John Hancock Trust · N-30D · For 12/31/99

Filed On 2/29/00   ·   SEC File 811-04146   ·   Accession Number 950135-0-1163

Annual or Semi-Annual Report Mailed to Shareholders   ·   Rule 30d-1
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-30D       Manulife Financial                                   528± 1,114K 

Document Table of Contents

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Manufacturers                                                                   

Investment Trust                                                                

Annual Report                                                                   

December 31, 1999                                                               

VENTURE(R)
VARIABLE PRODUCTS 

[GRAPHIC OF TWO PEOPLE ON BICYCLES] 

Audited Financial Statements

[MANULIFE FINANCIAL LOGO] 

Venture Annuities: Issuer and Administrator 
The Manufacturers Life Insurance Company of North America 

Venture SPVL, VUL, Survivorship VUL and COLI VUL  
Issuer and Administrator

The Manufacturers Life Insurance Company of America 

0200:70317                                                                      

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MANUFACTURERS INVESTMENT TRUST                                                  

PRESIDENT'S MESSAGE                                                             
--------------------------------------------------------------------------------

February 22, 2000                                                               

Dear Fellow Investors:                                                          

It is my pleasure to present to you the 1999 audited financial statements of the
Manufacturers Investment Trust, the mutual fund that is the underlying          
investment vehicle for your variable insurance product or retirement plan. The  
financial statements that follow reflect operations for the period ending       
December 31, 1999. During 1999, total net assets of the Trust grew from $13.40  
billion as of December 31, 1998, to $18.15 billion as of December 31, 1999,     
reflecting the ongoing interest in tax-deferred variable insurance products as  
vehicles for retirement and estate planning.                                    

At Manulife Financial, we are committed to helping you meet your long-term      
financial goals by delivering you a full range of investment options and        
expertise. Part of this commitment is our disciplined and comprehensive asset   
manager selection and review process, which seeks to provide our investors with 
the highest likelihood of good performance, both today and tomorrow. To this    
end, we upgraded our investment program on May 1, 1999, adding six of the       
world's best asset managers, including A I M Capital Management, Inc., Capital  
Guardian Trust Company, Franklin Advisers, Inc., Pacific Investment Management  
Company (PIMCO), State Street Global Advisors (SSgA), and Templeton Investment  
Counsel, Inc. This manager lineup now provides you access to 16 outstanding     
organizations that together manage over $2.9 trillion in assets and have over   
750 years of investment leadership.                                             

1999 PERFORMANCE (BY MAJOR INDEX) 

                                                                [Download Table]

                      -------------------------------------------
                                                                 
NASDAQ Comp                              85.59                   
S&P Tech Sector                          75.13                   
MSCI Pacific                             57.96                   
Russell 2000 Growth                      43.09                   
MSCI EAFE                                27.30                   
Dow Jones Indust Avg                     25.22                   
Russell 2000                             21.26                   
S&P 500                                  21.04                   
SB High Yield                             1.73                   
LB Agg Bond                              -0.83                   
Russell 2000 Value                       -1.49                   
LB Govt/Corp                             -2.15                   
MS REIT                                  -4.55                   

As can be seen in the above graph, 1999 provided another reminder of how        
volatile the markets can be, and how important diversification can be in helping
you meet your long-term financial goals. Diversification can help you avoid the 
ups and downs of investing in a single type of investment strategy. By including
investments that respond to market or economic factors, when one is doing       
poorly, another may be dong well. With our range of asset classes, investment   
styles, and world-class managers, at Manulife Financial we help make            
diversification easy.                                                           

Despite the fact that it is a new millennium and that some are talking about a  
new paradigm for investing, at Manulife Financial we still believe that the     
tried and true investment principles apply. We encourage you to work closely    
with a professional investment advisor to periodically review and update your   
financial program to ensure that it is structured to best help you meet your    
goals. Now may be the right time to reevaluate your mix of portfolios to take   
advantage of our new investment alternatives, to pursue greater defensive       
strategies during market volatility, or to add new asset classes to increase    
your diversification and spread out your risks.                                 

Thank you for choosing Manulife Financial. We look forward to serving your      
investment needs and continuing to earn your trust throughout 2000.             

        Sincerely,

                      /s/ Matthew R. Schiffman
                  MATTHEW R. SCHIFFMAN
       President

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MANUFACTURERS INVESTMENT TRUST                                                  
INDEX TO ANNUAL REPORT                                                          

                                                        [Enlarge/Download Table]

                                                                                                        Page
                                                                                                        ----
                                                                                                            
Portfolio Performance and Manager's Commentary.........................................................  iii

Report of Independent Accountants......................................................................   1 

Statements of Assets and Liabilities...................................................................   2 

Statements of Operations...............................................................................  10 

Statements of Changes in Net Assets....................................................................  18 

Financial Highlights...................................................................................  31 

Portfolio of Investments:                                                                                   
     Pacific Rim Emerging Markets Trust................................................................  70 
     Science & Technology Trust........................................................................  73 
     International Small Cap Trust.....................................................................  74 
     Aggressive Growth Trust...........................................................................  77 
     Emerging Small Company Trust......................................................................  80 
     Small Company Blend Trust.........................................................................  85 
     Mid Cap Growth Trust..............................................................................  90 
     Mid Cap Stock Trust...............................................................................  93 
     Overseas Trust....................................................................................  95 
     International Stock Trust......................................................................... 100 
     International Value Trust......................................................................... 103 
     Mid Cap Blend Trust............................................................................... 106 
     Small Company Value Trust......................................................................... 111 
     Global Equity Trust............................................................................... 120 
     Growth Trust...................................................................................... 122 
     Large Cap Growth Trust............................................................................ 124 
     Quantitative Equity Trust......................................................................... 128 
     Blue Chip Growth Trust............................................................................ 130 
     Real Estate Securities Trust...................................................................... 134 
     Value Trust....................................................................................... 136 
     Equity Index Trust................................................................................ 138 
     Growth & Income Trust............................................................................. 146 
     U.S. Large Cap Value Trust........................................................................ 148 
     Equity-Income Trust............................................................................... 150 
     Income & Value Trust.............................................................................. 153 
     Balanced Trust.................................................................................... 158 
     High Yield Trust.................................................................................. 161 
     Strategic Bond Trust.............................................................................. 166 
     Global Bond Trust................................................................................. 173 
     Total Return Trust................................................................................ 176 
     Investment Quality Bond Trust..................................................................... 179 
     Diversified Bond Trust............................................................................ 188 
     U.S. Government Securities Trust.................................................................. 191 
     Money Market Trust................................................................................ 192 
     Lifestyle Aggressive 1000 Trust................................................................... 194 
     Lifestyle Growth 820 Trust........................................................................ 194 
     Lifestyle Balanced 640 Trust...................................................................... 194 
     Lifestyle Moderate 460 Trust...................................................................... 195 
     Lifestyle Conservative 280 Trust.................................................................. 195 

Notes to Financial Statements.......................................................................... 196 

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MANUFACTURERS INVESTMENT TRUST                                                  
PORTFOLIO PERFORMANCE AND MANAGER'S COMMENTARY                                  

 TRUST PERFORMANCE

In the following pages we have set forth information regarding the performance  
of each Portfolio of the Manufacturers Investment Trust (the "Trust"), excluding
the Money Market Trust. There are several ways to evaluate a Portfolio's        
historical performance. One can look at the total percentage change in value,   
the average annual percentage change or the growth of a hypothetical $10,000    
investment. WITH RESPECT TO ALL PERFORMANCE INFORMATION PRESENTED, IT IS        
IMPORTANT TO UNDERSTAND THAT PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
RETURN AND PRINCIPAL FLUCTUATE, AND SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR 
LESS THAN THEIR ORIGINAL COST.                                                  

PERFORMANCE TABLES

The Performance Tables show two types of total return information: CUMULATIVE   
AND AVERAGE ANNUAL TOTAL RETURNS. A CUMULATIVE TOTAL RETURN is an expression of 
a Portfolio's total change in share value in percentage terms over a set period 
of time -- one, five and ten years (or since the Portfolio's inception if less  
than the applicable period). An AVERAGE ANNUAL TOTAL RETURN takes the           
Portfolio's cumulative total return for a time period greater than one year and 
shows what would have happened if the Portfolio had performed at a constant rate
each year. In addition, fifteen Portfolios have had portfolio management        
changes, namely the Aggressive Growth, Emerging Small Company, Mid Cap Growth,  
Overseas, Mid Cap Blend, Global Equity, Growth, Large Cap Growth, Blue Chip     
Growth, Equity-Income, Income & Value, Global Bond, Investment Quality Bond,    
Diversified Bond and U.S. Government Securities Trusts. For these Portfolios,   
the tables also show a cumulative total return for the period since the current 
portfolio manager assumed responsibility. THE TABLES SHOW ALL CUMULATIVE AND    
AVERAGE ANNUAL TOTAL RETURNS, NET OF FEES AND EXPENSES OF THE TRUST, BUT DO NOT 
REFLECT THE INSURANCE (SEPARATE ACCOUNT) EXPENSES (INCLUDING A POSSIBLE         
CONTINGENT DEFERRED SALES CHARGE) OF THE VARIABLE ANNUITY AND VARIABLE LIFE     
PRODUCTS THAT INVEST IN THE TRUST. IF THESE WERE INCLUDED, PERFORMANCE WOULD BE 
LOWER.                                                                          

GRAPH -- CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES

The performance graph for each Portfolio shows the change in value of a $10,000 
investment over the life of each Portfolio. Each Portfolio's performance is     
compared with the performance of one or more broad-based securities indices as a
"benchmark." All performance information includes the reinvestment of dividends 
and capital gain distributions, as well as the deduction of ongoing management  
fees and Portfolio operating expenses. The benchmarks used for comparison are   
unmanaged and include reinvestment of dividends and capital gains distributions,
if any, but do not reflect any fees or expenses. Portfolios that invest in      
multiple asset classes are compared with a customized benchmark. This benchmark 
is comprised of a set percentage allocation from each of the asset classes in   
which the Portfolio invests.                                                    

PORTFOLIO MANAGER'S COMMENTARY

Finally, we have provided a commentary by each portfolio manager regarding each 
Portfolio's performance during the period ended December 31, 1999. The views    
expressed are those of the portfolio manager as of December 31, 1999, and are   
subject to change based on market and other conditions. Information about a     
Portfolio's holdings, asset allocation or country diversification is historical 
and is no indication of future portfolio composition, which will vary.          

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PACIFIC RIM EMERGING MARKETS TRUST

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve long-term growth of capital by investing, under  
  & POLICIES:         normal conditions, at least 65% of the Trust's net assets in
                      common stocks and equity-related securities of established, 
                      larger-capitalization, non-U.S. companies in the Pacific Rim
                      that have attractive long-term prospects for capital growth.
SUBADVISER:           Manufacturers Adviser Corporation                           
PORTFOLIO MANAGERS:   Richard James Crook, Stephen Hill and Hugh Williams         
INCEPTION DATE:       October 4, 1994                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[PACIFIC RIM EMERGING MARKETS TRUST PERFORMANCE GRAPH]                          

                                                                [Download Table]

            PACIFIC RIM EMERGING MARKETS                    
                       TRUST              MSCI PACIFIC INDEX
            ----------------------------  ------------------
                                                            
Sept. 1994             10000                    10000       
Dec. 1994               9473                     9750       
Mar. 1995               9303                     9597       
Sept.1995              10097                     9588       
Dec. 1995              10548                    10042       
Mar. 1996              11184                    10255       
Sept. 1996             11422                     9901       
Dec. 1996              11582                     9198       
Mar. 1997              11284                     8289       
Sept.1997              10328                     8648       
Dec. 1997               7630                     6868       
Mar. 1998               7971                     7090       
Sept. 1998              5850                     5589       
Dec. 1998               7279                     7053       
Mar. 1999               7823                     7847       
Sept. 1999              9623                     9589       
Dec. 1999              11854                    11140       

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                    Average Annual Total Return   Cumulative Total Return
                                    -----------------------------------------------------
                                                        Since                    Since   
 Periods Ending December 31, 1999   1 Year   5 Year   Inception   5 Year       Inception 
                                                                                         
MSCI Pacific Index*                 57.96%   2.70%      2.08%     14.26%         11.40%  
Pacific Rim Emerging Markets Trust  62.87%   4.59%      3.30%     25.13%         18.54%  
* All since inception returns for the indices begin on the month-end closest to the      
  actual inception date of the Trust.                                                    

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Pacific Rim Emerging Markets Trust returned 62.87%,  
outperforming the 57.96% return of the MSCI Pacific Index.                      

ENVIRONMENT: The year 1999 turned out to be a good period for equities. Most of 
the Pacific Rim markets registered their best performance in several years.     
Although the Australian market was a relatively sluggish performer, it closed   
the year at record levels. In Australia, natural resources stocks outperformed  
the main benchmark. Optimistic predictions for the region's economies and       
markets in 2000 were also positive for stocks. The Trust underperformed its peer
group because it had a more conservative bias toward the smaller Pacific markets
during the first three quarters of the year. It also had a relatively high cash 
position. The Trust outperformed its index because it was underweight in        
Australia and New Zealand, two areas that lagged other Pacific markets.         

OUTLOOK: If U.S. interest rate increases remain as modest as they were in 1999  
and if there is no recession in the U.S., the early stage recovery process in   
Asia is likely to continue during 2000. Such a recovery would likely provide a  
solid backdrop for regional equity markets. Returns may not be as high as those 
of 1999, but the prospects for improving corporate profits should underpin      
positive share price performance in the coming months.                          

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SCIENCE & TECHNOLOGY TRUST

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve long-term growth of capital by investing at least
  & POLICIES:         65% of the portfolio's total assets in the common stocks of 
                      companies expected to benefit from the development,         
                      advancement, and use of science and technology. Current     
                      income is incidental to the portfolio's objective.          
SUBADVISER:           T. Rowe Price Associates, Inc.                              
PORTFOLIO MANAGERS:   Charles A. Morris                                           
INCEPTION DATE:       January 1, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

                                            LIPPER SCIENCE & TECHNOLOGY FUND
                SCIENCE & TECHNOLOGY TRUST               INDEX              
                --------------------------  --------------------------------
                                                                            
December 1996            10000.00                       10000.00            
                         10744.00                       10760.00            
                          9896.00                        9787.00            
March 1997                9344.00                        9050.00            
                          9704.00                        9446.00            
                         10840.00                       10570.00            
June 1997                11040.00                       10668.00            
                         12336.00                       12164.00            
                         12168.00                       12239.00            
September 1997           12616.00                       12758.00            
                         11680.00                       11410.00            
                         11632.00                       11313.00            
December 1997            11071.00                       10783.00            
                         11242.00                       10974.00            
                         12607.00                       12280.00            
March 1998               12827.00                       12381.00            
                         13436.00                       12912.00            
                         12323.00                       11965.00            
June 1998                12981.00                       12667.00            
                         12339.00                       12548.00            
                          9575.00                       10192.00            
September 1998           10787.00                       11395.00            
                         12063.00                       12264.00            
                         13510.00                       13639.00            
December 1998            15867.00                       15846.00            
                         17882.00                       17898.00            
                         16069.00                       16029.00            
March 1999               17873.00                       17663.00            
                         18004.00                       17884.00            
                         18233.00                       17859.00            
June 1999                20674.00                       20178.00            
                         20649.00                       20172.00            
                         21797.00                       21282.00            
September 1999           22333.00                       21571.00            
                         23749.00                       23843.00            
                         26654.00                       27379.00            
December 1999            31652.00                       33895.00            

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                              Average Annual Total Return     Cumulative Total Return
                                                              -------------------------------------------------------
                                                                                  Since                Since         
              Periods Ending December 31, 1999                 1 Year           Inception            Inception       
                                                                                                                     
Lipper Science and Technology Fund Index*                     113.90%             50.21%              238.95%        
Science & Technology Trust                                     99.49%             46.88%              216.52%        
* All since inception returns for the indices begin on the month-end closest to the actual inception date of the     
  Trust.                                                                                                             

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Science & Technology Trust returned 99.49%,          
underperforming the 113.90% return of the Lipper Science & Technology Fund      
Index.                                                                          

ENVIRONMENT: Fundamentals across the technology landscape improved throughout   
the year. Semiconductor demand rose until it absorbed existing supply.          
Corporations around the world implemented Internet-centric computing            
architectures. Communications carriers advanced the build-out of their Internet 
infrastructures. Demand for digital wireless services was extremely robust.     
E-commerce went mainstream. The expansion of e-commerce forced virtually every  
company in nearly every region of the world to determine the best way of        
leveraging the Internet to expand revenues and streamline operations. The       
maturing personal computer industry stood poised to benefit from the symbiotic  
effect between more functional operating systems and more powerful processors.  
During the year, the shortfall in the Trust's performance relative to its Index 
was due largely to the Trust's conservative nature compared to its peers. The   
Trust remains broadly diversified across the primary segments of the technology 
sector. Performance was affected positively by the Trust's holdings in the      
electronic commerce, semiconductor and communication areas of the economy. While
the Trust had its share of underachievers, significant disappointments were few 
and far between.                                                                

OUTLOOK: When the uninterrupted surge in technology stocks and the nearly       
universal optimism and extreme valuations are considered, any erosion in        
near-term fundamentals could trigger a sizable correction. Therefore, the Trust 
will maintain its mandate to invest in the most promising investment            
opportunities within the technology arena with a healthy respect for the        
volatility and risk inherent in this sector.                                    

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INTERNATIONAL SMALL CAP TRUST 

                                                                [Download Table]
                                                                                
INVESTMENT OBJECTIVE  To achieve long-term capital appreciation through         
  & POLICIES:         investments in the common stocks of foreign companies with
                      market capitalizations or annual revenues of $1 billion or
                      less.                                                     
SUBADVISER:           Founders Asset Management LLC                             
PORTFOLIO MANAGERS:   Tracy P. Stouffer                                         
INCEPTION DATE:       March 4, 1996                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

                                                        [Enlarge/Download Table]

                INTERNATIONAL SMALL CAP                            MSCI WORLD EX-U.S. SMALL
                         TRUST           MSCI WORLD EX-U.S. INDEX          CAP INDEX       
                -----------------------  ------------------------  ------------------------
                                                                                           
                       10000.00                  10000.00                  10000.00        
March 1996             10048.00                  10214.00                  10190.00        
                       10344.00                  10518.00                  10702.00        
                       10576.00                  10342.00                  10531.00        
June 1996              10624.00                  10389.00                  10485.00        
                       10240.00                  10088.00                   9921.00        
                       10304.00                  10129.00                  10019.00        
September 1996         10424.00                  10406.00                  10071.00        
                       10632.00                  10339.00                  10012.00        
                       10832.00                  10768.00                  10189.00        
December 1996          10920.00                  10622.00                   9848.00        
                       11033.00                  10294.00                   9707.00        
                       11298.00                  10452.00                   9881.00        
March 1997             11257.00                  10466.00                   9613.00        
                       10998.00                  10533.00                   9305.00        
                       11496.00                  11230.00                  10014.00        
June 1997              11641.00                  11832.00                  10209.00        
                       11601.00                  12052.00                   9943.00        
                       11143.00                  11167.00                   9347.00        
September 1997         11560.00                  11797.00                   9240.00        
                       11086.00                  10910.00                   8750.00        
                       11151.00                  10790.00                   8101.00        
December 1997          11006.00                  10896.00                   7681.00        
                       11255.00                  11363.00                   8099.00        
                       11801.00                  12106.00                   8839.00        
March 1998             12476.00                  12507.00                   9035.00        
                       12827.00                  12607.00                   9026.00        
                       13359.00                  12544.00                   9030.00        
June 1998              13383.00                  12613.00                   8683.00        
                       13383.00                  12699.00                   8534.00        
                       11514.00                  11080.00                   7346.00        
September 1998         10853.00                  10766.00                   7059.00        
                       11328.00                  11890.00                   7608.00        
                       11804.00                  12495.00                   7961.00        
December 1998          12311.00                  12978.00                   8012.00        
                       12738.00                  12983.00                   7924.00        
                       12125.00                  12660.00                   7805.00        
March 1999             12681.00                  13191.00                   8226.00        
                       13210.00                  13760.00                   8860.00        
                       12749.00                  13068.00                   8532.00        
June 1999              13322.00                  13581.00                   8976.00        
                       13831.00                  13975.00                   9254.00        
                       13945.00                  14019.00                   9467.00        
September 1999         14349.00                  14173.00                   9448.00        
                       15036.00                  14724.00                   9306.00        
                       18819.00                  15242.00                   9362.00        
December 1999          22767.00                  16642.00                   9357.00        

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                              Average Annual Total Return    Cumulative Total Return
                                                              ------------------------------------------------------
                                                                                 Since                Since         
              Periods Ending December 31, 1999                1 Year           Inception            Inception       
                                                                                                                    
MSCI World ex U.S. Index*                                     28.27%             14.21%               66.42%        
MSCI World ex U.S. Small Cap Index                            18.37%             -1.72%               -6.43%        
International Small Cap Trust                                 84.92%             23.98%              127.67%        
* All since inception returns for the indices begin on the month-end closest to the actual inception date of the    
  Trust.                                                                                                            

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the International Small Cap Trust returned 84.92%,       
outperforming the 28.27% return of the MSCI World ex U.S. Index.                

ENVIRONMENT: The year 1999 will be remembered for the stunning returns and      
positive economic growth of the Asian markets. Japan was a particularly strong  
performer. It benefited from a large influx of foreign investment, which drove  
up stock valuations. For most of the year, Europe presented the opposite        
situation. The general weakness of the euro and the slow growth of the German   
economy led to uninspired returns by European markets for most of the year. Many
of these markets, however, rallied in the fourth quarter, as investors regained 
confidence in their economic prospects for 2000. Because of concerns about the  
ability of small Japanese companies to produce profits, the Trust had limited   
exposure to Japanese small companies in the first half of the year. The lack of 
investment in Japanese small companies hurt the Trust relative to some of its   
peers. Beginning in the third quarter, however, the Trust added several Japanese
small companies to the portfolio, many of which made major contributions to 1999
performance.                                                                    

OUTLOOK: As the technological revolution continues around the world, small      
companies have a great deal to gain. In the years to come, the Internet should  
come of age in Europe and Asia. There should also be further developments in    
telecommunications and in outsourcing. International small companies stand to   
benefit from these trends. The Trust will continue to search for the companies  
that may turn these trends into profits.                                        

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AGGRESSIVE GROWTH TRUST 
(FORMERLY PILGRIM BAXTER GROWTH TRUST)

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve long-term capital appreciation by investing      
  & POLICIES:         primarily in common stocks, convertible bonds, convertible  
                      preferred stocks and warrants of companies that the         
                      subadviser expects to achieve earnings growth over time at a
                      rate in excess of 15% per year. Many of these companies are 
                      small- and medium-sized.                                    
SUBADVISER:           A I M Capital Management, Inc.                              
PORTFOLIO MANAGERS:   Robert M. Kippes, Charles D. Scavone, Kenneth A. Zschappel  
                      and Ryan E. Crane                                           
INCEPTION DATE:       January 1, 1997++                                           

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[AGGRESSIVE GROWTH TRUST PERFORMANCE GRAPH]                                     

                                                                [Download Table]

                AGGRESSIVE GROWTH TRUST  RUSSELL 2000 GROWTH INDEX
                -----------------------  -------------------------
                                                                  
December 1996            10000                     10000          
                         10128                     10250          
                          9296                      9631          
March 1997                8488                      8951          
                          8504                      8848          
                          9384                     10177          
June 1997                 9792                     10523          
                         10584                     11062          
                         10256                     11394          
September 1997           10704                     12303          
                         10088                     11564          
                          9872                     11288          
December 1997            10000                     11295          
                          9600                     11144          
                         10432                     12128          
March 1998               10920                     12637          
                         10976                     12714          
                          9944                     11790          
June 1998                10480                     11911          
                          9544                     10916          
                          7384                      8396          
September 1998            7888                      9248          
                          8328                      9730          
                          9120                     10485          
December 1998            10432                     11434          
                         10640                     11949          
                          9584                     10855          
March 1999               10008                     11242          
                          9559                     12234          
                          9640                     12254          
June 1999                10384                     12900          
                         10440                     12501          
                         10336                     12034          
September 1999           10648                     12266          
                         11112                     12580          
                         12056                     13909          
December 1999            13872                     16361          

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                              Average Annual Total Return         Cumulative Total Return  
                                                                                 Since               Since        Since++  
              Periods Ending December 31, 1999                1 Year           Inception           Inception    May 1, 1999
                                                                                                                           
Russell 2000 Growth Index*                                    43.09%             17.83%             63.61%        33.73%   
Aggressive Growth Trust                                       32.98%             11.54%             38.72%        44.38%   
++ Current subadviser assignment became effective May 1, 1999.                                                             
* All since inception returns for the indices begin on the month-end closest to the actual inception date of               
  the Trust.                                                                                                               

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Aggressive Growth Trust returned 32.98%,             
underperforming the 43.09% return of the Russell 2000 Growth Index. AIM assumed 
management of the Trust, formerly called the Pilgrim Baxter Growth Trust and    
managed by Pilgrim Baxter & Associates, Ltd., on May 1, 1999. As a result,      
performance for 1999 is attributable to both asset management firms. Under AIM's
management, the Aggressive Growth Trust returned 44.38% since May 1,            
outperforming the 33.73% return of the Russell 2000 Growth Index for the same   
period.                                                                         

ENVIRONMENT: When 1999 began, many market forecasters believed that the stock   
market could not match its 1998 performance. Most forecasters would have been   
correct if it was not for the remarkable surge by technology stocks in the      
fourth quarter. Technology companies were rewarded for rewriting many of the    
rules on how business is done. However, technology stocks were also victims of  
much of the stock market's volatility during the year. Technology stocks climbed
to new highs in the spring, sold off in the summer and then set record highs by 
the end of the year. The technology sector, which accounted for 56.5% of the    
Trust's assets at year end, was responsible for much of the Trust's market cap  
appreciation and performance. In an effort to slow economic growth, the Federal 
Reserve Board raised interest rates three times in 1999. These rate increases   
contributed to the volatility in the markets. In order to focus on companies    
with the strongest earnings growth potential, the Trust reduced the number of   
stocks in the portfolio to 175 during the year.                                 

OUTLOOK: In 2000, investors will continue to watch the Fed's interest rate      
policy. Technology companies and companies directly or indirectly related to the
sector may continue to lead the way. Small and mid cap stocks should continue   
the recovery they began in 1999. With a market that is expected to move in line 
with earnings growth, the outlook for the Trust is positive.                    

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EMERGING SMALL COMPANY TRUST

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve long-term growth of capital by investing at least
  & POLICIES:         65% of the portfolio's total assets in the common stocks of 
                      companies that have market capitalizations which match the  
                      approximate range of capitalization of the Russell 2000     
                      Index at the time of purchase.                              
SUBADVISER:           Franklin Advisers, Inc.                                     
PORTFOLIO MANAGERS:   Ed Jamieson, Mike McCarthy and Aidan O'Connell              
INCEPTION DATE:       January 1, 1997++                                           

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[EMERGING SMALL COMPANY TRUST PERFORMANCE GRAPH]                                

                                                                [Download Table]

                EMERGING SMALL COMPANY TRUST  RUSSELL 2000 GROWTH INDEX
                ----------------------------  -------------------------
                                                                       
December 1996             10000.00                     10000.00        
                          10186.00                     10250.00        
                           9731.00                      9631.00        
March 1997                 9133.00                      8951.00        
                           9079.00                      8848.00        
                          10127.00                     10177.00        
June 1997                 10578.00                     10523.00        
                          11191.00                     11062.00        
                          11298.00                     11394.00        
September 1997            12293.00                     12303.00        
                          11651.00                     11564.00        
                          11514.00                     11288.00        
December 1997             11823.00                     11295.00        
                          11303.00                     11144.00        
                          12386.00                     12128.00        
March 1998                13077.00                     12637.00        
                          13103.00                     12714.00        
                          12223.00                     11790.00        
June 1998                 12551.00                     11911.00        
                          11210.00                     10916.00        
                           9189.00                      8396.00        
September 1998             9904.00                      9248.00        
                          10435.00                      9730.00        
                          10982.00                     10485.00        
December 1998             11722.00                     11434.00        

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                              Average Annual Total Return          Cumulative Total Return 
                                                                                 Since               Since        Since++  
              Periods Ending December 31, 1999                1 Year           Inception           Inception    May 1, 1999
                                                                                                                           
Russell 2000 Growth Index*                                    43.09%             17.83%              63.61%       33.73%   
Emerging Small Company Trust                                  73.53%             26.71%             103.41%       77.98%   
++ Current subadviser assignment became effective May 1, 1999.                                                             
* All since inception returns for the indices begin on the month-end closest to the actual inception date of               
  the Trust.                                                                                                               

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Emerging Small Company Trust returned 73.53%,        
outperforming the 43.09% return of the Russell 2000 Growth Index. Franklin      
Advisers, Inc. assumed management of the Trust, formerly managed by Warburg     
Pincus Asset Management, Inc., on May 1, 1999. As a result, performance for 1999
is attributable to both asset management firms. Under Franklin's management, the
Emerging Small Company Trust returned 77.98% since May 1, outperforming the     
33.73% return of the Russell 2000 Growth Index for the same period.             

ENVIRONMENT: The Trust's outperformance in the fourth quarter and for the year  
was due largely to its overweighting of technology stocks and significant       
underweighting of financial and retail stocks. The gap between strong technology
and weak non-technology stock performance widened during the quarter as         
investors chased the technology stock winners to higher valuations. The Trust   
had already established positions in many of these technology stock winners and 
was positioned to benefit from their strong, fourth-quarter performance. One    
small group of underappreciated non-technology growth stocks rebounded during   
the quarter. These stocks were spread widely across sectors as disparate as     
health care and producer manufacturing. The recent fundamental improvements in  
the homebuilder and real estate investment trust sectors were encouraging. The  
Trust has added selectively to a handful of non-technology stocks that have the 
potential to be strong performers when the market eventually broadens.          

OUTLOOK: Going into 2000, there is strong growth potential for small cap        
companies. Healthy growth prospects for the global economy should set the stage 
for a broadening of small cap stock performance away from technology. Small cap 
companies are positioned to be prominent innovators in creating and delivering  
new products, services and technologies in the years ahead.                     

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SMALL COMPANY BLEND TRUST 

                                                                [Download Table]
                                                                                
INVESTMENT OBJECTIVE     To achieve long-term growth of capital by investing    
  & POLICIES:            primarily in equity and equity related securities of   
                         companies with market capitalizations that match the   
                         approximate range of capitalization of the Russell 2000
                         Index at the time of purchase.                         
SUBADVISER:              Capital Guardian Trust Company                         
PORTFOLIO MANAGERS:      Michael R. Ericksen, James S. Kang and Robert G. Kirby 
INCEPTION DATE:          May 1, 1999                                            

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

                SMALL COMPANY BLEND TRUST  RUSSELL 2000 INDEX
                -------------------------  ------------------
                                                             
May 1999                  10024                  10146       
June 1999                 10904                  10605       
July 1999                 10688                  10314       
August 1999               10432                   9932       
September 1999            10456                   9934       
October 1999              10696                   9974       
November 1999             11536                  10570       
December 1999             12856                  11767       

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                                Cumulative Total Return
                                                                -----------------------
                                                                         Since         
Periods Ending December 31, 1999                                       Inception       
                                                                                       
Russell 2000 Index*                                                     17.67%         
Small Company Blend Trust                                               28.56%         
* All since inception returns for the indices begin on the month-end closest to the    
  actual inception date of the Trust.                                                  

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: Since its inception on May 1, 1999, the Small Company Blend Trust  
returned 28.56%, outperforming the 17.67% return of the Russell 2000 Index.     

ENVIRONMENT: By year-end, technology and telecommunication stocks drove the     
major U.S. indices to all-time highs. Unlike recent periods, small cap stocks   
participated in the market's advances. The Russell 2000 Index had its best year 
since 1993. The S&P 500 Index rose 21.04%. More spectacularly, the              
technology-heavy NASDAQ Composite Index gained 85.60% over the year. The        
NASDAQ's performance was the best ever by a major U.S. stock index. Mirroring   
their large cap counterparts, the technology-related names in the Russell 2000  
Index had the best performance. In a record year for IPO issuance, the offerings
of small company technology stocks excelled, while many small companies outside 
the technology sector struggled.                                                

OUTLOOK: The disparity in valuations between the largest U.S. stocks and the    
rest of the stock universe is as wide as it has been in several decades.        
Therefore, the upside potential is limited for those stocks commanding a premium
for their large size. Small cap stocks, on the other hand, have been neglected  
in recent years, despite their greater potential for real long-term growth. The 
strong performance of small company stocks in 1999 may be the beginning of a    
period in which small cap stocks narrow the valuation gap with their large cap  
counterparts. Going forward, we expect there to be good value among selected    
financial services companies and in the small cap industrial firms that have    
suffered recently from the market's overwhelming preference for "new economy"   
stocks.                                                                         

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MID CAP GROWTH TRUST
(FORMERLY SMALL/MID CAP TRUST)

                                                                [Download Table]
                                                                              
INVESTMENT OBJECTIVE  To achieve long-term capital appreciation by investing  
  & POLICIES:         primarily in common stocks, emphasizing medium-sized and
                      smaller emerging growth companies.                      
SUBADVISER:           A I M Capital Management, Inc.                          
PORTFOLIO MANAGERS:   Robert M. Kippes, Charles D. Scavone, David P. Barnard, 
                      Kenneth A. Zschappel and Christopher P. Perras          
INCEPTION DATE:       March 4, 1996++                                         

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

                                                        [Enlarge/Download Table]

            MID CAP GROWTH  RUSSELL 2000  S&P MID CAP 400      50%/50%      RUSSELL MID CAP
                 TRUST      GROWTH INDEX       INDEX       COMPOSITE INDEX   GROWTH INDEX  
            --------------  ------------  ---------------  ---------------  ---------------
                                                                                           
Feb. 1996        10000          10000          10000            10000            10000     
Mar. 1996        10312          10198          10120            10159            10079     
                 10824          10981          10429            10704            10566     
                 10976          11544          10569            11051            10781     
Jun. 1996        10504          10794          10411            10609            10456     
                  9368           9476           9706             9602             9644     
                  9904          10177          10266            10235            10166     
Sept. 1996       10456          10702          10714            10721            10812     
                 10248          10240          10745            10506            10685     
                 10864          10525          11350            10948            11315     
Dec. 1996        10696          10730          11362            11060            11124     
                 11232          10998          11788            11406            11616     
                 10584          10334          11692            11015            11361     
Mar. 1997         9984           9604          11194            10391            10719     
                 10064           9493          11483            10466            10981     
                 10848          10920          12487            11710            11965     
Jun. 1997        11448          11290          12838            12073            12297     
                 12520          11869          14109            12980            13474     
                 12384          12225          14092            13167            13341     
Sept. 1997       13264          13201          14902            14071            14017     
                 12544          12408          14254            13342            13314     
                 12576          12112          14465            13282            13454     
Dec. 1997        12328          12119          15026            13544            13630     
                 12320          11957          14741            13324            13385     
                 13408          13013          15961            14464            14643     
Mar. 1998        14288          13559          16681            15094            15257     
                 14176          13642          16985            15278            15464     
                 13720          12651          16220            14379            14829     
Jun. 1998        14792          12780          16323            14498            15248     
                 14536          11713          15689            13612            14596     
                 11592           9009          12770            10774            11809     
Sept. 1998       12408           9923          13962            11823            12702     
                 13128          10440          15210            12660            13637     
                 14080          11250          15969            13467            14556     
Dec. 1998        15816          12268          17899            14889            16064     
                 15672          12820          17202            14934            16546     
                 14912          11647          16301            13860            15737     
Mar. 1999        16224          12062          16756            14301            16614     
                 16237          13127          18078            15496            17371     
                 16192          13148          18155            15543            17147     
Jun. 1999        17304          13841          19129            16368            18344     
                 16771          13413          18721            15941            17761     
                 16697          12911          18079            15370            17576     
Sept. 1999       16818          13160          17520            15281            17427     
                 18050          13497          18414            15866            18774     
                 19622          14924          19381            17121            20719     
Dec. 1999        22884          17555          20537            19138            24306     

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                                             Cumulative Total Return  
                                               Average-Annual-Total-Return                            
                                                                  Since       Since          Since**  
             Periods Ending December 31, 1999  1 Year           Inception   Inception      May 1, 1999
                                                                                                      
Russell 2000 Growth Index*                     43.09%             15.81%      75.55%         33.73%   
S&P Mid Cap 400 Index                          14.72%             20.65%     105.37%         13.58%   
50%/50% Composite Index+                       28.53%             18.45%      91.38%         23.50%   
Russell Mid Cap Growth Index++                 51.29%             26.07%     143.06%         39.92%   
Mid Cap Growth Trust                           44.69%             24.15%     128.84%         39.52%   

+ Comprised of 50% of the return of the S&P Mid Cap 400 Index and 50% of the  
return of the Russell 2000 Growth Index.                                  
++ The Russell Mid Cap Growth Index was added to more accurately reflect the    
investment objective of the Mid Cap Growth Trust.                         
** Current subadviser assignment became effective May 1, 1999.                  
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Mid Cap Growth Trust returned 44.69%, underperforming
the 51.29% return of the Russell Mid Cap Growth Index. AIM assumed management of
the Trust, formerly called the Small/Mid Cap Trust and managed by Fred Alger    
Management, Inc., on May 1, 1999. As a result, performance for 1999 is          
attributable to both asset management firms. Under AIM's management, the Mid Cap
Growth Trust returned 39.52% since May 1, 1999, underperforming the 39.92%      
return of the Russell Mid Cap Growth Index for the same period.                 

ENVIRONMENT: When 1999 began, many market forecasters believed that the stock   
market could not match its 1998 performance. Most forecasters would have been   
correct if it was not for the remarkable surge by technology stocks in the      
fourth quarter. Technology companies were rewarded for rewriting many of the    
rules on how business is done. However, technology stocks were also victims of  
much of the stock market's volatility. Technology stocks climbed to new highs in
the spring, sold off in the summer and then set record highs by the end of the  
year. The technology sector, which accounted for 48.2% of the Trust's assets at 
year end, was responsible for much of the Trust's market cap appreciation and   
performance. In an effort to slow the economy, the Federal Reserve Board raised 
interest rates three times in 1999. These rate increases contributed to the     
volatility of the markets. During the year, the Trust focused on companies with 
the strongest earnings potential. As a result, the Trust reduced the number of  
stocks in the portfolio to 163.                                                 

OUTLOOK: In 2000, investors will continue to watch the Federal Reserve Board's  
interest rate policy. Technology companies and companies directly or indirectly 
related to the sector may continue to lead the way. With a market that is       
expected to move in line with earnings growth, the outlook for the Trust is     
positive.                                                                       

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MID CAP STOCK TRUST 

                                                                [Download Table]
                                                                                
INVESTMENT OBJECTIVE  To achieve long-term growth of capital by investing       
  & POLICIES:         primarily in equity securities of companies with market   
                      capitalizations approximately in the range of the Wilshire
                      Mid Cap 750 Index.                                        
SUBADVISER:           Wellington Management Company, LLP                        
PORTFOLIO MANAGER:    Frank V. Wisneski                                         
INCEPTION DATE:       May 1, 1999                                               

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[MID CAP STOCK TRUST PERFORMANCE GRAPH]                                         

                                                                [Download Table]

                                     RUSSELL MID CAP GROWTH  WILSHIRE MID CAP 750
                MID CAP STOCK TRUST           INDEX                  INDEX       
                -------------------  ----------------------  --------------------
                                                                                 
May 1999               10104                   9871                  10177       
June 1999              10544                  10560                  10669       
July 1999              10320                  10224                  10478       
August 1999             9536                  10118                  10150       
September 1999          9312                  10032                   9963       
October 1999            9327                  10807                  10375       
November 1999           9415                  11927                  10902       
December 1999          10080                  13992                  12207       

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                                    Cumulative Total Return
                                                                    -----------------------
                                                                             Since         
              Periods Ending December 31, 1999                             Inception       
                                                                                           
Russell Mid Cap Growth Index*                                                39.92%        
Wilshire Mid Cap 750 Index                                                   22.07%        
Mid Cap Stock Trust                                                           0.80%        
* All since inception returns for the indices begin on the month-end closest to the actual 
  inception date of the Trust.                                                             

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: Since its inception on May 1, 1999, the Mid Cap Stock Trust        
returned .80%, underperforming the 39.92% return of the Russell Mid Cap Growth  
Index.                                                                          

ENVIRONMENT: Four factors contributed to the Trust's disappointing performance. 
First, the Trust's diversified mid cap exposure hurt the portfolio because      
equity markets were focused on technology issues. Technology stocks were the    
clear leaders in 1999, driving markets and valuations to new highs. Second, the 
speculative nature of the markets produced a difficult environment for the      
Trust's disciplined and fundamentally based strategy. For example, one of the   
requirements of the Trust is that the companies in which it invests must have   
three years of operating profits. Investors showed nearly insatiable demand for 
technology companies that had not demonstrated the profitability potential of   
their business models and that were often barely beyond the venture capital     
stage. Third, within the mid cap sector, the Trust was invested in the smaller  
sized stocks. The larger mid cap stocks outperformed for the year. Finally, some
tactical stock selection decisions detracted from results.                      

OUTLOOK: The U.S. economy remains on solid footing, with real GDP forecast to   
grow 3.7% on average in 2000. Once the speculative influences subside, the Trust
will reflect returns that were typical prior to 1999. No one knows when this    
narrow market will begin to broaden, but the valuation gap between large and    
small stocks is likely to converge soon. Once this convergence occurs, stronger 
relative performance for small and mid cap stocks should result. While          
frustrating over the short term, there is nothing in the present market that    
would prompt a significant change to the Trust's investment approach.           

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OVERSEAS TRUST
(FORMERLY INTERNATIONAL GROWTH AND INCOME TRUST)

                                                                [Download Table]
                                                                                
INVESTMENT OBJECTIVE  To achieve growth of capital by investing at least 65% of 
  & POLICIES:         the portfolio's total assets in foreign securities        
                      (including ADRs and EDRs). The portfolio expects to invest
                      primarily in equity securities. The portfolio may also    
                      invest in U.S. issuers.                                   
SUBADVISER:           Fidelity Management Trust Company                         
PORTFOLIO MANAGER:    Richard R. Mace Jr.                                       
INCEPTION DATE:       January 9, 1995++                                         

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
  [OVERSEAS TRUST PERFORMANCE GRAPH]

                                                                [Download Table]

                                            MSCI ALL COUNTRY WORLD
           OVERSEAS TRUST  MSCI EAFE INDEX        EX-US INDEX     
           --------------  ---------------  ----------------------
                                                                  
Dec. 1994       10000           10000                10000        
                 9820            9618                 9546        
                 9620            9593                 9494        
Mar. 1995       10060           10194                10031        
                10390           10581                10422        
                10190           10457                10376        
Jun. 1995       10010           10276                10232        
                10480           10918                10813        
                10200           10505                10438        
Sep. 1995       10270           10713                10617        
                10080           10428                10333        
                10280           10721                10576        
Dec. 1995       10698           11155                10994        
                10810           11203                11145        
                10790           11243                11145        
Mar. 1996       10984           11485                11353        
                11187           11821                11697        
                11177           11606                11521        
Jun. 1996       11320           11675                11580        
                11054           11336                11195        
                11167           11363                11261        
Sep. 1996       11453           11668                11540        
                11545           11551                11425        
                11955           12013                11865        
Dec. 1996       12047           11862                11728        
                11791           11449                11513        
                11883           11639                11724        
Mar. 1997       11976           11685                11699        
                11983           11749                11798        
                12485           12516                12526        
Jun. 1997       12912           13209                13218        
                13054           13426                13485        
                12278           12426                12424        
Sep. 1997       12715           13124                13096        
                11993           12119                11981        
                11829           11998                11831        
Dec. 1997       12037           12106                11968        
                12387           12662                12326        
                13196           13478                13148        
Mar. 1998       13786           13896                13602        
                14015           14008                13700        
                13809           13944                13451        
Jun. 1998       13602           14053                13401        
                13682           14199                13528        
                11352           12442                11620        
Sep. 1998       10778           12064                11375        
                12064           13325                12566        
                12672           14011                13242        
Dec. 1998       13006           14567                13698        
                13225           14528                13683        
                12834           14185                13376        
Mar. 1999       13558           14781                14023        
                13949           15382                14624        
                13190           14593                13886        
Jun. 1999       13765           15165                14558        
                14270           15620                14868        
                14454           15681                14952        
Sep. 1999       14547           15843                15032        
                15236           16440                15600        
                16420           17015                16218        
Dec. 1999       18274           18549                17775        

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                            Average Annual Total Return          Cumulative Total Return  
                                                            --------------------------------------------------------------
                                                                               Since             Since           Since++  
             Periods Ending December 31, 1999                1 Year          Inception         Inception       May 1, 1999
                                                                                                                          
MSCI All Country World ex-US Index*                         29.77 %          12.19  %           77.75 %         21.55  %  
MSCI EAFE Index+                                            27.30 %          13.15  %           85.49 %         20.55  %  
Overseas Trust                                              40.51 %          12.87  %           82.74 %         30.92  %  
+ The MSCI EAFE Index was added to more accurately reflect the investment objective of the Overseas Trust.                
++ Current subadviser assignment became effective May 1, 1999                                                             
* All since inception returns of the indices begin on the month-end closest to the actual inception date of the Trust.    

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Overseas Trust returned 40.51%, outperforming the    
27.30% return of the MSCI EAFE Index. Fidelity Management Trust Company assumed 
management of the Trust, formerly called the International Growth and Income    
Trust and managed by J.P. Morgan Investment Management Inc., on May 1, 1999. As 
a result, performance for 1999 is attributable to both asset management firms.  
Under Fidelity's management, the Overseas Trust returned 30.92% since May 1,    
1999, outperforming the 20.55% return of the MSCI EAFE Index for the same       
period.                                                                         

ENVIRONMENT: The Trust's performance relative to its Index was aided by strong  
stock selection in Europe and Japan. Lifted by strong sales, earnings growth and
continued merger activity, telecommunication companies around the world made    
impressive gains. Japanese technology and electronics holdings were particularly
strong contributions to the Trust's performance, as rising demand from the      
world's improving economies boosted sales and earnings. Conversely, emerging    
market positions in Asia and Latin America detracted from performance, as these 
regions struggled to regain their economic health.                              

OUTLOOK: The Trust continues to focus on large cap companies that are industry  
leaders and that provide strong earnings growth and shareholder friendly        
management. Astute stock selection will continue to be the key to outperformance
in Europe and Japan. The Japanese economic recovery remains on track mainly     
because of the government's expansionary fiscal and monetary policies.          
Industrial production, business sentiment and labor conditions in Japan are     
improving. However, continued corporate restructuring efforts have led to       
weakness in underlying capital expenditures and consumption. In Europe, the     
Trust will seek additional opportunities, as economic conditions are improving, 
consumer and business sentiment is picking up and earnings estimates are being  
revised upward.                                                                 

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INTERNATIONAL STOCK TRUST 

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To achieve long-term growth of capital by investing the     
  POLICIES:             portfolio's assets primarily in common stocks of            
                        established, non-U.S. companies. The portfolio may also     
                        invest up to 35% of its assets in other equity-related      
                        securities, such as preferred stocks, warrants and          
                        convertible securities as well as corporate and governmental
                        debt securities. Rowe Price-Fleming intends to              
                        geographically diversify the portfolio, including developed,
                        newly industrialized and emerging markets.                  
SUBADVISER:             Rowe Price-Fleming International, Inc.                      
PORTFOLIO MANAGERS:     Martin G. Wade, Mark C. J. Bickford-Smith, John R. Ford,    
                        James B.M. Seddon and David J.L. Warren                     
INCEPTION DATE:         January 1, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[INTERNATIONAL STOCK TRUST PERFORMANCE GRAPH]                                   

                                                                [Download Table]

            INTERNATIONAL STOCK TRUST  MSCI EAFE INDEX
            -------------------------  ---------------
                                                      
Dec. 1996             10000                 10000     
                       9929                  9652     
                      10026                  9813     
Mar. 1997             10018                  9850     
                      10097                  9905     
                      10733                 10552     
Jun. 1997             11183                 11136     
                      11474                 11319     
                      10424                 10476     
Sept. 1997            11086                 11065     
                      10247                 10217     
                      10229                 10115     
Dec. 1997             10264                 10206     
                      10604                 10675     
                      11221                 11363     
Mar. 1998             11615                 11715     
                      11696                 11810     
                      11642                 11756     
Jun. 1998             11651                 11847     
                      11803                 11970     
                      10300                 10490     
Sept. 1998            10067                 10171     
                      10962                 11234     
                      11437                 11812     
Dec. 1998             11650                 12281     
                      11497                 12248     
                      11228                 11959     
Mar. 1999             11677                 12461     
                      12058                 12968     
                      11448                 12303     
Jun. 1999             11888                 12785     
                      12067                 13169     
                      12175                 13220     
Sept. 1999            12228                 13356     
                      12659                 13860     
                      13466                 14345     
Dec. 1999             15112                 15633     

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                Average Annual Total Return     Cumulative Total Return
                                                -------------------------------------------------------
                                                                   Since                 Since         
              Periods Ending December 31, 1999   1 Year          Inception             Inception       
                                                                                                       
MSCI EAFE Index*                                 27.30%            16.06%               56.33%         
International Stock Trust                        29.71%            14.76%               51.12%         

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                         

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the International Stock Trust returned 29.71%,           
outperforming the 27.30% return of the MSCI EAFE Index.                         

ENVIRONMENT: An underweight position in Japan detracted from value, while an    
overweight position in Latin America added significant value to the Trust. In   
Japan, the willingness of government and businesses to grapple with a number of 
problems such as financial sector issues, excess capacity, staff reductions and 
foreign acquisitions attracted heavy foreign buying. Latin America's stock      
markets rebounded after the devaluation of the real, Brazil's currency, in      
January. International Monetary Fund (IMF) funding, interest rate reductions and
better fiscal discipline encouraged investors to return to the Latin American   
market. Underweight positions in the weaker United Kingdom and German markets   
were positive for the Trust. Overweighting in consumer electronics and          
electronic components also added value. Underweighting in the utility and       
insurance sectors was also positive.                                            

OUTLOOK: Stronger economic growth is expected in Europe. In Japan, declining    
domestic demand and capital expenditures and the potential for a strong yen are 
likely to keep the economy weak. Elsewhere in Asia, economic recovery is well   
under way and should continue. There is reason for cautious optimism in Latin   
America. Although valuations of some "new economy" stocks in international      
regions have become excessive, there is reason to be enthusiastic about the     
growth potential of well-managed telecommunication, Internet-related and        
technology businesses. Fortified by a year of improvement, international        
economies are poised for better growth with moderate inflation in 2000. In 1999,
greater-than-expected progress in restructuring and reform and more mergers and 
acquisitions than anticipated enhanced the earnings potential of international  
companies and paved the way for international stock markets to rise in the year 
ahead.                                                                          

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INTERNATIONAL VALUE TRUST 

                                                                [Download Table]
                                                                                   
INVESTMENT OBJECTIVE &  To achieve long-term growth of capital by investing        
  POLICIES:             primarily in equity securities of companies located outside
                        the United States, including in emerging markets.          
SUBADVISER:             Templeton Investment Counsel, Inc.                         
PORTFOLIO MANAGERS:     Gary R. Clemens and Edgerton Scott, III                    
INCEPTION DATE:         May 1, 1999                                                

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[INTERNATIONAL VALUE TRUST PERFORMANCE GRAPH]                                   

                                                                [Download Table]

                INTERNATIONAL VALUE TRUST  MSCI EAFE INDEX
                -------------------------  ---------------
                                                          
May 1999                   9504                  9487     
June 1999                  9920                  9859     
July 1999                  9840                 10155     
August 1999                9743                 10194     
September 1999             9519                 10299     
October 1999               9447                 10688     
November 1999              9623                 11062     
December 1999             10384                 12055     

PERFORMANCE TABLE 

                                                                [Download Table]

                                                Cumulative-Total-Return
                                                         Since         
              Periods Ending December 31, 1999         Inception       
                                                                       
MSCI EAFE Index*                                        20.55%         
International Value Trust                                3.84%         

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                         

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: Since its inception on May 1, 1999, the International Value Trust  
returned 3.84%, underperforming the 20.55% return of the MSCI EAFE Index.       

ENVIRONMENT: Another quarter passed in a year that provided a great deal of     
anxiety and excitement for investors. In the fourth quarter, the effect of Y2K  
on global markets was a major concern. Except for a few emerging market         
countries, returns for virtually every country were positive. The market favored
large cap and technology stocks. These stocks had soaring price/earnings ratios 
and benefited from index fund buying. The Trust continues to use prudence in its
investment approach. It continues to favor companies with sound fundamentals and
reasonable valuations, and it maintains a well-diversified portfolio. During the
fourth quarter, the Trust remained underweighted in Japan. Although there were  
bargains in Japan, in general valuations were high relative to earnings growth  
rates. At year-end, the Trust had a 7.1% weighting in Japan. The Trust was      
somewhat underweighted in Europe, where it was invested heavily in more cyclical
areas, which are producing solid returns from restructuring activity and renewed
global economic growth. The Trust's stock selection the United Kingdom detracted
from performance, while its emerging market exposure contributed positively to  
performance. Telecommunication stocks, in particular, benefited the Trust.      

OUTLOOK: The potential for value stocks to outpace growth stocks is encouraging.
Investor infatuation with growth has resulted in one of the worst periods of    
underperformance for value style managers. This trend may be reversed by the    
extreme valuation difference between growth and value and the growing number of 
mergers and acquisitions that may occur in Europe and Asia. Increased volatility
in the world markets may also encourage investors to protect their investments  
by owning companies with good assets and solid earnings prospects.              

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MID CAP BLEND TRUST 
(FORMERLY EQUITY TRUST) 

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To achieve growth of capital by investing the portfolio's   
  POLICIES:             assets primarily in common stocks of U.S. issuers or        
                        securities convertible into, or that carry the right to buy,
                        common stocks. Although current income is a secondary       
                        objective, growth of income may accompany growth of capital.
SUBADVISER:             Fidelity Management Trust Company                           
PORTFOLIO MANAGERS:     Bahaa W. Fam and Richard B. Fentin                          
INCEPTION DATE:         June 18, 1985**                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

                                                                [Download Table]

           MID CAP BLEND TRUST  S&P 500 INDEX  BLENDED INDEX  RUSSELL MID CAP
           -------------------  -------------  -------------  ---------------
                                                                             
Dec. 1989        21258.00          21871.00       21871.00        21262.00   
                 19526.00          20403.00       20403.00        19529.00   
                 19892.00          20667.00       20667.00        19896.00   
                 20525.00          21210.00       21210.00        20529.00   
                 20010.00          20686.00       20686.00        20014.00   
                 21483.00          22703.00       22703.00        21487.00   
                 21119.00          22544.00       22544.00        21124.00   
                 20622.00          22472.00       22472.00        20627.00   
                 18305.00          20443.00       20443.00        18309.00   
                 17328.00          19437.00       19437.00        17333.00   
                 17080.00          19365.00       19365.00        17085.00   
                 18040.00          20612.00       20612.00        18045.00   
Dec. 1990        18752.00          21177.00       21177.00        18756.00   
                 19546.00          22113.00       22113.00        19552.00   
                 20721.00          23696.00       23696.00        20727.00   
                 21119.00          24260.00       24260.00        21125.00   
                 21341.00          24328.00       24328.00        21346.00   
                 22218.00          25369.00       25369.00        22224.00   
                 21324.00          24210.00       24210.00        21330.00   
                 22100.00          25343.00       25343.00        22107.00   
                 22572.00          25939.00       25939.00        22580.00   
                 22184.00          25513.00       25513.00        22191.00   
                 22555.00          25855.00       25855.00        22562.00   
                 21290.00          24811.00       24811.00        21296.00   
Dec. 1991        22116.00          27646.00       27646.00        22123.00   
                 22690.00          27132.00       27132.00        22696.00   
                 22858.00          27479.00       27479.00        22863.00   
                 21729.00          26941.00       26941.00        21734.00   
                 21170.00          27725.00       27725.00        21175.00   
                 21119.00          27875.00       27875.00        21125.00   
                 20504.00          27470.00       27470.00        20510.00   
                 21239.00          28577.00       28577.00        21244.00   
                 20743.00          28000.00       28000.00        20749.00   
                 21051.00          28322.00       28322.00        21056.00   
                 21922.00          28424.00       28424.00        21928.00   
                 23238.00          29382.00       29382.00        23244.00   
Dec. 1992        23870.00          29767.00       29767.00        23876.00   
                 24519.00          29984.00       29984.00        24525.00   
                 23784.00          30389.00       30389.00        23790.00   
                 24588.00          31042.00       31042.00        24594.00   
                 24109.00          30282.00       30282.00        24114.00   
                 25856.00          31099.00       31099.00        25862.00   
                 26052.00          31202.00       31202.00        26059.00   
                 25571.00          31055.00       31055.00        25577.00   
                 26641.00          32239.00       32239.00        26646.00   
                 27532.00          32000.00       32000.00        27539.00   
                 27818.00          32650.00       32650.00        27825.00   
                 27104.00          32343.00       32343.00        27113.00   
Dec. 1993        27764.00          32741.00       32741.00        27771.00   
                 28798.00          33837.00       33837.00        28807.00   
                 28584.00          32924.00       32924.00        28594.00   
                 27407.00          31492.00       31492.00        27416.00   
                 27748.00          31901.00       31901.00        27756.00   
                 27409.00          32421.00       32421.00        27417.00   
                 26166.00          31620.00       31620.00        26173.00   
                 26750.00          32667.00       32667.00        26756.00   
                 28087.00          33996.00       33996.00        28094.00   
                 27447.00          33177.00       33177.00        27454.00   
                 28407.00          33937.00       33937.00        28414.00   
                 27428.00          32691.00       32691.00        27434.00   
Dec. 1994        27616.00          33169.00       33169.00        27623.00   
                 27409.00          34031.00       34031.00        27416.00   
                 28501.00          35351.00       35351.00        28510.00   
                 29594.00          36398.00       36398.00        29602.00   
                 30955.00          37457.00       37457.00        30964.00   
                 32112.00          38937.00       38937.00        32122.00   
                 34672.00          39852.00       39852.00        34682.00   
                 37442.00          41179.00       41179.00        37453.00   
                 37840.00          41290.00       41290.00        37850.00   
                 38997.00          43020.00       43020.00        39008.00   
                 38864.00          42869.00       42869.00        38876.00   
                 39832.00          44756.00       44756.00        39844.00   
Dec. 1995        39433.00          45584.00       45584.00        39445.00   
                 40439.00          47152.00       47152.00        40451.00   
                 41387.00          47604.00       47604.00        41402.00   
                 41785.00          48061.00       48061.00        41799.00   
                 43248.00          48768.00       48768.00        43262.00   
                 44589.00          50026.00       50026.00        44603.00   
                 43751.00          50231.00       50231.00        43765.00   
                 41007.00          47996.00       47996.00        41021.00   
                 42515.00          49013.00       49013.00        42530.00   
                 44756.00          51768.00       51768.00        44772.00   
                 45175.00          53186.00       53186.00        45192.00   
                 47688.00          57223.00       57223.00        47705.00   
Dec. 1996        47374.00          56102.00       56102.00        47390.00   
                 50181.00          59585.00       59585.00        50196.00   
                 48233.00          60068.00       60068.00        48248.00   
                 45217.00          57569.00       57569.00        45233.00   
                 47164.00          61006.00       61006.00        47182.00   
                 50659.00          64752.00       64752.00        50678.00   
                 52261.00          67640.00       67640.00        52280.00   
                 56071.00          73010.00       73281.00        56091.00   
                 55125.00          68951.00       72482.00        55143.00   
                 57700.00          72730.00       76621.00        57718.00   
                 54258.00          70300.00       73640.00        54273.00   
                 55283.00          73555.00       75393.00        55298.00   
Dec. 1997        56492.00          74820.00       77474.00        56509.00   
                 56334.00          75651.00       76017.00        56351.00   
                 60827.00          81105.00       81962.00        60848.00   
                 63744.00          85258.00       85847.00        63762.00   
                 64122.00          86119.00       86062.00        64139.00   
                 62345.00          84638.00       83402.00        62362.00   
                 63106.00          88074.00       84553.00        63123.00   
                 60568.00          87141.00       80520.00        60585.00   
                 50003.00          74540.00       67637.00        50019.00   
                 51716.00          79318.00       72013.00        51735.00   
                 56348.00          85767.00       76924.00        56370.00   
                 58950.00          90964.00       80570.00        58975.00   
Dec. 1998        61806.00          96204.00       85300.00        61829.00   
                 61645.00         100225.00       85155.00        61668.00   
                 59266.00          97108.00       82319.00        59288.00   
                 61139.00         100992.00       84896.00        61161.00   
                 68714.00         104901.00       91170.00        68739.00   
                 68927.00         102425.00       90905.00        68952.00   
                 72566.00         108110.00       94114.00        72593.00   
                 69896.00         104737.00       91535.00        69922.00   
                 68057.00         104213.00       89165.00        68083.00   
                 66397.00         101357.00       86026.00        66421.00   
                 66901.00         107773.00       90104.00        66926.00   
                 70902.00         109961.00       92699.00        70928.00   
Dec. 1999        43811.00          53244.00       46110.00        37140.00   

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                  ------Average-Annual-Total-Return----------Cumulative-Total-Return-
                                                                Since**                              
Periods Ending December 31, 1999  1 Year   5 Year   10 Year   Dec 13, 1991    5 Year         10 Year 
                                                                                                     
Blended Index+*                   18.23%   24.91%   16.51%       18.94%       204.04%        361.10% 
S&P 500 Index                     21.04%   28.55%   18.20%       21.08%       251.08%        432.44% 
Russell Mid Cap Index++           18.23%   21.86%   15.92%       18.30%       168.68%        338.11% 
Mid Cap Blend Trust               27.75%   23.38%   14.02%       17.44%       185.90%        271.40% 

+ Blended Index reflects the change from the S&P 500 Index to the Russell Mid 
  Cap Index as primary benchmark, effective July 1997. This change was made to
  more accurately reflect the investment objective of the Mid Cap Blend Trust.
++ The Russell Mid Cap Index was added to more accurately reflect the investment
objective of the Mid Cap Blend Trust.                                     
** Current subadviser assignment became effective December 13, 1991.            
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Mid Cap Blend Trust returned 27.75%, outperforming   
the 18.23% return of the Russell Mid Cap Index.                                 

ENVIRONMENT: The stock market rallied in the fourth quarter, setting a new      
investment record. For five consecutive years the stock market produced returns 
that exceeded 20 percent. Growth stocks trounced value stocks by some of the    
widest margins on record. This divergence between growth and value can be       
attributed to a robust rally in technology stocks during the fourth quarter.    
Technology stocks accounted for roughly 64% of the Russell Mid Cap Index's total
return. Consumer nondurables, capital goods and utility stocks also contributed 
to the Index's returns. The strongest performance in the Trust came from        
technology holdings, which were overweighted in the portfolio. The Trust's      
underweighted energy position also gave performance a boost. Utility stocks     
turned in the second highest return, but the Trust's relatively smaller position
in these stocks minimized their contribution to performance. Despite relatively 
small weightings, good stock selection in the health care, financial and utility
sectors aided performance. Transportation and retail holdings underperformed.   

OUTLOOK: Corporate profits are robust, the economy is showing surprisingly      
strong growth, yet inflation remains benign. The Federal Reserve Board will     
likely tighten interest rates in February. While higher rates may have an       
adverse impact on high P/E stocks, there is reason for optimism about equity    
prospects as long as earnings continue to grow.                                 

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SMALL COMPANY VALUE TRUST 

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To achieve long-term growth of capital by investing the     
  POLICIES:             portfolio's assets in equity securities of smaller companies
                        80% of which, under normal circumstances, will have market  
                        values of $1 billion or less, and that are traded           
                        principally in the United States. AXA Rosenberg uses several
                        computer models to assist in the stock selection process.   
SUBADVISER:             AXA Rosenberg Investment Management LLC                     
PORTFOLIO MANAGERS:     Barr M. Rosenberg, Kenneth Reid, Floyd Coleman and Stephen  
                        O. Dean                                                     
INCEPTION DATE:         October 1, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

[SMALL COMPANY VALUE TRUST PERFORMANCE GRAPH]                                   

                                                                [Download Table]

         SMALL COMPANY VALUE                                              
                TRUST         RUSSELL 2000 INDEX  RUSSELL 2000 VALUE INDEX
         -------------------  ------------------  ------------------------
                                                                          
Sept-97         10000                10000                  10000         
Oct-97           9512                 9728                   9728         
Nov-97           9496                 9835                   9835         
Dec-97           9552                 9665                  10168         
Jan-98           9368                 9512                   9984         
Feb-98          10032                10216                  10587         
Mar-98          10448                10637                  11017         
Apr-98          10622                10696                  11071         
May-98          10141                10120                  10679         
Jun-98           9965                10141                  10620         
Jul-98           9213                 9320                   9788         
Aug-98           7652                 7510                   8255         
Sept-98          8140                 8098                   8722         
Oct-98           8164                 8428                   8981         
Nov-98           8677                 8870                   9224         
Dec-98           9101                 9419                   9514         
Jan-99           9037                 9544                   9298         
Feb-99           8341                 8771                   8663         
Mar-99           8356                 8908                   8591         
Apr-99           8627                 9706                   9375         
May-99           8771                 9848                   9663         
Jun-99           9276                10293                  10013         
Jul-99           9139                10011                   9775         
Aug-99           8891                 9641                   9419         
Sept-99          8899                 9643                   9230         
Oct-99           8810                 9681                   9046         
Nov-99           9099                10259                   9093         
Dec-99           9828                11421                   9371         

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                Average Annual Total Return     Cumulative Total Return
                                                -------------------------------------------------------
                                                                   Since                 Since         
              Periods Ending December 31, 1999   1 Year          Inception             Inception       
                                                                                                       
Russell 2000 Index*                              21.26%             6.08%               14.21%         
Russell 2000 Value Index+                        -1.49%            -2.85%               -6.29%         
Small Company Value Trust                         8.00%            -0.77%               -1.72%         

+ The Russell 2000 Value Index was added to more accurately reflect the         
investment objective of the Small Cap Value Trust.                          
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Small Company Value Trust returned 8.00%,            
outperforming the -1.49% return of the Russell 2000 Value Index.                

ENVIRONMENT: Because of a remarkable rally in the fourth quarter, small cap     
stocks posted strong returns for 1999. For the first year since 1993, the       
Russell 2000 Index, which returned 21.26%, outperformed the S&P 500 Index, which
returned 21.04%. Not all small cap stocks participated equally in the gains for 
1999. For the year, the Russell 2000 Growth Index rose 43.09% while the Russell 
2000 Value Index declined 1.49%. This is the largest spread between small cap   
value and small cap growth stocks in the 21-year history of the Index. Since the
beginning of the recent small cap growth surge in September 1998, the Russell   
2000 Growth Index has outperformed the Russell 2000 Value Index by 81.34%. The  
increasingly extreme domination by growth stocks over value stocks represents a 
market environment in which the performance of the Trust relative to the Russell
2000 Index will generally suffer. However, because the Trust's strategy focuses 
on relative value (that is, uncovering bargains within each sector), performance
in this growth environment will be much stronger than a passive small cap value 
strategy.                                                                       

OUTLOOK: The strategy of the Trust remains unchanged. It seeks to outperform its
benchmark by identifying individual stocks that are undervalued relative to     
similar stocks.                                                                 

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GLOBAL EQUITY TRUST 

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To achieve long-term capital appreciation by investing the  
  POLICIES:             Trust's assets primarily in equity securities of issuers    
                        throughout the world, including issuers in the United States
                        and emerging markets.                                       
SUBADVISER:             Morgan Stanley Asset Management Inc.                        
PORTFOLIO MANAGER:      Frances Campion, Richard Boon and Paul Boyne                
INCEPTION DATE:         March 18, 1988++                                            

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

               GLOBAL EQUITY TRUST  MSCI WORLD INDEX
               -------------------  ----------------
                                                    
December 1989        12532.00           13002.00    
                     12014.00           12397.00    
                     11864.00           11868.00    
                     11745.00           11153.00    
                     11338.00           10994.00    
                     12421.00           12154.00    
                     12594.00           12070.00    
                     12891.00           12182.00    
                     11757.00           11043.00    
                     10531.00            9882.00    
                     11093.00           10806.00    
                     11052.00           10630.00    
December 1990        11226.00           10854.00    
                     11593.00           11254.00    
                     12462.00           12297.00    
                     12094.00           11937.00    
                     12125.00           12032.00    
                     12342.00           12307.00    
                     11618.00           11549.00    
                     12156.00           12097.00    
                     12073.00           12060.00    
                     12208.00           12379.00    
                     12373.00           12582.00    
                     11877.00           12035.00    
December 1991        12663.00           12914.00    
                     12746.00           12677.00    
                     12818.00           12460.00    
                     12363.00           11876.00    
                     12718.00           12043.00    
                     13315.00           12524.00    
                     12948.00           12106.00    
                     12707.00           12140.00    
                     12749.00           12437.00    
                     12456.00           12326.00    
                     12110.00           11994.00    
                     12561.00           12211.00    
December 1992        12571.00           12312.00    
                     12613.00           12355.00    
                     12791.00           12650.00    
                     13567.00           13386.00    
                     14306.00           14009.00    
                     15102.00           14334.00    
                     14975.00           14216.00    
                     15357.00           14511.00    
                     16196.00           15178.00    
                     16281.00           14900.00    
                     16568.00           15313.00    
                     15538.00           14450.00    
December 1993        16706.00           15159.00    
                     17704.00           16162.00    
                     17747.00           15955.00    
                     17205.00           15270.00    
                     17709.00           15745.00    
                     17450.00           15788.00    
                     17644.00           15747.00    
                     18065.00           16049.00    
                     18659.00           16535.00    
                     17979.00           16103.00    
                     18206.00           16564.00    
                     17029.00           15849.00    
December 1994        16996.00           16005.00    
                     16068.00           15768.00    
                     16057.00           16001.00    
                     16694.00           16775.00    
                     17096.00           17363.00    
                     17130.00           17515.00    
                     17073.00           17513.00    
                     18062.00           18393.00    
                     17926.00           17986.00    
                     18108.00           18514.00    
                     17687.00           18226.00    
                     17812.00           18862.00    
December 1995        18301.00           19417.00    
                     18494.00           19772.00    
                     18665.00           19896.00    
                     19108.00           20231.00    
                     19767.00           20710.00    
                     19582.00           20732.00    
                     19570.00           20840.00    
                     18484.00           20107.00    
                     18912.00           20342.00    
                     19085.00           21143.00    
                     18981.00           21294.00    
                     20206.00           22491.00    
December 1996        20610.00           22135.00    
                     20656.00           22405.00    
                     21176.00           22667.00    
                     21003.00           22222.00    
                     21197.00           22953.00    
                     22674.00           24373.00    
                     23792.00           25593.00    
                     24781.00           26776.00    
                     23573.00           24988.00    
                     24845.00           26350.00    
                     23920.00           24967.00    
                     24036.00           25413.00    
December 1997        24896.00           25726.00    
                     25012.00           26447.00    
                     26964.00           28241.00    
                     28442.00           29438.00    
                     28738.00           29730.00    
                     28409.00           29361.00    
                     28025.00           30062.00    
                     27573.00           30019.00    
                     23267.00           26020.00    
                     23925.00           26485.00    
                     26160.00           28883.00    
                     27189.00           30606.00    
Dec-98               27943.00           32105.00    
                     27683.00           32811.00    
                     26354.00           31942.00    
                     26847.00           33277.00    
                     28565.00           34595.00    
                     28134.00           33335.00    
                     28981.00           34896.00    
                     29274.00           34794.00    
                     29010.00           34739.00    
                     27809.00           34405.00    
                     27995.00           36198.00    
                     28396.00           37222.00    
Dec-99               23113.00           30949.00    

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                        Average Annual Total Return          Cumulative Total Return
                                  ----------------------------------------------------              
Periods Ending December 31, 1999  1 Year   5 Year   10 Year   Oct. 1, 1996    5 Year         10 Year
                                                                                                    
MSCI World Index*                 25.34%   20.25%   11.96%       21.90%       151.42%        209.49%
Global Equity Trust                3.66%   11.25%    8.74%       13.70%        70.43%        131.13%

++ Current subadviser assignment became effective October 1, 1996.              
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                         

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Global Equity Trust returned 3.66%, underperforming  
the 25.34% return of the MSCI World Index.                                      

ENVIRONMENT: The Trust's lack of exposure to the largest U.S. index stocks,     
which were dominated by technology, had a negative impact on returns. The Trust 
also struggled against stock specific weakness in U.S. consumer defensive       
stocks, which were overweighted in the portfolio. Megacaps (companies with      
capitalizations exceeding $100 billion) continued to be responsible for the     
majority of the MSCI World Index returns. Only twenty stocks accounted for 52%  
of the World Index's return in 1999. The Trust was wary of the megacap premium, 
which was at an all-time high. Contrary to market sentiment, the Trust has      
underweighted the very largest 30 stocks in the World Index. The Trust has a 3% 
weighting in large stocks, while the Index has a 30% weighting. The biggest risk
in the global equity market has been the technology and telecommunications      
bubble that gathered momentum in December. The Trust has stayed clear of this   
bubble. The technology sector trades at 50 times cash flow, while the MSCI World
Index trades at 16 times cash flow. The Trust trades at 9 times cash flow.      

OUTLOOK: The Trust should perform defensively if market volatility increases.   
Likewise, the Trust's overweighting in Europe and underweighting in the United  
States should bear fruit in 2000, given the improving fundamentals of the       
European economy and more attractive relative valuation. The euro looks set to  
strengthen in 2000.                                                             

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GROWTH TRUST

                                                                [Download Table]
                                                                                 
INVESTMENT OBJECTIVE &  To achieve long-term growth of capital by investing      
  POLICIES:             primarily in equity securities of large capitalization   
                        growth companies with market capitalizations of          
                        approximately $1 billion or greater.                     
SUBADVISER:             State Street Global Advisors                             
PORTFOLIO MANAGERS:     Richard B. Weed, Jennifer W. Bardsley, Peter Stonberg and
                        David A. Hanna                                           
INCEPTION DATE:         July 15, 1996++                                          

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[GROWTH TRUST PERFORMANCE GRAPH]                                                

                                                                [Download Table]

                GROWTH TRUST  RUSSELL 1000 GROWTH INDEX
                ------------  -------------------------
                                                       
June 1996         10000.00             10000.00        
                   9936.00              9414.00        
                  10304.00              9657.00        
September 1996    10808.00             10360.00        
                  10768.00             10422.00        
                  11400.00             11205.00        
December 1996     11053.00             10985.00        
                  11697.00             11755.00        
                  11432.00             11675.00        
March 1997        11077.00             11044.00        
                  11593.00             11777.00        
                  12293.00             12627.00        
June 1997         12937.00             13132.00        
                  14056.00             14293.00        
                  13412.00             13457.00        
September 1997    14081.00             14119.00        
                  13485.00             13597.00        
                  13598.00             14175.00        
December 1997     13855.00             14333.00        
                  14016.00             14762.00        
                  14894.00             15872.00        
March 1998        15658.00             16505.00        
                  15892.00             16733.00        
                  15657.00             16258.00        
June 1998         16503.00             17253.00        
                  16269.00             17139.00        
                  13621.00             14566.00        
September 1998    14442.00             15685.00        
                  15330.00             16946.00        
                  16009.00             18236.00        
December 1998     17173.00             19881.00        
                  18320.00             21048.00        
                  17860.00             20086.00        
March 1999        18823.00             21144.00        
                  18697.00             21172.00        
                  18416.00             20522.00        
June 1999         19713.00             21958.00        
                  19204.00             21260.00        
                  19485.00             21607.00        
September 1999    19064.00             21153.00        
                  20343.00             22750.00        
                  21342.00             23976.00        
December 1999     23563.00             26477.00        

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                  Average Annual Total Return     Cumulative Total Return    
                                                     Since       Since              Since++  
Periods Ending December 31, 1999  1 Year           Inception   Inception          May 1, 1999
                                                                                             
Russell 1000 Growth Index*        33.16%             32.07%     164.77%              25.04%  
Growth Trust                      37.20%             28.08%     135.63%              25.61%  

++ Current subadviser assignment became effective May 1, 1999.                  
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Growth Trust returned 37.20%, outperforming the      
33.16% return of the Russell 1000 Growth Index. State Street Global Advisors    
(SSgA) assumed management of the Trust, formerly managed by Founders Asset      
Management LLC, on May 1, 1999. As a result, performance for 1999 is            
attributable to both asset management firms. Under SSgA's management, the Growth
Trust returned 25.61% since May 1, 1999, outperforming the 25.04% return of the 
Russell 1000 Growth Index for the same period.                                  

ENVIRONMENT: During 1999, growth stocks were strongly favored over value stocks.
Stock selection was responsible for the Trust's performance. Selection within   
the technology and consumer staples sectors was very good. Selection was        
particularly strong in the computer hardware, Internet and household products   
industries. For most of the year, the valuation components of the Trust's stock 
evaluation process exhibited poor ranking ability and hurt the Trust's stock    
selection. This was countered, however, by the good predictive power of the     
Trust's estimate revision and price models.                                     

OUTLOOK: The Trust's investment philosophy focuses on evaluating securities from
multiple perspectives. It emphasizes relative valuations and earnings estimate  
revisions. It also assesses a stock's price to identify opportune times to trade
a security in light of price trends. The Trust will continue to use this        
investment approach. By maintaining this investment approach, the Trust is      
expected to outperform the Russell 1000 Growth Index in the future.             

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LARGE CAP GROWTH TRUST
(FORMERLY AGGRESSIVE ASSET ALLOCATION TRUST)

                                                                [Download Table]
                                                                               
INVESTMENT OBJECTIVE &   To achieve long-term growth of capital by investing   
  POLICIES:              primarily in equity securities of companies with large
                         market capitalizations.                               
SUBADVISER:              Fidelity Management Trust Company                     
PORTFOLIO MANAGER:       Karen Firestone                                       
INCEPTION DATE:          August 3, 1989++                                      

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

                                                                [Download Table]

           LARGE CAP GROWTH  WILSHIRE 5000  MSCI EAFE  CUSTOMIZED  RUSSELL 1000
                 TRUST           INDEX        INDEX     BENCHMARK  GROWTH INDEX
           ----------------  -------------  ---------  ----------  ------------
                                                                               
Dec. 1989       9880.00        10270.00     10448.00    10275.00     10486.00  
                9210.00         9516.00     10061.00     9809.00      9643.00  
                9370.00         9667.00      9361.00     9746.00      9712.00  
                9530.00         9909.00      8388.00     9680.00     10098.00  
                9313.00         9623.00      8323.00     9530.00      9967.00  
                9916.00        10502.00      9276.00    10223.00     11003.00  
                9837.00        10451.00      9196.00    10232.00     11121.00  
                9686.00        10350.00      9328.00    10263.00     11020.00  
                8908.00         9376.00      8425.00     9556.00      9963.00  
                8538.00         8861.00      7253.00     9030.00      9426.00  
                8455.00         8742.00      8386.00     9257.00      9464.00  
                8839.00         9338.00      7894.00     9491.00     10102.00  
Dec. 1990       9181.00         9635.00      8025.00     9705.00     10459.00  
                9525.00        10103.00      8286.00    10031.00     10995.00  
               10029.00        10889.00      9177.00    10701.00     11868.00  
               10201.00        11221.00      8628.00    10785.00     12336.00  
               10319.00        11256.00      8715.00    10874.00     12278.00  
               10571.00        11707.00      8809.00    11122.00     12825.00  
               10288.00        11185.00      8164.00    10746.00     12217.00  
               10592.00        11710.00      8567.00    11142.00     12872.00  
               10887.00        12033.00      8395.00    11304.00     13302.00  
               10813.00        11895.00      8871.00    11422.00     13071.00  
               10981.00        12114.00      8999.00    11608.00     13275.00  
               10498.00        11651.00      8581.00    11321.00     12936.00  
Dec. 1991      11265.00        12930.00      9027.00    12094.00     14764.00  
               11107.00        12905.00      8837.00    12042.00     14407.00  
               11244.00        13082.00      8523.00    12073.00     14428.00  
               11034.00        12758.00      7963.00    11779.00     14034.00  
               11326.00        12929.00      8002.00    11887.00     14135.00  
               11446.00        13008.00      8541.00    12133.00     14240.00  
               11381.00        12743.00      8139.00    11940.00     13883.00  
               11835.00        13259.00      7933.00    12168.00     14505.00  
               11684.00        12978.00      8433.00    12233.00     14328.00  
               11835.00        13133.00      8269.00    12291.00     14494.00  
               11803.00        13293.00      7838.00    12196.00     14711.00  
               12095.00        13844.00      7914.00    12473.00     15351.00  
Dec. 1992      12193.00        14090.00      7957.00    12634.00     15503.00  
               12290.00        14263.00      7959.00    12771.00     15325.00  
               12442.00        14322.00      8201.00    12928.00     15083.00  
               12637.00        14690.00      8919.00    13340.00     15374.00  
               12498.00        14284.00      9768.00    13443.00     14759.00  
               12689.00        14732.00      9976.00    13719.00     15275.00  
               12833.00        14800.00      9823.00    13767.00     15135.00  
               12822.00        14798.00     10169.00    13889.00     14864.00  
               13213.00        15369.00     10720.00    14344.00     15473.00  
               13180.00        15399.00     10481.00    14308.00     15359.00  
               13348.00        15656.00     10807.00    14542.00     15786.00  
               13269.00        15402.00      9864.00    14167.00     15682.00  
Dec. 1993      13448.00        15680.00     10579.00    14521.00     15953.00  
               13884.00        16173.00     11475.00    15041.00     16321.00  
               13571.00        15810.00     11446.00    14829.00     16024.00  
               13068.00        15095.00     10955.00    14296.00     15250.00  
               13200.00        15240.00     11423.00    14456.00     15322.00  
               13356.00        15389.00     11360.00    14510.00     15553.00  
               13081.00        14977.00     11523.00    14373.00     15095.00  
               13451.00        15421.00     11636.00    14660.00     15611.00  
               13782.00        16103.00     11914.00    15053.00     16480.00  
               13475.00        15791.00     11541.00    14793.00     16255.00  
               13654.00        16049.00     11928.00    15014.00     16638.00  
               13248.00        15461.00     11358.00    14600.00     16106.00  
Dec. 1994      13385.00        15669.00     11432.00    14747.00     16376.00  
               13320.00        16008.00     10995.00    14852.00     16725.00  
               13619.00        16646.00     10966.00    15221.00     17426.00  
               13965.00        17084.00     11653.00    15640.00     17937.00  
               14304.00        17509.00     12095.00    16014.00     18329.00  
               14649.00        18106.00     11954.00    16374.00     18969.00  
               14879.00        18683.00     11747.00    16600.00     19701.00  
               15415.00        19452.00     12482.00    17151.00     20521.00  
               15453.00        19641.00     12009.00    17147.00     20543.00  
               15785.00        20391.00     12246.00    17573.00     21490.00  
               15619.00        20186.00     11920.00    17449.00     21505.00  
               16078.00        21041.00     12255.00    17958.00     22342.00  
Dec. 1995      16397.00        21385.00     12752.00    18314.00     22469.00  
               16691.00        21958.00     12807.00    18612.00     23222.00  
               16780.00        22342.00     12854.00    18743.00     23647.00  
               16557.00        22586.00     13130.00    18903.00     23678.00  
               17027.00        23144.00     13515.00    19230.00     24301.00  
               17208.00        23777.00     13270.00    19423.00     25149.00  
               17281.00        23581.00     13348.00    19424.00     25184.00  
               16778.00        22309.00     12961.00    18839.00     23708.00  
               16955.00        23023.00     12993.00    19156.00     24320.00  
               17647.00        24249.00     13341.00    19836.00     26090.00  
               17909.00        24588.00     13208.00    20016.00     26247.00  
               18680.00        26217.00     13737.00    20896.00     28218.00  
Dec. 1996      18528.00        25921.00     13563.00    20725.00     27665.00  
               18914.00        27309.00     13092.00    21138.00     29604.00  
               18955.00        27296.00     13309.00    21244.00     29403.00  
               18501.00        26089.00     13360.00    20766.00     27812.00  
               19024.00        27227.00     13435.00    21296.00     29659.00  
               20053.00        29156.00     14312.00    22366.00     31800.00  
               20745.00        30495.00     15105.00    23176.00     33072.00  
               21597.00        32840.00     15352.00    24251.00     35996.00  
               21037.00        31605.00     14209.00    23434.00     33890.00  
               22189.00        33470.00     15008.00    24449.00     35557.00  
               21487.00        32355.00     13858.00    23761.00     34242.00  
               21959.00        33415.00     13719.00    24126.00     35697.00  
Dec. 1997      22066.00        34032.00     13842.00    24445.00     36097.00  
               22358.00        34217.00     14479.00    24821.00     37176.00  
               23710.00        36708.00     15411.00    26013.00     39972.00  
               24724.00        38545.00     15889.00    26837.00     41567.00  
               24976.00        39003.00     16018.00    27073.00     42140.00  
               24597.00        37965.00     15944.00    26769.00     40944.00  
               25131.00        39296.00     16069.00    27313.00     43449.00  
               24994.00        38435.00     16235.00    27119.00     43163.00  
               21566.00        32450.00     14227.00    24418.00     36684.00  
               22617.00        34569.00     13795.00    25131.00     39501.00  
               23822.00        37141.00     15237.00    26494.00     42677.00  
               25063.00        39480.00     16021.00    27694.00     45925.00  
Dec. 1998      26286.00        42006.00     16657.00    28775.00     50067.00  
               26959.00        43552.00     16612.00    29333.00     53006.00  
               26201.00        41975.00     16220.00    28606.00     50584.00  
               27166.00        43595.00     16901.00    29432.00     53250.00  
               27543.00        45684.00     17589.00    30407.00     53319.00  
               26703.00        44683.00     16687.00    29729.00     51682.00  
               28041.00        46998.00     17341.00    30686.00     55300.00  
               27545.00        45489.00     17861.00    30397.00     53541.00  
               27966.00        45066.00     17931.00    30273.00     54414.00  
               27259.00        43890.00     18115.00    30015.00     53271.00  
               28921.00        46681.00     18798.00    31165.00     57293.00  
               30220.00        48245.00     19456.00    31922.00     60381.00  
Dec. 1999      33332.00        50540.00     20296.00    32750.00     63574.00  

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                                        Cumulative Total Return    
                                       Average Annual Total Return                        Since++  
     Periods Ending December 31, 1999  1 Year    5 Year    10 Year  5 Year    10 Year   May 1, 1999
                                                                                                   
Wilshire 5000 Index*                   23.56%    27.07%     17.59%  231.24%   405.40%     13.62%   
MSCI EAFE Index                        27.30%    13.15%      7.33%   85.49%   102.96%     20.55%   
Customized Benchmark+                  16.95%    17.94%     12.60%  128.20%   227.50%     10.67%   
Russell 1000 Growth Index**            33.16%    32.41%     20.32%  307.08%   535.74%     25.04%   
Large Cap Growth Trust                 25.28%    19.78%     12.79%  146.58%   233.32%     18.58%   

 + Customized Benchmark is comprised of 47.5% of the return of the Wilshire 5000
  Index, 20% of the MSCI EAFE Index, 15% of the Lehman Brothers Aggregate Bond
Index, 10% of the 90 Day T-Bill, and 7.5% of the Merrill Lynch High Yield 
Index.                                                                    
** The Russell 1000 Growth Index was added to more accurately reflect the       
  current investment objective of the Large Cap Growth Trust, which changed on
May 1, 1999.                                                              
++ Current subadviser assignment became effective December 13, 1991.          
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Large Cap Growth Trust returned 25.28%,              
underperforming the 33.16% return of the Russell 1000 Growth Index.             

ENVIRONMENT: Several themes played out in the stock market during the year. Two 
of the most prominent were the late-year reversal of small cap stocks and the   
overall dominance of growth stocks relative to value stocks. However, it was the
market's ongoing enthusiasm for technological innovation that drove returns. The
Dow Jones Industrial Average and the S&P 500 Index finished the year at record  
levels, capping an unprecedented five-year run of double-digit returns. Large   
cap stocks consistently beat the broader market in 1999. However, the           
performance gap between the S&P 500 Index and the mid and small cap markets     
narrowed considerably in the fourth quarter. Important reversals occurred in the
second and fourth quarters as mid and small cap stock returns either matched or 
exceeded large cap returns. More important, style proved to be a dominant       
characteristic during the year. Growth and value stocks diverged significantly  
in all capitalization ranges. The Trust's returns were driven by strong stock   
selection in the health and service sectors. Its underweighting relative to its 
benchmark in the technology sector was the primary contributor to the Trust's   
underperformance.                                                               

OUTLOOK: Corporate profits are robust and the economy is showing surprisingly   
strong growth. However, inflation remains benign. The Federal Reserve Board will
likely tighten interest rates in February. While higher rates may have an       
adverse impact on high P/E stocks, there is reason for optimism about the       
prospects for equities as long as earnings continue to grow.                    

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QUANTITATIVE EQUITY TRUST 

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve intermediate and long-term growth through capital
  & POLICIES:         appreciation and current income by investing the portfolio's
                      assets in common stocks and other equity securities of well 
                      established companies with promising prospects for providing
                      an above-average rate of return.                            
SUBADVISER:           Manufacturers Adviser Corporation                           
PORTFOLIO MANAGERS:   Mark Schmeer and Rhonda Chang                               
INCEPTION DATE:       April 30, 1987                                              

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

               QUANTITATIVE EQUITY TRUST  S&P 500 INDEX
               -------------------------  -------------
                                                       
December 1989           12203.00             13440.00  
                        11352.00             12538.00  
                        11576.00             12700.00  
                        11820.00             13034.00  
                        11592.00             12712.00  
                        12532.00             13951.00  
                        12558.00             13854.00  
                        12578.00             13809.00  
                        11650.00             12562.00  
                        11125.00             11944.00  
                        10979.00             11900.00  
                        11482.00             12666.00  
December 1990           11707.00             13013.00  
                        12333.00             13589.00  
                        13047.00             14562.00  
                        13207.00             14908.00  
                        13172.00             14950.00  
                        13927.00             15590.00  
                        13102.00             14877.00  
                        14004.00             15574.00  
                        14391.00             15940.00  
                        14074.00             15678.00  
                        14361.00             15888.00  
                        13567.00             15246.00  
December 1991           15240.00             16989.00  
                        15364.00             16673.00  
                        15498.00             16886.00  
                        14748.00             16555.00  
                        14623.00             17037.00  
                        14950.00             17129.00  
                        14528.00             16881.00  
                        15189.00             17561.00  
                        14701.00             17206.00  
                        15080.00             17404.00  
                        15364.00             17467.00  
                        16107.00             18056.00  
December 1992           16165.00             18292.00  
                        16578.00             18426.00  
                        16737.00             18674.00  
                        16997.00             19076.00  
                        16827.00             18609.00  
                        17355.00             19111.00  
                        17364.00             19174.00  
                        17426.00             19084.00  
                        18084.00             19811.00  
                        18031.00             19664.00  
                        18235.00             20064.00  
                        18100.00             19875.00  
December 1993           18332.00             20119.00  
                        19084.00             20793.00  
                        18539.00             20232.00  
                        17424.00             19352.00  
                        17644.00             19604.00  
                        17699.00             19923.00  
                        17123.00             19431.00  
                        17841.00             20074.00  
                        18560.00             20891.00  
                        18237.00             20388.00  
                        18392.00             20855.00  
                        17588.00             20089.00  
December 1994           17560.00             20382.00  
                        17662.00             20912.00  
                        18271.00             21724.00  
                        18625.00             22367.00  
                        18639.00             23018.00  
                        19083.00             23927.00  
                        19603.00             24489.00  
                        20289.00             25305.00  
                        20294.00             25373.00  
                        21309.00             26436.00  
                        21190.00             26344.00  
                        22190.00             27503.00  
December 1995           22693.00             28012.00  
                        23257.00             28975.00  
                        23645.00             29253.00  
                        23674.00             29534.00  
                        24157.00             29968.00  
                        24680.00             30741.00  
                        24612.00             30868.00  
                        23275.00             29494.00  
                        24059.00             30119.00  
                        25311.00             31812.00  
                        26104.00             32684.00  
                        27483.00             35164.00  
December 1996           26762.00             34475.00  
                        28291.00             36616.00  
                        28446.00             36912.00  
                        27334.00             35377.00  
                        28677.00             37489.00  
                        30299.00             39791.00  
                        31611.00             41565.00  
                        34437.00             44866.00  
                        33032.00             42371.00  
                        34901.00             44693.00  
                        33295.00             43200.00  
                        34067.00             45201.00  
December 1997           34746.00             45978.00  
                        34731.00             46488.00  
                        37263.00             49840.00  
                        39163.00             52392.00  
                        39428.00             52921.00  
                        38470.00             52011.00  
                        39845.00             54123.00  
                        38940.00             53549.00  
                        33161.00             45806.00  
                        35180.00             48742.00  
                        37931.00             52705.00  
                        40228.00             55898.00  
December 1998           43901.00             59118.00  
                        46061.00             61589.00  
                        44564.00             59674.00  
                        46810.00             62061.00  
                        47189.00             64463.00  
                        45929.00             62941.00  
                        48749.00             66435.00  
                        47813.00             64362.00  
                        47163.00             64040.00  
                        45941.00             62285.00  
                        48574.00             66228.00  
                        49715.00             67572.00  
December 1999           43997.00             53244.00  

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                   Average Annual Total Return  Cumulative Total Return
Periods Ending December 31, 1999  1 Year    5 Year     10 Year   5 Year         10 Year
                                                                                       
S&P 500 Index*                    21.04%    28.55%     18.20%    251.08%        432.44%
Quantitative Equity Trust         22.30%    25.05%     15.97%    205.75%        339.97%

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Quantitative Equity Trust returned 22.30%,           
outperforming the 21.04% return of the S&P 500 Index.                           

ENVIRONMENT: The stock market's advance in 1999 was fueled by optimism, as      
corporate America continued to demonstrate strong profit growth. The economy was
strong with GDP growth of about 3.9%. The performance of stocks was narrow, with
growth stocks exhibiting exceptional returns. Technology stocks had a           
spectacular run. They rose more than 60% for the year. Consumer nondurables,    
health care, transportation and financials had negative returns for the year. A 
growth emphasis and technology overweighting contributed to the Trust's strong  
returns. Technology continues to produce strong growth. Telecommunications      
equipment, data management and semiconductor stocks are driving performance in  
the technology sector, and the Trust benefits by remaining overweighted in these
areas. The Trust is also overweighted in health care stocks. The Trust remains  
modestly overweighted in the technology and merchandising sectors. Stocks within
these sectors continue to produce above-average earnings momentum and earnings  
growth.                                                                         

OUTLOOK: Because performance of the S&P 500 Index has been strong and valuations
are high, the market may experience some profit taking in the near term.        
However, over the next year, the market is likely to generate healthy returns.  
GDP growth is estimated to be 3.7% in 2000, and inflation should remain around  
2%. The favorable economic environment and expected profit growth of at least   
10% in 2000 are positive for stocks. The stocks in the Trust continue to deliver
strong earnings growth and momentum and have valuations near the benchmark      
averages. With these characteristics, the Trust is well positioned for          
outstanding long-term performance.                                              

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BLUE CHIP GROWTH TRUST

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To provide long-term growth of capital by investing at least
  POLICIES:             65% of the portfolio's total assets in the common stocks of 
                        large and medium blue chip companies as defined by the      
                        subadviser. These are firms that the subadviser believes are
                        well established in their industries and have the potential 
                        for above-average earnings growth. Current income is a      
                        secondary objective.                                        
SUBADVISER:             T. Rowe Price Associates, Inc.                              
PORTFOLIO MANAGER:      Larry J. Puglia                                             
INCEPTION DATE:         December 11, 1992++                                         

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

               BLUE CHIP GROWTH TRUST  S&P 500 INDEX
               ----------------------  -------------
                                                    
                      10000.00            10000.00  
December 1992          9930.00            10064.00  
                       9930.00            10137.00  
                       9530.00            10274.00  
                       9590.00            10495.00  
                       8832.00            10238.00  
                       9112.00            10515.00  
                       9052.00            10549.00  
                       8782.00            10500.00  
                       9102.00            10900.00  
                       9102.00            10819.00  
                       9332.00            11039.00  
                       9393.00            10935.00  
December 1993          9553.00            11069.00  
                       9663.00            11440.00  
                       9473.00            11131.00  
                       8962.00            10647.00  
                       9114.00            10786.00  
                       9064.00            10961.00  
                       8702.00            10691.00  
                       8933.00            11044.00  
                       9476.00            11494.00  
                       9275.00            11217.00  
                       9365.00            11474.00  
                       9164.00            11053.00  
December 1994          9094.00            11214.00  
                       9305.00            11506.00  
                       9506.00            11952.00  
                       9787.00            12306.00  
                       9922.00            12664.00  
                      10235.00            13164.00  
                      10659.00            13474.00  
                      11103.00            13922.00  
                      11093.00            13960.00  
                      11416.00            14545.00  
                      11244.00            14494.00  
                      11577.00            15132.00  
December 1995         11507.00            15411.00  
                      11890.00            15942.00  
                      12173.00            16095.00  
                      12264.00            16249.00  
                      12756.00            16488.00  
                      13252.00            16913.00  
                      13120.00            16983.00  
                      12260.00            16227.00  
                      12725.00            16571.00  
                      13728.00            17502.00  
                      13677.00            17982.00  
                      14689.00            19347.00  
December 1996         14487.00            18968.00  
                      15094.00            20145.00  
                      15115.00            20309.00  
                      14426.00            19464.00  
                      15067.00            20626.00  
                      15937.00            21892.00  
                      16599.00            22869.00  
                      17850.00            24684.00  
                      17040.00            23312.00  
                      17862.00            24589.00  
                      17445.00            23768.00  
                      17984.00            24869.00  
December 1997         18389.00            25296.00  
                      18597.00            25577.00  
                      20007.00            27421.00  
                      20914.00            28825.00  
                      21131.00            29116.00  
                      20606.00            28615.00  
                      21543.00            29777.00  
                      21306.00            29462.00  
                      17871.00            25201.00  
                      18933.00            26817.00  
                      20569.00            28997.00  
                      21830.00            30754.00  
December 1998         23629.00            32526.00  

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                     Average Annual Total Return         Cumulative Total Return
                                                                Since        Since++                    Since   
            Periods Ending December 31, 1999  1 Year  5 Year  Inception    Oct. 1, 1996   5 Year      Inception 
                                                                                                                
S&P 500 Index*                                21.04%  28.55%    21.46%        28.33%     251.08%       296.32%  
Blue Chip Growth Trust                        19.43%  25.42%    15.84%        25.00%     210.31%       182.20%  

++ Current subadviser assignment became effective October 1, 1996.              
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                         

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Blue Chip Growth Trust returned 19.43%,              
underperforming the 21.04% return of the S&P 500 Index.                         

ENVIRONMENT: During the year, U.S. corporations benefited from strong GDP       
growth, low inflation and improvement in international economies. Markets       
rallied around a belief that technology, telecommunications and the Internet    
would enhance growth while limiting inflation. These developments added fuel to 
the bull market in U.S. equities, but the threat of inflation and three Federal 
Reserve Board interest rate hikes caused occasional volatility. The Trust's     
performance was muted somewhat because it held relatively few cyclical,         
technology and foreign stocks. The pharmaceutical and financial stocks in the   
Trust posted more moderate performance. Although the Trust had less technology  
exposure than the average growth fund, several technology holdings performed    
well. Telecommunication, entertainment and media stocks were valuable           
contributors to performance. On the other hand, several financial stocks        
weakened on rising interest rates. A number of holdings in supermarket chains   
and drugstores struggled against Internet competition.                          

OUTLOOK: On balance, inflation and interest rates should rise at a manageable   
pace and corporate earnings among blue chip stocks should remain strong. Even   
so, almost all stocks are expensive by most conventional measures, and more     
market volatility seems certain. Therefore, careful stock selection with a focus
on valuation and sustainable growth should become increasingly important.       

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REAL ESTATE SECURITIES TRUST

                                                                [Download Table]
                                                                                 
INVESTMENT OBJECTIVE  To achieve a combination of long-term capital appreciation 
  & POLICIES:         and current income by investing in real estate-related     
                      equity and debt securities. The portfolio will invest      
                      principally in real estate investment trusts (REITs) and   
                      equity and fixed income securities issued by companies that
                      invest in real estate or related interests.                
SUBADVISER:           Manufacturers Adviser Corporation                          
PORTFOLIO MANAGERS:   Robert Lutzko and Steven Brett Hryb                        
INCEPTION DATE:       April 30, 1987                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

                                                                [Download Table]

               REAL ESTATE SECURITIES TRUST  NAREIT INDEX
               ----------------------------  ------------
                                                         
December 1989             11176                  9520    
                          10923                  8930    
December 1990             10670                  7868    
                          12862                  9864    
December 1991             15054                 10676    
                          16657                 11018    
December 1992             18260                 11976    
                          20325                 13865    
December 1993             22389                 14197    
                          22079                 14724    
December 1994             21770                 14311    
                          23418                 15424    
December 1995             25066                 16931    
                          26577                 18139    
December 1996             33761                 22984    
                          35514                 24357    
December 1997             39975                 27322    
                          38104                 25915    
December 1998             33402                 22180    
                          34187                 23274    
December 1999             27497                 21789    

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                  Average Annual Total Return    Cumulative Total Return
Periods Ending December 31, 1999  1 Year    5 Year    10 Year     5 Year         10 Year
                                                                                        
Morgan Stanley REIT Index+++*     -4.55%     7.61%        N/A     44.30%             N/A
NAREIT Index                      -6.48%     7.71%      8.10%     44.94%         117.89%
Real Estate Securities Trust      -8.00%     7.14%     10.64%     41.16%         174.97%
+ The Morgan Stanley REIT Index commenced on December 30, 1994, therefore the 10 year   
  return period is not applicable for this index.                                       
++ The cumulative since inception return for the Morgan Stanley REIT Index is for the   
  period of December 30, 1994 to December 31, 1999.                                     
* All since inception returns for the indices begin on the month-end closest to the     
  actual inception date of the Trust.                                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Real Estate Securities Trust returned -8.00%,        
underperforming the -4.55% return of the Morgan Stanley REIT Index.             

ENVIRONMENT: Real estate and related securities had a difficult year. REITs have
now posted two consecutive years of negative performance. With an S&P 500 Index 
return of 21.04% and a NASDAQ gain of more than 85%, investor focus was on      
growth. Value stocks, including REITs, took a back seat. Many REITs traded at   
significant discounts to their net asset value. Many companies, in an attempt to
take advantage of these prices, bought back what they considered to be very     
inexpensive stock only to see further weakness. The poor valuations             
substantially stifled any merger activity within the sector, particularly in the
latter half of the year. The Trust's performance was held back in the first half
of the year by small and mid cap REITs that underperformed large cap REITs. The 
Trust's performance was also dampened by exposure to poorly performing real     
estate financial securities.                                                    

OUTLOOK: Fundamentals remain intact. Growth in Funds From Operations (FFO) and  
secure dividends should renew investor interest in this overlooked group.       
Portfolio diversification through the addition of real estate lending securities
should also improve the Trust's characteristics in 2000.                        

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VALUE TRUST 

                                                                [Download Table]
                                                                                   
INVESTMENT OBJECTIVE:  To realize an above-average total return over a market cycle
                       of three to five years, consistent with reasonable risk by  
                       investing the portfolio's assets primarily in common and    
                       preferred stocks, convertible securities, rights and        
                       warrants to purchase common stocks, ADRs and other equity   
                       securities of companies with equity capitalizations usually 
                       greater than $300 million. The subadviser seeks equity      
                       securities it believes to be undervalued relative to the    
                       stock market in general, as measured by the S&P 500 Index,  
                       based on value measures such as price/earnings and          
                       price/book ratios, as well as fundamental research.         
SUBADVISER:            Miller Anderson & Sherrerd, LLP                             
PORTFOLIO MANAGERS:    Robert J. Marcin, Richard M. Behler and Nicholas J. Kovich  
INCEPTION DATE:        January 1, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

           VALUE TRUST  S&P 500 INDEX  RUSSELL MIDCAP VALUE
           -----------  -------------  --------------------
                                                           
'Dec-96'    10000.00      10000.00           10000.00      
'Jan-97'    10328.00      10625.00           10314.00      
'Feb-97'    10464.00      10708.00           10489.00      
'Mar-97'    10144.00      10268.00           10170.00      
'Apr-97'    10536.00      10881.00           10427.00      
'May-97'    11168.00      11543.00           11041.00      
'Jun-97'    11576.00      12061.00           11451.00      
'Jul-97'    12232.00      13021.00           12302.00      
'Aug-97'    12120.00      12291.00           12158.00      
'Sept-97'   12480.00      12965.00           12912.00      
'Oct-97'    11904.00      12532.00           12519.00      
'Nov-97'    12120.00      13112.00           12942.00      
'Dec-97'    12214.00      13338.00           13437.00      
'Jan-98'    11991.00      13486.00           13176.00      
'Feb-98'    12882.00      14459.00           14056.00      
'Mar-98'    13328.00      15199.00           14780.00      
'Apr-98'    13353.00      15352.00           14697.00      
'May-98'    13155.00      15088.00           14354.00      
'Jun-98'    12858.00      15701.00           14400.00      
'Jul-98'    12330.00      15534.00           13670.00      
'Aug-98'    10563.00      13288.00           11748.00      
'Sept-98'   10613.00      14139.00           12433.00      
'Oct-98'    11537.00      15289.00           13238.00      
'Nov-98'    12065.00      16216.00           13703.00      
'Dec-98'    12003.00      17150.00           14120.00      

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                              Average Annual Total Return      Cumulative Total Return
                                                              --------------------------------------------------------
                                                                                 Since                  Since         
              Periods Ending December 31, 1999                 1 Year          Inception              Inception       
                                                                                                                      
Russell Mid Cap Value Index*                                  -0.11 %          12.15  %            41.04     %        
Value Trust                                                   -2.79 %           5.28  %            16.69     %        
* All since inception returns for the indices begin on the month-end closest to the actual inception date of the      
  Trust.                                                                                                              

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Value Trust returned -2.79%, underperforming the     
-0.11% return of the Russell Mid Cap Value Index.                               

ENVIRONMENT: In 1999, style bias was the most important portfolio characteristic
in determining performance. Therefore, while growth investors celebrated another
year of exceptional returns, value investors remained mired in mediocrity. While
value investing struggled, low                                                  
P/E investing suffered even more. With equal weighted returns of -6.20%, the    
Trust's low P/E universe continued to account for the poorest segment of stock  
market performance. On the bright side, the Trust significantly outperformed its
low P/E universe, indicating that stock selection added value. The portfolio's  
meager position in technology stocks had the most significant impact on relative
performance in 1999. The extremely high valuations for most technology companies
generally preclude ownership in the Trust's low P/E portfolio.                  

OUTLOOK: The best opportunities on a valuation-to-growth basis are in the       
industrial franchise, financial service, health care and consumer durable       
sectors. The Trust's existing portfolio generates 70% to 75% of the benchmark's 
growth and provides profitability at 30% to 40% of its valuations. These        
valuation spreads have widened more and persisted longer than most investors    
would have forecast. Eventually, valuation spreads should recalibrate to more   
historical levels and, once again, valuations will matter. Such a situation     
should result in very good relative performance by low P/E value stocks, which  
should benefit the Trust.                                                       

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EQUITY INDEX TRUST

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To approximate the aggregate total return of publicly traded
  POLICIES:             common stocks included in the Standard & Poor's 500         
                        Composite Stock Price Index (the S&P 500 Index). The        
                        portfolio is designed to provide an economical and          
                        convenient means of maintaining a widely diversified        
                        investment in the United States equity market as part of an 
                        overall investment strategy. The portfolio is not actively  
                        managed; rather, the subadviser tries to match the S&P 500  
                        Index's performance by investing the portfolio's assets in  
                        common stocks included in the S&P 500 Index in their        
                        approximate respective market value weightings.             
SUBADVISER:             Manufacturers Adviser Corporation                           
PORTFOLIO MANAGERS:     Robert Lutzko and Steven Brett Hryb                         
INCEPTION DATE:         February 14, 1996                                           

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

                EQUITY INDEX TRUST  S&P 500 INDEX  
                ------------------  -------------  
                                                   
January 1996         10000.00         10000.00     
                      9740.00          9759.00     
March 1996            9895.00          9853.00     
                     10038.00          9998.00     
                     10283.00         10255.00     
June 1996            10369.00         10298.00     
                      9888.00          9839.00     
                     10069.00         10048.00     
September 1996       10633.00         10613.00     
                     10951.00         10903.00     
                     11749.00         11731.00     
December 1996        11486.00         11501.00     
                     12206.00         12215.00     
                     12303.00         12314.00     
March 1997           11733.00         11802.00     
                     12475.00         12506.00     
                     13281.00         13274.00     
June 1997            13807.00         13866.00     
                     14946.00         14967.00     
                     14130.00         14135.00     
September 1997       14871.00         14910.00     
                     14441.00         14412.00     
                     15054.00         15079.00     
December 1997        15337.00         15338.00     
                     15533.00         15509.00     
                     16627.00         16627.00     
March 1998           17475.00         17478.00     
                     17656.00         17655.00     
                     17343.00         17351.00     
June 1998            18032.00         18055.00     
                     17831.00         17864.00     
                     15264.00         15281.00     
September 1998       16266.00         16260.00     
                     17581.00         17582.00     
                     18645.00         18648.00     
December 1998        19718.00         19722.00     

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                              Average Annual Total Return          Cumulative Total Return
                                                                                 Since                      Since         
              Periods Ending December 31, 1999                1 Year           Inception                  Inception       
                                                                                                                          
S&P 500 Index*                                                21.04%             25.96%                    146.97%        
Equity Index Trust                                            20.58%             25.01%                    137.76%        
* All since inception returns for the indices begin on the month-end closest to the actual inception date of the Trust.   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Equity Index Trust returned 20.58%, underperforming  
the 21.04% return of the S&P 500 Index.                                         

ENVIRONMENT: The S&P 500 Index ended the year in record territory. Traditional  
measures of inflation -- such as the Producer Price Index, Consumer Price Index 
and hourly wage data -- rose slightly during the year but remained under        
control. Economic growth during the year remained strong, with GDP growth of    
about 3.9%. Record index returns masked the narrow breadth of the market during 
the year. The focus throughout the year was on growth stocks, particularly in   
the technology sector. A rich IPO calendar, replete with Internet and           
infrastructure names contributed to the performance of the technology sector.   
Traditional value stocks generally underperformed during the year. Despite the  
relatively stable economic picture, interest rate worries triggered by Federal  
Reserve Board action contributed to market volatility and weighed heavily on the
interest rate sensitive sectors. Sectors that outperformed the market included  
technology, merchandisers, consumer services and capital goods. Underperforming 
sectors included durables, financials, health care, utilities and energy.       

OUTLOOK: In order to match the performance of the S&P 500 Index, the Trust will 
continue to purchase securities represented in the Index in relative weights to 
the index.                                                                      

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GROWTH & INCOME TRUST 

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To provide long-term growth of capital and income consistent
  POLICIES:             with prudent investment risk by investing the portfolio's   
                        assets primarily in common stocks of US issuers the         
                        subadviser believes are of high quality. The portfolio may  
                        also invest in securities convertible into or that carry the
                        right to buy common stocks. The Trust may also invest up to 
                        20% of its assets in foreign securities.                    
SUBADVISER:             Wellington Management Company, LLP                          
PORTFOLIO MANAGER:      Matthew E. Megargel                                         
INCEPTION DATE:         April 23, 1991                                              

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[GROWTH & INCOME TRUST PERFORMANCE GRAPH]                                       

                                                                [Download Table]

               GROWTH & INCOME TRUST  S&P 500 INDEX
               ---------------------  -------------
                                                   
March 1991             10000              10000    
                        9940                       
                       10270              10428    
                        9950               9951    
                       10330              10417    
                       10570              10662    
                       10380              10487    
                       10530              10628    
                       10040              10198    
December 1991          11080              11364    
                       10810              11153    
                       10980              11295    
                       10740              11074    
                       10921              11396    
                       10982              11458    
                       10921              11292    
                       11376              11747    
                       11305              11509    
                       11588              11642    
                       11668              11684    
                       11981              12077    
December 1992          12213              12236    
                       12375              12325    
                       12435              12491    
                       12829              12760    
                       12567              12447    
                       12814              12783    
                       12844              12826    
                       12793              12765    
                       13204              13252    
                       13162              13154    
                       13388              13421    
                       13121              13294    
December 1993          13388              13458    
                       13850              13909    
                       13706              13533    
                       13193              12945    
                       13337              13113    
                       13569              13327    
                       13252              12997    
                       13812              13428    
                       14224              13974    
                       13960              13637    
                       14171              13950    
                       13527              13438    
December 1994          13770              13634    
                       13780              13988    
                       14340              14531    
                       14678              14961    
                       15150              15397    
                       15639              16005    
                       15965              16381    
                       16421              16926    
                       16562              16972    
                       17073              17683    
                       16812              17621    
                       17497              18397    
December 1995          17790              18737    
                       18214              19381    
                       18258              19568    
                       18573              19755    
                       18853              20046    
                       19305              20563    
                       19327              20647    
                       18628              19728    
                       19034              20147    
                       20139              21279    
                       20691              21862    
                       22259              23521    
December 1996          21853              23060    
                       23037              24492    
                       23296              24691    
                       22394              23664    
                       23669              25076    
                       25042              26616    
                       26476              27803    
                       28529              30011    
                       26998              28342    
                       28407              29895    
                       27423              28897    
                       28669              30235    
December 1997          29027              30755    
                       29355              31096    
                       31360              33338    
                       32939              35045    
                       33393              35399    
                       32540              34790    
                       33819              36203    
                       33664              35819    
                       28781              30639    
                       30564              32603    
                       33264              35254    
                       35098              37390    
December 1998          36726              39544    
                       37890              41197    
                       37076              39916    
                       38703              41512    
                       40344              43119    
                       39287              42101    
                       41413              44438    
                       40315              43052    
                       40114              42836    
                       38938              41663    
                       41169              44300    
                       41585              45199    
December 1999          43657              47866    

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                               Average Annual Total Return      Cumulative Total Return 
                                                                       Since                     Since  
            Periods Ending December 31, 1999  1 Year       5 Year    Inception   5 Year        Inception
                                                                                                        
S&P 500 Index*                                21.04%       28.55%      19.80%   251.08%         378.66% 
Growth & Income Trust                         18.87%       25.96%      18.47%   217.05%         336.57% 

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Growth & Income Trust returned 18.87%,               
underperforming the 21.04% return of the S&P 500 Index.                         

ENVIRONMENT: 1999 was an extraordinary period. The S&P 500 Index rose more than 
21%, the Dow Jones Industrial Average gained more than 25% and the NASDAQ       
Composite Index was up over 85%. Technology stocks drove the markets and        
valuations to new highs. Internet-related stocks offered astounding triple-digit
returns, dwarfing even traditional technology leaders. The narrow momentum of   
the market was exemplified by the fact that the S&P 500 Index, excluding        
technology, rose 3.1% for the year. Electric utilities, transportation and many 
consumer brand companies were down for the period. The Trust's strength came    
from within the growth universe, as exceptional gains in many U.S. large cap    
technology stocks set the pace for a strong year. U.S. value stocks paled in    
comparison to growth stocks. However, technology, media and consumer            
discretionary stocks led the performance of the S&P 500 Index and of the Trust. 

OUTLOOK: An accelerating world economy remains central to the Trust's outlook   
for 2000, because the Trust emphasizes stocks that benefit from a synchronized  
global recovery. For example, the Trust has investments in materials, industrial
and selected technology sectors. A 3.6% world real GDP rate is expected. This   
GDP projection is based on a moderate, but still robust, environment in the     
United States, acceleration across Europe, a frail Japanese economy and         
improving growth in most developing economies. The impact that the Internet will
have on companies is increasingly part of the Trust's investment analysis.      

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U.S. LARGE CAP VALUE TRUST

                                                                [Download Table]
                                                                                   
INVESTMENT OBJECTIVE &  To achieve long-term growth of capital and income by       
  POLICIES:             investing primarily in equity and equity-related securities
                        of companies with market capitalizations greater than $500 
                        million at the time of purchase.                           
SUBADVISER:             Capital Guardian Trust Company                             
PORTFOLIO MANAGERS:     David I. Fisher, Eugene P. Stein, Donnalisa P. Barnum,     
                        Michael R. Ericksen, Theodore R. Samuels and Terry         
                        Berkemeier                                                 
INCEPTION DATE:         May 1, 1999                                                

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[PERFORMANCE GRAPH]                                                             

                                                                [Download Table]

                RUSSELL 1000 VALUE INDEX  US LARGE CAP VALUE TRUST
                ------------------------  ------------------------
                                                                  
May 1999                  9890                      9744          
June 1999                10177                     10168          
July 1999                 9879                     10040          
August 1999               9512                      9808          
September 1999            9179                      9416          
October 1999              9708                      9743          
November 1999             9632                      9807          
December 1999             9679                     10272          

PERFORMANCE TABLE 

                                                                [Download Table]

                                                Cumulative Total Return
                                                -----------------------
                                                         Since         
              Periods Ending December 31, 1999         Inception       
                                                                       
Russell 1000 Value Index*                               -3.21%         
U.S. Large Cap Value Trust                               2.72%         

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: Since its inception on May 1, 1999, the U.S. Large Cap Value Trust 
returned 2.72%, outperforming the -3.21% return of the Russell 1000 Value Index.

ENVIRONMENT: By year-end, technology and telecommunication stocks drove the     
major U.S. indexes to new all-time highs. The S&P 500 Index rose 21.04%, and the
Dow Jones Industrial Average rose 25.22% for the year. These two indexes        
produced double-digit returns for the fifth consecutive year. The               
technology-heavy NASDAQ Composite Index rose 85.50% for the year. Stock         
leadership in the U.S. market was narrow. More stocks in the S&P 500 Index      
declined in value than rose in value. Within NASDAQ, gains were concentrated in 
a relatively small group of technology names. Half of NASDAQ's stocks declined  
an average of 32%.                                                              

OUTLOOK: The largest 50 stocks in the S&P 500 index sold at a relative P/E ratio
of about 1.5 times the remaining 450. This is the highest premium in several    
decades. The disparity in valuation between a small group of very large stocks  
and the rest of the stock universe could mean that the upside potential is      
limited for those stocks commanding a premium for their large size. There is    
more opportunity in stocks outside the largest fifty, where stock selection and 
research can add value. Because the U.S. economy has not slowed, the Federal    
Reserve Board appears likely to resume raising interest rates. The Fed had      
deferred such moves in late 1999 because of uncertainty about the Y2K issue. A  
rising rate environment would make premiums for perceived superior growth more  
difficult to justify.                                                           

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EQUITY-INCOME TRUST 

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To provide substantial dividend income and also long-term   
  POLICIES:             capital appreciation by investing primarily in common stocks
                        of well-established companies paying above-average          
                        dividends. The subadviser believes that income can          
                        contribute significantly to total return over time and      
                        manages the portfolio to produce a yield above that of the  
                        S&P 500 Index. The Trust seeks equity securities that appear
                        to be temporarily undervalued by various measures and may be
                        temporarily out of favor, but have good prospects for       
                        capital appreciation and dividend growth.                   
SUBADVISER:             T. Rowe Price Associates, Inc.                              
PORTFOLIO MANAGER:      Brian C. Rogers                                             
INCEPTION DATE:         February 19, 1993++                                         

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[EQUITY INCOME TRUST PERFORMANCE GRAPH]                                         

                                                                [Download Table]

               EQUITY-INCOME TRUST  RUSSELL 1000 VALUE INDEX
               -------------------  ------------------------
                                                            
                     10000.00               10000.00        
February 1993        10170.00               10352.00        
                     10520.00               10657.00        
                     10180.00               10521.00        
                     10470.00               10732.00        
                     10560.00               10970.00        
                     10720.00               11092.00        
                     10760.00               11493.00        
                     10820.00               11511.00        
                     10930.00               11503.00        
                     10970.00               11266.00        
December 1993        11310.00               11480.00        
                     11530.00               11914.00        
                     11710.00               11507.00        
                     11380.00               11079.00        
                     11399.00               11291.00        
                     11490.00               11421.00        
                     11329.00               11148.00        
                     11490.00               11495.00        
                     12003.00               11825.00        
                     11933.00               11432.00        
                     11721.00               11591.00        
                     11188.00               11123.00        
December 1994        11399.00               11251.00        
                     11329.00               11597.00        
                     12073.00               12056.00        
                     12335.00               12320.00        
                     12517.00               12709.00        
                     12875.00               13244.00        
                     13283.00               13423.00        
                     13681.00               13890.00        
                     13824.00               14086.00        
                     13855.00               14596.00        
                     13385.00               14451.00        
                     13926.00               15184.00        
December 1995        14100.00               15565.00        
                     14437.00               16051.00        
                     14723.00               16172.00        
                     14896.00               16447.00        
                     15255.00               16510.00        
                     15573.00               16716.00        
                     15233.00               16730.00        
                     14695.00               16097.00        
                     15145.00               16558.00        
                     15902.00               17217.00        
                     16066.00               17883.00        
                     17020.00               19179.00        
December 1996        18900.00               18934.00        
                     17382.00               19852.00        
                     17832.00               20144.00        
                     17437.00               19419.00        
                     17902.00               20234.00        
                     18766.00               21366.00        
                     19491.00               22282.00        
                     20648.00               23958.00        
                     20078.00               23105.00        
                     21055.00               24500.00        
                     20496.00               23817.00        
                     21284.00               24870.00        
December 1997        21920.00               25596.00        
                     21767.00               25235.00        
                     22835.00               26933.00        
                     23916.00               28581.00        
                     23777.00               28773.00        
                     23387.00               28347.00        
                     23320.00               28710.00        
                     22646.00               28205.00        
                     20411.00               24008.00        
                     21529.00               25386.00        
                     22848.00               27353.00        
                     23777.00               28628.00        
December 1998        23939.00               29601.00        
                     23319.00               29838.00        
                     23130.00               29417.00        
                     23764.00               30026.00        
                     26395.00               32831.00        
                     26175.00               32470.00        
                     26901.00               33411.00        
                     26306.00               32432.00        
                     25493.00               31229.00        
                     24578.00               30136.00        
                     25377.00               31872.00        
                     24971.00               31623.00        
December 1999        24753.00               31770.00        

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                    Average Annual Total Return         Cumulative Total Return
                                             -----------------------------------------                         
                                                               Since        Since++                     Since  
           Periods Ending December 31, 1999  1 Year  5 Year  Inception    Oct. 1, 1996   5 Year       Inception
                                                                                                               
Russell 1000 Value Index*                     7.35%  23.07%    18.19%        20.75%     182.38%        217.70% 
Equity-Income Trust                           3.40%  16.77%    14.11%        14.52%     117.14%        147.53% 

++ Current subadviser assignment became effective October 1, 1996.              
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                         

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Equity-Income Trust returned 3.40%, underperforming  
the 7.35% return of the Russell 1000 Value Index.                               

ENVIRONMENT: The market environment for 1999 was characterized by pronounced    
investor preferences for growth stocks and an advance led by a relatively small 
number of companies. Underweighting in technology, a sector that nearly doubled 
in value in 1999, was the main cause of the Trust's lagging relative            
performance. Normally, the Trust would not hold large positions in technology   
because the lofty valuations of most technology shares exclude them as          
candidates for purchase. The Trust's preference for high yielding, lower P/E    
companies has been the cornerstone of its investment approach since it began    
operations. Because of wide variations in performance among companies and       
sectors over the last two years, investors will eventually recognize the        
exciting opportunities that exist in areas of the market in which the Trust     
invests.                                                                        

OUTLOOK: Value stocks offer good potential for appreciation, especially when    
compared to some of the more extended sectors of the market. When the Trust's   
investment style is out of sync with the overall market, the best strategy is to
stay with the basics and concentrate on companies with below average P/E ratios 
and above-average dividend yields. The Trust will continue to be managed in its 
traditionally conservative style.                                               

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INCOME & VALUE TRUST
(FORMERLY MODERATE ASSET ALLOCATION TRUST)

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  Seeks the balanced accomplishment of conservation of        
  POLICIES:             principal and long-term growth of capital and income by     
                        investing in both equity and fixed income securities.       
SUBADVISER:             Capital Guardian Trust Company                              
PORTFOLIO MANAGER:      David I. Fisher, John W. Ressner, Eugene P. Stein, Donnalisa
                        P. Barnum, Michael R. Ericksen, James R. Mulally, Theodore  
                        R. Samuels, James S. Baker and Terry Berkemeier             
INCEPTION DATE:         August 3, 1989+++                                           

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[MODERATE ASSET ALLOCATION TRUST PERFORMANCE GRAPH]                             

                                                        [Enlarge/Download Table]

                                          LEHMAN BROTHERS                             
           INCOME & VALUE  WILSHIRE 5000  AGGREGATE BOND   CUSTOMIZED      60%/40%    
                TRUST          INDEX           INDEX        BENCHMARK  COMPOSITE INDEX
           --------------  -------------  ---------------  ----------  ---------------
                                                                                      
July 1989       10000          10000           10000          10000         10000     
                10210          10227            9852           9980         10053     
                10120          10210            9902          10039         10050     
                 9910           9911           10146           9991         10009     
                 9970          10086           10242          10145         10172     
Dec. 1989       10030          10270           10270          10256         10327     
                 9450           9516           10148           9911          9864     
                 9570           9667           10180           9900          9948     
                 9570           9909           10187           9901         10113     
                 9365           9623           10094           9775          9927     
                 9561          10502           10392          10313         10621     
                 9851          10451           10560          10380         10646     
                 9770          10350           10705          10447         10687     
                 9142           9376           10562           9941         10052     
                 8839           8861           10650           9634          9791     
                 8758           8742           10785           9776          9818     
                 9112           9338           11017          10033         10281     
Dec. 1990        9405           9635           11189          10235         10516     
                 9719          10103           11327          10502         10846     
                10155          10889           11424          10990         11341     
                10286          11221           11502          11111         11536     
                10392          11256           11627          11216         11611     
                10551          11707           11694          11409         11936     
                10317          11185           11688          11182         11609     
                10594          11710           11851          11498         12000     
                10871          12033           12107          11703         12270     
                10871          11895           12352          11839         12251     
                11051          12114           12490          12015         12400     
                10828          11651           12604          11870         12145     
Dec. 1991       11402          12930           12979          12512         13123     
                11276          12905           12802          12445         12909     
                11392          13082           12885          12516         13042     
                11222          12758           12813          12322         12861     
                11439          12929           12906          12427         13125     
                11595          13008           13149          12647         13264     
                11617          12743           13331          12589         13224     
                12027          13259           13603          12848         13648     
                11950          12978           13740          12909         13543     
                12104          13133           13904          13010         13700     
                12038          13293           13719          12911         13659     
                12237          13844           13722          13112         13938     
Dec. 1992       12348          14090           13940          13291         14134     
                12492          14263           14207          13475         14311     
                12670          14322           14456          13649         14524     
                12825          14690           14517          13926         14735     
                12746          14284           14618          13984         14566     
                12855          14732           14637          14180         14804     
                13047          14800           14902          14306         14947     
                13070          14798           14987          14403         14939     
                13417          15369           15250          14776         15383     
                13408          15399           15291          14778         15335     
                13544          15656           15347          14950         15541     
                13440          15402           15217          14700         15401     
Dec. 1993       13590          15680           15299          14940         15549     
                13937          16173           15506          15329         15945     
                13648          15810           15236          15101         15581     
                13209          15095           14859          14633         15021     
                13248          15240           14741          14684         15093     
                13347          15389           14739          14725         15239     
                13149          14977           14707          14616         15000     
                13483          15421           14999          14900         15412     
                13681          16103           15017          15171         15796     
                13421          15791           14797          14944         15477     
                13658          16049           14783          15077         15683     
                13273          15461           14751          14808         15321     
Dec. 1994       13372          15669           14853          14943         15501     
                13421          16008           15147          15133         15872     
                13694          16646           15507          15512         16389     
                13967          17084           15602          15804         16719     
                14261          17509           15820          16118         17102     
                14639          18106           16432          16573         17779     
                14834          18683           16552          16782         18079     
                15147          19452           16516          17121         18426     
                15238          19641           16716          17208         18541     
                15499          20391           16878          17545         19076     
                15473          20186           17097          17551         19139     
                15837          21041           17354          17969         19763     
Dec. 1995       16137          21385           17597          18270         20091     
                16397          21958           17713          18517         20561     
                16371          22342           17405          18512         20541     
                16354          22586           17283          18567         20600     
                16438          23144           17186          18739         20722     
                16551          23777           17152          18875         21039     
                16651          23581           17381          18951         21199     
                16381          22309           17428          18601         20656     
                16523          23023           17399          18813         20906     
                17034          24249           17702          19361         21757     
                17318          24588           18094          19623         22310     
                17901          26217           18404          20296         23472     
Dec. 1996       17745          25921           18233          20143         23113     
                18029          27309           18289          20469         24010     
                18071          27296           18335          20552         24137     
                17702          26089           18131          20160         23437     
                18148          27227           18403          20607         24410     
                18862          29156           18578          21338         25401     
                19386          30495           18799          21909         26201     
                20243          32840           19307          22784         27734     
                19658          31605           19143          22267         26713     
                20486          33470           19426          22991         27747     
                20101          32355           19708          22718         27350     
                20418          33415           19798          23005         28162     
Dec. 1997       20561          34032           19998          23283         28568     
                20815          34217           20254          23590         28905     
                21704          36708           20238          24308         30148     
                22371          38545           20307          24841         31122     
                22565          39003           20413          25027         31374     
                22387          37965           20607          24917         31170     
                22742          39296           20782          25326         32033     
                22653          38435           20825          25216         31857     
                20507          32450           21165          23708         29289     
                21287          34569           21660          24379         30692     
                21961          37141           21545          25142         32135     
                22831          39480           21668          25949         33375     
Dec. 1998       23700          42006           21733          26630         34570     
                24233          43552           21887          27053         35538     
                23630          41975           21504          26474         34625     
                24322          43595           21623          27009         35535     
                24779          45684           21692          27622         36409     
                24499          44683           21501          27178         35761     
                25256          46998           21432          27713         36902     
                24958          45489           21342          27475         36153     
                24619          45066           21331          27387         36034     
                24100          43890           21579          27313         35612     
                24967          46681           21659          28020         37008     
                24897          48245           21656          28460         37460     
Dec. 1999       25642          50540           20986          28657         37479     

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                                       Cumulative Total Return    
                                       Average Annual Total Return                       Since+++ 
  Periods Ending December 31, 1999    1 Year     5 Year    10 Year  5 Year   10 Year   May 1, 1999
                                                                                                  
Wilshire 5000 Index*                   23.56%    27.07%     17.59%  231.24%  405.40%      13.62%  
Lehman Brothers Aggregate Bond Index    -.83%     7.73%      7.69%  45.11%   109.86%      -0.64%  
Customized Benchmark+                  10.37%    14.49%     11.10%  96.69%   186.57%       6.33%  
60%/40% Composite Index**++            12.00%    20.09%     14.12%  149.75%  274.79%       6.40%  
Income & Value Trust                    8.52%    13.98%      9.87%  92.34%   156.42%       2.79%  

+ Customized Benchmark is comprised of 32.5% of the return of the Wilshire  
    5000 Index, 10% of the MSCI EAFE Index, 40% of the Lehman Brothers Aggregate
Bond Index, 10% of the 90 Day T-Bill, and 7.5% of the Merrill Lynch High
Yield Index.                                                            

** The 60%/40% Composite Index is comprised of 60% of the returns of the S&P  
 500 Index and 40% of the returns of the Salomon Brothers Broad Investment
Grade Bond Index.                                                       

++ The 60%/40% Composite Index was added to more accurately reflect the       
investment objective of the Income & Value Trust.                       

+++ Current subadviser assignment became effective May 1, 1999.                 

* All since inception returns for the indices begin on the month-end closest
to the actual inception date for the Trust.                             

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Income & Value Trust returned 8.52%, underperforming 
the 12.00% return of the blended 60% S&P 500 Index/40% Salomon Brothers Broad   
Investment Grade Bond Index. Capital Guardian Trust Company (CGTC) assumed      
management of the Trust, formerly managed by Fidelity Management Trust Company, 
on May 1, 1999. As a result, performance for 1999 is attributable to both asset 
management firms. Under CGTC's management, the Income & Value Trust returned    
2.79% since May 1, 1999, underperforming the 6.40% return of the blended 60% S&P
500 Index/40% Salomon Brothers Broad Investment Grade Bond Index for the same   
period.                                                                         

ENVIRONMENT: Continuing signs of a synchronized global economic recovery        
propelled stocks higher and pushed bonds lower in nearly all developed markets. 
After stumbling early in the fourth quarter, U.S. stocks rose significantly.    
Small stocks outperformed large ones. In comparison, technology-related issues  
soared. The U.S. economy continued to show signs of strength in the fourth      
quarter, and economic growth for the third quarter was revised upward to an     
annualized 5.7%. Bond yields rose across the curve. The year's higher commodity 
prices were influential in nudging interest rates higher. While interest rates  
reacted to a continuation of strong U.S. growth, there were few signs of        
incipient inflation.                                                            

OUTLOOK: While the ongoing strength of the economy should be a positive for U.S.
equities, the market continues to narrow. Megacap growth stocks and technology  
stocks continue to push the indexes higher while most stocks languish. Many     
market leaders are significantly overvalued, especially in light of 1999's sharp
rise in interest rates. There is reason for caution with the very largest U.S.  
stocks. However, there continues to be opportunity elsewhere in the broader     
market. The Trust will continue to overweight U.S. equities. On the fixed income
side, there is uncertainty about how high will interest rates need to rise in   
order to slow down what the Federal Reserve Board believes is, or will soon be, 
excessive growth. Interest rates have already risen significantly, and there is 
a small chance that synchronized global growth will force rates much higher.    
However, the worst in interest rate hikes may be behind us. Interest rates will 
probably peak in 2000.                                                          

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BALANCED TRUST

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE &  To achieve current income and capital appreciation by     
  POLICIES:             investing in a balanced portfolio of common stocks, United
                        States and foreign government obligations and a variety of
                        corporate fixed income securities.                        
SUBADVISER:             Founders Asset Management LLC                             
PORTFOLIO MANAGER:      Curtis J. Anderson                                        
INCEPTION DATE:         January 1, 1997                                           

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[BALANCED TRUST PERFORMANCE GRAPH]                                              

                                                        [Enlarge/Download Table]

                                                 LEHMAN BROTHERS     50%/50% COMPOSITE
                BALANCED TRUST  S&P 500 INDEX  AGGREGATE BOND INDEX        INDEX      
                --------------  -------------  --------------------  -----------------
                                                                                      
December 1996       10000           10000             10000                10000      
                    10374           10625             10031                10328      
                    10362           10708             10056                10381      
March 1997          10196           10268              9944                10110      
                    10515           10881             10094                10488      
                    10901           11543             10190                10857      
June 1997           11239           12081             10311                11165      
                    11570           13021             10589                11760      
                    11208           12291             10499                11381      
September 1997      11655           12965             10655                11777      
                    11563           12532             10809                11665      
                    11704           13112             10859                11962      
December 1997       11852           13338             10968                12126      
                    12170           13486             11108                12271      
                    12532           14459             11100                12708      
March 1998          12777           15199             11137                13055      
                    12891           15352             11195                13155      
                    12821           15088             11302                13105      
June 1998           12982           15701             11398                13426      
                    12710           15534             11422                13369      
                    12019           13288             11608                12511      
September 1998      12654           14139             11879                13059      
                    13066           15289             11816                13555      
                    13345           16216             11884                14055      
December 1998       13458           17150             11919                14429      
                    13298           17867             12004                14783      
                    12972           17311             11794                14423      
March 1999          13159           18004             11858                14752      
                    13427           18700             11896                15062      
                    13383           18259             11792                14818      
June 1999           13598           19272             11754                15205      
                    13331           18671             11705                14936      
                    13360           18578             11699                14895      
September 1999      13093           18069             11834                14778      
                    13293           19213             11878                15273      
                    13137           19603             11877                15427      
December 1999       13235           20757             11821                15841      

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                      Average Annual Total Return  Cumulative Total Return
                                                        Since               Since         
  Periods Ending December 31, 1999      1 Year        Inception           Inception       
                                                                                          
S&P 500 Index*                          21.04%          27.56%             107.57%        
Lehman Brothers Aggregate Bond Index    -0.83%           5.73%              18.21%        
50%/50% Composite Index+                 9.80%          16.57%              58.41%        
Balanced Trust                          -1.65%           9.79%              32.35%        

+ Comprised of 50% of the return of the S&P 500 Index and 50% of the return of  
the Lehman Brothers Aggregate Bond Index.                                   
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Balanced Trust returned -1.65%, underperforming the  
9.80% return of the blended 50% S&P 500 Index/50% Lehman Brothers Aggregate Bond
Index.                                                                          

ENVIRONMENT: Because equity valuations were high and because there was a        
possibility of a down turn in the market, the Trust entered the year in a       
defensive position. Consequently, the Trust was heavily weighted in fixed income
securities for much of the year. During 1999, investors were focused primarily  
on stocks. As a result, bonds produced poor performance. Companies in all       
segments of the technology sector had strong performance during the year.       
Because of the Trust's defensive position, it did not participate to the degree 
of many of its peers in the performance of technology stocks. However, in the   
closing months of the year, despite high valuations, several technology         
companies with superior long-term appreciation potential were added to the      
portfolio. Because bonds suffered for much of the year, the Trust's fixed income
component was heavily concentrated in one-, two- and three-year Treasury        
securities. The duration of the government bond holdings in the Trust is likely 
to lengthen in the future. Assets will be strategically allocated to securities 
with three-to-six-year durations.                                               

OUTLOOK: While interest rates have risen sharply, the market has remained       
unfazed, and little money has moved from equities and into bonds. Therefore, the
Trust's weighting in equities will be increased and its fixed income securities 
will be managed with an emphasis on total return.                               
Since joining the Trust December 8, 1999, Mr. Anderson has increased the equity 
stake of the portfolio from 45% to approximately 60%, and he expects to maintain
a 60 to 65% weighting in growth-oriented equities under normal market conditions
going forward.                                                                  

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HIGH YIELD TRUST

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To realize an above average total return over a market cycle
  POLICIES:             of three to five years, consistent with reasonable risk by  
                        investing the portfolio's assets primarily in high yield    
                        debt securities, including corporate bonds and other fixed  
                        income securities. The Trust's average weighted maturity for
                        the securities that it purchases ordinarily will be greater 
                        than five years. At times, more than 50% of the Trust's     
                        assets may be invested in mortgage-backed securities. The   
                        Trust may invest up to 100% of its assets in foreign        
                        securities, including emerging market securities, and as a  
                        result be subject to special risks.                         
SUBADVISER:             Miller Anderson & Sherrerd, LLP                             
PORTFOLIO MANAGER:      Robert E. Angevine, Thomas L. Bennett and Stephen F. Esser  
INCEPTION DATE:         January 1, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

                                  SALOMON BROTHERS HIGH YIELD
                HIGH YIELD TRUST          MARKET INDEX       
                ----------------  ---------------------------
                                                             
December 1996        10000                   10000           
                     10058                   10075           
                     10144                   10246           
March 1997            9904                   10141           
                     10144                   10213           
                     10392                   10419           
June 1997            10576                   10595           
                     10944                   10856           
                     10912                   10888           
September 1997       11136                   11056           
                     11032                   11144           
                     11138                   11201           
December 1997        11268                   11319           
                     11443                   11575           
                     11575                   11653           
March 1998           11725                   11779           
                     11780                   11843           
                     11722                   11875           
June 1998            11747                   11901           
                     11864                   11997           
                     10922                   11192           
September 1998       10981                   11331           
                     10831                   11175           
                     11589                   11735           
December 1998        11581                   11727           
                     11698                   11903           
                     11654                   11803           
March 1999           11869                   11903           
                     12326                   12152           
                     12012                   11961           
June 1999            12056                   11935           
                     12083                   11961           
                     11993                   11819           
September 1999       12047                   11729           
                     12074                   11649           
                     12370                   11832           
December 1999        12508                   11930           

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                           Average Annual Total Return  Cumulative Total Return
                                                               Since             Since         
    Periods Ending December 31, 1999       1 Year            Inception         Inception       
                                                                                               
Salomon Brothers High Yield Market Index*   1.73%              6.06%            19.30%         
High Yield Trust                            8.00%              7.75%            25.08%         

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the High Yield Trust returned 8.00%, outperforming the   
1.73% return of the Salomon Brothers High Yield Market Index.                   

ENVIRONMENT: High yield bonds outperformed U.S. Treasury securities and high    
quality corporate bonds during the year. The performance of the Trust represents
a strong relative return in comparison to the Index and a good absolute return. 
Exposure to non-U.S. high yield issues, such as emerging market debt and        
euro-denominated securities, had a positive effect on performance. An           
overweighting in the telecommunication sector also aided performance. The high  
yield sector was one of the best performing areas of the bond market in 1999. It
was boosted by strong growth and a high level of merger and investment activity.
At year-end, telecommunication and emerging market securities continued to have 
the most value, and the Trust was overweighted in these types of bonds. As a    
result of the Trust's valuation discipline, the Trust continues to maintain an  
average credit quality that is higher than that of its benchmark. The Trust's   
interest rate sensitivity is close to that of its benchmark.                    

OUTLOOK: Even with the rebound in the high yield market, yield spreads on high  
yield bonds remain historically wide. The high yield market is undervalued at a 
time when the fundamental credit quality of most high yield issuers is strong   
and the U.S. and global economies continue to show strength. Consequently, the  
high yield market should perform well in the near future. The Trust continues to
find attractive investment opportunities in this market.                        

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STRATEGIC BOND TRUST

                                                                [Download Table]
                                                                                   
INVESTMENT OBJECTIVE &  To achieve a high level of total return consistent with    
  POLICIES:             preservation of capital by investing the portfolio's assets
                        among five segments of the fixed income market: (i) United 
                        States Government obligations, (ii) investment grade       
                        domestic corporate fixed income securities, (iii) high     
                        yield, high risk corporate fixed income securities, (iv)   
                        mortgage-backed securities, and (v) investment grade and   
                        high yield international fixed income securities.          
SUBADVISER:             Salomon Brothers Asset Management Inc.                     
PORTFOLIO MANAGERS:     Peter J. Wilby, David J. Scott and Roger Lavan             
INCEPTION DATE:         February 19, 1993                                          

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 

                                                                [Download Table]

                                     LEHMAN BROTHERS AGGREGATE BOND
               STRATEGIC BOND TRUST              INDEX             
               --------------------  ------------------------------
                                                                   
February 1993         10000                      10000             
                      10050                      10042             
                      10080                      10112             
                      10150                      10125             
                      10400                      10309             
                      10460                      10367             
                      10550                      10549             
                      10560                      10577             
                      10760                      10617             
                      10760                      10526             
December 1993         10880                      10583             
                      11050                      10726             
                      10820                      10539             
                      10440                      10279             
                      10372                      10197             
                      10393                      10196             
                      10383                      10173             
                      10403                      10376             
                      10414                      10388             
                      10445                      10236             
                      10424                      10226             
                      10383                      10204             
December 1994         10228                      10274             
                      10207                      10478             
                      10290                      10727             
                      10300                      10792             
                      10710                      10944             
                      11154                      11387             
                      11284                      11450             
                      11360                      11425             
                      11436                      11563             
                      11620                      11675             
                      11706                      11827             
                      11912                      12004             
December 1995         12194                      12173             
                      12651                      12265             
                      12464                      12042             
                      12475                      11958             
                      12640                      11891             
                      12745                      11887             
                      12886                      12028             
                      12979                      12059             
                      13155                      12038             
                      13576                      12247             
                      13893                      12519             
                      13939                      12733             
December 1996         13986                      12615             
                      14126                      12654             
                      14302                      12686             
                      14056                      12545             
                      14205                      12733             
                      14531                      12854             
                      14731                      13007             
                      15120                      13358             
                      15082                      13245             
                      15371                      13441             
                      15170                      13635             
                      15346                      13698             
December 1997         15521                      13837             
                      15684                      14014             
                      15797                      14003             
                      15910                      14051             
                      15952                      14124             
                      15952                      14258             
                      15926                      14379             
                      15979                      14409             
                      14946                      14644             
                      15402                      14987             
                      15362                      14907             
                      15738                      14992             
December 1998         15724                      15037             
                      15710                      15144             
                      15589                      14879             
                      15816                      14961             
                      16057                      15008             
                      15768                      14876             
                      15782                      14829             
                      15739                      14766             
                      15595                      14759             
                      15754                      14930             
                      15796                      14986             
                      15926                      14984             
December 1999         16074                      15170             

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                       Average-Annual-Total-Return  Cumulative Total Return
                                                           Since                   Since   
  Periods Ending December 31, 1999     1 Year   5 Year   Inception  5 Year       Inception 
                                                                                           
Lehman Brothers Aggregate Bond Index*  -0.83%   7.73%      6.21%    45.11%         51.70%  
Strategic Bond Trust                    2.22%   9.46%      7.16%    57.16%         60.74%  

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Strategic Bond Trust returned 2.22%, outperforming   
the -0.83% return of the Lehman Brothers Aggregate Bond Index.                  

ENVIRONMENT: The investment grade bond market started off 1999 with strength. It
benefited from stable Treasury rates, declining volatility and a reduction in   
liquidity premiums. The performance of high yield bonds and emerging market debt
had a stellar start, as the financial markets shrugged off Brazil's currency    
problems. As the year progressed, however, the bond market had a tougher time.  
Fears of an overheating economy, mounting fears of inflation and Y2K concerns   
worked against the fixed income sector. The mounting inflation concerns forced a
proactive Federal Reserve Board to raise the federal funds rate three times from
4.75% to 5.50% during the year. The Trust outperformed relative to its Index due
to strong performance in emerging market debt, the highest returning bond       
sector.                                                                         

OUTLOOK: The challenge remains for Federal Reserve policymakers to slow the     
economy to a more sustainable pace of growth. Because the continued tight labor 
market could prove inflationary, a case can be made for another 50 basis points 
of Federal Reserve Board tightening during the first part of 2000. Such a       
tightening will likely do more to flatten the yield curve than move the overall 
bond market to higher levels. If the Fed is successful in offsetting rising     
inflation, long-term interest rates should start to decline before year-end 2000
and into 2001.                                                                  

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GLOBAL BOND TRUST 
(FORMERLY GLOBAL GOVERNMENT BOND TRUST) 

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve maximum total return consistent with preservation
  & POLICIES:         of capital and prudent investment management by investing   
                      primarily in fixed income securities denominated in major   
                      foreign currencies, baskets of foreign currencies (such as  
                      the Euro) and the U.S. dollar.                              
SUBADVISER:           Pacific Investment Management Company                       
PORTFOLIO MANAGER:    Lee R. Thomas III                                           
INCEPTION DATE:       March 18, 1988++                                            

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

                                                                [Download Table]

                                  SALOMON BROTHERS WORLD   JP MORGAN GLOBAL  
               GLOBAL BOND TRUST   GOVERNMENT BOND INDEX  UNHEDGED BOND INDEX
               -----------------  ----------------------  -------------------
                                                                             
December 1989      10838.00              10854.00              11056.00      
                   10656.00              10710.00              10892.00      
                   10616.00              10545.00              10774.00      
                   10585.00              10441.00              10708.00      
                   10602.00              10409.00              10667.00      
                   10842.00              10754.00              11008.00      
                   10998.00              10951.00              11207.00      
                   11258.00              11294.00              11537.00      
                   11373.00              11206.00              11447.00      
                   11425.00              11331.00              11554.00      
                   11842.00              11836.00              12011.00      
                   12008.00              12033.00              12222.00      
December 1990      12071.00              12152.00              12358.00      
                   12373.00              12456.00              12638.00      
                   12435.00              12460.00              12651.00      
                   12008.00              12007.00              12256.00      
                   12118.00              12192.00              12404.00      
                   12172.00              12176.00              12416.00      
                   11965.00              12049.00              12249.00      
                   12237.00              12306.00              12508.00      
                   12541.00              12545.00              12768.00      
                   13030.00              13036.00              13234.00      
                   13160.00              13172.00              13365.00      
                   13268.00              13378.00              13583.00      
December 1991      13985.00              14074.00              14269.00      
                   13703.00              13823.00              13989.00      
                   13703.00              13746.00              13948.00      
                   13572.00              13600.00              13820.00      
                   13615.00              13698.00              13935.00      
                   13982.00              14118.00              14330.00      
                   14315.00              14514.00              14722.00      
                   14590.00              14852.00              15046.00      
                   14519.00              15268.00              15446.00      
                   14567.00              15420.00              15430.00      
                   14383.00              15003.00              15045.00      
                   14074.00              14764.00              14778.00      
December 1992      14303.00              14853.00              14917.00      
                   14635.00              15111.00              15171.00      
                   15026.00              15409.00              15415.00      
                   15175.00              15646.00              15652.00      
                   15457.00              15976.00              15937.00      
                   15614.00              16136.00              16038.00      
                   15712.00              16102.00              16051.00      
                   16017.00              16147.00              16057.00      
                   16787.00              16633.00              16532.00      
                   16677.00              16831.00              16708.00      
                   16872.00              16802.00              16699.00      
                   16579.00              16682.00              16577.00      
December 1993      17019.00              16823.00              16746.00      
                   17398.00              16960.00              16904.00      
                   16775.00              16849.00              16718.00      
                   16384.00              16826.00              16641.00      
                   16259.00              16846.00              16628.00      
                   15822.00              16698.00              16490.00      
                   15822.00              16938.00              16686.00      
                   15041.00              17074.00              16843.00      
                   15925.00              17014.00              16799.00      
                   15963.00              17136.00              16881.00      
                   16452.00              17411.00              17134.00      
                   16028.00              17172.00              16919.00      
December 1994      16041.00              17220.00              16957.00      
                   16169.00              17582.00              17300.00      
                   16542.00              18032.00              17746.00      
                   16967.00              19103.00              18650.00      
                   17384.00              19456.00              18946.00      
                   17845.00              20003.00              19475.00      
                   17845.00              20121.00              19595.00      
                   18171.00              20169.00              19688.00      
                   18252.00              19476.00              19140.00      
                   18584.00              19910.00              19571.00      
                   18836.00              20059.00              19763.00      
                   19297.00              20286.00              19984.00      
December 1995      19759.00              20499.00              20232.00      
                   19813.00              20245.00              20023.00      
                   19636.00              20141.00              19907.00      
                   19664.00              20113.00              19877.00      
                   19884.00              20033.00              19804.00      
                   20018.00              20037.00              19824.00      
                   20287.00              20195.00              19996.00      
                   20480.00              20583.00              20364.00      
                   20764.00              20663.00              20450.00      
                   21226.00              20748.00              20562.00      
                   21853.00              21136.00              20969.00      
                   22390.00              21415.00              21269.00      
December 1996      22330.00              21241.00              21120.00      
                   21793.00              20674.00              20592.00      
                   21778.00              20519.00              20450.00      
                   21599.00              20363.00              20295.00      
                   21746.00              20184.00              20181.00      
                   21926.00              20733.00              20657.00      
                   22289.00              20980.00              20893.00      
                   22335.00              20816.00              20816.00      
                   22155.00              20804.00              20791.00      
                   22710.00              21247.00              21252.00      
                   22694.00              21689.00              21703.00      
                   22743.00              21357.00              21442.00      
December 1997      22988.00              21293.00              21419.00      
                   23298.00              21499.00              21633.00      
                   23396.00              21673.00              21793.00      
                   23445.00              21459.00              21629.00      
                   23584.00              21802.00              21963.00      
                   23602.00              21852.00              22057.00      
                   23278.00              21885.00              22119.00      
                   23278.00              21914.00              22178.00      
                   22917.00              22510.00              22791.00      
                   24107.00              23707.00              23980.00      
                   24413.00              24409.00              24517.00      
                   24161.00              24065.00              24240.00      
December 1998      24737.00              24548.00              24696.00      
                   23901.00              24323.00              24494.00      
                   23134.00              23542.00              23676.00      
                   23192.00              23601.00              23735.00      
                   23182.00              23591.00              23728.00      
                   22793.00              23195.00              23310.00      
                   22394.00              22789.00              22921.00      
                   22943.00              23347.00              23425.00      
                   23048.00              23455.00              23486.00      
                   23408.00              23821.00              23824.00      
                   23396.00              23809.00              23795.00      
                   23150.00              23559.00              23512.00      
December 1999      21706.00              21653.00              21204.00      

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                                                Cumulative Total Return     
                                               Average Annual Total Return                         Since++  
      Periods Ending December 31, 1999         1 Year    5 Year    10 Year  5 Year    10 Year    May 1, 1999
                                                                                                            
Salomon Brothers World Government Bond Index*  -4.27%     6.42%     8.03%   36.47%    116.53%         -0.38%
JP Morgan Global Unhedged Bond Index+          -4.33%     6.86%     7.81%   39.34%    112.04%         -0.43%
Global Bond Trust                              -6.67%     7.55%     8.06%   43.93%    117.06%         -2.85%

+ The JP Morgan Global Unhedged Bond Index was added to more accurately reflect 
the investment objective of the Global Bond Trust.                          
++ Current subadviser assignment became effective May 1, 1999.                  
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Global Bond Trust returned -6.67%, underperforming   
the -4.33% return of the J.P. Morgan Global Unhedged Bond Index. Pacific        
Investment Management Company (PIMCO) assumed management of the Trust, formerly 
managed by Oechsle International Advisors, LLC, on May 1, 1999. As a result,    
performance for 1999 is attributable to both asset management firms. Under      
PIMCO's management, the Global Bond Trust returned -2.85% since May 1, 1999,    
underperforming the -0.43% return of the J.P. Morgan Global Unhedged Bond Index 
for the same period.                                                            

ENVIRONMENT: Interest rates in most developed economies moved higher in response
to accelerating growth and increasing inflationary prospects. Because of lower  
relative growth and inflation in Europe, European bonds outperformed their U.S. 
counterparts. The Trust's below-index duration aided relative returns as the    
global recovery caused interest rates in most countries to rise. Underweighting 
in Japan was negative for the Trust because Japanese bonds outperformed. An     
overweighting in New Zealand added to returns, as low inflation and the stable  
currency supported the market.                                                  

OUTLOOK: Central banks around the world are likely to raise interest rates in   
response to improving economic conditions. Global growth will continue, led by  
the U.S. and resurgent economies in Europe and in non-Japan Asia. Some central  
banks will likely tighten further to prevent inflation from accelerating.       
However, global inflation is likely to remain benign because of productivity    
gains in the U.S. and continued excess capacity in Europe and Asia. Top-tier    
emerging market economies, such as Mexico and Poland, will strengthen as they   
benefit from better fiscal management and increased exports stemming from more  
balanced worldwide growth.                                                      

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TOTAL RETURN TRUST

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve maximum total return, consistent with            
  & POLICIES:         preservation of capital and prudent investment management by
                      investing at least 65% of the portfolio's total assets in a 
                      diversified portfolio of fixed income securities of varying 
                      maturities. The average portfolio duration will normally    
                      vary within a 3- to 6-year time frame based on the          
                      subadviser's forecast for interest rates.                   
SUBADVISER:           Pacific Investment Management Company                       
PORTFOLIO MANAGER:    William H. Gross                                            
INCEPTION DATE:       May 1, 1999                                                 

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[TOTAL RETURN TRUST PERFORMANCE GRAPH]                                          

                                                                [Download Table]

                                    LEHMAN BROTHERS AGGREGATE BOND
                TOTAL RETURN TRUST              INDEX             
                ------------------  ------------------------------
                                                                  
May 1999               9928                      9912             
June 1999              9896                      9880             
July 1999              9840                      9839             
August 1999            9824                      9834             
September 1999         9928                      9948             
October 1999           9936                      9985             
November 1999          9968                      9984             
December 1999          9896                      9936             

PERFORMANCE TABLE 

                                                                [Download Table]

                                                Cumulative Total Return
                                                         Since         
              Periods Ending December 31, 1999         Inception       
                                                                       
Lehman Brothers Aggregate Bond Index*                   -0.64%         
Total Return Trust                                      -1.04%         

* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: Since its inception on May 1, 1999, the Total Return Trust returned
-1.04%, underperforming the -0.64% return of the Lehman Brothers Aggregate Bond 
Index.                                                                          

ENVIRONMENT: Interest rates moved higher during the period, capping the worst   
year in the bond market since 1994. The Federal Reserve Board raised the federal
funds rate three times for a total of 75 basis points. At the end of 1999 the   
federal funds rate was at 5.5%. The Trust's below-index duration, or sensitivity
to interest rate changes, was positive as rates rose. An emphasis on            
intermediate maturities was negative, as the yield curve flattened in           
anticipation of more Fed tightening. The Trust's overweighting in mortgage      
backed bonds was positive, as this sector outperformed Treasuries in the second 
half of 1999. Limited emerging market holdings added to returns. Emerging market
bonds benefited from higher commodity prices and positive growth prospects.     

OUTLOOK: A correction in any one of several imbalances could modestly slow      
growth. These imbalances include a declining savings rate, a tighter labor      
market and the trade deficit. The Fed is likely to raise rates once or twice in 
the first half of 2000. In anticipation of modestly higher interest rates, the  
Trust will target duration slightly below its benchmark. The Trust will continue
to enhance performance with securities that offer additional yield, such as     
mortgages. It will also limit holdings of below investment grade bonds until    
credit trends improve. The Trust will make modest allocations to top-tier       
emerging market bonds to capture attractive yields.                             

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INVESTMENT QUALITY BOND TRUST 

                                                                [Download Table]
                                                                                  
INVESTMENT OBJECTIVE  To achieve a high level of current income consistent with   
  & POLICIES:         the maintenance of principal and liquidity by investing     
                      primarily in a diversified portfolio of investment grade    
                      corporate bonds and U.S. Government bonds with intermediate 
                      to long-term maturities. At least 65% of the portfolio's    
                      assets will be invested in (i) fixed income securities of   
                      U.S. and foreign issuers (payable in U.S. dollars) rated "A"
                      or better by Moody's or Standard & Poor's (or, if unrated,  
                      of comparable quality), (ii) U.S. government securities and 
                      (iii) cash and cash equivalents. The portfolio may also     
                      invest up to 20% of its assets in domestic and foreign high 
                      yield corporate and government fixed income securities,     
                      commonly known as junk bonds.                               
SUBADVISER:           Wellington Management Company, LLP                          
PORTFOLIO MANAGER:    Thomas L. Pappas                                            
INCEPTION DATE:       June 18, 1985++                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[INVESTMENT QUALITY BOND TRUST LINE GRAPH]                                      

                                                                [Download Table]

         INVESTMENT QUALITY BOND                        LEHMAN BROTHERS AGGREGATE
                  TRUST           CUSTOMIZED BENCHMARK         BOND INDEX        
         -----------------------  --------------------  -------------------------
                                                                                 
Dec. 89           15014                   16279                   16267          
                  14638                   16085                   16049          
                  14686                   16137                   16090          
                  14104                   16148                   16096          
                  13938                   16000                   15942          
                  14291                   16473                   16421          
                  14522                   16738                   16691          
                  14645                   16969                   16893          
                  14278                   16742                   16641          
                  14128                   16881                   16759          
                  14060                   17095                   16933          
                  14346                   17463                   17296          
Dec. 90           14604                   17735                   17552          
                  14740                   17955                   17757          
                  15039                   18108                   17960          
                  15053                   18233                   18116          
                  15006                   18430                   18333          
                  15066                   18537                   18432          
                  15036                   18527                   18419          
                  15171                   18785                   18662          
                  15605                   19191                   19090          
                  16024                   19580                   19487          
                  16173                   19798                   19664          
                  16308                   19980                   19859          
Dec-91            16951                   20573                   20522          
                  16667                   20293                   20235          
                  16802                   20425                   20372          
                  16682                   20311                   20268          
                  16761                   20457                   20382          
                  17169                   20844                   20798          
                  17404                   21131                   21108          
                  17828                   21562                   21654          
                  17985                   21780                   21838          
                  18204                   22039                   22125          
                  17906                   21746                   21768          
                  17906                   21751                   21766          
Dec. 92           18173                   22096                   22149          
                  18581                   22521                   22643          
                  18942                   22915                   23130          
                  19067                   23011                   23209          
                  19168                   23172                   23387          
                  19168                   23202                   23390          
                  19547                   23622                   23932          
                  19630                   23757                   24090          
                  20026                   24173                   24659          
                  20108                   24238                   24735          
                  20174                   24328                   24844          
                  19894                   24121                   24556          
Dec. 93           19993                   24251                   24676          
                  20257                   24578                   25083          
                  19762                   24151                   24521          
                  19184                   23554                   23869          
                  18978                   23366                   23659          
                  18960                   23363                   23600          
                  18926                   23312                   23543          
                  19272                   23776                   24059          
                  19307                   23804                   24073          
                  19012                   23455                   23681          
                  18960                   23433                   23645          
                  18908                   23382                   23605          
Dec. 94           19064                   23543                   23775          
                  19410                   24009                   24248          
                  19843                   24581                   24857          
                  19982                   24731                   25038          
                  20283                   25077                   25414          
                  21115                   26047                   26525          
                  21281                   26238                   26745          
                  21207                   26180                   26635          
                  21466                   26497                   27005          
                  21688                   26754                   27294          
                  22058                   27101                   27679          
                  22409                   27508                   28158          
Dec. 95           22779                   27893                   28592          
                  22890                   28077                   28772          
                  22428                   27589                   28136          
                  22243                   27396                   27900          
                  22051                   27242                   27696          
                  21992                   27188                   27649          
                  22267                   27552                   28030          
                  22326                   27626                   28092          
                  22286                   27579                   28016          
                  22699                   28059                   28546          
                  23151                   28682                   29248          
                  23603                   29173                   29815          
Dec. 96           23367                   28901                   29458          
                  23426                   28991                   29496          
                  23485                   29063                   29578          
                  23190                   28741                   29191          
                  23574                   29172                   29623          
                  23785                   29449                   29919          
                  24102                   29799                   30299          
                  24864                   30604                   31284          
                  24568                   30344                   30896          
                  24969                   30793                   31400          
                  25265                   31240                   31871          
                  25392                   31383                   32043          
Dec. 97           25646                   31700                   32382          
                  26090                   32106                   32820          
                  26048                   32080                   32770          
                  26132                   32189                   32878          
                  26251                   32357                   33056          
                  26519                   32664                   33423          
                  26721                   32942                   33737          
                  26788                   33011                   33747          
                  27021                   33549                   34264          
                  27795                   34334                   35281          
                  27571                   34152                   34949          
                  27772                   34347                   35285          
Dec. 98           27884                   34450                   35377          
                  28085                   34694                   35656          
                  27436                   34087                   34808          
                  27661                   34275                   34999          
                  27785                   34384                   35090          
                  27433                   34082                   34701          
                  27315                   33973                   34576          
                  27197                   33830                   34455          
                  27102                   33813                   34413          
                  27362                   34205                   34740          
                  27387                   34332                   34848          
                  27458                   34328                   34844          
Dec. 99           18240                   20986                   21291          

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                              Average Annual Total Return         Cumulative Total Return
                                                                       Since++                           
  Periods Ending December 31, 1999    1 Year   5 Year    10 Year    Apr 23, 1991   5 Year        10 Year 
                                                                                                         
Customized Benchmark+*                -2.09%    7.81%     7.85%         7.62%      45.65%         112.91%
Lehman Brothers Aggregate Bond Index  -0.83%    7.73%     7.69%         7.38%      45.11%         109.86%
Investment Quality Bond Trust         -1.79%    7.51%     6.19%         7.08%      43.65%          82.40%

+ Customized Benchmark is comprised of 50% of the return of the Lehman Brothers 
Government Bond Index and 50% of the return of the Lehman Brothers Corporate
Bond Index.                                                                 
++ Current subadviser assignment became effective April 23, 1991.               
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Investment Quality Bond Trust returned -1.79%,       
outperforming the -2.09% return of the blended 50% Lehman Brothers Government   
Bond Index/50% Lehman Brothers Corporate Bond Index.                            

ENVIRONMENT: Bonds had their worst year since 1994. Nearly every bond category  
suffered, as interest rates rose throughout 1999. Treasury securities were among
the hardest hit. The 30-year Treasury bond dropped an astounding 15%. Long-term 
Treasuries, those maturing in 10 years or more, shed over 8%. Intermediate-term 
Treasuries, those maturing in five to seven years, were down more than 2%.      
Investment grade corporate bonds were off slightly for the year, while mortgage 
backed and high yield bonds finished in positive territory. Concerned about an  
overheating economy, the Federal Reserve Board raised interest rates three      
times.                                                                          

OUTLOOK: As yields on long-term Treasury securities move above 6.5%, value in   
the bond market increases, especially relative to equities. However, with       
substantial Fed tightening ahead and powerful momentum in the economy, interest 
rates will need to move higher to slow the economy and prevent a potential      
increase in inflation. With elevated growth expectations and a fearless Fed,    
sentiment is bound to reverse course. By the end of 2000, there may be signs    
that the domestic economy is slowing. Such an environment would create a good   
selling opportunity for corporate and mortgage securities. For now, however,    
given the strength of the economy and little risk of mortgage prepayments, the  
Trust will maintain its overweighted position in corporate and mortgage         
securities while holding fewer Treasuries.                                      

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DIVERSIFIED BOND TRUST
(FORMERLY CONSERVATIVE ASSET ALLOCATION TRUST)

                                                                [Download Table]
                                                                                   
INVESTMENT OBJECTIVE &  To achieve as high a total return as is consistent with the
  POLICIES:             conservation of capital by investing primarily in fixed    
                        income securities, including up to 20% in non investment   
                        grade, fixed income securities.                            
SUBADVISER:             Capital Guardian Trust Company                             
PORTFOLIO MANAGER:      James S. Baker, James R. Mulally and John W. Ressner       
INCEPTION DATE:         August 3, 1989++                                           

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[LINE GRAPH]                                                                    

                                                        [Enlarge/Download Table]

                             90 DAY T-BILL  LEHMAN BROTHERS              SALOMON BROTHERS
           DIVERSIFIED BOND  -------------  AGGREGATE BOND   CUSTOMIZED  BROAD INVESTMENT
                 TRUST                           INDEX        BENCHMARK  GRADE BOND INDEX
           ----------------                 ---------------  ----------  ----------------
                                                                                         
Dec. 1989        10110           10337           10270          10301          10258     
                  8700           10406           10148          10087          10141     
                  9780           10469           10180          10115          10160     
                  9620           10539           10187          10133          10180     
                  9447           10606           10094          10041          10089     
                  9834           10684           10392          10449          10377     
                  9905           10755           10560          10535          10547     
                  9905           10831           10705          10614          10697     
                  9468           10903           10562          10309          10558     
                  8285           10975           10650          10184          10650     
                  9234           11041           10785          10316          10784     
                  9495           11108           11017          10553          11015     
Dec. 1990         9722           11187           11189          10730          11190     
                  9938           11254           11327          10934          11325     
                 10251           11310           11424          11223          11400     
                 10322           11378           11502          11314          11484     
                 10409           11437           11627          11402          11623     
                 10431           11492           11694          11547          11690     
                 10311           11545           11688          11412          11691     
                 10528           11600           11851          11640          11854     
                 10778           11658           12107          11833          12103     
                 10887           11714           12352          11974          12356     
                 11061           11772           12490          12107          12482     
                 11104           11829           12604          12057          12600     
Dec. 1991        11550           11882           12979          12546          12976     
                 11409           11922           12802          12453          12810     
                 11506           11958           12885          12515          12894     
                 11398           11996           12813          12387          12825     
                 11537           12044           12906          12480          12923     
                 11710           12083           13149          12665          13159     
                 11790           12122           13331          12682          13346     
                 12124           12168           13603          12909          13610     
                 12135           12201           13740          12969          13761     
                 12273           12243           13904          13076          13922     
                 12181           12232           13719          12984          13741     
                 12273           12224           13722          13097          13747     
Dec. 1992        12400           12230           13940          13253          13961     
                 12572           12266           14207          13423          14243     
                 12745           12293           14456          13579          14486     
                 12848           12327           14517          13746          14542     
                 12855           12357           14618          13792          14657     
                 12915           12387           14637          13911          14666     
                 13095           12419           14902          14048          14944     
                 13143           12452           14987          14122          15030     
                 13395           12485           15250          14402          15287     
                 13407           12519           15291          14420          15338     
                 13503           12551           15347          14527          15386     
                 13407           12583           15217          14364          15257     
Dec. 1993        13515           12622           15299          14517          15342     
                 13755           12658           15506          14779          15549     
                 13515           12680           15236          14589          15291     
                 13179           12717           14859          14256          14912     
                 13151           12750           14741          14266          14800     
                 13180           12791           14739          14300          14799     
                 13087           12843           14707          14233          14768     
                 13344           12892           14999          14480          15048     
                 13446           12938           15017          14646          15065     
                 13267           12987           14797          14473          14848     
                 13344           13042           14783          14553          14833     
                 13177           13091           14751          14410          14793     
Dec. 1994        13267           13159           14853          14522          14905     
                 13408           13225           15147          14719          15214     
                 13677           13289           15507          15027          15570     
                 13844           13357           15602          15218          15660     
                 14056           13423           15820          15448          15875     
                 14448           13493           16432          15863          16505     
                 14597           13563           16552          16029          16621     
                 14772           13628           16516          16213          16587     
                 14881           13695           16716          16332          16778     
                 15070           13756           16878          16570          16936     
                 15110           13820           17097          16642          17163     
                 15361           13882           17354          16949          17430     
Dec. 1995        15664           13961           17597          17182          17671     
                 15827           14024           17713          17354          17791     
                 15732           14080           17405          17284          17489     
                 15719           14136           17283          17297          17363     
                 15744           14197           17186          17378          17234     
                 16801           14260           17152          17459          17224     
                 15917           14322           17381          17572          17446     
                 16787           14385           17428          17400          17493     
                 16859           14452           17399          17519          17469     
                 16219           14520           17702          17902          17773     
                 16478           14585           18094          18162          18173     
                 16896           14648           18404          18613          18472     
Dec. 1996        16766           14713           18233          18494          18310     
                 16954           14780           18289          18709          18381     
                 16997           14838           18335          18765          18401     
                 16766           14900           18131          18518          18216     
                 17055           14973           18403          18846          18476     
                 17431           15053           18578          19289          18650     
                 17746           15107           18799          19652          18872     
                 18287           15187           19307          20262          19383     
                 18002           15257           19143          19971          19216     
                 18430           15327           19426          20434          19499     
                 18398           15393           19708          20389          19780     
                 18557           15459           19798          20582          19873     
Dec. 1997        18684           15525           19998          20793          20075     
                 18890           15600           20254          21021          20334     
                 19239           15658           20238          21406          20320     
                 19556           15731           20307          21715          20399     
                 19683           15802           20413          21856          20505     
                 19701           15873           20607          21863          20702     
                 19911           15941           20782          22142          20872     
                 19911           16012           20825          22104          20916     
                 19194           16085           21165          21484          21236     
                 19648           16170           21660          22012          21737     
                 19928           16233           21545          22418          21639     
                 20295           16289           21668          22841          21758     
Dec. 1998        20680           16352           21733          23235          21826     
                 20943           16414           21887          23507          21987     
                 20576           16463           21504          23121          21602     
                 20891           16534           21623          23436          21726     
                 21060           16594           21692          23766          21797     
                 20772           16657           21501          23519          21597     
                 20695           16722           21432          23794          21523     
                 20598           16787           21342          23651          21437     
                 20579           16854           21331          23630          21422     
                 20809           16920           21579          23680          21679     
                 20849           16991           21659          24094          21744     
                 20887           17064           21656          24323          21742     
Dec. 1999        20601           16581           20986          24045          21098     

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                                                       Cumulative Total Return     
                                                      Average Annual Total Return                         Since++  
              Periods Ending December 31, 1999        1 Year    5 Year    10 Year  5 Year    10 Year    May 1, 1999
                                                                                                                   
90 Day T-Bill*                                         4.82%     5.43%     5.19%   30.26%     65.81%       3.30%   
Lehman Brothers Aggregate Bond Index                  -0.83%     7.73%     7.69%   45.11%    109.86%      -0.64%   
Customized Benchmark+                                  6.60%    11.27%     9.17%   70.57%    140.45%       4.21%   
Salomon Brothers Broad Investment Grade Bond Index**  -0.83%     7.74%     7.75%   45.20%    110.98%      -0.70%   
Diversified Bond Trust                                 0.72%     9.44%     7.50%   56.99%    106.01%      -1.01%   

+ Customized Benchmark is comprised of 20% of the return of the Wilshire 5000 
 Index, 5% of the MSCI EAFE Index, 50% of the Lehman Brothers Aggregate Bond
Index, 25% of the 90 Day T-Bill.                                          
** The Salomon Brothers Broad Investment Grade Bond Index was added to more     
accurately reflect the investment objective of the Diversified Bond Trust.
++ Current subadviser assignment became effective May 1, 1999.                
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Diversified Bond Trust returned 0.72%, outperforming 
the -0.83% return of the Salomon Brothers Broad Investment Grade Bond Index.    
Capital Guardian Trust Company (CGTC) assumed management of the Trust, formerly 
managed Fidelity Management Trust Company, on May 1, 1999. As a result,         
performance for 1999 is attributable to both asset management firms. Under      
CGTC's management, the Diversified Bond Trust returned -1.01% since May 1, 1999,
underperforming the -0.70% return of the Salomon Brothers Broad Investment Grade
Bond Index for the same period.                                                 

ENVIRONMENT: The U.S. economy continued to show signs of strength in the fourth 
quarter. Economic growth for the third quarter of 1999 was revised upward to an 
annualized rate of 5.7%, and yields rose across the yield curve. Higher         
commodity prices in 1999 also boosted interest rates higher. By the end of the  
year, investors had pushed up the rate on the 30-year Treasury bond to 6.48%.   
The 6.48% yield is the highest it has been in over two years. While interest    
rates reacted to a continuation of strong growth in the United States, there    
were few signs of incipient inflation.                                          

OUTLOOK: How high will rates need to rise in order to slow what the Federal     
Reserve Board believes is, or will soon be, excessive growth? That is the big   
questions facing investors. Some market participants wonder if the "new economy"
can be slowed by higher interest rates, as the technology-related segment of the
economy has so far been resistant to higher rates. Interest rates have already  
risen substantially, and there is a small chance that synchronized global growth
will force rates much higher. However, the worst may be behind us, and rates may
peak in 2000. When that occurs, the Trust will lengthen its duration. The Trust 
will continue to underweight Treasury securities and overweight other sectors of
the market.                                                                     

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U.S. GOVERNMENT SECURITIES TRUST

                                                                [Download Table]
                                                                                 
INVESTMENT OBJECTIVE  To provide a high level of current income consistent with  
  & POLICIES:         the preservation of capital and maintenance of liquidity by
                      investing primarily in debt obligations and mortgage backed
                      securities issued or guaranteed by the U.S. Government, its
                      agencies, or instrumentalities, and derivative securities  
                      such as collateralized mortgage obligations backed by such 
                      securities.                                                
SUBADVISER:           Salomon Brothers Asset Management Inc.                     
PORTFOLIO MANAGER:    Roger Lavan                                                
INCEPTION DATE:       March 18, 1988++                                           

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX 
[LINE GRAPH]                                                                    

                                                                [Download Table]

                                             SALOMON BROTHERS 1-10 YEAR
           U.S. GOVERNMENT SECURITIES TRUST        TREASURY INDEX      
           --------------------------------  --------------------------
                                                                       
Dec. 1989              10947.00                       11654.00         
                       10847.00                       11594.00         
                       10887.00                       11640.00         
                       10907.00                       11663.00         
                       10847.00                       11631.00         
                       11098.00                       11876.00         
                       11239.00                       12043.00         
                       11409.00                       12228.00         
                       11369.00                       12177.00         
                       11460.00                       12301.00         
                       11570.00                       12458.00         
                       11741.00                       12659.00         
Dec. 1990              11892.00                       12836.00         
                       12023.00                       12972.00         
                       12073.00                       13059.00         
                       12123.00                       13144.00         
                       12228.00                       13294.00         
                       12302.00                       13375.00         
                       12302.00                       13398.00         
                       12460.00                       13550.00         
                       12724.00                       13810.00         
                       12925.00                       14057.00         
                       13072.00                       14195.00         
                       13231.00                       14367.00         
Dec. 1991              13558.00                       14682.00         
                       13336.00                       14570.00         
                       13389.00                       14611.00         
                       13283.00                       14561.00         
                       13437.00                       14700.00         
                       13647.00                       14916.00         
                       13879.00                       15130.00         
                       14166.00                       15402.00         
                       14320.00                       15558.00         
                       14519.00                       15760.00         
                       14298.00                       15568.00         
                       14221.00                       15511.00         
Dec. 1992              14397.00                       15696.00         
                       14640.00                       15991.00         
                       14850.00                       16216.00         
                       14916.00                       16283.00         
                       15015.00                       16415.00         
                       14969.00                       16377.00         
                       15210.00                       16604.00         
                       15233.00                       16642.00         
                       15429.00                       16879.00         
                       15486.00                       16959.00         
                       15509.00                       16988.00         
                       15429.00                       16917.00         
Dec. 1993              15498.00                       16991.00         
                       15647.00                       17157.00         
                       15440.00                       16955.00         
                       15256.00                       16690.00         
                       15232.00                       16579.00         
                       15256.00                       16591.00         
                       15219.00                       16599.00         
                       15389.00                       16827.00         
                       15462.00                       16873.00         
                       15280.00                       16735.00         
                       15244.00                       16725.00         
                       15207.00                       16671.00         
Dec. 1994              15304.00                       16729.00         
                       15571.00                       17016.00         
                       15898.00                       17358.00         
                       15994.00                       17456.00         
                       16172.00                       17662.00         
                       16755.00                       18173.00         
                       16859.00                       18271.00         
                       16820.00                       18298.00         
                       16975.00                       18467.00         
                       17092.00                       18586.00         
                       17286.00                       18777.00         
                       17493.00                       19009.00         
Dec. 1995              17688.00                       19172.00         
                       17804.00                       19330.00         
                       17519.00                       19159.00         
                       17416.00                       19079.00         
                       17352.00                       18990.00         
                       17283.00                       18982.00         
                       17475.00                       19197.00         
                       17530.00                       19260.00         
                       17544.00                       19270.00         
                       17818.00                       19547.00         
                       18148.00                       19899.00         
                       18422.00                       20131.00         
Dec. 1996              18285.00                       20038.00         
                       18381.00                       20147.00         
                       18450.00                       20182.00         
                       18313.00                       20102.00         
                       18557.00                       20325.00         
                       18689.00                       20487.00         
                       18865.00                       20673.00         
                       19232.00                       21048.00         
                       19144.00                       20974.00         
                       19379.00                       21204.00         
                       19600.00                       21424.00         
                       19644.00                       21463.00         
Dec. 1997              19835.00                       21660.00         
                       20070.00                       21934.00         
                       20085.00                       21917.00         
                       20143.00                       22036.00         
                       20256.00                       22121.00         
                       20395.00                       22293.00         
                       20503.00                       22428.00         
                       20580.00                       22518.00         
                       20858.00                       22821.00         
                       21274.00                       23252.00         
                       21166.00                       23279.00         
                       21197.00                       23285.00         
Dec. 1998              21321.00                       23381.00         
                       21413.00                       23489.00         
                       21181.00                       23148.00         
                       21321.00                       23303.00         
                       21385.00                       23368.00         
                       21208.00                       23219.00         
                       21159.00                       23261.00         
                       21015.00                       23284.00         
                       21015.00                       23328.00         
                       21320.00                       23512.00         
                       21401.00                       23543.00         
                       21369.00                       23557.00         
Dec. 1999              19432.00                       19874.00         

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                    Average Annual Total Return          Cumulative Total Return
                                                                             Since++                            
     Periods Ending December 31, 1999       1 Year   5 Year    10 Year    Dec. 13, 1991   5 Year        10 Year 
                                                                                                                
Salomon Brothers 1-10 Year Treasury Index*   0.51%    6.95%     7.11%         6.24%       39.91%        98.74%  
U.S. Government Securities Trust            -0.23%    6.81%     6.87%         5.93%       38.99%        94.32%  

++ Current subadviser assignment became effective December 13, 1991.            
* All since inception returns for the indices begin on the month-end closest to 
the actual inception date of the Trust.                                     

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the U.S. Government Securities Trust returned -0.23%,    
underperforming the 0.51% return of the Salomon Brothers 1-10 Year Treasury     
Index.                                                                          

ENVIRONMENT: Entering 1999, the global economy appeared to be very weak with    
recessions in the greater part of Asia and Latin America. Brazil's currency     
devaluation in early January, however, marked the end to many global growth     
problems and improved growth in Europe. This global recovery led to inflationary
concerns in the United States, as the government issued $30 billion in new      
Treasury offerings. The Government's Treasury issuance resulted in low prices   
and a poor auction. Because of a strong equity market, inflation fears and three
Federal Reserve Board interest rate hikes, the fixed income market did not      
improve. Y2K concerns led to a decline in fixed income issuance and poor        
liquidity. Lack of bond issuance and liquidity were a further drag on the fixed 
income sector.                                                                  

OUTLOOK: The challenge remains for Federal Reserve policymakers to slow the     
economy to a more sustainable pace. Because the continued tight labor market    
could result in higher inflation, a case can be made for another 50 basis points
of Federal Reserve Board tightening during the first part of 2000. Such a       
tightening will likely do more to flatten the yield curve than move the overall 
bond market to higher levels. If the Fed is successful in offsetting rising     
inflation, then long-term interest rates should start to decline before year-end
2000 and into 2001.                                                             

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LIFESTYLE AGGRESSIVE 1000 TRUST 

                                                                [Download Table]
                                                                                   
INVESTMENT OBJECTIVE &  To achieve long-term growth of capital by investing 100% of
  POLICIES:             the portfolio's assets in other portfolios of the Trust    
                        ("underlying portfolios") that invest primarily in equity  
                        securities. Current income is not a consideration.         
SUBADVISER:             Manufacturers Adviser Corporation                          
PORTFOLIO MANAGERS:     Management Team                                            
INCEPTION DATE:         January 7, 1997                                            

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[LIFESTYLE AGGRESSIVE 1000 TRUST PERFORMANCE GRAPH]                             

                                                        [Enlarge/Download Table]

                LIFESTYLE AGGRESSIVE 1000                      LIFESTYLE AGGRESSIVE BLENDED
                          TRUST            RUSSELL 2000 INDEX             INDEX            
                -------------------------  ------------------  --------------------------- 
                                                                                           
December 1996           10000.00                10000.00                                   
                        10112.00                10200.00                 10200.00          
                         9920.00                 9952.00                  9952.00          
March 1997               9568.00                 9483.00                  9842.00          
                         9637.00                 9509.00                  9509.00          
                        10302.00                10567.00                 10566.00          
June 1997               10738.00                11020.00                 11020.00          
                        11321.00                11533.00                 11532.00          
                        10886.00                11797.00                 11796.00          
September 1997          11543.00                12660.00                 12660.00          
                        10968.00                12104.00                 12104.00          
                        10960.00                12026.00                 12025.00          
December 1997           11089.00                12236.00                 12236.00          
                        10990.00                12043.00                 12042.00          
                        11690.00                12933.00                 12932.00          
March 1998              12209.00                13465.00                 13465.00          
                        12286.00                13540.00                 13539.00          
                        11852.00                12810.00                 12809.00          
June 1998               12034.00                12837.00                 12836.00          
                        11402.00                11798.00                 11798.00          
                         9522.00                 9507.00                  9507.00          
September 1998           9894.00                12051.00                 10251.00          
                        10345.00                10670.00                 10669.00          
                        10925.00                11229.00                 11228.00          
December 1998           11628.00                11924.00                 11923.00          
                        11733.00                12083.00                 12082.00          
                        11029.00                11104.00                 11103.00          
March 1999              11385.00                11277.00                 11277.00          
                        11625.00                12288.00                 12287.00          
                        11371.00                12467.00                 12025.00          
June 1999               11944.00                13030.00                 12575.00          
                        11835.00                12673.00                 12445.00          
                        11635.00                12205.00                 12288.00          
September 1999          11480.00                12207.00                 12191.00          
                        11880.00                12256.00                 12688.00          
                        12298.00                12987.00                 13168.00          
December 1999           13326.00                14459.00                 14273.00          

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                Average Annual Total Return  Cumulative Total Return
                                                                   Since              Since         
              Periods Ending December 31, 1999  1 Year           Inception          Inception       
                                                                                                    
Russell 2000 Index*                             21.26%            13.08%             44.59%         
Lifestyle Aggressive Blended Index+**           19.70%            12.59%             42.73%         
Lifestyle Aggressive 1000 Trust                 14.61%            10.11%             33.26%         

+ The Lifestyle Aggressive Blended Index is a blend of returns of the previous
benchmark, the Russell 2000 Index since inception and the new blended     
  benchmark (41% Russell 1000 Index, 27% Russell 2000 Index, and 32% MSCI EAFE
Index) since May 1, 1999.                                                 
** The Lifestyle Aggressive Blended Index was added to more accurately reflect  
the investment objective of the Lifestyle Aggressive 1000 Trust.          
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Lifestyle Aggressive 1000 Trust returned 14.61%,     
underperforming the 19.70% return of the Blended Index. Because the Trust's     
policy weights and manager allocations were changed on May 1, 1999, the Trust's 
1999 performance is comprised of two different portfolio weightings.            

ENVIRONMENT: The tame and steady returns generated by the broad diversification 
of the Lifestyle Aggressive 1000 Trust were not indicative of the many twists   
and turns in the domestic and international equity markets during 1999. During  
the first quarter, large cap growth stocks dominated the market. Both small cap 
and value stocks underperformed. Japan and the emerging markets rebounded. In   
the second quarter, value stocks recovered from their lows. The emerging markets
continued to advance. Performance in European markets lagged that of other      
overseas markets. By mid year, investors began to favor a variety of investment 
styles, and all investment styles reached double-digit levels. The market gave  
up these gains, however, in the third quarter, as the Federal Reserve Board     
raised interest rates. International stocks were the exception, producing solid 
third-quarter gains. Growth stocks rallied in the fourth quarter, with small and
mid cap stocks making the strongest advances. Technology stocks were leaders.   
Therefore, value investors were left behind. International stocks fared well.   
Emerging market stocks took the lead, and European stocks kept pace with Asian  
stocks. For 1999, mid cap growth stocks produced the highest returns. The       
Russell Mid Cap Growth Index rose 51.29%. Small cap stocks outperformed larger  
stocks. The Russell 2000 Index, a measure of small cap stock performance,       
returned 21.26%. In comparison, the large cap S&P 500 Index returned 21.04%.    
Within the small cap arena, however, value stocks declined 1.49%. In the        
international area, the MSCI EAFE Index, which measures the performance of      
overseas stocks, rose 27.30%. In May 1999, the portfolios were redesigned using 
new asset allocation methods and a new State Street Global Advisors-developed   
manager allocation strategy. These changes led to good performance in the second
half of the year. Going forward, these new allocations should provide more      
robust performance and should rely less on the performance of a particular asset
class.                                                                          

OUTLOOK: In 2000, U.S. economic growth should be good. While strong economic    
growth could lead to near-term interest rate hikes, it could also have a        
positive effect on corporate earnings. In some sectors, the U.S. stock market is
challenged by high valuations, however, fundamentals appear to be good. Overseas
markets are more attractively valued and should benefit from a synchronized     
global economic recovery. Unless there is an unexpected market shock, it is     
reasonable to believe that returns should approach historical norms.            

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LIFESTYLE GROWTH 820 TRUST

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To achieve long-term growth of capital by investing         
  POLICIES:             approximately 20% of the portfolio's assets in underlying   
                        portfolios that invest primarily in fixed income securities 
                        and approximately 80% of its assets in underlying portfolios
                        that invest primarily in equity securities. Current income  
                        is also a consideration.                                    
SUBADVISER:             Manufacturers Adviser Corporation                           
PORTFOLIO MANAGERS:     Management Team                                             
INCEPTION DATE:         January 7, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[LIFESTYLE GROWTH 820 TRUST PERFORMANCE GRAPH]                                  

                                                        [Enlarge/Download Table]

                                  S&P 500 INDEX  LEHMAN BROTHERS                             
                LIFESTYLE GROWTH  -------------  GOV'T/CORP BOND   CUSTOM    LIFESTYLE GROWTH
                    820 TRUST                         INDEX       BENCHMARK    BLENDED INDEX 
                ----------------                 ---------------  ---------  ----------------
                                                                                             
December 1996       10000.00        10000.00        10000.00      10000.00                   
                    10144.00        10621.00        10012.00      10226.00       10230.00    
                    10104.00        10707.00        10033.00      10180.00       10184.00    
March 1997           9824.00        10262.00         9914.00       9846.00        9857.00    
                     9967.00        10874.00        10058.00      10044.00       10051.00    
                    10517.00        11542.00        10152.00      10717.00       10724.00    
June 1997           10894.00        12057.00        10274.00      11105.00       11108.00    
                    11420.00        13014.00        10588.00      11683.00       11670.00    
                    11132.00        12290.00        10470.00      11550.00       11547.00    
September 1997      11641.00        12964.00        10634.00      12150.00       12138.00    
                    11173.00        12531.00        10804.00      11737.00       11717.00    
                    11247.00        13111.00        10861.00      11865.00       11839.00    
December 1997       11384.00        13336.00        10975.00      12057.00       12027.00    
                    11367.00        13484.00        11130.00      12066.00       12034.00    
                    11971.00        14457.00        11107.00      12753.00       12722.00    
March 1998          12401.00        15197.00        11142.00      13210.00       13177.00    
                    12467.00        15350.00        11198.00      13285.00       13252.00    
                    12188.00        15086.00        11317.00      12937.00       12898.00    
June 1998           12293.00        15699.00        11433.00      13073.00       13026.00    
                    11901.00        15532.00        11442.00      12610.00       12570.00    
                    10302.00        13286.00        11665.00      10928.00       10886.00    
September 1998      10615.00        14137.00        11999.00      11480.00       11429.00    
                    11102.00        15287.00        11914.00      12085.00       12041.00    
                    11641.00        16214.00        11985.00      12608.00       12552.00    
December 1998       12090.00        17148.00        12014.00      13208.00       13152.00    
                    12134.00        17865.00        12099.00      13304.00       13244.00    
                    11677.00        17309.00        11811.00      12706.00       12667.00    
March 1999          12010.00        18002.00        11870.00      13004.00       12969.00    
                    12456.00        18698.00        11900.00      13755.00       13719.00    
                    12281.00        18257.00        11777.00      13712.00       13460.00    
June 1999           12777.00        19270.00        11741.00      14259.00       13964.00    
                    12668.00        18669.00        11708.00      14071.00       13805.00    
                    12512.00        18576.00        11699.00      13830.00       13677.00    
September 1999      12392.00        18067.00        11804.00      13686.00       13574.00    
                    12751.00        19210.00        11835.00      14081.00       14082.00    
                    12165.00        19600.00        11828.00      14602.00       14483.00    
December 1999       14093.00        20757.00        11756.00      15691.00       15393.00    

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                 Average Annual Total Return  Cumulative Total Return
                                                                    Since              Since         
              Periods Ending December 31, 1999   1 Year           Inception          Inception       
                                                                                                     
S&P 500 Index*                                   21.04%             27.56%            107.57%        
Lehman Brothers Government/Corporate Bond Index  -2.15%              5.54%             17.56%        
Custom Benchmark+                                18.81%             16.20%             56.91%        
Lifestyle Growth Blended Index++**               17.04%             15.46%             53.93%        
Lifestyle Growth 820 Trust                       16.56%             12.20%             40.93%        

 + Custom Benchmark is comprised of 20% of the return of the Russell 1000 Index,
  50% of the Russell 2500 Index, 10% of the MSCI EAFE Index, 15% of the Lehman
Brothers Government/Corporate Bond Index, 5% of the US 30-day T-Bill.     
++ The Lifestyle Growth Blended Index is a blend of returns of the previous     
benchmark (20% Russell 1000 Index, 50% Russell 2500 Index, 10% MSCI EAFE  
Index, 15% Lehman Brothers Government/Corporate Bond Index, 5% U.S. 30-day
T-Bill) since inception and the new blended benchmark (42% Russell 1000   
Index, 17% Russell 2000 Index, 21% MSCI EAFE Index, 20% Lehman Brothers IT
Goverment/Corporate Bond Index) since May 1, 1999.                        
** The Lifestyle Growth Blended Index was added to more accurately reflect the  
investment objective of the Lifestyle Growth 820 Trust.                   
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Lifestyle Growth 820 Trust returned 16.56%,          
underperforming the 17.04% return of the Blended Index. Because the Trust's     
policy weights and manager allocations were changed on May 1, 1999, the Trust's 
1999 performance is comprised of two different portfolio weightings.            

ENVIRONMENT: The steady returns of the Lifestyle Growth 820 Trust belied the    
many twists and turns in the domestic and international equity markets during   
1999. During the first quarter, large cap growth stocks dominated the market.   
Both small cap and value stocks underperformed. Japan and the emerging markets  
rebounded. In the second quarter, value stocks recovered. The emerging markets  
continued to advance. The performance of European markets lagged that of other  
overseas markets. By mid year, investors favored a variety of investment styles,
and all investment styles reached double-digit levels. The market gave up these 
gains, however, in the third quarter, as the Federal Reserve Board raised       
interest rates. International stocks were the exception, producing solid        
third-quarter gains. Growth stocks rallied in the fourth quarter, with small and
mid cap stocks making the strongest advances. Technology stocks were leaders.   
Value investors were left behind once again. Overseas, emerging market stocks   
took the lead, and European stocks kept pace with Asian stocks. For 1999, the   
Russell Mid Cap Growth Index rose 51.29%. Small cap stocks outperformed large   
cap stocks. The Russell 2000 Index returned 21.26%. In comparison, the large cap
S&P 500 Index returned 21.04%. Within the small cap arena, value stocks declined
1.49%. In the international area, the MSCI EAFE Index rose 27.30%. Because of   
the Fed's interest rate hikes, the fixed income markets were challenged. High   
yield bonds produced small gains. The rest of the fixed income market was either
flat or declined. In May 1999, the portfolios were redesigned using new asset   
allocation methods and a new State Street Global Advisors-developed manager     
allocation strategy. These changes led to good performance in the second half of
the year. Going forward, these new allocations should provide more robust       
performance and should rely less on the performance of a particular asset class.

OUTLOOK: In 2000, U.S. economic growth should to be good. While strong economic 
growth could lead to interest rate hikes, it could also have a positive effect  
on corporate earnings. In some sectors, the U.S. stock market is challenged by  
high valuations, however, fundamentals appear to be good. Overseas markets are  
more attractively valued and should benefit from a synchronized global economic 
recovery. Unless there is an unexpected market shock, it is reasonable to       
believe that returns in 2000 should approach historical norms.                  

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LIFESTYLE BALANCED 640 TRUST

                                                                [Download Table]
                                                                                   
INVESTMENT OBJECTIVE &  To provide a balance between a high level of current income
  POLICIES:             and growth of capital with a greater emphasis on growth of 
                        capital by investing approximately 40% of the portfolio's  
                        assets in underlying portfolios that invest primarily in   
                        fixed income securities and approximately 60% of its assets
                        in underlying portfolios that invest primarily in equity   
                        securities.                                                
SUBADVISER:             Manufacturers Adviser Corporation                          
PORTFOLIO MANAGERS:     Management Team                                            
INCEPTION DATE:         January 7, 1997                                            

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[LIFESTYLE BALANCED 640 TRUST PERFORMANCE GRAPH]                                

                                                                [Download Table]

                                    S&P 500 INDEX    LEHMAN BROTHERS              
                LIFESTYLE BALANCED  -------------  GOVERNMENT/CORPORATE   CUSTOM  
                    640 TRUST                           BOND INDEX       BENCHMARK
                ------------------                 --------------------  ---------
                                                                                  
December 1996         10000             10000             10000            10000  
                      10147             10621             10012            10222  
                      10151             10707             10033            10206  
March 1997             9907             10262              9914             9922  
                      10099             10874             10058            10144  
                      10528             11542             10152            10653  
June 1997             10842             12057             10274            10967  
                      11330             13014             10588            11499  
                      11127             12290             10470            11334  
September 1997        11541             12964             10634            11802  
                      11176             12531             10804            11564  
                      11261             13111             10861            11722  
December 1997         11411             13336             10975            11896  
                      11397             13484             11130            11946  
                      11887             14457             11107            12455  
March 1998            12235             15197             11142            12811  
                      12282             15350             11198            12888  
                      12069             15086             11317            12681  
June 1998             12149             15699             11433            12853  
                      11803             15532             11442            12563  
                      10526             13286             11665            11384  
September 1998        10890             14137             11999            11904  
                      11271             15287             11914            12375  
                      11723             16214             11985            12808  
December 1998         12064             17148             12014            13285  
                      12100             17865             12099            13428  
                      11725             17309             11811            12950  
March 1999            12002             18002             11870            13209  
                      12422             18698             11900            13744  
                      12224             18257             11777            13661  
June 1999             12545             19270             11741            14068  
                      12403             18669             11708            13892  
                      12337             18576             11699            13733  
September 1999        12262             18067             11804            13628  
                      12610             19210             11835            13987  
                      12939             19600             11828            14341  
December 1999         13562             20757             11756            15068  



                LIFESTYLE BALANCED                                                
                  BLENDED INDEX                                                   
                ------------------                                                
                                                                                  
December 1996         10000                                                       
                      10230                                                       
                      10213                                                       
March 1997             9944                                                       
                      10159                                                       
                      10666                                                       
June 1997             10970                                                       
                      11468                                                       
                      11326                                                       
September 1997        11780                                                       
                      11524                                                       
                      11670                                                       
December 1997         11835                                                       
                      11881                                                       
                      12392                                                       
March 1998            12748                                                       
                      12824                                                       
                      12606                                                       
June 1998             12761                                                       
                      12486                                                       
                      11299                                                       
September 1998        11803                                                       
                      12292                                                       
                      12700                                                       
December 1998         13179                                                       
                      13315                                                       
                      12877                                                       
March 1999            13144                                                       
                      13678                                                       
                      13455                                                       
June 1999             13841                                                       
                      13715                                                       
                      13634                                                       
September 1999        13572                                                       
                      13988                                                       
                      14281                                                       
December 1999         14922                                                       

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                 Average Annual Total Return  Cumulative Total Return
                                                                    Since              Since         
              Periods Ending December 31, 1999   1 Year           Inception          Inception       
                                                                                                     
S&P 500 Index*                                   21.04%             27.56%            107.57%        
Lehman Brothers Government/Corporate Bond Index  -2.15%              5.54%             17.56%        
Custom Benchmark+                                13.42%             14.65%             50.68%        
Lifestyle Balanced Blended Index++**             13.23%             14.27%             49.22%        
Lifestyle Balanced 640 Trust                     12.42%             10.76%             35.62%        

 + Custom Benchmark is comprised of 25% of the return of the Russell 1000 Index,
 30% of the Russell 2500 Index, 5% of the MSCI EAFE Index, 30% of the Lehman
Brothers Government/Corporate Bond Index, 10% of the US 30-day T-Bill.    
++ The Lifestyle Balanced Blended Index is a blend of returns of the previous   
benchmark (25% Russell 1000 Index, 30% Russell 2500 Index, 5% MSCI EAFE   
 Index, 30% Lehman Brothers Government/Corporate Bond Index, 10% U.S. 30-day
T-Bill) since inception and the new blended benchmark (35% Russell 1000   
Index, 10% Russell 2000 Index, 15% MSCI EAFE Index, 35% Lehman Brothers IT
 Government/Corporate Bond Index, and 5% of the 3-month Treasury Bill) since
May 1, 1999.                                                              
** The Lifestyle Balanced Blended Index was added to more accurately reflect the
investment objective of the Lifestyle Balanced 640 Trust.                 
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Lifestyle Balanced 640 Trust returned 12.42%,        
underperforming the 13.23% return of the Blended Index. Because the Trust's     
policy weights and manager allocations were changed on May 1, 1999, the Trust's 
1999 performance is comprised of two different portfolio weightings.            

ENVIRONMENT: Nineteen ninety-nine was a good year for most equity investors but 
disappointing for fixed income investors. The Lifestyle Balanced 640 Trust's 60%
allocation to equity and broad diversification produced strong returns this     
year. Six of the nine domestic equity styles produced returns near or above the 
20% mark. The large cap S&P 500 Index, rose 21.04%. However, value stocks lagged
significantly across all market capitalizations producing low single digit or   
negative returns. A brief rally in value stocks in the second quarter was short-
lived and growth stocks took the lead in the second half. The Russell 2000      
Index, which measures small cap performance, rose 21.26%, For the second        
consecutive year, real estate stocks were poor performers. The NAREIT Index, a  
measure of real estate stock performance, declined 6.48%. The MSCI EAFE Index,  
which measures foreign stock performance, rose over 27%. The emerging markets   
also produced excellent returns, with the IFCI Emerging Composite Index gaining 
over 67%. Because the Federal Reserve Board raised interest rates, the fixed    
income markets were challenged. As a result, the Lehman Brothers Aggregate Bond 
Index declined 0.83%. High yield bonds performed better than high quality bonds,
and the Salomon Brothers High Yield Index rose 1.73%, Emerging market bonds rose
over 21%. In May 1999, the portfolios were redesigned using new asset allocation
methods and a new State Street Global Advisors-developed manager allocation     
strategy. These changes led to good performance in the second half of the year. 
Going forward, these new allocations should provide more robust performance and 
should rely less on the performance of a particular asset class.                

OUTLOOK: In 2000, U.S. economic growth should be good. While strong economic    
growth could lead to interest rate hikes, it could also have a positive effect  
on corporate earnings. In some sectors, the U.S. stock market is challenged by  
high valuations, however, fundamentals appear to be good. Overseas markets are  
more attractively valued and should benefit from a synchronized global economic 
recovery. Unless there is an unexpected market shock, it is reasonable to       
believe that returns in 2000 should approach historical norms.                  

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LIFESTYLE MODERATE 460 TRUST

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To provide a balance between a high level of current income 
  POLICIES:             and growth of capital with a greater emphasis on income by  
                        investing approximately 60% of the Trust's assets in        
                        underlying portfolios that invest primarily in fixed income 
                        securities and approximately 40% of its assets in underlying
                        portfolios that invest primarily in equity securities.      
SUBADVISER:             Manufacturers Adviser Corporation                           
PORTFOLIO MANAGERS:     Management Team                                             
INCEPTION DATE:         January 7, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 

                                                                [Download Table]

                                    S&P 500 INDEX    LEHMAN BROTHERS               
                LIFESTYLE MODERATE  -------------  GOVERNMENT/CORPORATE  CUSTOMIZED
                    460 TRUST                           BOND INDEX        BENCHMARK
                ------------------                 --------------------  ----------
                                                                                   
December 1996        10000.00         10000.00           10000.00         10000.00 
                     10134.00         10621.00           10012.00         10174.00 
                     10206.00         10707.00           10033.00         10194.00 
March 1997           10046.00         10262.00            9914.00         10004.00 
                     10253.00         10874.00           10058.00         10217.00 
                     10548.00         11542.00           10152.00         10554.00 
June 1997            10785.00         12057.00           10274.00         10789.00 
                     11182.00         13014.00           10588.00         11209.00 
                     10998.00         12290.00           10470.00         11018.00 
September 1997       11285.00         12964.00           10634.00         11346.00 
                     11082.00         12531.00           10804.00         11235.00 
                     11232.00         13111.00           10861.00         11387.00 
December 1997        11370.00         13336.00           10975.00         11527.00 
                     11463.00         13484.00           11130.00         11626.00 
                     11819.00         14457.00           11107.00         11959.00 
March 1998           12066.00         15197.00           11142.00         12205.00 
                     12123.00         15350.00           11198.00         12281.00 
                     12066.00         15086.00           11317.00         12214.00 
June 1998            12142.00         15699.00           11433.00         12389.00 
                     12076.00         15532.00           11442.00         12289.00 
                     11246.00         13286.00           11665.00         11619.00 
September 1998       11517.00         14137.00           11999.00         12010.00 
                     11913.00         15287.00           11914.00         12356.00 
                     12264.00         16214.00           11985.00         12676.00 
December 1998        12480.00         17148.00           12014.00         13001.00 
                     12502.00         17865.00           12099.00         13157.00 
                     12327.00         17309.00           11811.00         12853.00 
March 1999           12574.00         18002.00           11870.00         13066.00 
                     12999.00         18698.00           11900.00         13370.00 
                     12877.00         18257.00           11777.00         13247.00 
June 1999            13029.00         19270.00           11741.00         13509.00 
                     12925.00         18669.00           11708.00         13399.00 
                     12820.00         18576.00           11699.00         13338.00 
September 1999       12801.00         18067.00           11804.00         13288.00 
                     12943.00         19210.00           11835.00         13591.00 
                     13114.00         19600.00           11828.00         13789.00 
December 1999        13466.00         20757.00           11756.00         14192.00 



                LIFESTYLE MODERATE                                                 
                  BLENDED INDEX                                                    
                ------------------                                                 
                                                                                   
December 1996        10000.00                                                      
                     10183.00                                                      
                     10202.00                                                      
March 1997           10030.00                                                      
                     10234.00                                                      
                     10567.00                                                      
June 1997            10792.00                                                      
                     11173.00                                                      
                     11008.00                                                      
September 1997       11318.00                                                      
                     11188.00                                                      
                     11328.00                                                      
December 1997        11457.00                                                      
                     11552.00                                                      
                     11887.00                                                      
March 1998           12133.00                                                      
                     12208.00                                                      
                     12127.00                                                      
June 1998            12284.00                                                      
                     12197.00                                                      
                     11517.00                                                      
September 1998       11888.00                                                      
                     12256.00                                                      
                     12546.00                                                      
December 1998        12876.00                                                      
                     13023.00                                                      
                     12764.00                                                      
March 1999           12987.00                                                      
                     13292.00                                                      
                     13130.00                                                      
June 1999            13386.00                                                      
                     13306.00                                                      
                     13255.00                                                      
September 1999       13255.00                                                      
                     13529.00                                                      
                     13731.00                                                      
December 1999        14145.00                                                      

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                 Average Annual Total Return  Cumulative Total Return
                                                                    Since              Since         
       Periods Ending December 31, 1999          1 Year           Inception          Inception       
                                                                                                     
S&P 500 Index*                                   21.04%             27.56%            107.57%        
Lehman Brothers Government/Corporate Bond Index  -2.15%              5.54%             17.56%        
Customized Benchmark+                             9.17%             12.38%             41.92%        
Lifestyle Moderate Blended Index++**              9.85%             12.25%             41.45%        
Lifestyle Moderate 460 Trust                      7.89%             10.50%             34.66%        

+ Customized Benchmark is comprised of 25% of the return of the Russell 1000  
 Index, 10% of the Russell 2500 Index, 5% of the MSCI EAFE Index, 35% of the
Lehman Brothers Government/Corporate Bond Index, 25% of the U.S. 30-day   
T-Bill.                                                                   
++ The Lifestyle Moderate Blended Index is a blend of returns of the previous   
benchmark (25% Russell 1000 Index, 10% Russell 2500 Index, 5% MSCI EAFE   
 Index, 35% Lehman Brothers Government/Corporate Bond Index, 25% U.S. 30-day
T-Bill) since inception and the new blended benchmark (22% Russell 1000   
Index, 8% Russell 2000 Index, 10% MSCI EAFE Index, 50% Lehman Brothers IT 
  Government/Corporate Bond Index, and 10% of the 3-month Treasury Bill) since
May 1, 1999.                                                              
** The Lifestyle Moderate Blended Index was added to more accurately reflect the
Investment objective of the Lifestyle Moderate 460 Trust.                 
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

  PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Lifestyle Moderate 460 Trust returned 7.89%,         
underperforming the 9.85% return of the Blended Index. Because the Trust's      
policy weights and manager allocations were changed on May 1, 1999, the Trust's 
1999 performance is comprised of two different portfolio weightings.            

ENVIRONMENT: Nineteen ninety-nine was a disappointing year for fixed income     
investors. With 60% of the Lifestyle Moderate 460 Trust's assets in fixed       
income, the trust's strong positive returns were welcome. It was a good year for
most equity investors. The Trust's 40% allocation to equity, including a 12%    
allocation to international stocks, provided a strong performance boost. The    
Federal Reserve Board interest rate hikes were negative for the bond markets.   
The Lehman Brothers Aggregate Bond Index declined 0.83%. Longer-term bonds fell 
hardest with the Lehman Brothers Long-Term Government/Corporate Index declining 
7.64%. Short-term bonds were less effected with the Salomon Brothers 3-month    
Treasury Bill Index gaining 4.74%. High yield bonds performed better than higher
quality corporate bonds of similar duration, and the Salomon Brothers High Yield
Index rose 1.73%. Emerging market bonds rose over 21%. In the equity markets,   
six of the nine domestic equity styles produced returns near or above the 20%   
mark. The S&P 500 Index rose 21.04% while the Russell 2000 Index, which measures
small cap performance, rose 21.26%. Value stocks were laggards across all market
capitalizations. For the second consecutive year, real estate stocks were poor  
performers. The NAREIT Index, a measure of real estate stock performance,       
declined 6.48%. The MSCI EAFE Index, a measure of international stock           
performance rose over 27%. In May 1999, the portfolios were redesigned using new
asset allocation methods and a new State Street Global Advisors-developed       
manager allocation strategy. These changes led to good performance in the second
half of the year. Going forward, these new allocations should provide more      
robust performance and should rely less on the performance of a particular asset
class.                                                                          

OUTLOOK: In 2000, U.S. economic growth should be good. While strong economic    
growth could lead to interest rate hikes, it could also have a positive effect  
on corporate earnings. In some sectors, the U.S. stock market is challenged by  
high valuations, however, fundamentals appear to be good. Overseas markets are  
more attractively valued and should benefit from a synchronized global economic 
recovery. Unless there is an unexpected market shock, it is reasonable to       
believe that returns in 2000 should approach historical norms.                  

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LIFESTYLE CONSERVATIVE 280 TRUST

                                                                [Download Table]
                                                                                    
INVESTMENT OBJECTIVE &  To provide a high level of current income with some         
  POLICIES:             consideration given to growth of capital by investing       
                        approximately 80% of the Trust's assets in underlying       
                        portfolios that invest primarily in fixed income securities 
                        and approximately 20% of its assets in underlying portfolios
                        that invest primarily in equity securities.                 
SUBADVISER:             Manufacturers Adviser Corporation                           
PORTFOLIO MANAGERS:     Management Team                                             
INCEPTION DATE:         January 7, 1997                                             

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES 
[LIFESTYLE CONSERVATIVE 280 TRUST PERFORMANCE GRAPH]                            

                                                        [Enlarge/Download Table]

                LIFESTYLE CONSERVATIVE 280     LEHMAN BROTHERS     LIFESTYLE CONSERVATIVE
                          TRUST             GOV'T/CORP BOND INDEX       BLENDED INDEX    
                --------------------------  ---------------------  ----------------------
                                                                                         
December 1996             10000                     10000                   10000        
                          10115                     10012                   10039        
                          10176                     10033                   10058        
March 1997                10071                      9914                    9989        
                          10236                     10058                   10107        
                          10422                     10152                   10190        
June 1997                 10591                     10274                   10283        
                          10890                     10588                   10492        
                          10787                     10470                   10439        
September 1997            10991                     10634                   10561        
                          10983                     10804                   10678        
                          11089                     10861                   10701        
December 1997             11215                     10975                   10787        
                          11299                     11130                   10928        
                          11494                     11107                   10919        
March 1998                11665                     11142                   10954        
                          11717                     11198                   11009        
                          11718                     11317                   11090        
June 1998                 11828                     11433                   11160        
                          11793                     11442                   11200        
                          11429                     11665                   11375        
September 1998            11766                     11999                   11661        
                          11948                     11914                   11649        
                          12158                     11985                   11648        
December 1998             12359                     12014                   11695        
                          12460                     12099                   11759        
                          12286                     11811                   11586        
March 1999                12469                     11870                   11673        
                          12676                     11900                   11709        
                          12569                     11777                   11590        
June 1999                 12617                     11741                   11713        
                          12559                     11708                   11676        
                          12530                     11699                   11675        
September 1999            12569                     11804                   11710        
                          12666                     11835                   11878        
                          12743                     11828                   11961        
December 1999             12879                     11756                   12106        

PERFORMANCE TABLE 

                                                        [Enlarge/Download Table]

                                                 Average Annual Total Return  Cumulative Total Return
                                                                    Since              Since         
       Periods Ending December 31, 1999          1 Year           Inception          Inception       
                                                                                                     
Lehman Brothers Government/Corporate Bond Index  -2.15%              5.54%             17.56%        
Lifestyle Conservative Blended Index+**           3.52%              6.58%             21.06%        
Lifestyle Conservative 280 Trust                  4.21%              8.86%             28.79%        

+ The Lifestyle Conservative Blended Index is a blend of returns of the       
   previous benchmark, the Lehman Brothers Government/Corporate Bond Index since
   inception and the new blended benchmark (15% Russell 1000 Index, 5% MSCI EAFE
Index, 65% Lehman Brothers Government/Corporate Bond Index, and 15% of the
3-month Treasury Bill) since May 1, 1999.                                 
** The Lifestyle Conservative Blended Index was added to more accurately reflect
the investment objective of the Lifestyle Conservative 280 Trust.         
 * All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.                                   

PORTFOLIO MANAGER'S COMMENTARY

PERFORMANCE: For 1999, the Lifestyle Conservative 280 Trust returned 4.21%,     
outperforming the 3.52% return of the Blended Index. Because the Trust's policy 
weights and manager allocations were changed on May 1, 1999, the Trust's 1999   
performance is comprised of two different portfolio weightings.                 

ENVIRONMENT: Nineteen ninety-nine was a disappointing year for fixed income     
investors. With 80% of the Lifestyle Conservative 280 Trust's assets in fixed   
income, the trust's positive returns stood out strongly. It was a good year for 
most equity investors. The Trust's 20% allocation to equity provided a strong   
tailwind boosting what would otherwise have been weaker returns in line with the
negative returns in the overall fixed income markets. The Federal Reserve Board 
interest rate hikes were negative for the bond markets. The Lehman Brothers     
Aggregate Bond Index declined 0.83%. Longer-term bonds fell hardest with the    
Lehman Brothers Long-Term Government/Corporate Index declining 7.64%. Short-term
bonds were less effected with the Salomon Brothers 3-month Treasury Bill Index  
gaining 4.74%. High yield bonds performed better than higher quality corporate  
bonds of similar duration, and the Salmon Brothers High Yield Index rose 1.73%. 
In the equity markets, six of the nine domestic equity styles produced returns  
near or above the 20% mark. The S&P 500 Index rose 21.04% while the Russell 2000
Index, which measures small cap performance, rose 21.26%. Value stocks were     
laggards across all market capitalizations. For the second consecutive year,    
real estate stocks were poor performers. The NAREIT Index, a measure of real    
estate stock performance, declined 6.48%. The MSCI EAFE Index, a measure of     
international stock performance rose over 27%. In May 1999, the portfolios were 
redesigned using new asset allocation methods and a new State Street Global     
Advisors-developed manager allocation strategy. These changes led to good       
performance in the second half of the year. Going forward, these new allocations
should provide more robust performance and should rely less on the performance  
of a particular asset class.                                                    

OUTLOOK: In 2000, U.S. economic growth should be good. While strong economic    
growth could lead to interest rate hikes, it could also have a positive effect  
on corporate earnings. In some sectors, the U.S. stock market is challenged by  
high valuations, however, fundamentals appear to be good. Overseas markets are  
more attractively valued and should benefit from a synchronized global economic 
recovery. Unless there is an unexpected market shock, it is reasonable to       
believe that returns in 2000 should approach historical norms.                  

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REPORT OF INDEPENDENT ACCOUNTANTS                                             

To the Board of Trustees and Shareholders of                          
Manufacturers Investment Trust:                                       

In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
 operations and of changes in net assets present fairly, in all material
     respects, the financial position of Pacific Rim Emerging Markets, Science &
   Technology, International Small Cap, Aggressive Growth (formerly, Pilgrim
     Baxter Growth), Emerging Small Company, Small Company Blend, Mid Cap Growth
     (formerly, Small/Mid Cap), Mid Cap Stock, Overseas (formerly, International
     Growth and Income), International Stock, International Value, Mid Cap Blend
   (formerly, Equity), Small Company Value, Global Equity, Growth, Large Cap
   Growth (formerly, Aggressive Asset Allocation), Quantitative Equity, Blue
    Chip Growth, Real Estate Securities, Value, Equity Index, Growth & Income,
 U.S. Large Cap Value, Equity-Income, Income & Value (formerly, Moderate
Asset Allocation), Balanced, High Yield, Strategic Bond, Global Bond  
    (formerly, Global Government Bond), Total Return, Investment Quality Bond,
     Diversified Bond (formerly, Conservative Asset Allocation), U.S. Government
    Securities, Money Market, Lifestyle Aggressive 1000, Lifestyle Growth 820,
   Lifestyle Balanced 640, Lifestyle Moderate 460 and Lifestyle Conservative
     280 Trusts (constituting Manufacturers Investment Trust, hereafter referred
to as the "Trust") at December 31, 1999, and the results of their     
   operations and the changes in their net assets for the periods indicated,
   in conformity with accounting principles generally accepted in the United
     States. Also, in our opinion, the accompanying financial highlights present
 fairly, in all material respects, the financial highlights of Science &
Technology, International Small Cap, Aggressive Growth, Emerging Small
Company, Small Company Blend, Mid Cap Growth, Mid Cap Stock, Overseas,
International Stock, International Value, Mid Cap Blend, Small Company
  Value, Global Equity, Growth, Large Cap Growth, Blue Chip Growth, Value,
    Equity Index, Growth & Income, U.S. Large Cap Value, Equity-Income, Income
   & Value, Balanced, High Yield, Strategic Bond, Global Bond, Total Return,
Investment Quality Bond, Diversified Bond, U.S. Government Securities,
  Money Market, Lifestyle Aggressive 1000, Lifestyle Growth 820, Lifestyle
    Balanced 640, Lifestyle Moderate 460 and Lifestyle Conservative 280 Trusts
   for each of the periods presented and the financial highlights of Pacific
     Rim Emerging Markets, Quantitative Equity and Real Estate Securities Trusts
     for the periods ended December 31, 1999, 1998, 1997 and 1996, in conformity
   with accounting principles generally accepted in the United States. These
 financial statements and financial highlights (hereafter referred to as
   "financial statements") are the responsibility of the Trust's management;
   our responsibility is to express an opinion on these financial statements
    based on our audits. We conducted our audits of these financial statements
in accordance with auditing standards generally accepted in the United
States which require that we plan and perform the audit to obtain     
 reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis,  
evidence supporting the amounts and disclosures in the financial      
statements, assessing the accounting principles used and significant  
estimates made by management, and evaluating the overall financial    
statement presentation. We believe that our audits, which included    
    confirmation of securities at December 31, 1999 by correspondence with the
     custodian and brokers, provide a reasonable basis for the opinion expressed
    above. The financial highlights for the period ended December 31, 1995 for
Pacific Rim Emerging Markets, Quantitative Equity and Real Estate     
Securities Trusts were audited by other independent accountants whose 
 report dated February 2, 1996 expressed an unqualified opinion on those
financial highlights.                                                 

Boston, Massachusetts                                                 
February 18, 2000                                                     

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MANUFACTURERS INVESTMENT TRUST                                                  
STATEMENTS OF ASSETS AND LIABILITIES - December 31, 1999                        

                                                        [Enlarge/Download Table]

                                                        PACIFIC RIM                                                 
                                                          EMERGING       SCIENCE &     INTERNATIONAL    AGGRESSIVE  
                                                          MARKETS       TECHNOLOGY       SMALL CAP        GROWTH    
                                                           TRUST          TRUST            TRUST          TRUST     
                                                           -----          -----            -----          -----     
                                                                                                                    
ASSETS                                                                                                              
Investments in securities, at value                                                                                 
         (See accompanying portfolio of investments)   $101,392,968   $1,245,808,672    $248,813,192   $167,798,970 
Repurchase agreement, at value                            8,173,000       13,121,000              --             -- 
Cash                                                            273              970         419,963             -- 
Foreign currency, at value                                1,780,233               --       2,967,427             -- 
Receivables:                                                                                                        
        Forward foreign currency contracts (Note 8)              76               --           2,929             -- 
        Investments sold                                    225,452               --       2,025,719        380,957 
        Fund shares sold                                    367,205        5,646,959       1,110,199        575,428 
        Dividends and interest                               72,477           89,026          40,865          1,548 
        Foreign tax withholding reclaims                        942              300          29,597             -- 
Other assets                                                    111            1,143             481             97 
                                                       ------------   --------------    ------------   ------------ 
        Total assets                                    112,012,737    1,264,668,070     255,410,372    168,757,000 
                                                       ------------   --------------    ------------   ------------ 

LIABILITIES                                                                                                         
Payables:                                                                                                           
        Forward foreign currency contracts (Note 8)           6,867            1,203          31,230             -- 
        Investments purchased                                    --        2,392,973      13,506,911             -- 
        Fund shares redeemed                                     --               --              --             -- 
        Dividend and interest withholding tax                14,732            7,168           4,938             -- 
        Due to custodian                                         --               --       1,842,427         23,838 
        Other payables and accrued expenses                  12,514           41,236          64,192         19,363 
        Due to broker (securities lending)               17,225,619      117,771,425              --     33,210,858 
                                                       ------------   --------------    ------------   ------------ 
        Total liabilities                                17,259,732      120,214,005      15,449,698     33,254,059 
                                                       ============   ==============    ============   ============ 
NET ASSETS                                             $ 94,753,005   $1,144,454,065    $239,960,674   $135,502,941 
                                                       ============   ==============    ============   ============ 

Net assets consist of:                                                                                              
Undistributed net investment income (Note 2)           $    356,425   $        1,203    $      9,669             -- 
Accumulated undistributed net realized gain (loss)                                                                  
 on investments, foreign currency and forward foreign                                                               
 currency contracts                                      (6,511,816)      37,708,402      62,099,008   $   (726,016)
Unrealized appreciation (depreciation) on:                                                                          
        Investments                                      21,353,253      361,511,822      66,761,363     40,408,898 
        Foreign currency and forward foreign currency                                                               
 contracts                                                   33,038           (1,272)        (49,245)            -- 
Capital shares at par value of $.01 (Note 4)                 87,056          316,437          85,221         78,167 
Additional paid-in capital                               79,435,049      744,917,473     111,054,658     95,741,892 
                                                       ------------   --------------    ------------   ------------ 
NET ASSETS                                             $ 94,753,005   $1,144,454,065    $239,960,674   $135,502,941 
                                                       ============   ==============    ============   ============ 
Capital shares outstanding (Note 4)                       8,705,640       31,643,731       8,522,117      7,816,664 
                                                       ------------   --------------    ------------   ------------ 
Net asset value, offering price and redemption price                                                                
 per share                                             $      10.88   $        36.17    $      28.16   $      17.34 
                                                       ============   ==============    ============   ============ 
Investments in securities, including repurchase                                                                     
 agreements, at identified cost (Note 2)               $ 88,212,715   $  897,417,850    $182,051,829   $127,390,072 
                                                       ------------   --------------    ------------   ------------ 
Investments in foreign currency, at identified cost                                                                 
 (Note 2)                                              $  1,744,585               --    $  4,186,377             -- 
                                                       ============   ==============    ============   ============ 

                                                                [Download Table]


                                                            EMERGING   
                                                          SMALL COMPANY
                                                              TRUST    
                                                              -----    
                                                                       
ASSETS                                                                 
Investments in securities, at value                                    
         (See accompanying portfolio of investments)      $530,690,476 
Repurchase agreement, at value                              39,093,000 
Cash                                                               304 
Foreign currency, at value                                          -- 
Receivables:                                                           
        Forward foreign currency contracts (Note 8)                 -- 
        Investments sold                                       626,308 
        Fund shares sold                                            -- 
        Dividends and interest                                 205,032 
        Foreign tax withholding reclaims                            -- 
Other assets                                                       933 
                                                          ------------ 
        Total assets                                       570,616,053 
                                                          ------------ 

LIABILITIES                                                            
Payables:                                                              
        Forward foreign currency contracts (Note 8)                 -- 
        Investments purchased                                  274,097 
        Fund shares redeemed                                   442,466 
        Dividend and interest withholding tax                       -- 
        Due to custodian                                            -- 
        Other payables and accrued expenses                     34,216 
        Due to broker (securities lending)                 116,713,326 
                                                          ------------ 
        Total liabilities                                  117,464,105 
                                                          ============ 
NET ASSETS                                                $453,151,948 
                                                          ============ 

Net assets consist of:                                                 
Undistributed net investment income (Note 2)                        -- 
Accumulated undistributed net realized gain (loss)                     
 on investments, foreign currency and forward foreign                  
 currency contracts                                       $ 54,991,310 
Unrealized appreciation (depreciation) on:                             
        Investments                                        179,344,288 
        Foreign currency and forward foreign currency                  
 contracts                                                          -- 
Capital shares at par value of $.01 (Note 4)                   111,225 
Additional paid-in capital                                 218,705,125 
                                                          ------------ 
NET ASSETS                                                $453,151,948 
                                                          ============ 
Capital shares outstanding (Note 4)                         11,122,485 
                                                          ------------ 
Net asset value, offering price and redemption price                   
 per share                                                $      40.74 
                                                          ============ 
Investments in securities, including repurchase                        
 agreements, at identified cost (Note 2)                  $390,439,188 
                                                          ------------ 
Investments in foreign currency, at identified cost                    
 (Note 2)                                                 $         -- 
                                                          ============ 

The accompanying notes are an integral part of the financial statements.

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MANUFACTURERS INVESTMENT TRUST                                                  
STATEMENTS OF ASSETS AND LIABILITIES - December 31, 1999                        

                                                        [Enlarge/Download Table]

                                                                 SMALL                                              
                                                                COMPANY       MID CAP       MID CAP                 
                                                                 BLEND        GROWTH        STOCK        OVERSEAS   
                                                                 TRUST        TRUST         TRUST         TRUST     
                                                                 -----        -----         -----         -----     
                                                                                                                    
ASSETS                                                                                                              
Investments in securities, at value                                                                                 
         (See accompanying portfolio of investments)          $48,153,943  $771,607,806  $94,011,436   $412,990,638 
Repurchase agreement, at value                                  5,332,000            --    8,316,000     23,118,000 
Cash                                                                  801       331,424      326,700            711 
Foreign currency, at value                                             --            --           --        383,047 
Receivables:                                                                                                        
        Forward foreign currency contracts (Note 8)                    --            --           --          6,821 
        Investments sold                                               --       257,175           --      4,588,175 
        Fund shares sold                                           22,493       393,032           --             -- 
        Variation margin for open futures contracts                                                                 
         (Note 2)                                                      --            --           --          3,890 
        Dividends and interest                                     29,055        84,446       31,311        167,050 
        Foreign tax withholding reclaims                               --           616           --        226,124 
        Deferred organizational expense                                --            --           --            240 
Other assets                                                           35         1,467          189            800 
                                                              -----------  ------------  -----------   ------------ 
        Total assets                                           53,538,327   772,675,966  102,685,636    441,485,496 
                                                              -----------  ------------  -----------   ------------ 

LIABILITIES                                                                                                         
Payables:                                                                                                           
        Forward foreign currency contracts (Note 8)                    --            --           --          6,684 
        Investments purchased                                      16,316       485,881    2,942,822      5,281,288 
        Fund shares redeemed                                           --            --      222,089        620,809 
        Dividend and interest withholding tax                          55            --           --         14,803 
        Due to custodian                                               --            --           --             -- 
        Other payables and accrued expenses                         7,696        55,148       10,550         84,882 
        Due to broker (securities lending)                             --   109,461,135           --     31,253,763 
                                                              -----------  ------------  -----------   ------------ 
        Total liabilities                                          24,067   110,002,164    3,175,461     37,262,229 
                                                              -----------  ------------  -----------   ------------ 
NET ASSETS                                                    $53,514,260  $662,673,802  $99,510,175   $404,223,267 
                                                              ===========  ============  ===========   ============ 

Net assets consist of:                                                                                              
Undistributed net investment income (Note 2)                           --            --           --   $  3,815,459 
Accumulated undistributed net realized gain (loss) on                                                               
        investments, futures, options, foreign currency                                                             
        and forward foreign currency contracts                $   541,503  $ 57,769,730   (1,978,783)    32,527,065 
Unrealized appreciation (depreciation) on:                                                                          
        Investments                                             7,936,198   195,492,055    3,606,412     87,962,879 
        Futures contracts                                              --            --           --         64,886 
        Foreign currency and forward foreign currency                                                               
         contracts                                                     --            --           --         (6,397)
Capital shares at par value of $.01 (Note 4)                       33,953       266,209       78,955        253,943 
Additional paid-in capital                                     45,002,606   409,145,808   97,803,591    279,605,432 
                                                              -----------  ------------  -----------   ------------ 
NET ASSETS                                                    $53,514,260  $662,673,802  $99,510,175   $404,223,267 
                                                              ===========  ============  ===========   ============ 
Capital shares outstanding (Note 4)                             3,395,286    26,620,860    7,895,460     25,394,306 
                                                              -----------  ------------  -----------   ------------ 
Net asset value, offering price and redemption price                                                                
 per share                                                    $     15.76  $      24.89  $     12.60   $      15.92 
                                                              ===========  ============  ===========   ============ 
Investments in securities, including repurchase agreements,                                                         
 at identified cost (Note 2)                                  $45,549,745  $576,115,751  $98,721,024   $348,145,759 
                                                              -----------  ------------  -----------   ------------ 
Investments in foreign currency, at identified cost (Note 2)           --            --           --   $     55,643 
                                                              ===========  ============  ===========   ============ 

                                                                [Download Table]


                                                                 INTERNATIONAL 
                                                                     STOCK     
                                                                     TRUST     
                                                                     -----     
                                                                               
ASSETS                                                                         
Investments in securities, at value                                            
         (See accompanying portfolio of investments)              $227,839,724 
Repurchase agreement, at value                                      16,569,000 
Cash                                                                       764 
Foreign currency, at value                                                  -- 
Receivables:                                                                   
        Forward foreign currency contracts (Note 8)                         -- 
        Investments sold                                               310,715 
        Fund shares sold                                             3,261,058 
        Variation margin for open futures contracts                            
         (Note 2)                                                           -- 
        Dividends and interest                                          77,719 
        Foreign tax withholding reclaims                               120,530 
        Deferred organizational expense                                     -- 
Other assets                                                               794 
                                                                  ------------ 
        Total assets                                               248,180,304 
                                                                  ------------ 

LIABILITIES                                                                    
Payables:                                                                      
        Forward foreign currency contracts (Note 8)                         -- 
        Investments purchased                                           96,756 
        Fund shares redeemed                                                -- 
        Dividend and interest withholding tax                           10,335 
        Due to custodian                                               128,472 
        Other payables and accrued expenses                             47,620 
        Due to broker (securities lending)                          16,168,417 
                                                                  ------------ 
        Total liabilities                                           16,451,600 
                                                                  ------------ 
NET ASSETS                                                        $231,728,704 
                                                                  ============ 

Net assets consist of:                                                         
Undistributed net investment income (Note 2)                      $     67,065 
Accumulated undistributed net realized gain (loss) on                          
        investments, futures, options, foreign currency                        
        and forward foreign currency contracts                        (382,067)
Unrealized appreciation (depreciation) on:                                     
        Investments                                                 57,289,578 
        Futures contracts                                                   -- 
        Foreign currency and forward foreign currency                          
         contracts                                                      (5,014)
Capital shares at par value of $.01 (Note 4)                           150,141 
Additional paid-in capital                                         174,609,001 
                                                                  ------------ 
NET ASSETS                                                        $231,728,704 
                                                                  ============ 
Capital shares outstanding (Note 4)                                 15,014,062 
                                                                  ------------ 
Net asset value, offering price and redemption price                           
 per share                                                        $      15.43 
                                                                  ============ 
Investments in securities, including repurchase agreements,                    
 at identified cost (Note 2)                                      $187,119,146 
                                                                  ------------ 
Investments in foreign currency, at identified cost (Note 2)                -- 
                                                                  ============ 

The accompanying notes are an integral part of the financial statements.

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MANUFACTURERS INVESTMENT TRUST                                                  
STATEMENTS OF ASSETS AND LIABILITIES - December 31, 1999                        

                                                        [Enlarge/Download Table]

                                                                                           SMALL                  
                                                       INTERNATIONAL      MID CAP         COMPANY        GLOBAL   
                                                           VALUE          BLEND            VALUE         EQUITY   
                                                           TRUST          TRUST            TRUST         TRUST    
                                                           -----          -----            -----         -----    
                                                                                                                  
ASSETS                                                                                                            
Investments in securities, at value                                                                               
         (See accompanying portfolio of investments)   $ 94,875,337   $1,863,330,497   $ 89,452,340   $846,489,773
Repurchase agreement, at value                            6,163,000       89,676,000      1,384,000     50,297,000
Cash                                                             --          699,639            747             99
Foreign currency, at value                                  254,744            4,286             --            157
Receivables:                                                                                                      
        Forward foreign currency contracts (Note 8)              --               --             --      4,052,638
        Investments sold                                         --        3,964,793         92,292             --
        Fund shares sold                                         --               --             --             --
        Dividends and interest                              141,234          902,801        126,361      1,910,340
        Foreign tax withholding reclaims                     25,766           35,294             --        479,777
Other assets                                                    181            5,350            468          3,024
                                                       ------------   --------------   ------------   ------------
        Total assets                                    101,460,262    1,958,618,660     91,056,208    903,232,808
                                                       ------------   --------------   ------------   ------------

LIABILITIES                                                                                                       
Payables:                                                                                                         
        Forward foreign currency contracts (Note 8)              73               --             --             --
        Investments purchased                               254,744        6,200,102        338,390             --
        Fund shares redeemed                                 96,937        1,453,670        438,778      2,065,313
        Dividend and interest withholding tax                11,879               --             --         96,226
        Due to custodian                                    110,011               --             --             --
        Other payables and accrued expenses                  17,030          176,753         29,112        177,096
        Due to broker (securities lending)                       --      277,560,148      1,082,635     63,166,443
                                                       ------------   --------------   ------------   ------------
        Total liabilities                                   490,674      285,390,673      1,888,915     65,505,078
                                                       ------------   --------------   ------------   ------------
NET ASSETS                                             $100,969,588   $1,673,227,987   $ 89,167,293   $837,727,730
                                                       ============   ==============   ============   ============

Net assets consist of:                                                                                            
Undistributed net investment income (Note 2)           $    491,994   $    5,093,411   $    125,033   $ 10,121,306
Accumulated undistributed net realized gain (loss)                                                                
        on investments, futures, foreign currency and                                                             
         forward foreign currency contracts                 303,161      227,527,430    (15,236,903)    75,519,079
Unrealized appreciation (depreciation) on:                                                                        
        Investments                                       4,332,806      169,511,905      9,878,898     88,586,356
        Foreign currency and forward foreign currency                                                             
         contracts                                             (445)          (1,004)            --      4,032,667
Capital shares at par value of $.01 (Note 4)                 77,774          763,994         72,647        445,931
Additional paid-in capital                               95,764,298    1,270,332,251     94,327,618    659,022,391
                                                       ------------   --------------   ------------   ------------
NET ASSETS                                             $100,969,588   $1,673,227,987   $ 89,167,293   $837,727,730
                                                       ============   ==============   ============   ============
Capital shares outstanding (Note 4)                       7,777,367       76,399,392      7,264,722     44,593,082
                                                       ------------   --------------   ------------   ------------
Net asset value, offering price and redemption price                                                              
 per share                                             $      12.98   $        21.90   $      12.27   $      18.79
                                                       ============   ==============   ============   ============
Investments in securities, including repurchase                                                                   
 agreements, at identified cost (Note 2)               $ 96,705,531   $1,783,494,592   $ 80,957,442   $808,200,417
                                                       ------------   --------------   ------------   ------------
Investments in foreign currency, at identified                                                                    
 cost (Note 2)                                         $    254,744   $        4,258             --   $        238
                                                       ============   ==============   ============   ============

                                                                [Download Table]

                                                                 GROWTH   
                                                                 TRUST    
                                                                 -----    
                                                                          
ASSETS                                                                    
Investments in securities, at value                                       
         (See accompanying portfolio of investments)          $643,289,065
Repurchase agreement, at value                                   8,974,000
Cash                                                                   172
Foreign currency, at value                                           3,942
Receivables:                                                              
        Forward foreign currency contracts (Note 8)                     --
        Investments sold                                         1,080,576
        Fund shares sold                                           220,263
        Dividends and interest                                     279,425
        Foreign tax withholding reclaims                               167
Other assets                                                         1,344
                                                              ------------
        Total assets                                           653,848,954
                                                              ------------

LIABILITIES                                                               
Payables:                                                                 
        Forward foreign currency contracts (Note 8)                     --
        Investments purchased                                           --
        Fund shares redeemed                                            --
        Dividend and interest withholding tax                           --
        Due to custodian                                                --
        Other payables and accrued expenses                         42,775
        Due to broker (securities lending)                      10,858,409
                                                              ------------
        Total liabilities                                       10,901,184
                                                              ------------
NET ASSETS                                                    $642,947,770
                                                              ============

Net assets consist of:                                                    
Undistributed net investment income (Note 2)                            --
Accumulated undistributed net realized gain (loss)                        
        on investments, futures, foreign currency and                     
         forward foreign currency contracts                   $ 75,229,767
Unrealized appreciation (depreciation) on:                                
        Investments                                            122,143,327
        Foreign currency and forward foreign currency                     
         contracts                                                   1,801
Capital shares at par value of $.01 (Note 4)                       239,178
Additional paid-in capital                                     445,333,697
                                                              ------------
NET ASSETS                                                    $642,947,770
                                                              ============
Capital shares outstanding (Note 4)                             23,917,818
                                                              ------------
Net asset value, offering price and redemption price                      
 per share                                                    $      26.88
                                                              ============
Investments in securities, including repurchase                           
 agreements, at identified cost (Note 2)                      $530,119,738
                                                              ------------
Investments in foreign currency, at identified                            
 cost (Note 2)                                                $      2,130
                                                              ============

The accompanying notes are an integral part of the financial statements.

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MANUFACTURERS INVESTMENT TRUST                                                  
STATEMENTS OF ASSETS AND LIABILITIES - December 31, 1999                        

                                                        [Enlarge/Download Table]

                                                          LARGE CAP     QUANTITATIVE      BLUE CHIP       REAL ESTATE 
                                                           GROWTH          EQUITY          GROWTH         SECURITIES  
                                                           TRUST           TRUST           TRUST            TRUST     
                                                           -----           -----           -----            -----     
                                                                                                                      
ASSETS                                                                                                                
Investments in securities, at value                                                                                   
         (See accompanying portfolio of investments)  $  404,008,116   $  451,746,126  $1,765,066,633  $  208,330,079 
Repurchase agreement, at value                            20,076,000       16,717,000       7,403,000       4,572,000 
Cash                                                             840              149               2             258 
Foreign currency, at value                                        --               --             255              -- 
Receivables:                                                                                                          
        Investments sold                                   1,874,052           84,903       3,036,762              -- 
        Fund shares sold                                     387,993               --              --              -- 
        Dividends and interest                               296,827          240,632       1,018,263         971,374 
        Foreign tax withholding reclaims                       9,707               --              --              -- 
Other assets                                                     946            1,095           4,563              -- 
                                                      --------------   --------------  --------------  -------------- 
        Total assets                                     426,654,481      468,789,905   1,776,529,478     213,873,711 
                                                      --------------   --------------  --------------  -------------- 

LIABILITIES                                                                                                           
Payables:                                                                                                             
        Investments purchased                              2,477,040               --       9,064,277       1,584,752 
        Fund shares redeemed                                      --        2,744,067         283,527         416,303 
        Dividend and interest withholding tax                    967            1,552           3,192              -- 
        Other payables and accrued expenses                   31,036           36,122         147,262          16,047 
        Due to broker (securities lending)                21,560,181       34,098,803      32,798,153      15,100,586 
                                                      --------------   --------------  --------------  -------------- 
        Total liabilities                                 24,069,224       36,880,544      42,296,411      17,117,688 
                                                      --------------   --------------  --------------  -------------- 
NET ASSETS                                            $  402,585,257   $  431,909,361  $1,734,233,067  $  196,756,023 
                                                      ==============   ==============  ==============  ============== 

Net assets consist of:                                                                                                
Undistributed net investment income (Note 2)          $    1,269,910   $    1,884,589  $      796,216  $    7,827,512 
Accumulated undistributed net realized gain (loss)                                                                    
        on investments, foreign currency and forward                                                                  
        foreign currency contracts                        70,905,713       59,251,526      79,839,118     (37,383,327)
Unrealized appreciation (depreciation) on:                                                                            
        Investments                                       61,691,907       52,523,461     509,693,861      (8,327,072)
        Foreign currency and forward foreign                                                                          
         currency contracts                                     (509)              --               1              -- 
Capital shares at par value of $.01 (Note 4)                 233,665          153,388         801,273         152,665 
Additional paid-in capital                               268,484,571      318,096,397   1,143,102,598     234,486,245 
                                                      --------------   --------------  --------------  -------------- 
NET ASSETS                                            $  402,585,257   $  431,909,361  $1,734,233,067  $  196,756,023 
                                                      ==============   ==============  ==============  ============== 
Capital shares outstanding (Note 4)                       23,366,451       15,338,836      80,127,264      15,266,541 
                                                      --------------   --------------  --------------  -------------- 
Net asset value, offering price and redemption                                                                        
 price per share                                      $        17.23   $        28.16  $        21.64  $        12.89 
                                                      ==============   ==============  ==============  ============== 
Investments in securities, including repurchase                                                                       
 agreements, at identified cost (Note 2)              $  362,392,209   $  415,939,665  $1,262,775,772  $  221,229,151 
                                                      --------------   --------------  --------------  -------------- 
Investments in foreign currency, at identified                                                                        
 cost (Note 2)                                                    --               --  $          254              -- 
                                                      ==============   ==============  ==============  ============== 

                                                                [Download Table]


                                                              VALUE     
                                                              TRUST     
                                                              -----     
                                                                        
ASSETS                                                                  
Investments in securities, at value                                     
         (See accompanying portfolio of investments)     $  143,237,362 
Repurchase agreement, at value                                9,285,000 
Cash                                                                667 
Foreign currency, at value                                           -- 
Receivables:                                                            
        Investments sold                                             -- 
        Fund shares sold                                             -- 
        Dividends and interest                                  144,204 
        Foreign tax withholding reclaims                             -- 
Other assets                                                        807 
                                                         -------------- 
        Total assets                                        152,668,040 
                                                         -------------- 

LIABILITIES                                                             
Payables:                                                               
        Investments purchased                                        -- 
        Fund shares redeemed                                    204,537 
        Dividend and interest withholding tax                        -- 
        Other payables and accrued expenses                      24,915 
        Due to broker (securities lending)                    6,159,600 
                                                         -------------- 
        Total liabilities                                     6,389,052 
                                                         -------------- 
NET ASSETS                                               $  146,278,988 
                                                         ============== 

Net assets consist of:                                                  
Undistributed net investment income (Note 2)                         -- 
Accumulated undistributed net realized gain (loss)                      
        on investments, foreign currency and forward                    
        foreign currency contracts                       $   (2,549,745)
Unrealized appreciation (depreciation) on:                              
        Investments                                          (6,621,506)
        Foreign currency and forward foreign                            
         currency contracts                                          -- 
Capital shares at par value of $.01 (Note 4)                    110,543 
Additional paid-in capital                                  155,339,696 
                                                         -------------- 
NET ASSETS                                               $  146,278,988 
                                                         ============== 
Capital shares outstanding (Note 4)                          11,054,314 
                                                         -------------- 
Net asset value, offering price and redemption                          
 price per share                                         $        13.23 
                                                         ============== 
Investments in securities, including repurchase                         
 agreements, at identified cost (Note 2)                 $  159,143,868 
                                                         -------------- 
Investments in foreign currency, at identified                          
 cost (Note 2)                                                       -- 
                                                         ============== 

The accompanying notes are an integral part of the financial statements.

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MANUFACTURERS INVESTMENT TRUST                                                  
STATEMENTS OF ASSETS AND LIABILITIES - December 31, 1999                        

                                                        [Enlarge/Download Table]

                                                           EQUITY         GROWTH &       U.S. LARGE        EQUITY-  
                                                           INDEX          INCOME         CAP VALUE         INCOME   
                                                           TRUST          TRUST            TRUST           TRUST    
                                                           -----          -----            -----           -----    
                                                                                                                    
ASSETS                                                                                                              
Investments in securities, at value                                                                                 
         (See accompanying portfolio of investments)  $  116,005,436  $3,226,586,488  $  204,364,822  $1,042,608,245
Repurchase agreement, at value                             1,909,000      22,357,000      10,143,000       8,010,000
Cash                                                           1,291             242             504         868,623
Foreign currency, at value                                        --              --              --         578,918
Receivables:                                                                                                        
        Variation margin for open futures contracts                                                                 
         (Note 2)                                              6,500              --              --              --
        Dividends and interest                                99,511       2,678,731         170,077       1,920,951
        Foreign tax withholding reclaims                          --              --              --              --
Other assets                                                     276           9,031             220           3,688
                                                      --------------  --------------  --------------  --------------
        Total assets                                     118,022,014   3,251,631,492     214,678,623   1,053,990,425
                                                      --------------  --------------  --------------  --------------

LIABILITIES                                                                                                         
Payables:                                                                                                           
        Investments purchased                                     --              --       3,443,310      12,152,576
        Fund shares redeemed                                  22,021         366,770         494,419       1,308,713
        Dividend and interest withholding tax                     --              --              --           5,614
        Other payables and accrued expenses                   17,184         284,195          16,369         121,124
        Due to broker (securities lending)                 3,207,855      63,760,918              --      29,142,146
                                                      --------------  --------------  --------------  --------------
        Total liabilities                                  3,247,060      64,411,883       3,954,098      42,730,173
                                                      --------------  --------------  --------------  --------------
NET ASSETS                                            $  114,774,954  $3,187,219,609  $  210,724,525  $1,011,260,252
                                                      ==============  ==============  ==============  ==============

Net assets consist of:                                                                                              
Undistributed net investment income (Note 2)                      --  $   17,382,011  $      565,664  $   18,891,147
Accumulated undistributed net realized gain on                                                                      
        investments, futures, foreign currency and                                                                  
        forward foreign currency contracts            $      102,256     182,201,245       1,533,279     100,166,696
Unrealized appreciation (depreciation) on:                                                                          
        Investments                                       24,232,514   1,104,045,436       5,435,868      97,351,213
        Futures contracts                                     83,600              --              --              --
        Foreign currency and forward foreign                                                                        
        currency contracts                                        --              --              --             462
Capital shares at par value of $.01 (Note 4)                  63,311         975,697         164,152         592,983
Additional paid-in capital                                90,293,273   1,882,615,220     203,025,562     794,257,751
                                                      --------------  --------------  --------------  --------------
NET ASSETS                                            $  114,774,954  $3,187,219,609  $  210,724,525  $1,011,260,252
                                                      ==============  ==============  ==============  ==============
Capital shares outstanding (Note 4)                        6,331,060      97,569,671      16,415,185      59,298,343
                                                      --------------  --------------  --------------  --------------
Net asset value, offering price and redemption                                                                      
 price per share                                      $        18.13  $        32.67  $        12.84  $        17.05
                                                      ==============  ==============  ==============  ==============
Investments in securities, including repurchase                                                                     
 agreements, at identified cost (Note 2)              $   93,681,922  $2,144,898,052  $  209,071,954  $  953,267,032
                                                      --------------  --------------  --------------  --------------
Investments in foreign currency, at identified                                                                      
 cost (Note 2)                                                    --              --              --  $      579,230
                                                      ==============  ==============  ==============  ==============

                                                                [Download Table]

                                                             INCOME &   
                                                              VALUE     
                                                              TRUST     
                                                              -----     
                                                                        
ASSETS                                                                  
Investments in securities, at value                                     
         (See accompanying portfolio of investments)     $  725,632,985 
Repurchase agreement, at value                                6,949,000 
Cash                                                                207 
Foreign currency, at value                                           -- 
Receivables:                                                            
        Variation margin for open futures contracts                     
         (Note 2)                                                    -- 
        Dividends and interest                                3,190,124 
        Foreign tax withholding reclaims                          3,669 
Other assets                                                      2,083 
                                                         -------------- 
        Total assets                                        735,778,068 
                                                         -------------- 

LIABILITIES                                                             
Payables:                                                               
        Investments purchased                                        -- 
        Fund shares redeemed                                    408,899 
        Dividend and interest withholding tax                        -- 
        Other payables and accrued expenses                      74,532 
        Due to broker (securities lending)                   95,470,694 
                                                         -------------- 
        Total liabilities                                    95,954,125 
                                                         -------------- 
NET ASSETS                                               $  639,823,943 
                                                         ============== 

Net assets consist of:                                                  
Undistributed net investment income (Note 2)             $   15,210,363 
Accumulated undistributed net realized gain on                          
        investments, futures, foreign currency and                      
        forward foreign currency contracts                  123,326,333 
Unrealized appreciation (depreciation) on:                              
        Investments                                           9,783,856 
        Futures contracts                                            -- 
        Foreign currency and forward foreign                            
        currency contracts                                         (435)
Capital shares at par value of $.01 (Note 4)                    495,559 
Additional paid-in capital                                  491,008,267 
                                                         -------------- 
NET ASSETS                                               $  639,823,943 
                                                         ============== 
Capital shares outstanding (Note 4)                          49,555,858 
                                                         -------------- 
Net asset value, offering price and redemption                          
 price per share                                         $        12.91 
                                                         ============== 
Investments in securities, including repurchase                         
 agreements, at identified cost (Note 2)                 $  722,798,129 
                                                         -------------- 
Investments in foreign currency, at identified                          
 cost (Note 2)                                                       -- 
                                                         ============== 

The accompanying notes are an integral part of the financial statements.

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MANUFACTURERS INVESTMENT TRUST                                                  
STATEMENTS OF ASSETS AND LIABILITIES - December 31, 1999                        

                                                        [Enlarge/Download Table]

                                                                         HIGH          STRATEGIC         GLOBAL     
                                                         BALANCED        YIELD           BOND             BOND      
                                                          TRUST          TRUST           TRUST            TRUST     
                                                          -----          -----           -----            -----     
                                                                                                                    
ASSETS                                                                                                              
Investments in securities, at value                                                                                 
        (See accompanying portfolio of investments)   $ 257,499,917   $ 243,545,525   $ 403,145,413   $ 185,114,908 
Repurchase agreement, at value                            7,005,000       7,959,000       2,675,000       4,737,000 
Cash                                                             58             500             353             598 
Foreign currency, at value                                       --         228,486              --       1,524,747 
Receivables:                                                                                                        
       Forward foreign currency contracts (Note 8)               93         248,211         606,019       1,864,167 
       Investments sold                                   5,917,666              --         976,625       3,079,499 
       Fund shares sold                                          --              --           2,897              -- 
       Variation margin for open futures contracts                                                                  
        (Note 2)                                                 --         415,810              --              -- 
       Dividends and interest                               980,773       4,613,656       7,489,454       2,759,511 
       Interest on swap agreement                                --              --              --          87,624 
       Foreign tax withholding reclaims                       8,779              --              --              -- 
Interest rate swap contracts (Notes 2 and 3)                     --              --              --           4,800 
Other assets                                                    985             689           1,423             552 
                                                      -------------   -------------   -------------   ------------- 
       Total assets                                     271,413,271     257,011,877     414,897,184     199,173,406 
                                                      -------------   -------------   -------------   ------------- 

LIABILITIES                                                                                                         
Payables:                                                                                                           
       Forward foreign currency contracts (Note 8)           14,575          85,734         662,592       2,737,252 
       Investments purchased                              5,657,563              --      31,563,750      50,250,865 
       Fund shares redeemed                                 111,329         412,805              --         130,083 
       Variation margin for open futures contracts                                                                  
        (Note 2)                                                 --              --              --          17,609 
       Dividend and interest withholding tax                     --             489          47,335           3,585 
       Due to custodian                                     568,144              --           4,085              -- 
       Other payables and accrued expenses                   30,865          27,931          63,274          41,841 
       Due to broker (securities lending)                 6,873,100      15,481,406      14,135,537              -- 
Written options outstanding, at value: premiums                                                                     
 received $177,945 (Notes 2 and 3)                               --              --              --              -- 
Deferred mortgage dollar roll income                             --              --          21,938              -- 
                                                      -------------   -------------   -------------   ------------- 
       Total liabilities                                 13,255,576      16,008,365      46,498,511      53,181,235 
                                                      -------------   -------------   -------------   ------------- 
NET ASSETS                                            $ 258,157,695   $ 241,003,512   $ 368,398,673   $ 145,992,171 
                                                      =============   =============   =============   ============= 

Net assets consist of:                                                                                              
Undistributed net investment income (Note 2)          $   8,076,392   $     626,800   $  32,037,885   $   4,602,698 
Accumulated undistributed net realized gain (loss)                                                                  
 on investments, futures, foreign currency and                                                                      
 forward foreign currency contracts                       1,814,604      (2,620,910)    (22,036,255)    (11,254,668)
Unrealized appreciation (depreciation) on:                                                                          
       Investments                                        5,858,892     (11,026,859)    (18,414,335)     (7,304,315)
       Futures contracts, written options and swap                                                                  
        agreement                                                --         173,063              --         112,136 
       Foreign currency and forward foreign currency                                                                
        contracts                                            (5,515)        155,790        (104,150)       (964,552)
Capital shares at par value of $.01 (Note 4)                144,877         187,806         330,777         125,833 
Additional paid-in capital                              242,268,445     253,507,822     376,584,751     160,675,039 
                                                      -------------   -------------   -------------   ------------- 
NET ASSETS                                            $ 258,157,695   $ 241,003,512   $ 368,398,673   $ 145,992,171 
                                                      =============   =============   =============   ============= 
Capital shares outstanding (Note 4)                      14,487,666      18,780,635      33,077,726      12,583,317 
                                                      -------------   -------------   -------------   ------------- 
Net asset value, offering price and redemption price                                                                
 per share                                            $       17.82   $       12.83   $       11.14   $       11.60 
                                                      =============   =============   =============   ============= 
Investments in securities, including repurchase                                                                     
 agreements, at identified cost (Note 2)              $ 258,646,025   $ 262,531,384   $ 424,234,748   $ 197,156,223 
                                                      -------------   -------------   -------------   ------------- 
Investments in foreign currency, at identified cost                                                                 
 (Note 2)                                                        --   $     232,703              --   $   1,508,872 
                                                      =============   =============   =============   ============= 

                                                                [Download Table]

                                                             TOTAL     
                                                             RETURN    
                                                             TRUST     
                                                             -----     
                                                                       
ASSETS                                                                 
Investments in securities, at value                                    
        (See accompanying portfolio of investments)      $ 264,804,771 
Repurchase agreement, at value                              10,939,000 
Cash                                                            45,092 
Foreign currency, at value                                     115,387 
Receivables:                                                           
       Forward foreign currency contracts (Note 8)              72,984 
       Investments sold                                             -- 
       Fund shares sold                                        872,662 
       Variation margin for open futures contracts                     
        (Note 2)                                                    -- 
       Dividends and interest                                1,722,627 
       Interest on swap agreement                                   -- 
       Foreign tax withholding reclaims                             -- 
Interest rate swap contracts (Notes 2 and 3)                        -- 
Other assets                                                       488 
                                                         ------------- 
       Total assets                                        278,573,011 
                                                         ------------- 

LIABILITIES                                                            
Payables:                                                              
       Forward foreign currency contracts (Note 8)              18,552 
       Investments purchased                                38,332,399 
       Fund shares redeemed                                         -- 
       Variation margin for open futures contracts                     
        (Note 2)                                               136,688 
       Dividend and interest withholding tax                        -- 
       Due to custodian                                             -- 
       Other payables and accrued expenses                      22,296 
       Due to broker (securities lending)                           -- 
Written options outstanding, at value: premiums                        
 received $177,945 (Notes 2 and 3)                              46,995 
Deferred mortgage dollar roll income                                -- 
                                                         ------------- 
       Total liabilities                                    38,556,930 
                                                         ------------- 
NET ASSETS                                               $ 240,016,081 
                                                         ============= 

Net assets consist of:                                                 
Undistributed net investment income (Note 2)             $   6,857,699 
Accumulated undistributed net realized gain (loss)                     
 on investments, futures, foreign currency and                         
 forward foreign currency contracts                         (1,271,012)
Unrealized appreciation (depreciation) on:                             
       Investments                                          (6,074,315)
       Futures contracts, written options and swap                     
        agreement                                             (874,369)
       Foreign currency and forward foreign currency                   
        contracts                                               54,191 
Capital shares at par value of $.01 (Note 4)                   194,008 
Additional paid-in capital                                 241,129,879 
                                                         ------------- 
NET ASSETS                                               $ 240,016,081 
                                                         ============= 
Capital shares outstanding (Note 4)                         19,400,775 
                                                         ------------- 
Net asset value, offering price and redemption price                   
 per share                                               $       12.37 
                                                         ============= 
Investments in securities, including repurchase                        
 agreements, at identified cost (Note 2)                 $ 281,818,086 
                                                         ------------- 
Investments in foreign currency, at identified cost                    
 (Note 2)                                                $     116,373 
                                                         ============= 

The accompanying notes are an integral part of the financial st