1995
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
1999 1998 1997 1996 TO DECEMBER 31, 1995
------------ ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 13.32 $ 13.09 $ 11.98 $ 10.74 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ............... 0.45 0.38 0.30+ 0.27+ 0.13+
Net realized and change in unrealized
gain or loss on investments ........ 0.87 0.39 1.79 1.72 0.80
----------- ----------- ----------- ----------- -----------
Total from investment operations .. 1.32 0.77 2.09 1.99 0.93
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
From net investment income .......... (0.36) (0.41) (0.38) (0.30) (0.19)
From net realized
gains on investments ................ (0.51) (0.13) (0.60) (0.45) --
----------- ----------- ----------- ----------- -----------
Total distributions ............... (0.87) (0.54) (0.98) (0.75) (0.19)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ....... $ 13.77 $ 13.32 $ 13.09 $ 11.98 $ 10.74
=========== =========== =========== =========== ===========
Total return* ........................ 10.22% 5.91% 17.57% 18.81% 9.30%
Net assets, end of period (000's) .... $ 197,702 $ 193,562 $ 122,990 $ 37,690 $ 18,813
Ratio of total expenses to average
net assets .......................... 0.74% 0.75% 0.75% 0.80% 1.60%(1)
Ratio of net investment income to
average net assets .................. 3.05% 3.17% 3.20% 3.01% 2.56%(1)
Portfolio turnover rate .............. 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.
90 See Notes to Financial Statements.
<PAGE>
LEGACY
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
JULY 5, 1995
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT OF
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, OPERATIONS)
1999 1998 1997 1996 TO DECEMBER 31, 1995
------------ ------------ ------------ ------------ --------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 12.37 $ 12.10 $ 11.25 $ 10.64 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ................ 0.52 0.41 0.36+ 0.33+ 0.15+
Net realized and
change in unrealized gain or
loss on investments ................. 0.34 0.43 1.26 1.15 0.68
----------- ----------- ----------- ----------- -----------
Total from investment operations ... 0.86 0.84 1.62 1.48 0.83
----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS:
From net investment income ........... (0.41) (0.41) (0.39) (0.36) (0.19)
From net realized gains on investments (0.33) (0.16) (0.38) (0.51) --
----------- ----------- ----------- ----------- -----------
Total distributions ................ (0.74) (0.57) (0.77) (0.87) (0.19)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ........ $ 12.49 $ 12.37 $ 12.10 $ 11.25 $ 10.64
=========== =========== =========== =========== ===========
Total return* ......................... 7.10% 6.94% 14.50% 14.19% 8.27%
Net assets, end of period (000's) ..... $ 131,207 $ 148,526 $ 81,650 $ 27,754 $ 18,253
Ratio of total expenses to average
net assets ........................... 0.75% 0.76% 0.75% 0.80% 1.62%(1)
Ratio of net investment income to
average net assets ................... 3.75% 3.81% 3.75% 3.45% 2.91%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ..... 0.75% -- -- -- --
Portfolio turnover rate ............... 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.
See Notes to Financial Statements. 91
<PAGE>
Independent Auditors' Report
The Board of Directors and Shareholders
Aetna Generation Portfolios, Inc.:
We have audited the accompanying statements of assets and liabilities of Aetna
Ascent VP, Aetna Crossroads VP and Aetna Legacy VP, series of Aetna Generation
Portfolios, Inc. (collectively the Generation Portfolios), including the
portfolios of investments as of December 31, 1999, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the years in the two-year period then ended and financial highlights for
each of the years in the four-year period then ended and the period from July 5,
1995 (commencement of operations) to December 31, 1995. These financial
statements and financial highlights are the responsibility of the Generation
Portfolios' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Aetna
Ascent VP, Aetna Crossroads VP and Aetna Legacy VP as of December 31, 1999,
results of their operations for the year then ended, changes in their net assets
for each of the years in the two-year period then ended and financial highlights
for each of the years in the four-year period then ended and the period from
July 5, 1995 (commencement of operations) to December 31, 1995, in conformity
with generally accepted accounting principles.
/s/ KPMG LLP
Hartford, Connecticut
February 4, 2000
92
