-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, OVdWcks/1gedyaz4AwX3TBJRhN9NgmP25QKK3VvEERrCaLSZkdl5K1nyZR923z2K HEoRxFz4WB9uvBMAwggqtg== 0000950124-01-000904.txt : 20010223 0000950124-01-000904.hdr.sgml : 20010223 ACCESSION NUMBER: 0000950124-01-000904 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20001231 FILED AS OF DATE: 20010215 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT CENTRAL INDEX KEY: 0000742277 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 390509570 STATE OF INCORPORATION: WI FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-03989 FILM NUMBER: 1546945 BUSINESS ADDRESS: STREET 1: 720 E WISCONSIN AVE CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 4142992508 MAIL ADDRESS: STREET 1: 720 EAST WISCONSIN AVENUE CITY: MILWAUKEE STATE: WI ZIP: 53202 N-30D 1 c59583n-30d.txt FORM N-30D 1 [NML GRAPHIC] REPORT Northwestern Mutual Variable Life Account December 31, 2000 [NORTHWESTERN MUTUAL(TM) LOGO] Milwaukee, WI 53202 (414) 271-1444 2 Letter to Policyowners January 31, 2001 The year just ended was an unusual one for investors. Bonds performed better than stocks, which posted their first down year in a decade. Even though the economy continued to grow, the securities that achieved the highest returns were the least risky of all -- U.S. Treasury bonds. In the first quarter of 2000, after shrugging off Y2K concerns, bullish investors kept the stock market in its long upward trend, led by technology shares. After a peak in March, technology shares began to tumble, driving all major equity indices down. During the summer, it appeared that the market might regain lost ground, but with different leadership, as larger, more defensive stocks began to strengthen. As the year progressed, equity and bond markets remained highly volatile, and any hint of earnings or other problems seemed to produce an overreaction by investors. Meantime, consumer spending kept the economy strong, while inflation and unemployment remained low. In the first half, The Federal Reserve continued its drive to keep inflation and overall growth in check with a series of interest rate increases. Despite overall economic growth that was more robust than most forecasts, there seemed to be a sense of uneasiness, as if investors sensed the inevitability of an eventual slowdown. As the year drew to a close, there were increasing signs of weakening consumer and industrial spending. In January, it almost seemed that financial publications were competing with each other to describe just how bad the stock market was in 2000. The S&P 500 Index had its biggest decline since 1977 and one of only 12 down years in 55 years. The technology-heavy NASDAQ Composite Index had its worst year since it was established in 1971. From its peak in March to its trough in December, the NASDAQ was down 54%, more than the 45% drop suffered in the brief 1987 market crash. Investors may be encouraged to learn that only once since World War II (in 1973-74) has the S&P 500 been down for two consecutive years. Perhaps more relevant, it is worth remembering the benefits of a long-term approach to investing. An investor in the S&P 500 Index for the last five years achieved a compound annual return of 18.3% by the end of 2000, and a ten-year investor had a compound annual return of 17.4%, despite the poor performance last year. Of course it is always easy to look back and spot indications of what was about to happen. Although hardly any of the computer problems anticipated as dates changed from 1999 to 2000 actually occurred, one reason was that companies and governments invested heavily in advance to update systems and add capacity. Additionally, there was some advance purchasing in late 1999 in anticipation of possible problems. These expenditures inevitably borrowed from spending in 2000. Many of the high-flying technology companies that drove the market to its peak, especially internet companies, had exciting stories but no earnings. Investors, even some very seasoned ones, bought shares without regard to traditional valuation measures because statistics such as price/earnings ratios or discounted present value did not seem to apply. We regard the fall in the NASDAQ index as a necessary correction to speculative excesses in technology stocks. Investors in Northwestern Mutual's portfolios benefited from our commitment to the disciplines of proven investment techniques. While we may have trailed performance of more speculative investors at the peak of the market, declines in our portfolios were far less precipitous than those experienced by some investors because all our portfolios are well diversified. While we have enjoyed participating in the extraordinarily strong stock market of recent years, we have continually advised investors not to consider annual returns of 20% or more normal. We share the belief of many economists and business people that the advances in technology and productivity of the "new economy" make it possible for the economy to grow more rapidly than in the past. The highly competitive nature of today's global economy demands healthy levels of investment spending, which will support ongoing growth and productivity gains. Nonetheless, we believe there is a limit to the level of growth that is sustainable. Some degree of cyclicality seems inevitable, despite the effectiveness of the Federal Reserve's efforts to mitigate economic cycles through interest rate adjustments. We believe that periods of strength and weakness in all markets are inevitable, and we are convinced that a healthy degree of diversification and a long-term outlook are the keys to responsible, productive investing. Your financial representative, backed by the experience and expertise of the Northwestern Mutual Financial Network, is a great source of help as you plan for a financially secure future. The Northwestern Mutual Life Insurance Company [JAMES A. ERICSON SIGNATURE] James D. Ericson, Chairman and Chief Executive Officer [Ericson Photo] Letter to Policyowners 3 (This page intentionally left blank) 4 CONTENTS Letter to Policyowners Performance Summary for Separate Accounts 2 Economic Overview and Outlook 11 Series Fund Objectives and Schedule of Investments Small Cap Growth Stock Portfolio 13 Aggressive Growth Stock Portfolio 16 International Equity Portfolio 19 Index 400 Stock Portfolio 23 Growth Stock Portfolio 29 Growth and Income Stock Portfolio 32 Index 500 Stock Portfolio 35 Balanced Portfolio 42 High Yield Bond Portfolio 55 Select Bond Portfolio 60 Money Market Portfolio 66 Accountants' Report 69 Statements of Assets and Liabilities 70 Statements of Operations 72 Statements of Changes in Net Assets 74 Financial Highlights 80 Notes to Series Fund Financial Statements 86 Accountants' Report 90 Variable Life Account Financial Statements 91 Notes to Variable Life Account Financial Statements 104 Directors and Officers 106 The Russell Annual Report Starts After Page 106
There is a wealth of information about Variable CompLife available at the touch of a button. For the latest information about policy values and performance data, call the toll-free Northwestern Mutual Express line any time. 1-800-519-4665. Policyowners must provide a policy number plus a Personal Identification Number (PIN) to utilize this service. You can also visit us at our customer service section from our Web site for information on policy values, fund performance, and other information about Northwestern Mutual. www.northwesternmutual.com To sign up for this service please call 1-866-424-2609 between 7 a.m. - 6 p.m. Central Standard Time Monday - Friday. As always, your Financial Representative of the Northwestern Mutual Financial Network is available to answer any questions you have about your variable life policy or any of our products. Contents 5 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2000 Variable Life -- Policies Issued Before October 11, 1995
AGGRESSIVE SMALL CAP GROWTH INTERNATIONAL INDEX 400 TOTAL RETURN GROWTH STOCK STOCK EQUITY STOCK (AS OF 12/31/2000) DIVISION DIVISION DIVISION DIVISION - ----------------------------------------------------------------------------------------------- 1 year............................. -14.11% -14.54% -20.14% -5.66% 5 years............................ - 72.23% 35.90% - Annualized....................... - 11.49% 6.33% - 10 years........................... - - - - Annualized....................... - - - - Since division inception in Varia- ble Life Account................. 31.75%@ 147.72%* 54.08%# 0.54%@ Annualized....................... 20.12% 14.58% 6.70% 0.36% Since portfolio inception++........ 59.10%@ 359.81%* 90.29% 5.95%@ Annualized....................... 32.03% 16.48% 8.75% 3.52% Current Yield### Variable Complife -- Polices Issued On or After October 11, 1995** Without Surrender - ----------------------------------------------------------------------------------------------- 1 year............................. -7.35% -7.81% -13.86% 1.77% 5 years............................ - 86.55% 47.21% - Annualized....................... - 13.28% 8.04% - 10 years........................... - - - - Annualized....................... - - - - Since division inception in Varia- ble Life Account................. 42.20%@ 168.78%* 67.17%# 8.51%@ Annualized....................... 26.37% 16.00% 8.02% 5.58% Since portfolio inception++........ 71.72%@ 445.65%* 111.87% 14.31%@ Annualized....................... 38.20% 18.49% 10.28% 8.33% Current Yield### Variable Complife -- Polices Issued On or After October 11, 1995** With Surrender Charge - ----------------------------------------------------------------------------------------------- 1 year............................. -47.12% -47.59% -53.64% -38.01% 5 years............................ - 38.64% -0.70% - Annualized....................... - 6.75% -0.14% - 10 years........................... - - - - Annualized....................... - - - - Since division inception in Varia- ble Life Account................. 0.39%@ 124.55%* 22.94%# -31.27%@ Annualized....................... 0.26% 12.91% 3.15% -23.60% Since portfolio inception++........ 29.90%@ 406.94%* 69.48% -27.50%@ Annualized....................... 16.95% 18.46% 7.12% -17.50% Current Yield### GROWTH & GROWTH INCOME INDEX 500 TOTAL RETURN STOCK STOCK STOCK BALANCED (AS OF 12/31/2000) DIVISION DIVISION DIVISION DIVISION - ----------------------------------- ------------------------------------------------- 1 year............................. -21.51% -25.12% -26.56% -19.64% 5 years............................ 85.94% 50.32% 81.72% 42.39% Annualized....................... 13.21% 8.49% 12.69% 7.32% 10 years........................... - - 263.47%! 149.18% Annualized....................... - - 13.77% 9.56% Since division inception in Varia- ble Life Account................. 144.18%## 95.48%## - - Annualized....................... 14.34% 10.58% - - Since portfolio inception++........ - - - - Annualized....................... - - - - Current Yield### Variable Complife -- Polices Issued On or After October 11, 1995** Without Surrender - ----------------------------------- 1 year............................. -15.33% -19.22% -20.77% -13.32% 5 years............................ 101.40% 62.82% 96.83% 54.23% Annualized....................... 15.03% 10.24% 14.50% 9.05% 10 years........................... - - 295.71%! 171.28% Annualized....................... - - 14.75% 10.49% Since division inception in Varia- ble Life Account................. 164.92%## 112.10%## - - Annualized....................... 15.75% 11.95% - - Since portfolio inception++........ - - - - Annualized....................... - - - - Current Yield### Variable Complife -- Polices Issued On or After October 11, 1995** With Surrender Charge - ----------------------------------- 1 year............................. -55.11% -59.00% -60.55% -53.10% 5 years............................ 53.49% 14.92% 48.92% 6.32% Annualized....................... 8.95% 2.82% 8.29% 1.23% 10 years........................... - - 257.00%! 132.57% Annualized....................... - - 13.57% 8.81% Since division inception in Varia- ble Life Account................. 120.69%## 67.87%## - - Annualized....................... 12.62% 8.08% - - Since portfolio inception++........ - - - - Annualized....................... - - - - Current Yield###
See footnotes on page 4. Performance Summary 2 6
RUSSELL RUSSELL RUSSELL HIGH YIELD SELECT MONEY MULTI-STYLE AGGRESSIVE RUSSELL RUSSELL REAL ESTATE BOND BOND MARKET EQUITY EQUITY NON-U.S. CORE BOND SECURITIES DIVISION DIVISION DIVISION DIVISION+ DIVISION+ DIVISION+ DIVISION+ DIVISION - --------------------------------------------------------------------------------------------------------- -23.21% -11.29% -14.44% -29.38% -20.05% -31.13% -11.46% 2.41% 1.23% 3.37% 2.36% - - - - - 0.24% 0.66% 0.47% - - - - - - 62.71% 22.72% - - - - - - 4.99% 2.07% - - - - - 20.37%## - - -26.47% -16.33% -14.49% -11.32% -3.92% 2.82% - - -18.49% -11.18% - 9.88% -7.68% -2.62% - - - 34.05% 13.33% 1.90% 1.55% -5.47%@ - - - 7.61% 3.18% 0.47% 0.38% -3.31% 6.40% - --------------------------------------------------------------------------------------------------------- -17.16% -4.31% -7.71% -23.82% -13.75% -25.71% -4.49% 10.48% 9.65% 11.97% 10.87% - - - - - 1.86% 2.29% 2.08% - - - - - - 77.14% 33.61% - - - - - - 5.89% 2.90% - - - - - 30.60%## - - -20.64% -9.69% -7.71% -4.29% 3.71%@ 4.09% - - -14.24% -6.55% -5.19% -2.87% 2.45% - - - 45.04% 22.63% 10.26% 9.87% 2.05%@ - - - 9.76% 5.24% 2.47% 2.39% 1.22% 6.40% - --------------------------------------------------------------------------------------------------------- -56.94% -44.09% -47.49% -63.60% -53.53% -65.48% -44.27% -29.30% -38.26% -35.94% -37.04% - - - - - -9.19% -8.52% -8.85% - - - - - - 38.43% -5.11% - - - - - - 3.31% -0.58% - - - - - -13.63%## - - -60.42% -49.47% -47.49% -44.06% -36.07%@ -2.17% - - -47.86% -38.19% -36.52% -33.69% -27.31% - - - -0.84% -23.25% -35.62% -36.00% -39.76%@ - - - -0.21% -6.41% -10.44% -10.57% -26.16% 6.40%
3 Performance Summary 7 All total return figures shown above reflect all portfolio expenses, mortality and expense risk charges and all deductions taken from premiums. Returns do not include cost of insurance charges. These charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses. Premium deductions for Variable Life policies are reflected as 18.95% of premium based on average charges during the first ten policy years for a Variable Whole Life policy with a policy size of $100,000 and an annual premium of $1,536 for a male, age 35, select risk. Premium deductions for Variable CompLife policies are reflected as 12.65%. The premium deductions and surrender charges for Variable CompLife policies are based on an assumed average contract size of $200,000 of Variable Whole Life amount, $0 of Additional Protection and an annual premium of $2,610 for a male, age 35, select risk. Assumes annual premiums are paid in renewal years; if not, then a portion of the deductions to be taken from renewal premiums will be deducted from the account assets, reducing the rate of return. Performance data represents past results and is not a guarantee of future results. Future value will fluctuate, so that an investors shares, when redeemed, may be worth more or less than their original cost. ! On April 30, 1993, the Index 500 Stock Portfolio was indexed to approximate the performance of the Standard and Poor's 500 Composite Stock Price Index. Before then, the Portfolio was actively managed. # Inception date of this division in the Variable Life Account was 5/3/94. Actual portfolio inception was 4/30/93. Performance quoted prior to 4/30/93 is based on actual investment experience, adjusted for expenses of the product and premium charges. These returns are not a guarantee of future performance. ## Inception date of 5/3/94. ++ Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. * Inception date of this division in the Variable Life Account was 5/3/94. Actual fund inception was 11/30/1990. Performance quoted prior to 11/30/1990 is based on actual investment experience, adjusted for expenses of the product and premium charges. ** Product inception date of 10/11/95. Returns prior to 10/11/95 were reflected using the actual investment experience of each division, adjusted for the expenses of the product and premium charges. @ Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. + Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. ### For the seven-day period ended December 31, 2000, the Money Market Portfolio's yield was 6.40% and was equivalent to a compound effective yield of 6.61%. The seven-day yield does not include deductions that are included in the separate accounts. The yield quotation more closely reflects the current earnings of the Money Market Portfolio than the total return quotation. Note: "Standard and Poor's 500", "S&P 500" and "S&P 400" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Northwestern Mutual Life Insurance Company. The Series Fund and its Portfolios are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in them. Performance Summary 4 8 (This page intentionally left blank) 9 Variable Executive Life -- Policies First Offered on March 2, 1998*** Without Surrender Charge
AGGRESSIVE SMALL CAP GROWTH INTERNATIONAL INDEX 400 TOTAL RETURN GROWTH STOCK STOCK EQUITY STOCK (AS OF 12/31/2000) DIVISION DIVISION DIVISION DIVISION - ----------------------------------------------------------------------------------------------- 1 year............................. -14.66% -15.09% -20.69% -6.22% 5 years............................ - 73.81% 22.72% - Annualized....................... - 11.69% 4.18% - 10 years........................... - - - - Annualized....................... - - - - Since division inception in Varia- ble Life Account................. 24.32%@ 150.84%* 52.36% ** -3.53%@ Annualized....................... 11.50% 14.04% 6.20% -1.78% Since portfolio inception++........ 46.92%@ 285.62%* 76.10% 3.65%@ Annualized....................... 21.21% 14.45% 7.33% 1.81% Current Yield### Variable Executive Life -- Policies First Offered on March 2, 1998*** With Surrender Charge - ----------------------------------------------------------------------------------------------- 1 year............................. 0.34% -0.09% -5.69% 8.78% 5 years............................ - 73.81% 22.72% - Annualized....................... - 11.69% 4.18% - 10 years........................... - - - - Annualized....................... - - - - Since division inception in Varia- ble Life Account................. 40.42%@ 150.84%* 52.36%** 11.22%@ Annualized....................... 18.50% 14.04% 6.20% 5.46% Since portfolio inception++........ 61.09%@ 285.62%* 76.10% 16.49%@ Annualized....................... 26.92% 14.45% 7.33% 7.93% Current Yield### Variable Joint Life -- Policies First Offered on December 28, 1998**** Without Surrender Charge - ----------------------------------------------------------------------------------------------- 1 year............................. -19.24% -19.68% -25.39% -10.62% 5 years............................ - 44.30% 0.40% - Annualized....................... - 7.61% 0.08% - 10 years........................... - - - - Annualized....................... - - - - Since division inception in Varia- ble Life Account................. 15.33%@ 105.79%* 21.16%** -14.62%@ Annualized....................... 7.39% 10.86% 2.78% -7.60% Since portfolio inception++........ 37.55%@ 209.75%* 40.69% -8.20%@ Annualized....................... 17.28% 11.97% 4.36% -4.19% Current Yield### GROWTH & GROWTH INCOME INDEX 500 TOTAL RETURN STOCK STOCK STOCK BALANCED (AS OF 12/31/2000) DIVISION DIVISION DIVISION DIVISION - ----------------------------------- ------------------------------------------------- 1 year............................. -22.06% -25.66% -27.09% -20.19% 5 years............................ 63.78% 22.66% 51.76% 28.24% Annualized....................... 10.37% 4.17% 8.70% 5.10% 10 years........................... - - 269.42%! 144.90% Annualized....................... - - 13.96% 9.37% Since division inception in Varia- ble Life Account................. 141.60%# 74.74%# - - Annualized....................... 13.43% 8.30% - - Since portfolio inception++........ - - - - Annualized....................... - - - - Current Yield### Variable Executive Life -- Policies First Offered on March 2, 1998*** With Surrender Charge - ----------------------------------- 1 year............................. -7.06% -10.66% -12.09% - 5.19% 5 years............................ 63.78% 22.66% 51.76% 28.24% Annualized....................... 10.37% 4.17% 8.70% 5.10% 10 years........................... - - 269.42%! 144.90% Annualized....................... - - 13.96% 9.37% Since division inception in Varia- ble Life Account................. 141.60%# 74.74%# - - Annualized....................... 13.43% 8.30% - - Since portfolio inception++........ - - - - Annualized....................... - - - - Current Yield### Variable Joint Life -- Policies First Offered on December 28, 1998**** Without Surrender Charge - ----------------------------------- 1 year............................. -26.78% -30.44% -31.89% -24.88% 5 years............................ 37.07% 1.31% 26.96% 5.31% Annualized....................... 6.51% 0.26% 4.89% 1.04% 10 years........................... - - 204.54%! 97.08% Annualized....................... - - 11.78% 7.02% Since division inception in Varia- ble Life Account................. 98.24%# 41.37%# - - Annualized....................... 10.27% 5.07% - - Since portfolio inception++........ - - - - Annualized....................... - - - - Current Yield###
See footnotes on page 10. Performance Summary 6 10
RUSSELL RUSSELL RUSSELL HIGH YIELD SELECT MONEY MULTI-STYLE AGGRESSIVE RUSSELL RUSSELL REAL ESTATE BOND BOND MARKET EQUITY EQUITY NON-U.S. CORE BOND SECURITIES DIVISION DIVISION DIVISION DIVISION+ DIVISION+ DIVISION+ DIVISION+ DIVISION - ---------------------------------------------------------------------------------------------------------- -23.74% -11.85% -15.00% -29.91% -20.59% -31.65% -12.02% 1.84% -18.25% 3.09% 1.56% - - - - - -3.95% 0.61% 0.31% - - - - - - 50.32% 27.63% - - - - - - 4.16% 2.47% - - - - - -2.01%# - - -39.69% -26.47% -30.43% -17.75% -3.98%@ -0.29% - - -22.34% -14.25% -16.59% -9.31% -2.01% - - - 6.89% -5.41% -3.94% -1.15% -1.40%@ - - - 1.68% -1.38% -1.00% -0.29% -0.70% 6.40% - ---------------------------------------------------------------------------------------------------------- -8.74% 3.15% 0.00% -14.91% -5.59% -16.65% 2.98% 16.84% -18.25% 3.09% 1.56% - - - - - -3.95% 0.61% 0.31% - - - - - - 50.32% 27.63% - - - - - - 4.16% 2.47% - - - - - -2.01%# - - -27.29% -13.12% -17.34% -3.84% 10.73%@ -0.29% - - -14.73% -6.79% -9.08% -1.94% 5.23% - - - 6.89% -5.41% -3.94% -1.15% 11.24%@ - - - 1.68% -1.38% -1.00% -0.29% 5.47% 6.40% - ---------------------------------------------------------------------------------------------------------- -28.50% -16.37% -19.59% -34.76% -25.28% -36.53% -16.54% -2.37% -34.63% -17.40% -18.67% - - - - - -8.15% -3.75% -4.05% - - - - - - 17.43% -2.18% - - - - - - 1.62% -0.22% - - - - - -23.70%# - - -47.90% -35.84% -38.30% -28.21% -16.20%@ -3.79% - - -27.82% -19.90% -21.45% -15.27% -8.46% - - - -10.70% -22.16% -21.69% -19.54% -14.40%@ - - - -2.79% -6.07% -5.93% -5.29% -7.48% 6.40%
7 Performance Summary 11 Variable Joint Life -- Policies First Offered on December 28, 1998**** With Surrender Charge
AGGRESSIVE GROWTH & SMALL CAP GROWTH INTERNATIONAL INDEX 400 GROWTH INCOME INDEX 500 TOTAL RETURN GROWTH STOCK STOCK EQUITY STOCK STOCK STOCK STOCK (AS OF 12/31/2000) DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION - ------------------------------------------------------------------------------------------------------------------------------- 1 year........................ -69.24% -69.68% -75.39% -60.62% -76.78% -80.44% -81.89% 5 years....................... - 34.20% -8.77% - 27.14% -7.89% 17.23% Annualized.................. - 6.06% -1.82% - 4.92% -1.63% 3.23% 10 years...................... - - - - - - 204.54%! Annualized.................. - - - - - - 11.78% Since division inception in Variable Life Account....... -30.28%@ 99.51%* 15.82%** -54.36%@ 92.04%# 35.81%# - Annualized.................. -16.50% 10.37% 2.12% -7.60% 9.77% 4.47% - Since portfolio inception++... -3.96%@ 208.37%* 37.17% -44.06%@ - - - Annualized.................. -2.00% 11.92% 4.03% -25.21% - - - Current Yield### TOTAL RETURN BALANCED (AS OF 12/31/2000) DIVISION - ------------------------------ ------------ 1 year........................ -74.88% 5 years....................... -3.98% Annualized.................. -0.81% 10 years...................... 97.08% Annualized.................. 7.02% Since division inception in Variable Life Account....... - Annualized.................. - Since portfolio inception++... - Annualized.................. - Current Yield###
See footnotes on page 10. Performance Summary 8 12
RUSSELL RUSSELL RUSSELL HIGH YIELD SELECT MONEY MULTI-STYLE AGGRESSIVE RUSSELL RUSSELL REAL ESTATE BOND BOND MARKET EQUITY EQUITY NON-U.S. CORE BOND SECURITIES DIVISION DIVISION DIVISION DIVISION+ DIVISION+ DIVISION+ DIVISION+ DIVISION - ----------------------------------------------------------------------------------------------------------- -78.50% -66.37% -69.59% -84.76% -75.28% -86.53% -66.54% -52.37% -42.70% -26.06% -27.27% - - - - - -10.54% -5.86% -6.17% - - - - - - 17.43% -2.18% - - - - - - 1.62% -0.22% - - - - - -28.24%# - - -78.82% -70.35% -72.13% -64.73% -55.59%@ -4.63% - - -53.98% -45.55% -47.21% -40.61% -33.36% - - - -23.41% -34.39% -33.95% -31.88% -49.31%@ - - - -6.45% -10.00% -9.85% -9.15% -28.80% 6.40%
9 Performance Summary 13 All total return figures shown above reflect all portfolio expenses, mortality and expense risk charges and all deductions taken from premiums. Returns do not include cost of insurance charges. These charges effectively reduce the dollar amount of any net gains and increase the dollar amount of any net losses. Premium deductions for Variable Executive Life policies are comprised of 3.6% for state premium tax and federal tax and 15% for sales costs. Returns also reflect the annual administrative charge of 0.36% in policy year 1 and 0.12% in all other policy years. The charges against Policy Value assume an average Specified Amount of $500,000, Death Benefit Option A, and an annual premium of $10,000 for a sex-neutral, age 45, guaranteed issue non-tobacco risk. Total returns with surrender for Variable Executive Life policies are based on the same policy assumptions as premium deductions. They include a cash value increase equal to a portion of the sales load previously deducted, which is only applicable for the first two years. Premium deductions for the Variable Joint Life insurance policies are comprised of 3.6% for state premium tax and federal tax and 6.4% for sales costs. Returns also reflect Policy Value charges such as underwriting and issue charge of 0.22%, the deferred sales charge of 0.69% and the annual administrative charge of 0.02%. The charges against Policy Value assume an average Specified Amount of $3,000,000, Death Benefit Option A, and an annual premium of $55,740 for an age 55 male select/age 55 female select risk. Surrender charges are deducted from the policy proceeds upon surrender of the policy during the first 10 policy years (year 1, 50% of the paid premium, years 2-10, charge decreases by the same dollar amount month by month to zero at the end of the 10th year). Performance data reflects past results and is not a guarantee of future results. Future value will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. ! On April 30, 1993, the Index 500 Stock Portfolio was indexed to approximate the performance of the Standard and Poor's 500 Composite Stock Price Index. Before then, the Portfolio was actively managed. ++ Returns stated are as of the inception date of the portfolio which precedes availability in the Variable Life Account. See the following footnotes for portfolio inception dates. * Inception date of this division in the Variable Life Account was 5/3/94. Actual fund inception was 11/30/1990. Performance quoted prior to 5/3/94 is based on actual investment experience, adjusted for expenses of the product and premium charges. ** Inception date of this division in the Variable Life Account was 5/3/94. Actual portfolio inception was 4/30/93. Performance quoted prior to 5/3/94 is based on actual investment experience, adjusted for expenses of the product and premium charges. *** Product inception date of 3/2/98. (For use with non-tax qualified executive benefit plans.) Returns prior to 3/2/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. **** Product inception date of December 28, 1998 (For use primarily in estate planning, provides coverage on two insureds with a death benefit payable on the second death). Returns prior to 12/28/98 were reflected using the actual investment experience of each division adjusted for expenses of the product and premium charges. @ Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 4/30/99. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. + Inception date of this division in the Variable Life Account was 6/30/99. Actual fund inception was 1/2/97. Performance quoted prior to 6/30/99 is based on actual investment experience, adjusted for expenses of the product and premium charges. # Inception date of 5/3/94. ### For the seven-day period ended December 31, 2000, the Money Market Portfolio's yield was 6.40% and was equivalent to a compound effective yield of 6.61%. The seven-day yield does not include deductions that are included in the separate accounts. The yield quotation more closely reflects the current earnings of the Money Market Portfolio than the total return quotation. Note: "Standard and Poor's 500", "S&P 500" and "S&P 400" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Northwestern Mutual Life Insurance Company. The Series Fund and its Portfolios are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in them. Performance Summary 10 14 - -------------------------------------------------------------------------------- The Economy After nine years of expansion, often at rates that have appeared unsustainable, the U.S. economy is finally showing signs of slowing. Most retailers posted disappointing results for the important December shopping season, and auto sales declined in both November and December. Every day seems to bring a new crop of earnings warnings from companies worried about slowing revenue growth. In early January 2001, the Federal Reserve announced a 50 basis point (one-half percentage point) cut in the federal funds rate, accompanied by the suggestion that more rate cuts are likely. This surprise move, between regular meetings, indicates that the Fed's previous concern about accelerating inflation has been supplanted by worries about a slowing economy. The big question now is whether there will be a recession, defined officially as two consecutive quarters of negative real growth. Most economists believe that the rate of growth will slow, but that underlying strength and a more expansive Fed policy will prevent an actual decline. Projections of the 50 economists participating in Business Week's annual survey averaged 3.1% for real economic growth in 2001 and an increase of 2.5% in consumer prices, with unemployment remaining at a moderate 4.3%. ECONOMIC GROWTH AND INFLATION [Economic Growth and Inflation Performance Graph]
REAL GDP CPI-U -------- ----- 91 -5.0 3.0 92 3.1 3.0 93 2.7 2.8 94 4.0 2.6 95 2.7 2.6 96 3.6 3.2 97 4.4 1.7 98 4.4 1.6 99 4.2 2.2 00 3.8 3.3
Source: U.S. Department of Commerce. Year-to-year percentage change in Real Gross Domestic Product is used for real economic growth. December-to-December percentage change in the Consumer Price Index -- Urban is used for the inflation rate. 2000 numbers are based on preliminary data and Business Week's survey of 50 business economists. - -------------------------------------------------------------------------------- The Equity Market The long trend of positive equity returns was broken in 2000. After five consecutive years of returns above 20%, total return from the S&P 500 Index was a negative 9% for the year. This was the first down year for this broad market index since 1990, and the biggest decline since 1977. The NASDAQ Composite Index had its worst year since it was established in 1971 -- down 39%. Though it fared better than the other indices, the blue-chip Dow Jones Industrial Average suffered its worst year since 1981, with a decline of 6%. The weakness was most pronounced in technology shares, which had led the market for several years. Between October 1998 and its peak in March 2000, the technology-heavy NASDAQ index climbed 256%; it then dropped 51% between the end of March and the end of December. Outside the realm of technology, many stocks actually performed quite well for the year, especially utilities, energy and health care companies. The result was a rather dramatic change in relative values. At the end of March, technology giants Microsoft, Cisco Systems and Intel had the first, second and fourth highest market values among all publicly owned companies in the United States. At the end of the year, Cisco was fourth, behind General Electric, Exxon Mobil and Pfizer; Microsoft was sixth, behind Wal-Mart; and Intel was tenth, behind Citigroup, American International Group and Merck. ANNUAL TOTAL RETURNS FROM S&P 500 INDEX [Annual Total Returns from S&P Performance Graph] 91 30.50 92 7.60 93 10.10 94 1.20 95 37.40 96 22.80 97 33.30 98 28.50 99 21.10 00 -9.00
Source: Standard & Poor's - -------------------------------------------------------------------------------- 11 Economic Overview and Outlook 15 - -------------------------------------------------------------------------------- The Bond Market The year just ended was one of those rare years in which bonds substantially outperformed stocks: total return from the Merrill Lynch Domestic Master Index was 11.7%, versus a loss of 9.0% in the S&P 500 Index. The highest returns of any class of securities came from U.S. Treasury bonds, which performed better than other corporate or asset-backed bonds, as nervous investors sought these ultra-safe investments at a time they were in relatively short supply. Corporate bonds performed less well because of concerns about corporate earnings in a slowing economy, while prices of mortgage-backed securities reflected the possibility of mortgage refinancings as interest rates drop. An unusual feature of the bond market in 2000 was that the yield curve was inverted (meaning that short term securities had higher yields than longer term bonds) from February until late November; ordinarily, yields are higher on long-term bonds because investors require higher returns for a longer-term commitment. This inversion provided a strong indication that bond investors expected an economic slowdown. Beginning in December, with the increased likelihood of easier monetary policy and evidence of a reduced rate of economic growth, the yield curve returned to a positive slope, and it has become steeper since then. At the end of the year, prices of short-term bonds reflected the expectation of lower interest rates in the near future, while long-term issues evidenced concern about rising inflation. ANNUAL TOTAL RETURNS FROM MERRILL LYNCH DOMESTIC MASTER INDEX [Annual Total Returns From Merrill Lynch line graph] 91 15.9 92 7.6 93 10.0 94 -2.8 95 18.5 96 3.6 97 9.7 98 8.9 99 -1.0 00 11.7
Source: Merrill Lynch. The Merrill Lynch Domestic Master Index is an unmanaged market value weighted index comprised of U.S. Government, mortgage and investment-grade corporate bonds. - -------------------------------------------------------------------------------- Economic Overview and Outlook 12 16
Objective: Portfolio Strategy: Net Assets: Maximum long-term appreciation Strive for the highest possible rate of capital $250,313,980 of capital appreciation by investing in companies with potential for rapid growth.
SMALL CAP GROWTH STOCK PORTFOLIO The Small Cap Growth Stock Portfolio owns the stocks of emerging growth companies, with the objective of maintaining a median market capitalization of $1 billion. The range of market capitalization is generally between $200 million and $3 billion. The investment process involves detailed studies of individual companies. Factors evaluated include the growth rates of revenues and earnings, opportunities for margin expansion, financial strength and quality of management. Since growth stock portfolios tend to react strongly to changes in financial and economic markets, as well as to changes in the prospects for individual companies, returns of this Portfolio can vary considerably from time to time. A higher level of risk (with risk defined as variability of returns over time) is accepted for the potential of greater long-term returns. For 2000, the Small Cap Portfolio provided total return of 6.7% versus a negative 3.0% for the Russell 2000 Index and 11.8% for the S&P 600 Index. Technology holdings performed quite well during the first quarter before values began to drop; performance benefited from a subsequent reduction the Portfolio's technology exposure, especially in semiconductors and related businesses. A substantial position in energy-related stocks helped performance; Nabors Industries, a driller, and Orion Power Holdings, an independent power producer, performed especially well. Health care holdings such as Lincare Holdings, Universal Health Services and Patterson Dental also contributed to performance. At the end of 2000, the Portfolio is defensively positioned, with relatively heavy weights in health care, financial and energy service companies. Although technology remains the single largest sector, the Portfolio's emphasis on technology continues to be considerably less than many small cap growth funds. SECTOR ALLOCATION 12/31/00 [SECTOR ALLOCATION PIE CHART]
INDUSTRIAL CONSUMER & CONSUMER TECHNOLOGY CYCLICAL HEALTHCARE TRANSPORTATION ENERGY FINANCE STAPLES UTILITIES ---------- -------- ---------- -------------- ------ ------- -------- --------- Sector Allocation 21 18 15 14 8 7 5 2 RUSSELL OTHER 2000 ASSETS, INDEX LESS FUTURES LIABILITIES ------- ----------- Sector Allocation 7 3
The Small Cap Growth Stock Portfolio's investment in Initial Public Offerings (IPOs) had a significant impact on its performance during certain of the periods shown. There can be no assurance that IPOs will continue to have a positive effect on the Portfolio's performance. TOP 10 HOLDINGS 12/31/00
Company % of Total Net Assets ------------------------------------------------------------------------------------ Lincare Holdings, Inc. 3.2% ------------------------------------------------------------------------------------ O'Reilly Automotive, Inc. 3.2% ------------------------------------------------------------------------------------ The Corporate Executive Board Company 2.8% ------------------------------------------------------------------------------------ Radian Group Inc. 2.7% ------------------------------------------------------------------------------------ Nabors Industries, Inc. 2.6% ------------------------------------------------------------------------------------ Universal Health Services, Inc. - Class B 2.6% ------------------------------------------------------------------------------------ SkyWest, Inc. 2.5% ------------------------------------------------------------------------------------ Tetra Tech, Inc. 2.4% ------------------------------------------------------------------------------------ C.H. Robinson Worldwide, Inc. 2.4% ------------------------------------------------------------------------------------ Atlantic Coast Airlines Holdings, Inc. 2.4%
PERFORMANCE RELATIVE TO THE RELEVANT INDICES [PERFORMANCE RELATIVE TO THE RELEVANT INDICES LINE GRAPH]
SMALL CAP GROWTH STOCK PORTFOLIO S&P 600 INDEX RUSSELL 2000 INDEX ---------------- ------------- ------------------ 4/99 10000.00 10000.00 10000.00 12/99 18609.00 11586.00 11767.00 12/31/00 19860.00 12953.00 11412.00
- ------------------------------------------------------------ Average Annual Total Return For Period Ended December 31, 2000 One year Since return Inception# - ------------------------------------------------------------ Small Cap Growth Stock Portfolio 6.71% 50.76% S&P 600 Index 11.80% 16.75% Russell 2000 -3.02% 8.22% - ------------------------------------------------------------ #Inception date of 4/30/1999
Since the Portfolio invests primarily in small capitalization issues, the indices that best reflect the Portfolio's performance are the Standard & Poor's (S&P) SmallCap 600 Index and Russell 2000 Index. The Standard & Poor's SmallCap 600 Index is an unmanaged index of 600 selected common stocks of smaller U.S.-based companies compiled by Standard & Poor's Corporation. As of December 31, 2000, the 600 companies in the composite had median market capitalization of $455 million and total market value of $348.8 billion. The SmallCap 600 represents approximately 2% of the market value of S&P's database of over 10,000 equities. The Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index. The Russell 3000 Index measures the performance of the 3,000 largest US companies based on total market capitalization. These 3000 companies represent approximately 98% of the investable US equity market. As of December 31, 2000, the average market capitalization of companies in the Russell 3000 was $5.1 billion; the median market capitalization was $791.1 million. Market capitalization of companies in the Index ranged from $520 billion to $178 million. The Russell 2000 Index represents approximately 8% of the total market capitalization of the Russell 3000. As of December 31, 2000, the average market capitalization of companies in the Russell 2000 was approximately $580 million; the median market capitalization was approximately $466 million. The largest company in the index had a total market capitalization of approximately $1.5 billion. This chart assumes an initial investment of $10,000 made on 4/30/99 (commencement of the Portfolio's operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 13 Small Cap Growth Stock Portfolio 17 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (89.9%) PAR (000'S) ----------------------------------------------------------- BASIC MATERIALS (1.9%) Cambrex Corporation 104,300 $ 4,720 --------- TOTAL 4,720 --------- CAPITAL GOODS (5.1%) *APW Ltd. 97,000 3,274 *Dycom Industries, Inc. 58,950 2,119 Federal Signal Corporation 192,100 3,769 Kaydon Corporation 68,900 1,714 *Plexus Corp. 61,500 1,869 --------- TOTAL 12,745 --------- CONSUMER CYCLICAL (18.1%) *Catalina Marketing Corporation 106,900 4,162 *CDW Computer Centers, Inc. 75,100 2,093 *Charles River Associates Incorporated 57,900 597 *Coach, Inc. 101,200 2,910 *The Corporate Executive Board Company 177,900 7,074 *Dollar Tree Stores, Inc. 87,800 2,151 *Forrester Research, Inc. 76,500 3,830 *Heidrick & Struggles International, Inc. 76,000 3,197 *Hotel Reservations Network, Inc. - Class A 73,800 2,094 *O'Reilly Automotive, Inc. 297,200 7,951 *Resources Connection, Inc. 25,000 475 The Talbots, Inc. 55,900 2,550 *Tetra Tech, Inc. 191,900 6,117 --------- TOTAL 45,201 --------- CONSUMER STAPLES (5.2%) *Patterson Dental Company 174,500 5,910 *Priority Healthcare Corporation - Class B 126,300 5,155 *Westwood One, Inc. 96,600 1,866 --------- TOTAL 12,931 --------- ENERGY (8.3%) *Energy Partners, Ltd. 129,800 1,631 *Global Industries, Ltd. 311,700 4,266 *Grant Prideco, Inc. 188,000 4,124 *Marine Drilling Companies, Inc. 153,600 4,109 *Nabors Industries, Inc. 111,600 6,601 --------- TOTAL 20,731 --------- FINANCE (6.5%) Investors Financial Services Corp. 45,700 3,930 Radian Group Inc. 89,200 6,696 Waddell & Reed Financial, Inc. - Class A 153,150 5,762 --------- TOTAL 16,388 ---------
MARKET SHARES/ VALUE COMMON STOCK (89.9%) PAR (000'S) ----------------------------------------------------------- HEALTHCARE (15.4%) *Apogent Technologies, Inc. 105,800 $ 2,169 *Biovail Corporation 17,200 668 *CIMA Labs Inc. 49,200 3,201 *Lincare Holdings, Inc. 140,600 8,024 *Province Healthcare Company 148,550 5,849 *Renal Care Group, Inc. 54,500 1,494 *Shire Pharmaceuticals Group PLC, ADR 82,900 3,819 *Sybron Dental Specialties, Inc. 35,266 595 *Universal Health Services, Inc. - Class B 57,900 6,471 *Varian, Inc. 112,100 3,797 *Vascular Solutions, Inc. 212,800 1,569 *Ventana Medical Systems, Inc. 51,800 958 --------- TOTAL 38,614 --------- TECHNOLOGY (20.5%) *ACT Manufacturing, Inc. 56,200 885 *Advantage Learning Systems, Inc. 56,000 1,883 *Advent Software, Inc. 106,300 4,258 *Applied Micro Circuits Corporation 20,920 1,570 *Aspen Technology, Inc. 104,800 3,485 *BARRA, Inc. 23,850 1,124 *C-Cube Microsystems, Inc. 219,400 2,701 *Diversinet Corp. 65,600 148 *Documentum, Inc. 25,200 1,252 *EXFO Electro-Optical Engineering Inc. 19,200 502 *Getty Images, Inc. 128,400 4,108 *Inet Technologies, Inc. 103,700 4,199 *Inforte Corp. 107,000 1,471 *Luminent, Inc. 7,800 47 *MCSi, Inc. 46,400 992 *Metasolv Software, Inc. 105,800 965 *Power-One, Inc. 35,900 1,411 *Predictive Systems, Inc. 163,300 1,169 *PRI Automation, Inc. 149,300 2,799 *QLogic Corporation 33,500 2,580 *Semtech Corporation 48,800 1,077 *SmartForce Public Limited Company, ADR 102,300 3,843 *TESSCO Technologies Incorporated 131,000 2,358 *THQ INC. 58,300 1,421 *Universal Access, Inc. 65,200 522 *UTStarcom, Inc. 180,100 2,792 *Viasystems Group, Inc. 202,900 1,687 --------- TOTAL 51,249 --------- TRANSPORTATION (7.3%) *Atlantic Coast Airlines Holdings, Inc. 146,100 5,972 C.H. Robinson Worldwide, Inc. 192,500 6,052 SkyWest, Inc. 220,400 6,336 --------- TOTAL 18,360 ---------
Small Cap Growth Stock Portfolio 14 18
MARKET SHARES/ VALUE COMMON STOCK (89.9%) PAR (000'S) ----------------------------------------------------------- UTILITIES (1.6%) *Orion Power Holdings, Inc. 167,700 $ 4,130 --------- TOTAL 4,130 --------- TOTAL COMMON STOCK (COST $216,844) 225,069 --------- MONEY MARKET INVESTMENTS (15.9%) ----------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (0.6%) Federal Home Loan Mortgage Corporation, 6.445%, 1/23/01 $1,400,000 1,394 --------- TOTAL 1,394 --------- FINANCE LESSORS (1.7%) Receivable Capital Trust, 6.6%, 1/22/01 4,333,000 4,316 --------- TOTAL 4,316 --------- FINANCE SERVICES (2.2%) Centric Capital Corp., 6.66%, 1/5/01 5,400,000 5,396 --------- TOTAL 5,396 --------- PERSONAL CREDIT INSTITUTIONS (7.4%) #CXC Incorporated, 6.53%, 1/2/01 16,000,000 15,998 #CXC Incorporated, 6.55%, 1/22/01 2,800,000 2,789 --------- TOTAL 18,787 --------- SHORT TERM BUSINESS CREDIT (4.0%) American Express Credit, 6.4%, 1/5/01 5,000,000 4,996 Transamerica Financial Corporation, 6.5%, 1/30/01 5,000,000 4,974 --------- TOTAL 9,970 --------- TOTAL MONEY MARKET INVESTMENTS (COST $39,863) 39,863 --------- TOTAL INVESTMENTS (105.8%) (COST $256,707)! 264,932 --------- OTHER ASSETS, LESS LIABILITIES (-5.8%) (14,618) --------- TOTAL NET ASSETS (100.0%) $ 250,314 ========= -----------------------------------------------------------
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $257,330 and the net unrealized appreciation of investments based on that cost was $7,602 which is comprised of $38,170 aggregate gross unrealized appreciation and $30,568 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUER (000'S) CONTRACTS DATE (000'S) - -------------------------------------------------------------- Russell 2000 71 03/01 $423 (Total Notional Value at 12/31/2000, $16,929)
The Accompanying Notes are an Integral Part of the Financial Statements 15 Small Cap Growth Stock Portfolio 19
Objective: Portfolio Strategy: Net Assets: Maximum long-term appreciation Strive for the highest possible rate of capital $1,696,013,022 of capital appreciation by investing in companies with potential for rapid growth.
AGGRESSIVE GROWTH STOCK PORTFOLIO The Aggressive Growth Stock Portfolio owns the stocks of emerging growth companies, generally with market capitalizations of less than $10 billion. Since growth stock portfolios tend to react strongly to changes in financial and economic markets, as well as to changes in the prospects for individual companies, returns of this Portfolio can vary considerably from time to time. A higher level of risk (with risk defined as variability of returns over time) is accepted for the potential of greater long-term returns. The Portfolio's focus in stock selection is on the individual companies' ability to generate revenue, expand profit margins and maintain solid balance sheets; industry sector selection is of secondary importance. The Aggressive Growth Stock Portfolio achieved a total return of 6.2% in 2000, versus 17.5% for the S&P 400 Index, its principal benchmark. The extremely poor performance of technology stocks after the first quarter of the year held returns down, although this fund has always emphasized technology less than many comparable funds. Technology holdings were reduced substantially during the year, with large gains realized in some holdings such as JDS Uniphase. Also, the Portfolio's technology holdings have consistently been concentrated in solid companies such as DST, which have held up better than the industry as a whole. Among the best performing holdings were financial services companies such as Investors Financial Services Corp and Fiserv, and energy holdings including Dynegy and Nabors Industries. In the second half of the year, competitive local exchange carriers including McLeodUSA contributed to performance. SECTOR ALLOCATION 12/31/00 [SECTOR ALLOCATION 12/31/00 PIE CHART]
BUSINESS & INDUSTRIAL COMMUNICATION CONSUMER & CONSUMER TECHNOLOGY SERVICES FINANCE CYCLICAL TRANSPORTATION ENERGY STAPLES UTILITIES ---------- ------------- ------- -------- -------------- ------ -------- --------- Sector Allocation 35 2 7 16 3 10 3 2 OTHER ASSETS, S&P 400 LESS INDEX LIABILITIES HEALTHCARE FUTURES ----------- ---------- ------- Sector Allocation 3 14 5
TOP 10 HOLDINGS 12/31/00
Company % of Total Net Assets ------------------------------------------------------------------------------------ Investors Financial Services Corp. 2.6% ------------------------------------------------------------------------------------ DST Systems, Inc. 2.1% ------------------------------------------------------------------------------------ Dynegy Inc. - Class A 2.1% ------------------------------------------------------------------------------------ Patterson Dental Company 2.0% ------------------------------------------------------------------------------------ Comverse Technology, Inc. 1.9% ------------------------------------------------------------------------------------ Paychex, Inc. 1.9% ------------------------------------------------------------------------------------ BJ Services Company 1.9% ------------------------------------------------------------------------------------ Fiserv, Inc. 1.8% ------------------------------------------------------------------------------------ Nabors Industries, Inc. 1.8% ------------------------------------------------------------------------------------ ACE Limited 1.7%
PERFORMANCE RELATIVE TO RELEVANT INDICES [PERFORMANCE RELATIVE TO RELEVANT INDICES PERFORMANCE GRAPH]
AGGRESSIVE GROWTH STOCK PORTFOLIO S&P MIDCAP 400 INDEX --------------------------------- -------------------- 12/90 10000 10000 15600 15010 12/92 16527 16800 19686 19145 12/94 20750 18459 28903 24171 12/96 34019 28812 38735 38103 12/98 41660 45395 59897 52062 12/00 63602 61173
- ----------------------------------------------------------- Average Annual Total Return For Periods Ended December 31, 2000 1 Year 5 Years 10 Years - ----------------------------------------------------------- Aggressive Growth Stock Portfolio 6.18% 17.09% 20.32% S&P MidCap 400 Index 17.50% 20.41% 19.85% - -----------------------------------------------------------
Since the Portfolio invests primarily in medium-capitalization (Mid Cap) issues, the index that best reflects the Portfolio's performance is the S&P MidCap 400 Index. This is a capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market. As of December 31, 2000, the 400 companies in the composite had median market capitalization of $1.9 billion and a total market value of $893 billion. The MidCap 400 represents approximately 4% of the market value of S&P's database of over 10,000 equities. On May 3, 1994, the Northwestern Mutual Aggressive Growth Stock Fund, Inc. (the "Fund") merged into the Northwestern Mutual Series Fund, Inc. Aggressive Growth Stock Portfolio (the "Portfolio"). The Portfolio had no assets prior to the merger. After the merger, the assets of the Portfolio were those of the Fund. The investment objectives, policies, management and expenses of the Portfolio are identical to those of the Fund. Accordingly, the performance of the Fund prior to the merger is included with the performance of the Portfolio in the graph and total return figures above. This chart assumes an initial investment of $10,000 made on 12/31/90. Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Aggressive Growth Stock Portfolio 16 20 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (91.3%) PAR (000'S) --------------------------------------------------------- BASIC MATERIALS (0.4%) Sigma-Aldrich Corporation 166,300 $ 6,538 ----------- TOTAL 6,538 ----------- CAPITAL GOODS (1.6%) *Jabil Circuit, Inc. 293,600 7,450 Kaydon Corporation 157,800 3,925 *Sanmina Corporation 200,100 15,333 ----------- TOTAL 26,708 ----------- COMMUNICATION SERVICES (1.5%) *Allegiance Telecom, Inc. 51,250 1,141 *McLeodUSA Incorporated 1,724,300 24,356 ----------- TOTAL 25,497 ----------- CONSUMER CYCLICAL (15.6%) *Catalina Marketing Corporation 527,100 20,524 *CDW Computer Centers, Inc. 512,900 14,297 Cintas Corporation 520,750 27,697 *The Corporate Executive Board Company 698,000 27,756 *Dollar Tree Stores, Inc. 429,850 10,531 *Harrah's Entertainment, Inc. 490,300 12,932 IMS Health Incorporated 811,300 21,905 *Kohl's Corporation 426,100 25,992 *Lamar Advertising Company - Class A 126,225 4,871 *O'Reilly Automotive, Inc. 419,800 11,230 *Robert Half International Inc. 860,700 22,809 *Tech Data Corporation 526,200 14,232 *Tetra Tech, Inc. 922,778 29,414 *TMP Worldwide Inc. 368,600 20,273 ----------- TOTAL 264,463 ----------- CONSUMER STAPLES (3.0%) *Gemstar-TV Guide International, Inc. 376,500 17,366 *Patterson Dental Company 974,950 33,026 ----------- TOTAL 50,392 ----------- ENERGY (9.9%) *BJ Services Company 467,800 32,221 *Cooper Cameron Corporation 249,100 16,456 *Grant Prideco, Inc. 710,925 15,596 *Nabors Industries, Inc. 512,600 30,320 Santa Fe International Corporation 807,601 25,894 Tosco Corporation 602,000 20,430 *Weatherford International, Inc. 574,825 27,160 ----------- TOTAL 168,077 ----------- FINANCE (7.3%) ACE Limited 696,900 29,575 Investors Financial Services Corp. 502,600 43,223 *Knight Trading Group, Inc. - Class A 216,200 3,013 Old Republic International Corporation 576,800 18,458
MARKET SHARES/ VALUE COMMON STOCK (91.3%) PAR (000'S) --------------------------------------------------------- FINANCE continued Radian Group Inc. 222,900 $ 16,731 SouthTrust Corporation 322,700 13,130 ----------- TOTAL 124,130 ----------- HEALTHCARE (13.5%) *ALZA Corporation 443,500 18,849 *Apogent Technologies, Inc. 575,500 11,798 Applera Corporation - Applied Biosystems Group 297,800 28,012 Biomet, Inc. 630,000 25,003 *Elan Corporation PLC, ADR 346,755 16,232 *Health Management Associates, Inc. - Class A 1,417,100 29,404 *King Pharmaceuticals, Inc. 566,000 29,255 *Lincare Holdings, Inc. 360,900 20,594 *MedImmune, Inc. 341,600 16,290 *Province Healthcare Company 482,200 18,987 *Shire Pharmaceuticals Group PLC, ADR 276,500 12,736 Stryker Corporation 28,200 1,427 *Sybron Dental Specialties, Inc. 1 0 ----------- TOTAL 228,587 ----------- TECHNOLOGY (35.2%) *ADC Telecommunications, Inc. 796,100 14,429 *Altera Corporation 280,300 7,375 *American Tower Corporation - Class A 636,622 24,112 *Applied Micro Circuits Corporation 134,082 10,062 *BEA Systems, Inc. 435,700 29,328 *Business Objects S.A., ADR 205,200 11,619 *C-Cube Microsystems, Inc. 398,500 4,907 *CIENA Corporation 90,100 7,332 *Comverse Technology, Inc. 302,800 32,892 *Concord EFS, Inc. 526,125 23,117 *Conexant Systems, Inc. 261,200 4,016 *Credence Systems Corporation 241,200 5,548 *Crown Castle International Corp. 282,000 7,632 *DST Systems, Inc. 541,900 36,308 *Electronic Arts, Inc. 489,700 20,873 *Fiserv, Inc. 653,150 30,984 *FreeMarkets, Inc. 17,500 333 *Getty Images, Inc. 856,600 27,411 *Intuit Inc. 532,700 21,008 *JDS Uniphase Corporation 146,300 6,099 *Luminent, Inc. 55,600 334 *Macromedia, Inc. 176,300 10,710 *Microchip Technology Incorporated 671,950 14,741 *Network Appliance, Inc. 170,200 10,933 Paychex, Inc. 666,000 32,384 PerkinElmer, Inc. 181,200 19,026 *PMC-Sierra, Inc. 86,356 6,790 *PRI Automation, Inc. 246,800 4,628
17 Aggressive Growth Stock Portfolio 21
MARKET SHARES/ VALUE COMMON STOCK (91.3%) PAR (000'S) --------------------------------------------------------- TECHNOLOGY continued *QLogic Corporation 341,600 $ 26,303 *Rational Software Corporation 695,900 27,097 *RSA Security Inc. 276,900 14,641 *Semtech Corporation 476,700 10,517 *Sycamore Networks, Inc. 205,200 7,644 *Tellabs, Inc. 446,300 25,216 *TIBCO Software Inc. 235,900 11,308 *VeriSign, Inc. 171,900 12,753 *Vignette Corporation 671,284 12,083 *Waters Corporation 320,900 26,795 ----------- TOTAL 599,288 ----------- TRANSPORTATION (1.3%) Expeditors International of Washington, Inc. 395,600 21,239 ----------- TOTAL 21,239 ----------- UTILITIES (2.0%) Dynegy Inc. - Class A 619,800 34,748 ----------- TOTAL 34,748 ----------- TOTAL COMMON STOCK (COST $1,163,813) 1,549,667 ----------- MONEY MARKET INVESTMENTS (9.7%) --------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (1.2%) #Asset Securitization, 6.4%, 2/7/01 $ 20,000,000 19,868 ----------- TOTAL 19,868 ----------- AUTO RELATED (1.8%) #Ford Motor Credit Co., 6.54%, 1/18/01 20,000,000 19,938 #General Motors Acceptance Corporation, 6.58%, 1/17/01 11,200,000 11,167 ----------- TOTAL 31,105 ----------- FEDERAL GOVERNMENT AND AGENCIES (0.3%) Federal National Mortgage Association, 6.4%, 2/08/2001 800,000 795 Federal Home Loan Mortgage Corporation, 6.44%, 1/16/2001 2,800,000 2,792 Federal Home Loan Mortgage Corporation, 6.445%, 1/23/01 2,000,000 1,992 ----------- TOTAL 5,579 ----------- FINANCE LESSORS (2.4%) #Preferred Receivable Funding, 6.63%, 1/11/01 20,000,000 19,964 #Receivable Capital Trust, 6.6%, 1/22/01 20,000,000 19,923 ----------- TOTAL 39,887 ----------- FINANCE SERVICES (1.0%) Centric Capital Corp., 6.62%, 1/22/01 $ 16,871,000 16,806 ----------- TOTAL 16,806 -----------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (9.7%) PAR (000'S) --------------------------------------------------------- FOOD AND KINDRED PRODUCTS (1.2%) Philip Morris Capital Company, 6.51%, 1/26/01 20,000,000 $ 19,910 ----------- TOTAL 19,910 ----------- PERSONAL CREDIT INSTITUTIONS (0.7%) CXC Incorporated, 6.53%, 1/2/01 3,700,000 3,699 Variable Funding Capital, 6.55%, 1/26/01 8,100,000 8,063 ----------- TOTAL 11,762 ----------- SHORT TERM BUSINESS CREDIT (1.1%) Transamerica Financial Corporation, 6.49%, 1/29/01 19,200,000 19,103 ----------- TOTAL 19,103 ----------- TOTAL MONEY MARKET INVESTMENTS (COST $164,020) 164,020 ----------- TOTAL INVESTMENTS (101.0%) (COST $1,327,833)! 1,713,687 ----------- OTHER ASSETS, LESS LIABILITIES (-1.0%) (17,674) ----------- TOTAL NET ASSETS (100.0%) $ 1,696,013 ===========
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $1,329,629 and the net unrealized appreciation of investments based on that cost was $384,058 which is comprised of $475,226 aggregate gross unrealized appreciation and $91,168 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUER (000'S) CONTRACTS DATE (000'S) - -------------------------------------------------------------- MidCap 400 350 03/01 $2,723 (Total Notional Value at 12/31/2000, $88,740)
The Accompanying Notes are an Integral Part of the Financial Statements Aggressive Growth Stock Portfolio 18 22
Objective: Portfolio Strategy: Net Assets: Long-term appreciation of capital Participate in the growth of foreign economies by $809,616,926 through diversification into markets investing in securities with high long-term outside the United States earnings potential relative to current market values.
INTERNATIONAL EQUITY PORTFOLIO The International Equity Portfolio offers policyowners the opportunity to participate in the growth of companies in countries throughout the world, particularly those with expanding economies. In selecting investments, the principal focus is on identifying undervalued stocks of companies with strong finances and good long-term growth opportunities, rather than on choosing regions of the world in which to invest. The Portfolio is normally fully invested in equity securities. The Portfolio's value-driven management style enabled it to outperform its major benchmark, the EAFE index, over the past year. Beginning in March 2000, there has been a global shift in investment interest away from growth and toward the fundamental analysis and value that have always guided the Portfolio's stock selections. Performance benefited from reduced positions in several European telecommunications and financial services companies, as price targets were reached. Weakness in the euro and the pound sterling throughout 2000, attributable largely to stronger than expected economic growth in the U.S., has created a drag on the European economy and stock markets, creating some buying opportunities. Eight of the Portfolio's ten largest holdings are European companies. These include Zurich Financial Services, a leading Swiss insurance company; Wolters Kluwer, a Dutch publishing company focused on the education market; and Aventis, a French chemical company with participation in pharmaceuticals and life sciences. Asian markets have been mixed, and the Portfolio's exposure is underweighted relative to the EAFE Index. Market pullbacks in Hong Kong and Korea during the summer provided some buying opportunities. In Japan, the market continues volatile and generally weak a full decade after its peak, as consumer spending remains weak, and efforts to address problems with over-leveraged companies and poor banking practices have had limited success. The Fund's Japanese investment strategy is focused on companies that are committed to restructuring, have strong balance sheets, and are trading at reasonable valuations. The International Equity Fund is managed for Northwestern Mutual by Templeton Investment Counsel, Inc. ASSET ALLOCATION 12/31/00 [ASSET ALLOCATION PIE CHART]
% OF NET ASSETS --------------- Europe 53 Asia 14 Latin America 5 Australia/New Zealand 4 North America 7 Mid-East/Africa 2 Non-equity holdings 15
TOP 10 HOLDINGS 12/31/00
Company Country % of Net Assets ----------------------------------------------------------------------------------- Zurich Financial Services AG Switzerland 2.6% ----------------------------------------------------------------------------------- Wolters Kluwer NV Netherlands 2.5% ----------------------------------------------------------------------------------- Aventis S.A. France 2.3% ----------------------------------------------------------------------------------- E.On AG Germany 2.2% ----------------------------------------------------------------------------------- Akzo Nobel N.V. Netherlands 2.2% ----------------------------------------------------------------------------------- Axa France 2.0% ----------------------------------------------------------------------------------- ING Groep NV Netherlands 2.0% ----------------------------------------------------------------------------------- Unilever PLC United Kingdom 1.9% ----------------------------------------------------------------------------------- XL Capital Ltd. Bermuda 1.9% ----------------------------------------------------------------------------------- Australia & New Zealand Banking Group Ltd. Australia 1.9%
PERFORMANCE RELATIVE TO THE RELEVANT INDICES [PERFORMANCE RELATIVE TO THE RELEVANT INDICES LINE GRAPH]
INTERNATIONAL EQUITY PORTFOLIO EAFE INDEX ------------------------------ ---------- 4/93 10000 10000 12/93 12464 10970 12/94 12451 11859 12/95 14266 13228 12/96 17264 14068 12/97 19384 14364 12/98 20319 17284 12/99 24968 22002 12/00 24775 18931
- -------------------------------------------------------------- Average Annual Total Return For Periods Ended December 31, 2000 Since 1 Year 5 Years Inception# - -------------------------------------------------------------- International Equity Portfolio -0.79% 11.67% 12.55% EAFE Index -13.96% 7.43% 8.68% - -------------------------------------------------------------- #Inception date of 4/30/1993
As depicted in the graph, the International Equity Portfolio is compared against the Morgan Stanley Capital International EAFE ("Europe-Australasia-Far East") Index. The index is composed of approximately 1100 companies in 20 countries in Europe and the Pacific Basin. The objective of the index is to reflect the movements of stock markets in these countries by representing an unmanaged (indexed) portfolio within each country. The index is constructed so that companies chosen represent about 60% of market capitalization in each market; industry composition of the market is reflected; and a cross section of large, medium, and small capitalization stocks is included, taking into account liquidity concerns. The index is calculated in U. S. dollars. On May 3, 1994, the Northwestern Mutual International Equity Fund, Inc. (the "Fund") merged into the Northwestern Mutual Series Fund, Inc., International Equity Portfolio (the "Portfolio"). The Portfolio had no assets prior to the merger. After the merger, the assets of the Portfolio were those of the Fund. The investment objectives, policies, management and expenses of the Portfolio are identical to those of the Fund. Accordingly, the performance of the Fund prior to the merger is included with the performance of the Portfolio in the graph and total return figures above. This chart assumes an initial investment of $10,000 made on 4/30/93 (commencement of the Fund's operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 19 International Equity Portfolio 23 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (86.2%) COUNTRY PAR (000'S) ---------------------------------------------------------------- CAPITAL EQUIPMENT (10.7%) Alcatel France 108,120 $ 6,141 Alstom France 331,740 8,565 BAE SYSTEMS PLC United Kingdom 2,627,200 14,991 *Chubb PLC United Kingdom 1,652,900 3,901 FUJITSU LIMITED Japan 288,000 4,247 Hong Kong Aircraft & Engineering Hong Kong 2,680,700 4,743 *Hyundai Electronics Industries Co. Korea (South) 864,860 2,752 *Kidde PLC United Kingdom 1,652,900 1,778 Koninklijke Philips Electronics N.V. Netherlands 196,075 7,183 Kurita Water Industries, Ltd. Japan 433,000 5,668 Rolls-Royce PLC United Kingdom 2,685,200 7,952 SONY CORPORATION Japan 135,200 9,353 The Weir Group PLC United Kingdom 2,702,500 9,588 --------- TOTAL 86,862 --------- CONSUMER GOODS (10.7%) Autoliv, Inc. Sweden 279,100 4,448 Aventis S.A. France 221,000 19,400 Mayne Nickless Ltd. Australia 1,671,600 5,424 Nycomed Amersham PLC United Kingdom 879,160 7,178 Ono Pharmaceutical Co., Ltd. Japan 233,000 9,120 Tate & Lyle, PLC United Kingdom 762,600 2,837 Teva Pharmaceutical Industries Ltd., ADR Israel 202,810 14,856 Unilever PLC United Kingdom 1,876,650 16,063 Volvo AB - B Shares Sweden 433,000 7,182 --------- TOTAL 86,508 --------- ENERGY (12.6%) E.On AG Germany 310,600 18,896 Endesa S.A. Spain 252,000 4,294 ENI S.P.A. Italy 1,460,550 9,324 EVN AG Austria 64,500 1,965 Hong Kong Electric Holdings Limited Hong Kong 1,790,000 6,609 *Husky Energy, Inc. Canada 540,000 5,357 Iberdrola S.A. Spain 587,500 7,364 *Innogy Holdings PLC United Kingdom 1,246,864 3,595 Korea Electric Power Corp. Korea (South) 271,000 5,056 Repsol S.A. Spain 732,000 11,697 Shell Transport & Trading Company PLC United Kingdom 1,518,500 12,453
MARKET SHARES/ VALUE COMMON STOCK (86.2%) COUNTRY PAR (000'S) ---------------------------------------------------------------- ENERGY continued Thames Water United Kingdom 430,504 $ 7,749 Total Fina Elf S.A. France 50,922 7,573 --------- TOTAL 101,932 --------- FINANCE (22.4%) Australia & New Zealand Banking Group Ltd. Australia 1,950,601 15,586 Axa France 117,447 16,981 Banca Nazionale del Lavora Italy 2,479,700 7,613 *Bangkok Bank Public Company Limited Thailand 1,551,800 1,234 Deutsche Bank AG Germany 108,188 9,020 Hang Lung Development Co. Hong Kong 2,758,000 2,440 HSBC Holdings PLC Hong Kong 568,137 8,449 ING Groep NV Netherlands 209,000 16,694 National Bank of Canada Canada 301,600 5,341 The Nomura Securities Co., Ltd. Japan 832,400 14,979 Nordea AB Sweden 1,628,500 12,843 PartnerRe Ltd. Bermuda 226,600 13,823 Scor France 129,900 6,744 Swiss Re Switzerland 5,170 12,395 Unibanco Uniao de Bancos Brazil 14,033,500 806 XL Capital Ltd. Bermuda 178,800 15,623 Zurich Financial Services AG Switzerland 36,023 21,717 --------- TOTAL 182,288 --------- MATERIALS (11.9%) Agrium, Inc. Canada 473,300 6,922 Akzo Nobel N.V. Netherlands 348,600 18,721 AngloGold Limited, ADR South Africa 238,800 3,567 Barrick Gold Corporation Canada 390,300 6,395 BASF AG Germany 247,960 11,279 Bayer AG Germany 157,000 8,269 Boehler - Uddeholm AG Austria 119,556 3,872 Celanese AG Germany 11,770 214 Companhia Vale do Rio Doce, ADR Brazil 372,000 9,137 Corus Group PLC United Kingdom 4,392,400 4,626 Hepworth PLC United Kingdom 607,200 2,549 *Kinross Gold Corporation Canada 1,796,100 969
International Equity Portfolio 20 24
MARKET SHARES/ VALUE COMMON STOCK (86.2%) COUNTRY PAR (000'S) ---------------------------------------------------------------- MATERIALS continued Metsa-Serla OYJ Finland 157,500 $ 1,257 *Nuevo Grupo Mexico SA Mexico 1,320,000 3,984 Stora Enso OYJ - R Shares Finland 1,251,897 14,803 --------- TOTAL 96,564 --------- MULTI-INDUSTRY (5.2%) Elementis PLC United Kingdom 1,494,000 2,477 Hanson PLC United Kingdom 2,179,974 14,947 Hutchison Whampoa Limited Hong Kong 877,800 10,945 Swire Pacific Limited, A Shares Hong Kong 1,459,500 10,479 Swire Pacific Limited, B Shares Hong Kong 3,534,200 3,081 --------- TOTAL 41,929 --------- SERVICES (12.1%) Best Denki Co., Ltd. Japan 725,000 3,269 British Airways PLC United Kingdom 1,242,900 7,250 Compania de Telecomunicaciones de Chile S.A., ADR Chile 273,725 3,610 J. Sainsbury PLC United Kingdom 1,162,100 6,892 Korea Telecom Corporation, ADR Korea (South) 97,000 3,007 Marks & Spencer PLC United Kingdom 1,148,000 3,190 Mothercare PLC United Kingdom 479,913 1,018 Nippon Telegraph & Telephone Corporation Japan 1,361 9,808 *P & O Princess Cruises PLC United Kingdom 548,000 2,317 The Peninsular & Oriental Steam Navagation Company United Kingdom 548,000 2,595 Philippine Long Distance Telephone, ADR Philippines 127,000 2,262 PT Indosat, ADR Indonesia 386,900 3,555 Telecom Corporation of New Zealand Limited New Zealand 2,723,800 5,797 Telefonica, S.A., ADR Spain 191,308 9,565 Telefonos de Mexico S.A., ADR Mexico 275,004 12,410 Wolters Kluwer NV Netherlands 777,700 21,203 --------- TOTAL 97,748 ---------
MARKET SHARES/ VALUE COMMON STOCK (86.2%) COUNTRY PAR (000'S) ---------------------------------------------------------------- UTILITIES (0.6%) International Power PLC United Kingdom 1,246,864 $ 4,675 --------- TOTAL 4,675 --------- TOTAL COMMON STOCK (COST $645,294) 698,506 --------- PREFERRED STOCK (2.9%) ---------------------------------------------------------------- ENERGY (0.9%) Petroleo Brasileiro S.A. Brazil 325,000 7,630 --------- TOTAL 7,630 --------- FINANCE (0.9%) Banco Bradesco S.A. Brazil 748,500,000 5,374 Banco Itau S.A. Brazil 20,790,000 1,972 --------- TOTAL 7,346 --------- SERVICES (1.1%) Hyder PLC United Kingdom 401,400 537 Moebel Walther AG Germany 43,597 372 The News Corporation Limited Australia 1,014,400 7,215 --------- TOTAL 8,124 --------- TOTAL PREFERRED STOCK (COST $22,032) 23,100 --------- MONEY MARKET INVESTMENTS (14.8%) ---------------------------------------------------------------- AUTO RELATED (2.5%) Ford Motor Credit Co., 6.54%, 1/18/01 United States $ 10,000,000 9,969 Ford Motor Credit Co., 6.51%, 1/12/01 United States 10,000,000 9,980 --------- TOTAL 19,949 --------- FOOD AND KINDRED PRODUCTS (2.5%) Nestle Capital, 6.5%, 1/8/01 United States 10,000,000 9,987 Philip Morris Capital Company, 6.51%, 1/26/01 United States 10,000,000 9,955 --------- TOTAL 19,942 --------- MULTI-INDUSTRY (1.2%) Walt Disney Company, 6.52%, 1/3/01 United States 10,000,000 9,996 --------- TOTAL 9,996 --------- OFFICE EQUIPMENT (1.2%) Pitney Bowes Inc., 6.53%, 1/3/01 United States 10,000,000 9,996 --------- TOTAL 9,996 ---------
21 International Equity Portfolio 25
MARKET MONEY MARKET SHARES/ VALUE INVESTMENTS (14.8%) COUNTRY PAR (000'S) ---------------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (4.9%) CXC Incorporated, 6.55%, 1/22/01 United States 3,900,000 $ 3,885 CXC Incorporated, 6.53%, 1/2/01 United States 25,900,000 25,896 Variable Funding Capital, 6.49%, 2/12/01 United States 10,090,000 10,014 --------- TOTAL 39,795 --------- SHORT TERM BUSINESS CREDIT (2.5%) American Express Credit, 6.4%, 1/5/01 United States 10,000,000 9,993 Transamerica Financial Corporation, 5.83%, 1/24/01 United States 10,000,000 9,958 --------- TOTAL 19,951 --------- TOTAL MONEY MARKET INVESTMENTS (COST $119,629) 119,629 --------- TOTAL INVESTMENTS (103.9%) (COST $786,955)! 841,235 --------- OTHER ASSETS, LESS LIABILITIES (-3.9%) (31,618) --------- TOTAL NET ASSETS (100.0%) $ 809,617 ========= ----------------------------------------------------------------
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $786,983 and the net unrealized appreciation of investments based on that cost was $54,252 which is comprised of $161,434 aggregate gross unrealized appreciation and $107,182 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt Investment Percentage by Country: United Kingdom 16.7% United States 14.2% France 7.8% Netherlands 7.6% Japan 6.7% Germany 5.7% Hong Kong 5.6% Other 35.7% ------ Total 100.0%
The Accompanying Notes are an Integral Part of the Financial Statements International Equity Portfolio 22 26
Objective: Portfolio Strategy: Net Assets: Long-term capital appreciation Invest in a portfolio designed to approximate the $137,615,507 through cost-effective participation composition and returns of the S&P MidCap 400 in broad market performance Index.
INDEX 400 STOCK PORTFOLIO The Index 400 Stock Portfolio is designed to achieve results that approximate the performance of the Standard & Poor's MidCap 400 Composite Stock Price Index. This index is a capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market. Of the 400 stocks, 271 are listed on the New York Stock Exchange, 124 on NASDAQ, and 5 on the American Stock Exchange. As of December 31, 2000, the 400 companies in the composite had a median market capitalization of $1.9 billion and total market value of $893 billion. For comparison, the 500 large stocks in the S&P 500 Index had a median market capitalization of $8.7 billion and total market value of $11,714 billion. The Index 400 Portfolio enables policyowners to participate in the performance of mid-sized companies in the U.S. equity market. The Portfolio continues to achieve its objective of matching the results of the S&P 400 MidCap Index before expenses. SECTOR ALLOCATION 12/31/00 [PIE CHART]
CONSUMER CONSUMER CAPITAL BASIC TECHNOLOGY FINANCE CYCLICALS HEALTHCARE STAPLES ENERGY UTILITIES GOODS MATERIALS ---------- ------- --------- ---------- -------- ------ --------- ------- --------- Sector Allocation 18 14 13 11 7 7 7 6 4 S&P 400 MONEY OTHER INDEX MARKET INDUSTRIES FUTURES INVESTMENTS ---------- ------- ----------- Sector Allocation 3 1 9
TOP 10 HOLDINGS 12/31/00
Company % of Net Assets ----------------------------------------------------------------------------------- Millennium Pharmaceuticals, Inc. 1.3% ----------------------------------------------------------------------------------- Waters Corporation 1.1% ----------------------------------------------------------------------------------- Concord EFS, Inc. 1.0% ----------------------------------------------------------------------------------- IDEC Pharmaceuticals Corporation 0.9% ----------------------------------------------------------------------------------- Cintas Corporation 0.9% ----------------------------------------------------------------------------------- Univision Communications, Inc. - Class A 0.9% ----------------------------------------------------------------------------------- DST Systems, Inc. 0.9% ----------------------------------------------------------------------------------- Genzyme Corporation (General Division) 0.8% ----------------------------------------------------------------------------------- Rational Software Corporation 0.7% ----------------------------------------------------------------------------------- Cadence Design Systems, Inc. 0.7%
PERFORMANCE RELATIVE TO THE S&P MIDCAP 400 INDEX [LINE GRAPH]
INDEX 400 STOCK PORTFOLIO S&P MIDCAP 400 INDEX ------------------------- -------------------- 4/99 10000 10000 12/99 11288 11358 12/00 13225 13346
- ------------------------------------------------------------ Average Annual Total Return For Period Ended December 31, 2000 One Year Since Return Inception# - ------------------------------------------------------------ Index 400 Stock Portfolio 17.21% 18.21% S&P MidCap 400 Index 17.50% 18.85% - ------------------------------------------------------------ #Inception date of 4/30/1999
The S&P MidCap 400 Index is a capitalization-weighted index that measures the performance of the mid-range sector of the U.S. stock market. As of December 31, 2000, the 400 companies in the composite had median market capitalization of $1.9 billion and a total market value of $893 billion. The MidCap 400 represents approximately 4% of the market value of S&P's database of over 10,000 equities. "Standard & Poor's(R)", "S&P(R)", "S&P MidCap 400 Index", "Standard & Poor's MidCap 400 Index", "S&P 500(R)", and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Northwestern Mutual Life Insurance Company. The funds are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. This chart assumes an initial investment of $10,000 made on 4/30/99 (commencement of the Portfolio's operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 23 Index 400 Stock Portfolio 27 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- BASIC MATERIALS (3.5%) A. Schulman, Inc. 4,100 $ 47 *Airgas, Inc. 9,300 63 AK Steel Holding Corporation 15,300 134 Albemarle Corporation 6,400 158 Bowater Incorporated 7,000 395 Cabot Corporation 9,300 245 Carpenter Technology Corporation 3,100 109 Crompton Corporation 15,963 168 *Cytec Industries, Inc. 5,700 228 Ferro Corporation 4,800 110 Georgia-Pacific Corporation (Timber Group) 11,200 335 H.B. Fuller Company 2,000 79 IMC Global, Inc. 16,000 249 Kennametal, Inc. 4,300 125 Longview Fibre Company 7,200 97 The Lubrizol Corporation 7,400 191 Lyondell Chemical Company 16,400 251 Martin Marietta Materials, Inc. 6,500 275 *MAXXAM, Inc. 900 14 Minerals Technologies, Inc. 2,900 99 Olin Corporation 6,300 139 P.H. Glatfelter Company 5,900 73 Rayonier, Inc. 3,800 151 RPM, Inc. 14,700 126 Ryerson Tull, Inc. 3,500 29 Solutia, Inc. 14,900 179 Sonoco Products Company 13,900 301 *UCAR International, Inc. 6,300 61 Universal Corporation 3,900 137 The Valspar Corporation 6,000 193 Wausau-Mosinee Paper Corporation 7,200 73 --------- TOTAL 4,834 --------- CAPITAL GOODS (6.1%) AGCO Corporation 8,300 101 *Albany International Corp. - Class A 4,326 58 *American Standard Companies, Inc. 9,800 483 AMETEK, Inc. 4,500 117 Carlisle Companies Incorporated 4,200 180 Diebold, Incorporated 10,000 334 Donaldson Company, Inc. 6,300 175 *Dycom Industries, Inc. 5,800 208 Federal Signal Corporation 6,300 124 Flowserve Corporation 5,200 111 Granite Construction Incorporated 3,800 110 Harsco Corporation 5,600 138 Herman Miller, Inc. 11,000 316 Hillenbrand Industries, Inc. 8,700 448 HON INDUSTRIES, Inc. 8,400 214 Hubbell Incorporated - Class B 8,500 225 *Jabil Circuit, Inc. 26,600 674 *Jacobs Engineering Group, Inc. 3,700 171
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- CAPITAL GOODS continued Kaydon Corporation 4,200 $ 104 *KEMET Corporation 12,200 185 Newport News Shipbuilding, Inc. 4,300 224 Nordson Corporation 4,500 115 Pentair, Inc. 6,800 164 *Plexus Corp. 5,600 170 Precision Castparts Corp. 6,900 290 *Quanta Services, Inc. 9,000 290 The Reynolds and Reynolds Company - Class A 10,700 217 *SCI Systems, Inc. 20,200 533 *Sensormatic Electronics Corporation 10,800 217 *Sequa Corporation - Class A 1,500 55 *SPX Corporation 4,400 476 Stewart & Stevenson Services, Inc. 3,900 89 Tecumseh Products Company - Class A 2,700 113 Teleflex Incorporated 5,300 234 Trinity Industries, Inc. 5,300 133 *Vishay Intertechnology, Inc. 19,287 292 Wallace Computer Services, Inc. 5,600 95 York International Corporation 5,300 163 --------- TOTAL 8,346 --------- COMMUNICATION SERVICES (1.5%) *Broadwing, Inc. 30,200 689 *Powerwave Technologies, Inc. 8,600 503 *Price Communications Corporation 7,800 131 Telephone and Data Systems, Inc. 8,400 756 --------- TOTAL 2,079 --------- CONSUMER CYCLICAL (13.0%) A. H. Belo Corporation - Class A 16,500 264 *Abercrombie & Fitch Co. - Class A 14,100 282 *ACNielsen Corporation 8,100 294 *Acxiom Corporation 12,300 479 *American Eagle Outfitters, Inc. 6,500 275 *Apollo Group, Inc. - Class A 10,500 516 ArvinMeritor, Inc. 9,950 113 Bandag, Incorporated 2,900 118 *Barnes & Noble, Inc. 9,000 239 *BJ's Wholesale Club, Inc. 10,200 391 Blyth Industries, Inc. 6,700 162 *Borders Group, Inc. 11,000 129 Borg-Warner Automotive, Inc. 3,700 148 Callaway Golf Company 10,500 196 *Catalina Marketing Corporation 7,700 300 *CDW Computer Centers, Inc. 12,200 340 *ChoicePoint, Inc. 5,600 367 Cintas Corporation 23,450 1,246 Claire's Stores, Inc. 7,200 129 Clayton Homes, Inc. 19,300 222 *DeVry, Inc. 9,700 366
Index 400 Stock Portfolio 24 28
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- CONSUMER CYCLICAL continued *Dollar Tree Stores, Inc. 15,000 $ 368 Family Dollar Stores, Inc. 23,900 512 Fastenal Company 5,300 291 *Furniture Brands International, Inc. 6,900 145 Galileo International, Inc. 12,500 250 *GTECH Holdings Corporation 4,900 101 Harte-Hanks, Inc. 9,500 225 Houghton Mifflin Company 4,300 199 *International Game Technology 10,100 485 International Speedway Corporation - Class A 7,400 281 *Jones Apparel Group, Inc. 16,551 533 Kelly Services, Inc. - Class A 5,000 118 Lancaster Colony Corporation 5,500 154 *Land's End, Inc. 4,200 106 *Lear Corporation 9,200 228 Lee Enterprises, Incorporated 6,100 182 Lennar Corporation 8,600 312 *Mandalay Resort Group 10,900 239 Manpower, Inc. 10,600 403 Media General, Inc. - Class A 3,200 116 Modine Manufacturing Company 4,100 85 *Modis Professional Services, Inc. 13,500 56 *Mohawk Industries, Inc. 7,400 203 NCH Corporation 700 27 *NCO Group, Inc. 3,600 109 *The Neiman Marcus Group, Inc. - Class A 6,600 235 Ogden Corporation 6,900 106 *Park Place Entertainment Corporation 42,000 501 *Payless ShoeSource, Inc. 3,114 220 Pittston Brink's Group 7,200 143 The Reader's Digest Association, Inc. - Class A 14,700 574 Rollins, Inc. 4,200 84 Ross Stores, Inc. 11,600 196 *Saks Incorporated 19,800 198 *Scholastic Corporation 2,400 213 Shaw Industries, Inc. 17,700 335 *Six Flags, Inc. 11,000 189 Sotheby's Holdings, Inc. - Class A 8,200 190 Superior Industries International, Inc. 3,600 114 *Sylvan Learning Systems, Inc. 5,219 77 *Tech Data Corporation 7,400 200 True North Communications Inc. 7,000 298 *Unifi, Inc. 8,000 72 *United Rentals, Inc. 9,800 132 USG Corporation 6,200 140 Viad Corp. 13,100 301 The Washington Post Company - Class B 1,300 801 WestPoint Stevens, Inc. 6,900 52 *Williams-Sonoma, Inc. 7,800 156 --------- TOTAL 17,831 ---------
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- CONSUMER STAPLES (6.7%) *AmeriSource Health Corp. CL A 7,200 $ 364 Banta Corporation 3,500 89 Bergen Brunswig Corporation - Class A 18,800 298 Bob Evans Farms, Inc. 5,000 107 *Brinker International, Inc. 9,100 384 Carter-Wallace, Inc. 6,300 210 CBRL Group, Inc. 8,000 146 *Chris-Craft Industries, Inc. 4,881 325 Church & Dwight Co., Inc. 5,300 118 Dean Foods Company 5,000 153 The Dial Corporation 13,300 146 Dole Food Company, Inc. 7,800 128 Dreyer's Grand Ice Cream, Inc. 3,900 126 *Emmis Communications Corporation - Class A 6,600 189 *Energizer Holdings, Inc. 13,400 286 Flowers Industries, Inc. 14,000 221 *Hispanic Broadcasting Corporation - Class A 15,200 388 Hormel Foods Corporation 19,600 365 IBP, Inc. 14,800 396 Interstate Bakeries Corporation 9,200 129 The J.M. Smucker Company 3,400 95 *Korn/Ferry International 5,300 113 Lance, Inc. 4,000 51 Lone Star Steakhouse & Saloon, Inc. 3,600 35 McCormick & Company, Incorporated 9,600 346 *Outback Steakhouse, Inc. 10,900 282 *Papa John's International, Inc. 3,400 76 *Perrigo Company 10,300 85 R.J. Reynolds Tobacco Holdings, Inc. 14,300 696 Ruddick Corporation 6,500 74 Sensient Technologies Corporation 6,800 155 *Suiza Foods Corporation 3,900 187 Tyson Foods, Inc. - Class A 31,500 402 *Univision Communications, Inc. - Class A 28,800 1,178 *Valassis Communications, Inc. 7,600 240 *Westwood One, Inc. 15,700 303 Whitman Corporation 21,800 357 --------- TOTAL 9,243 --------- ENERGY (6.5%) *BJ Services Company 11,600 799 *Cooper Cameron Corporation 7,400 489 ENSCO International Incorporated 19,300 657 *Global Marine, Inc. 24,500 695 *Grant Prideco, Inc. 15,200 333 *Hanover Compressor Company 8,200 365 Helmerich & Payne, Inc. 7,000 307 Murphy Oil Corporation 6,300 381 *National Oilwell, Inc. 11,200 433 Noble Affiliates, Inc. 7,800 359 *Noble Drilling Corporation 18,600 808
25 Index 400 Stock Portfolio 29
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- ENERGY continued Ocean Energy, Inc. 23,300 $ 405 Pennzoil-Quaker States Company 11,000 142 *Pioneer Natural Resources Company 13,900 274 *Smith International, Inc. 7,000 522 Tidewater, Inc. 7,800 346 Ultramar Diamond Shamrock Corporation 12,200 377 Valero Energy Corporation 8,600 320 *Varco International, Inc. 12,962 282 *Weatherford International, Inc. 15,200 718 --------- TOTAL 9,012 --------- FINANCE (14.1%) A.G. Edwards, Inc. 11,500 546 Allmerica Financial Corporation 7,400 537 American Financial Group, Inc. 8,200 218 *AmeriCredit Corp. 10,600 289 Arthur J. Gallagher & Co. 5,300 337 Associated Banc-Corp 9,590 291 Astoria Financial Corporation 7,100 386 Banknorth Group, Inc. 20,200 403 City National Corporation 6,700 260 Compass Bancshares, Inc. 16,900 403 Dime Bancorp, Inc. 15,300 452 *The Dun & Bradstreet Corporation 11,300 292 *E*TRADE Group, Inc. 41,900 309 Everest RE Group, Ltd. 6,400 458 First Tennessee National Corporation 18,100 524 First Virginia Banks, Inc. 6,500 312 FirstMerit Corporation 12,300 329 Greater Bay Bancorp 5,600 230 GreenPoint Financial Corp. 14,200 581 Hibernia Corporation - Class A 22,200 283 Horace Mann Educators Corporation 5,700 122 Investors Financial Services Corp. 4,200 361 Legg Mason, Inc. 8,500 463 Leucadia National Corporation 7,700 273 M&T Bank Corporation 13,000 884 Marshall & Ilsley Corporation 14,500 737 Mercantile Bankshares Corporation 9,800 423 The MONY Group Inc. 6,500 321 National Commerce Bancorporation 28,425 704 Neuberger Berman, Inc. 6,800 551 North Fork Bancorporation, Inc. 24,300 597 Ohio Casualty Corporation 8,400 84 Old Republic International Corporation 16,400 525 Pacific Century Financial Corporation 11,100 196 The PMI Group, Inc. 6,150 416 Protective Life Corporation 9,000 290 Provident Financial Group, Inc. 6,800 255 Radian Group Inc. 5,300 398 Roslyn Bancorp, Inc. 9,100 249 SEI Investments Company 7,400 829 *Silicon Valley Bancshares 6,800 235 Sovereign Bancorp, Inc. 31,600 257
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- FINANCE continued TCF Financial Corporation 11,200 $ 499 Unitrin, Inc. 9,500 386 Waddell & Reed Financial, Inc. - Class A 11,500 433 Webster Financial Corporation 7,400 210 Westamerica Bancorporation 5,000 215 Wilmington Trust Corporation 4,500 279 Zions Bancorporation 12,100 755 --------- TOTAL 19,387 --------- HEALTHCARE (11.4%) *Apogent Technologies, Inc. 14,700 301 *Apria Healthcare Group, Inc. 7,300 217 *Barr Laboratories, Inc. 4,800 350 Beckman Coulter, Inc. 8,300 348 *COR Therapeutics, Inc. 7,500 264 *Covance, Inc. 8,000 86 DENTSPLY International, Inc. 7,200 282 *Edwards Lifesciences Corporation 8,200 146 *Express Scripts, Inc. - Class A 5,300 542 *First Health Group Corp. 6,800 317 *Genzyme Corporation (General Division) 12,100 1,088 *Gilead Sciences, Inc. 6,500 539 *Health Management Associates, Inc. - Class A 33,900 703 *Health Net, Inc. 17,100 448 ICN Pharmaceuticals, Inc. 11,100 341 *IDEC Pharmaceuticals Corporation 6,600 1,251 *Incyte Genomics, Inc. 8,900 221 *IVAX Corporation 22,200 850 *Lincare Holdings, Inc. 7,500 428 *Millennium Pharmaceuticals, Inc. 27,800 1,720 *MiniMed, Inc. 9,000 378 Mylan Laboratories, Inc. 17,400 438 Omnicare, Inc. 12,900 279 *Oxford Health Plans, Inc. 11,700 462 *Pacificare Health Systems, Inc. 4,900 74 *Protein Design Labs, Inc. 6,000 521 *Quest Diagnostics Incorporated 6,400 909 *Quorum Health Group, Inc. 10,000 158 *Sepracor, Inc. 10,200 817 *STERIS Corporation 9,400 152 *Sybron Dental Specialties, Inc. 1 0 *Trigon Healthcare, Inc. - Class A 5,300 412 *Vertex Pharmaceuticals Incorporated 8,100 579 *VISX, Incorporated 8,500 89 --------- TOTAL 15,710 --------- TECHNOLOGY (18.3%) *3Com Corporation 49,400 420 *ADTRAN, Inc. 5,400 115 Advanced Fibre Communications, Inc. 11,300 204 *Affiliated Computer Services, Inc. - Class A 6,900 419 *ANTEC Corporation 5,300 42
Index 400 Stock Portfolio 26 30
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- TECHNOLOGY continued *Arrow Electronics, Inc. 13,700 $ 392 *Atmel Corporation 64,400 748 Avnet, Inc. 12,800 275 *Avocent Corporation 6,000 162 *The BISYS Group, Inc. 7,800 407 *Cabot Microelectronics Corporation 3,292 171 *Cadence Design Systems, Inc. 34,400 945 *CheckFree Corporation 10,500 452 *Cirrus Logic, Inc. 10,800 203 Comdisco, Inc. 21,300 244 *CommScope, Inc. 7,200 119 *Concord EFS, Inc. 29,750 1,306 *Credence Systems Corporation 7,300 168 *CSG Systems International, Inc. 7,300 343 *Cypress Semiconductor Corporation 16,900 333 Dallas Semiconductor Corporation 8,400 215 *DSP Group, Inc. 3,800 80 *DST Systems, Inc. 17,500 1,172 *Electronic Arts, Inc. 18,200 775 *Fiserv, Inc. 17,250 817 *Gartner Group, Inc. - Class B 12,000 76 Harris Corporation 9,700 297 *Imation Corp. 5,000 78 *InFocus Corporation 5,300 78 *Informix Corporation 39,700 118 *Integrated Device Technology, Inc. 14,600 484 *International Rectifier Corporation 8,600 258 *Investment Technology Group, Inc. 4,300 180 Jack Henry & Associates, Inc. 5,700 354 *Keane, Inc. 9,700 95 *L-3 Communications Holdings, Inc. 4,700 362 *Lam Research Corporation 17,400 252 *Lattice Semiconductor Corporation 13,800 254 *Legato Systems, Inc. 12,200 91 *Litton Industries, Inc. 6,300 496 *Macromedia, Inc. 7,300 443 *Macrovision Corporation 6,900 511 *Mastec Inc 6,600 132 *Mentor Graphics Corporation 9,000 247 *Micrel, Incorporated 11,800 398 *Microchip Technology Incorporated 16,575 364 *MIPS Technologies, Inc. - Class B 5,400 138 *Network Associates, Inc. 19,300 81 *NOVA Corporation 9,800 195 *NVIDIA Corporation 9,000 295 *Plantronics, Inc. 6,800 320 *Polycom, Inc. 9,900 319 *Quantum Corporation - DLT & Storage Systems 20,800 277 *Rational Software Corporation 26,100 1,015 *Retek Inc. 6,600 161 *RF Micro Devices, Inc. 22,700 623 *SanDisk Corporation 9,400 261 *Sawtek, Inc. 5,900 273 *Semtech Corporation 9,100 201 *Storage Technology Corporation 14,200 128
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- TECHNOLOGY continued *Structural Dynamics Research Corporation 5,100 $ 51 *SunGard Data Systems, Inc. 18,400 866 *Sybase, Inc. 12,400 246 *Sykes Enterprises, Incorporated 5,800 26 *Symantec Corporation 8,500 284 *Synopsys, Inc. 9,100 432 *The Titan Corporation 7,500 122 *Transaction Systems Architects, Inc. - Class A 4,600 53 *TranSwitch Corporation 11,400 446 *TriQuint Semiconductor, Inc. 10,900 476 *Waters Corporation 17,900 1,494 *Wind River Systems, Inc. 10,100 345 --------- TOTAL 25,223 --------- TRANSPORTATION (1.8%) Airborne, Inc. 6,900 67 *Alaska Air Group, Inc. 3,700 110 Alexander & Baldwin, Inc. 5,700 150 *Atlas Air, Inc. 5,300 173 C.H. Robinson Worldwide, Inc. 11,800 371 CNF Transportation, Inc. 6,800 230 *EGL Inc. 6,500 156 Expeditors International of Washington, Inc. 7,200 387 GATX Corporation 6,600 329 *J.B. Hunt Transport Services, Inc. 4,900 82 Overseas Shipholding Group, Inc. 4,700 108 *Swift Transportation Co., Inc. 8,800 174 *Wisconsin Central Transportation Corporation 6,900 104 --------- TOTAL 2,441 --------- UTILITIES (7.2%) AGL Resources, Inc. 7,600 168 ALLETE 10,400 258 Alliant Energy Corporation 11,000 351 American Water Works Company, Inc. 13,700 402 Black Hills Corporation 3,200 143 Cleco Corporation 3,100 170 Conectiv, Inc. 12,400 249 DPL, Inc. 18,500 613 DQE, Inc. 8,300 272 Energy East Corporation 18,300 360 Hawaiian Electric Industries, Inc. 4,600 171 IDACORP, Inc. 5,300 260 IPALCO Enterprises, Inc. 12,000 290 Kansas City Power & Light Company 8,600 236 MCN Energy Group, Inc. 12,600 349 The Montana Power Company 14,800 307 National Fuel Gas Company 5,500 346 Northeast Utilities 20,800 504 NSTAR 7,500 322 OGE Energy Corp. 10,900 266
27 Index 400 Stock Portfolio 31
MARKET SHARES/ VALUE COMMON STOCK (90.1%) PAR (000'S) -------------------------------------------------------- UTILITIES continued Potomac Electric Power Company 15,900 $ 393 Public Service Company of New Mexico 5,500 147 Puget Sound Energy, Inc. 11,900 331 Questar Corporation 11,200 337 SCANA Corporation 14,600 432 Sierra Pacific Resources 10,981 176 TECO Energy, Inc. 17,500 567 UtiliCorp United, Inc. 13,000 403 Vectren Corporation 8,600 220 Western Resources, Inc. 9,700 241 WGL Holdings, Inc. 6,500 198 Wisconsin Energy Corporation 17,000 384 --------- TOTAL 9,866 --------- TOTAL COMMON STOCK (COST $120,351) 123,972 --------- MONEY MARKET INVESTMENTS (9.7%) -------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (4.3%) #Asset Securitization, 6.4%, 2/7/01 $6,000,000 5,961 --------- TOTAL 5,961 --------- FEDERAL GOVERNMENT AND AGENCIES (2.2%) #Federal Home Loan Mortgage Corporation, 6.445%, 1/23/01 3,000,000 2,988 --------- TOTAL 2,988 --------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (9.7%) PAR (000'S) -------------------------------------------------------- PERSONAL CREDIT INSTITUTIONS (3.2%) #CXC Incorporated, 6.53%, 1/2/01 $4,400,000 4,399 --------- TOTAL 4,399 --------- TOTAL MONEY MARKET INVESTMENTS (COST $13,348) 13,348 --------- TOTAL INVESTMENTS (99.8%) (COST $133,699)! 137,320 --------- OTHER ASSETS, LESS LIABILITIES (0.2%) 296 --------- TOTAL NET ASSETS (100.0%) $ 137,616 =========
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $133,726 and the net unrealized appreciation of investments based on that cost was $3,594 which is comprised of $18,777 aggregate gross unrealized appreciation and $15,183 aggregate gross unrealized depreciation. * Non-Income Producing # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUER (000'S) CONTRACTS DATE (000'S) - -------------------------------------------------------------- MidCap 400 50 03/01 $28 (Total Notional Value at 12/31/2000, $13,039)
The Accompanying Notes are an Integral Part of the Financial Statements Index 400 Stock Portfolio 28 32
Objective: Portfolio Strategy: Net Assets: Long-term appreciation of capital Hold a diversified mix of high quality growth $770,815,620 with moderate risk stocks of medium and large companies with above-average potential for earnings growth.
GROWTH STOCK PORTFOLIO The Growth Stock Portfolio is invested in high quality companies of large to medium capitalization with strong financial characteristics and the ability to generate internal growth. A key factor in stock selection is the choice of industries with good earnings potential, based on analysis of economic trends to determine their impact on various sectors of the economy. Stock selection is made through "top down" analysis: first industry and market sector choices are made based on the economic environment, and then the most promising companies within each sector are selected as holdings. A strategy of this portfolio is to go beyond the most familiar "blue chip" names to seek out medium-sized companies with stock prices that do not yet reflect their potential for growth. Diversification across 70 to 90 stocks in a wide range of industry groups reduces the Portfolio's risk profile. Diversification and emphasis on quality continue to drive performance in the Growth Stock Portfolio, which outperformed the S&P 500 Index by more than six percentage points in 2000. During periods of market uncertainty, investors have historically turned to high quality stocks, and the past year was no exception. Among the stocks that contributed to the Portfolio's strong relative performance were energy holdings such as Enron and EOG Resources; health care companies including Medtronic and Pfizer; financials including Citigroup and Northern Trust; and consumer stocks including PepsiCo, Quaker Oats and several retail holdings. Relative to the S&P 500 Index, the Portfolio is most overweighted in the energy and consumer cyclical sectors, where the emphasis is on retailers such as Kohl's and Walgreen, whose expansion programs appear to more than offset any sensitivity to a slowing economy. During the year, exposure was increased to financial stocks, especially those with fee-based revenue sources. SECTOR ALLOCATION 12/31/00 [PIE CHART]
BASIC CONSUMER CONSUMER MATERIALS/CAPITAL OTHER TECHNOLOGY CYCLICAL FINANCE HEALTHCARE STAPLES ENERGY GOODS INDUSTRIES ---------- -------- ------- ---------- -------- ------ ----------------- ---------- Sector Allocation 21 13 13 10 9 9 7 6 OTHER ASSETS, INDEX LESS FUTURES LIABILITIES ------- ----------- Sector Allocation 8 4
TOP 10 HOLDINGS 12/31/00
Company % of Total Net Assets ------------------------------------------------------------------------------------- General Electric Company 2.6% ------------------------------------------------------------------------------------- Enron Corp. 2.1% ------------------------------------------------------------------------------------- Kohl's Corporation 2.1% ------------------------------------------------------------------------------------- Pfizer, Inc. 2.1% ------------------------------------------------------------------------------------- Cisco Systems, Inc. 2.0% ------------------------------------------------------------------------------------- Exxon Mobil Corporation 2.0% ------------------------------------------------------------------------------------- Citigroup, Inc. 1.9% ------------------------------------------------------------------------------------- Fiserv, Inc. 1.8% ------------------------------------------------------------------------------------- Walgreen Co. 1.6% ------------------------------------------------------------------------------------- Electronic Data Systems Corporation 1.6%
PERFORMANCE RELATIVE TO THE S&P 500 INDEX [LINE GRAPH]
GROWTH STOCK PORTFOLIO S&P 500 INDEX ---------------------- ------------- 5/94 10000 10000 12/94 10155 10320 12/95 13285 14180 12/96 16063 17413 12/97 20858 23211 12/98 26425 29826 12/99 32370 36108 12/00 31563 32851
- ------------------------------------------------------ Average Annual Total Return For Periods Ended December 31, 2000 Since 1 Year 5 Years Inception# - ------------------------------------------------------ Growth Stock Portfolio -2.49% 18.89% 18.83% S&P 500 Index -9.02% 18.30% 19.54% - ------------------------------------------------------ #Inception date of 5/3/1994
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The Index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. This chart assumes an initial investment of $10,000 made on 5/3/94 (commencement of operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 29 Growth Stock Portfolio 33 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (87.4%) PAR (000'S) --------------------------------------------------------- BASIC MATERIALS (1.3%) Ecolab, Inc. 180,300 $ 7,786 PPG Industries, Inc. 50,300 2,330 --------- TOTAL 10,116 --------- CAPITAL GOODS (5.8%) Avery Dennison Corporation 175,700 9,642 Emerson Electric Co. 44,200 3,484 General Electric Company 415,100 19,898 *Solectron Corporation 84,600 2,868 Tyco International Ltd. 156,500 8,686 --------- TOTAL 44,578 --------- COMMUNICATION SERVICES (2.3%) AT&T Corp. 193,700 3,353 *AT&T Wireless Group 37,600 651 *Nextel Communications, Inc. - Class A 137,300 3,398 SBC Communications, Inc. 70,139 3,349 Sprint Corporation 58,600 1,190 Verizon Communications Inc. 109,972 5,513 *WorldCom, Inc. 16,400 230 --------- TOTAL 17,684 --------- CONSUMER CYCLICAL (13.3%) *Amazon.com, Inc. 41,900 652 *Barnes & Noble, Inc. 100,000 2,650 *Costco Wholesale Corporation 144,700 5,779 Ford Motor Company 162,580 3,810 Harley-Davidson, Inc. 303,700 12,073 The Home Depot, Inc. 184,450 8,427 The Interpublic Group of Companies, Inc. 107,900 4,592 *Kohl's Corporation 269,900 16,465 The McGraw-Hill Companies, Inc. 158,700 9,304 The New York Times Company - Class A 132,900 5,324 Omnicom Group, Inc. 36,600 3,033 The ServiceMaster Company 245,250 2,820 Target Corporation 154,300 4,976 Tiffany & Co. 56,600 1,790 Tribune Company 207,800 8,780 Wal-Mart Stores, Inc. 224,100 11,905 --------- TOTAL 102,380 --------- CONSUMER STAPLES (8.5%) Anheuser-Busch Companies, Inc. 148,500 6,757 The Estee Lauder Companies, Inc. - Class A 200,100 8,767 General Mills, Inc. 53,600 2,389 Kimberly-Clark Corporation 111,900 7,910 McDonald's Corporation 164,600 5,596 PepsiCo, Inc. 178,500 8,847 The Quaker Oats Company 80,900 7,878
MARKET SHARES/ VALUE COMMON STOCK (87.4%) PAR (000'S) --------------------------------------------------------- CONSUMER STAPLES continued Time Warner, Inc. 87,600 $ 4,576 Walgreen Co. 299,200 12,510 --------- TOTAL 65,230 --------- ENERGY (8.9%) Chevron Corporation 79,200 6,687 Conoco Inc. - Class B 331,200 9,584 Diamond Offshore Drilling, Inc. 128,700 5,148 EOG Resources, Inc. 150,200 8,214 Exxon Mobil Corporation 178,867 15,550 Santa Fe International Corporation 189,900 6,089 Schlumberger Limited 87,400 6,987 Tosco Corporation 310,200 10,527 --------- TOTAL 68,786 --------- FINANCE (13.1%) American International Group, Inc. 103,100 10,162 The Bank of New York Company, Inc. 173,700 9,586 CIGNA Corporation 89,100 11,788 Citigroup, Inc. 280,133 14,304 Fifth Third Bancorp 160,450 9,587 Household International, Inc. 141,000 7,755 Lehman Brothers Holdings, Inc. 119,000 8,047 Morgan Stanley Dean Witter & Co. 106,900 8,472 Northern Trust Corporation 139,300 11,362 The PNC Financial Services Group, Inc. 133,900 9,783 --------- TOTAL 100,846 --------- HEALTHCARE (9.9%) Bristol-Myers Squibb Company 108,000 7,985 Eli Lilly and Company 75,900 7,063 *Guidant Corporation 130,000 7,012 Johnson & Johnson 60,500 6,356 Medtronic, Inc. 175,600 10,602 Merck & Co., Inc. 103,200 9,662 Pfizer, Inc. 350,050 16,103 Schering-Plough Corporation 170,800 9,693 *Watson Pharmaceuticals, Inc. 36,000 1,843 --------- TOTAL 76,319 --------- TECHNOLOGY (20.8%) *Amdocs Limited 149,000 9,871 *America Online, Inc. 128,900 4,486 *Atmel Corporation 438,700 5,100 *Avanex Corporation 19,600 1,167 *Cisco Systems, Inc. 409,600 15,668 Corning Incorporated 108,500 5,730 *Corvis Corporation 1,000 24 Electronic Data Systems Corporation 212,100 12,249 *EMC Corporation 121,600 8,086 *Fiserv, Inc. 289,375 13,727 Intel Corporation 334,600 10,122
Growth Stock Portfolio 30 34
MARKET SHARES/ VALUE COMMON STOCK (87.4%) PAR (000'S) --------------------------------------------------------- TECHNOLOGY continued International Business Machines Corporation 73,200 $ 6,222 *Microsoft Corporation 142,800 6,194 Nokia Corp., ADR 101,100 4,398 Nortel Networks Corporation 220,300 7,063 *Oracle Corporation 369,500 10,739 *Palm, Inc. 247,600 7,010 *Sun Microsystems, Inc. 207,000 5,770 *Tellabs, Inc. 152,100 8,594 Texas Instruments Incorporated 139,500 6,609 *TIBCO Software Inc. 99,300 4,760 *Viacom Inc. - Class B 96,000 4,488 *Williams Communications Group, Inc. - Class A 158,300 1,860 --------- TOTAL 159,937 --------- TRANSPORTATION (1.4%) *FedEx Corporation 65,000 2,597 *Midwest Express Holdings, Inc. 81,600 1,199 Southwest Airlines Co. 208,575 6,993 --------- TOTAL 10,789 --------- UTILITIES (2.1%) Enron Corp. 198,200 16,475 --------- TOTAL 16,475 --------- TOTAL COMMON STOCK (COST $514,720) 673,140 --------- MONEY MARKET INVESTMENTS (12.7%) --------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (2.6%) #Asset Securitization, 6.4%, 2/7/01 $20,000,000 19,868 --------- TOTAL 19,868 --------- AUTO RELATED (3.5%) Ford Motor Credit Co., 6.54%, 1/18/01 20,000,000 19,938 General Motors Acceptance Corporation, 6.58%, 1/18/01 6,800,000 6,779 --------- TOTAL 26,717 --------- FEDERAL GOVERNMENT AND AGENCIES (0.5%) Federal Home Loan Mortgage Corporation, 6.445%, 1/23/01 4,000,000 3,984 --------- TOTAL 3,984 ---------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (12.7%) PAR (000'S) --------------------------------------------------------- FINANCE LESSORS (2.6%) #Preferred Receivable Funding, 6.63%, 1/11/01 $20,000,000 $ 19,964 --------- TOTAL 19,964 --------- FOOD AND KINDRED PRODUCTS (2.5%) #Philip Morris Capital Company, 6.57%, 3/2/01 20,000,000 19,786 --------- TOTAL 19,786 --------- PERSONAL CREDIT INSTITUTIONS (1.0%) #CXC Incorporated, 6.53%, 1/2/01 7,900,000 7,898 --------- TOTAL 7,898 --------- TOTAL MONEY MARKET INVESTMENTS (COST $98,213) 98,217 --------- TOTAL INVESTMENTS (100.1%) (COST $612,933)! 771,357 --------- OTHER ASSETS, LESS LIABILITIES (-0.1%) (541) --------- TOTAL NET ASSETS (100.0%) $ 770,816 =========
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $613,063 and the net unrealized appreciation of investments based on that cost was $158,294 which is comprised of $191,552 aggregate gross unrealized appreciation and $33,258 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUER (000'S) CONTRACTS DATE (000'S) - ------------------------------------------------------------------ S&P 500 189 3/01 $(245) (Total Notional Value at 12/31/2000, $63,324)
The Accompanying Notes are an Integral Part of the Financial Statements 31 Growth Stock Portfolio 35
Objective: Portfolio Strategy: Net Assets: Long-term growth of capital and Actively manage a portfolio of equity securities $579,980,918 income, consistent with moderate with a goal of exceeding the total return of the investment risk S&P 500 Index.
GROWTH & INCOME STOCK PORTFOLIO The Growth and Income Stock Portfolio invests mainly in large-capitalization stocks, with a focus on seeking the best values in the market based on long-term earnings forecasts. A sector balance very close to that of the S&P 500 Index is normally maintained, with the emphasis on undervalued stocks within each industry group; a valuation discipline mandates the sale of stocks regarded as overvalued. More focus is placed on capital appreciation and dividend growth than on current dividends. The Portfolio is normally fully invested in equity securities. In a year in which pronounced weakness in the stock market was accompanied by a dramatic shift in market leadership, the Portfolio's value-oriented management style resulted in performance two percentage points better than its major benchmark. Since the fund essentially matches industry weightings of the Index, stock selection was the major factor in performance for the year. The Portfolio's holdings in the energy, insurance and health care industries contributed importantly to performance. The stock most overweighted relative to the Index was Tyco, a diversified manufacturing company that was up more than 40% for the year. Large holdings that performed well included ALZA, a mid- capitalization drug company with strong earnings, and Philip Morris. Other investments that contributed to performance were Pharmacia, Ambac Financial, and MetLife, the year's largest initial public offering. Several of these holdings have been scaled back or eliminated, as profits have been taken. The Portfolio's technology holdings were down in line with their industry, although generally not so dramatically as smaller technology companies. Price drops created opportunities to add to some media, telecommunications and technology holdings including Liberty Media, Nextel and Gemstar. Positions were also increased in certain economically sensitive companies that now appear to offer good value, such as Smurfit Stone and Home Depot. The Growth and Income Stock Portfolio is managed for Northwestern Mutual by J. P. Morgan Fleming Asset Management. SECTOR ALLOCATION 12/31/00 [PIE CHART]
CAPITAL CONSUMER CONSUMER BASIC TECHNOLOGY FINANCE HEALTHCARE GOODS STAPLES CYCLICAL ENERGY MATERIALS ---------- ------- ---------- ------- -------- -------- ------ --------- Sector Allocation 20 18 13 10 10 7 7 4 OTHER ASSETS, MONEY LESS MARKET LIABILITIES INVESTMENTS ----------- ----------- Sector Allocation 7 4
TOP 10 HOLDINGS 12/31/00
Company % of Total Net Assets Exxon Mobil Corporation 4.0% ------------------------------------------------------------------------------------- General Electric Company 3.8% ------------------------------------------------------------------------------------- Tyco International Ltd. 3.8% ------------------------------------------------------------------------------------- Cisco Systems, Inc. 2.9% ------------------------------------------------------------------------------------- Phillip Morris Companies, Inc. 2.8% ------------------------------------------------------------------------------------- Citigroup, Inc. 2.6% ------------------------------------------------------------------------------------- Pharmacia Corporation 2.4% ------------------------------------------------------------------------------------- Pfizer, Inc. 2.1% ------------------------------------------------------------------------------------- U.S. Bancorp 2.1% ------------------------------------------------------------------------------------- Ambac Financial Group, Inc. 2.1%
PERFORMANCE RELATIVE TO THE S&P 500 INDEX [LINE GRAPH]
GROWTH & INCOME STOCK PORTFOLIO S&P 500 INDEX ------------------------------- ------------- 5/94 10000 10000 12/94 10034 10320 12/95 13156 14180 12/96 15783 17413 12/97 20523 23211 12/98 25271 29826 12/99 27158 36108 12/00 25269 32851
- ------------------------------------------------------------- Average Annual Total Return For Periods Ended December 31, 2000 Since 1 Year 5 Years Inception# - ------------------------------------------------------------- Growth & Income Stock Portfolio -6.97% 13.94% 14.93% S&P 500 Index -9.02% 18.30% 19.54% - ------------------------------------------------------------- #Inception Date of 5/3/1994
The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. This chart assumes an initial investment of $10,000 made on 5/3/94 (commencement of operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 32 Growth & Income Stock Portfolio 36 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (98.0%) PAR (000'S) -------------------------------------------------------- BASIC MATERIALS (3.8%) Alcoa, Inc. 126,064 $ 4,223 Allegheny Technologies Incorporated 150,850 2,395 Rohm and Haas Company 199,400 7,240 *Smurfit-Stone Container Corporation 295,434 4,413 Temple-Inland, Inc. 71,100 3,813 --------- TOTAL 22,084 --------- CAPITAL GOODS (9.6%) Cooper Industries, Inc. 97,600 4,484 General Electric Company 464,100 22,247 *Sensormatic Electronics Corporation 150,000 3,009 Tyco International Ltd. 392,498 21,784 Waste Management, Inc. 144,617 4,013 --------- TOTAL 55,537 --------- COMMUNICATION SERVICES (5.5%) *Global Crossing Ltd. 131,800 1,886 *Level 3 Communications, Inc. 89,600 2,940 *Nextel Communications, Inc. - Class A 59,500 1,473 *Qwest Communications International Inc. 65,100 2,669 SBC Communications, Inc. 177,410 8,471 *Sprint Corporation (PCS Group) 140,400 2,869 Verizon Communications Inc. 171,348 8,590 *WorldCom, Inc. 213,859 2,994 --------- TOTAL 31,892 --------- CONSUMER CYCLICAL (7.4%) *Abercrombie & Fitch Co. - Class A 138,900 2,778 *Cendant Corporation 243,804 2,347 Ford Motor Company 124,704 2,923 The Home Depot, Inc. 73,500 3,358 *Jones Apparel Group, Inc. 86,700 2,791 *Lear Corporation 126,500 3,139 The News Corporation Limited, ADR 142,200 4,586 Target Corporation 166,500 5,370 The TJX Companies, Inc. 230,100 6,384 Wal-Mart Stores, Inc. 175,900 9,344 --------- TOTAL 43,020 --------- CONSUMER STAPLES (10.2%) *AT&T Corp - Liberty Media Corporation 520,500 7,059 The Clorox Company 88,900 3,156 The Coca-Cola Company 52,900 3,224 *Comcast Corporation - Class A 192,800 8,049 *Gemstar-TV Guide International, Inc. 82,400 3,801 The Gillette Company 193,500 6,990 Philip Morris Companies, Inc. 368,800 16,227 The Procter & Gamble Company 82,200 6,448 Time Warner, Inc. 79,600 4,158 --------- TOTAL 59,112 ---------
MARKET SHARES/ VALUE COMMON STOCK (98.0%) PAR (000'S) -------------------------------------------------------- ENERGY (6.9%) Baker Hughes Incorporated 123,400 $ 5,129 Exxon Mobil Corporation 267,527 23,258 *Global Marine, Inc. 153,600 4,358 Royal Dutch Petroleum Company 42,700 2,586 Shell Transport & Trading Company, ADR 92,000 4,543 --------- TOTAL 39,874 --------- FINANCE (18.0%) Ambac Financial Group, Inc. 203,750 11,881 Bank One Corporation 121,700 4,457 Capital One Financial Corporation 118,400 7,792 CIGNA Corporation 53,800 7,118 The CIT Group, Inc. 211,170 4,250 Citigroup, Inc. 292,556 14,938 *E*TRADE Group, Inc. 90,600 668 Federal National Mortgage Association 81,400 7,061 First Union Corporation 169,200 4,706 Firstar Corporation 86,100 2,002 The Goldman Sachs Group, Inc. 89,200 9,539 MetLife, Inc. 67,900 2,377 U.S. Bancorp 408,000 11,909 Washington Mutual, Inc. 173,800 9,222 XL Capital Ltd. - Class A 70,900 6,195 --------- TOTAL 104,115 --------- HEALTHCARE (12.8%) *ALZA Corporation 208,100 8,844 American Home Products Corporation 97,500 6,196 Bristol-Myers Squibb Company 69,200 5,116 Eli Lilly and Company 98,700 9,185 *Human Genome Sciences, Inc. 16,600 1,151 Merck & Co., Inc. 89,900 8,417 Pfizer, Inc. 261,000 12,006 Pharmacia Corporation 226,752 13,833 Schering-Plough Corporation 169,100 9,596 --------- TOTAL 74,344 --------- TECHNOLOGY (20.0%) *Altera Corporation 80,100 2,108 *America Online, Inc. 195,100 6,789 *Cisco Systems, Inc. 434,800 16,632 *Citrix Systems, Inc. 61,300 1,379 Compaq Computer Corporation 233,500 3,514 Computer Associates International, Inc. 167,100 3,258 *Dell Computer Corporation 176,300 3,074 *EMC Corporation 119,900 7,973 Intel Corporation 332,000 10,043 International Business Machines Corporation 41,100 3,494 *JDS Uniphase Corporation 40,100 1,672 *Microsoft Corporation 268,800 11,660 Motorola, Inc. 217,300 4,400
33 Growth & Income Stock Portfolio 37
MARKET SHARES/ VALUE COMMON STOCK (98.0%) PAR (000'S) -------------------------------------------------------- TECHNOLOGY continued *NCR Corporation 89,200 $ 4,382 Nortel Networks Corporation 172,600 5,534 *Oracle Corporation 220,800 6,417 *Quantum Corporation - DLT & Storage Systems 155,000 2,063 *Sun Microsystems, Inc. 361,600 10,080 Texas Instruments Incorporated 114,400 5,420 *TyCom, Ltd. 140,700 3,148 *VERITAS Software Corporation 39,218 3,432 --------- TOTAL 116,472 --------- TRANSPORTATION (1.1%) Union Pacific Corporation 123,000 6,242 --------- TOTAL 6,242 --------- UTILITIES (2.7%) DTE Energy Company 108,900 4,240 Dynegy Inc. - Class A 66,700 3,739 Entergy Corporation 84,800 3,588 NiSource Inc. 138,390 4,256 --------- TOTAL 15,823 --------- TOTAL COMMON STOCK (COST $561,875) 568,515 --------- MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (4.3%) PAR (000'S) -------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (1.7%) Asset Securitization, 6.4%, 2/7/01 $10,000,000 $ 9,934 --------- TOTAL 9,934 --------- PERSONAL CREDIT INSTITUTIONS (1.7%) CXC Incorporated, 6.53%, 1/2/01 4,900,000 4,899 Variable Funding Capital, 6.49%, 2/12/01 5,036,000 4,998 --------- TOTAL 9,897 --------- SHORT TERM BUSINESS CREDIT (0.9%) Transamerica Financial Corporation, 6.5%, 1/30/01 5,000,000 4,974 --------- TOTAL 4,974 --------- TOTAL MONEY MARKET INVESTMENTS (COST $24,805) 24,805 --------- TOTAL INVESTMENTS (102.3%) (COST $586,680)! 593,320 --------- OTHER ASSETS, LESS LIABILITIES (-2.3%) (13,339) --------- TOTAL NET ASSETS (100.0%) $ 579,981 =========
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $590,818 and the net realized appreciation of investments based on that cost was $2,502 which is comprised of $84,277 aggregate gross unrealized appreciation and $81,775 aggregate gross unrealized depreciation. * Non-Income Producing ADR - American Depository Receipt The Accompanying Notes are an Integral Part of the Financial Statements Growth & Income Stock Portfolio 34 38
Objective: Portfolio Strategy: Net Assets: Long-term capital appreciation Invest in a portfolio designed to approximate the $2,072,936,918 through cost-effective participation composition and returns of the S&P 500 Index. in broad market performance
INDEX 500 STOCK PORTFOLIO The Index 500 Stock Portfolio is designed to achieve results that approximate the performance of the Standard & Poor's 500 Composite Stock Price Index. As of December 31, 2000, the 500 stocks in the Index had a median market capitalization of $8.7 billion and total market value of $11,714 billion. Of the 500 stocks, 428 are listed on the New York Stock Exchange, 70 on NASDAQ, and 2 on the American Stock Exchange. This composite of 500 stocks of large U.S.-based companies, compiled by Standard & Poor's Corporation, is generally regarded as a good proxy for the large-capitalization portion of the U.S. equity market; the Portfolio therefore enables policyowners to participate in overall performance of the equity market. The Portfolio continues to achieve the objective of matching the results of the S&P 500 before expenses. SECTOR ALLOCATION 12/31/00 [SECTOR ALLOCATION PIE CHART]
CONSUMER CAPITAL CONSUMER BASIC TECHNOLOGY FINANCE HEALTHCARE STAPLES GOODS CYCLICAL ENERGY MATERIALS ---------- ------- ---------- -------- ------- -------- ------ --------- Sector Allocation 22 17 14 10 9 8 7 2 OTHER ASSETS, S&P 500 LESS INDEX LIABILITIES FUTURES ----------- ------- Sector Allocation 10 1
TOP 10 HOLDINGS 12/31/00
Company % of Total Net Assets ------------------------------------------------------------------------------------ General Electric Company 4.0% ------------------------------------------------------------------------------------ Exxon Mobil Corporation 2.6% ------------------------------------------------------------------------------------ Pfizer, Inc. 2.5% ------------------------------------------------------------------------------------ Cisco Systems, Inc. 2.3% ------------------------------------------------------------------------------------ Citigroup, Inc. 2.2% ------------------------------------------------------------------------------------ Wal-Mart Stores, Inc. 2.0% ------------------------------------------------------------------------------------ Microsoft Corporation 1.9% ------------------------------------------------------------------------------------ American International Group, Inc. 1.9% ------------------------------------------------------------------------------------ Merck & Co., Inc. 1.8% ------------------------------------------------------------------------------------ Intel Corporation 1.7%
PERFORMANCE RELATIVE TO THE S&P 500 INDEX [PERFORMANCE LINE GRAPH]
INDEX 500 STOCK PORTFOLIO S&P 500 INDEX ------------------------- ------------- 12/90 10000.00 10000.00 12978.00 13050.00 12/92 13568.00 14042.00 14911.00 15460.00 12/94 15092.00 15646.00 20714.00 21497.00 12/96 25426.00 26398.00 33867.00 35189.00 12/98 43596.00 45218.00 52714.00 54741.00 12/00 48097.00 49803.00
- ----------------------------------------------------------- Average Annual Total Return For Periods Ended December 31, 2000 1 Year 5 Years 10 Years - ----------------------------------------------------------- Index 500 Stock Portfolio -8.75% 18.35% 17.01% S&P 500 Index -9.02% 18.30% 17.42% - -----------------------------------------------------------
On April 30, 1993, the Portfolio was indexed to approximate the performance of the Standard & Poor's 500 Composite Stock Price Index. Before that date, the Portfolio was actively managed. The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. "Standard & Poor's(R)", "S&P(R)", "S&P MidCap 400 Index", "Standard & Poor's MidCap 400 Index", "S&P 500(R)", and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Northwestern Mutual Life Insurance Company. The funds are not sponsored, endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. This chart assumes an initial investment of $10,000 made on 12/31/90. Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 35 Index 500 Stock Portfolio 39 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- BASIC MATERIALS (2.4%) Air Products and Chemicals, Inc. 40,300 $ 1,652 Alcan Aluminium Ltd. 58,800 2,010 Alcoa, Inc. 152,168 5,098 Allegheny Technologies Incorporated 14,267 226 Archer-Daniels-Midland Company 111,121 1,667 Barrick Gold Corporation 69,500 1,138 Bemis Company, Inc. 9,300 312 Boise Cascade Corporation 10,100 340 The Dow Chemical Company 119,200 4,366 E. I. du Pont de Nemours and Company 183,200 8,851 Eastman Chemical Company 13,525 659 Ecolab, Inc. 22,500 972 Engelhard Corporation 22,400 456 *FMC Corporation 5,300 380 *Freeport-McMoRan Copper & Gold, Inc. - Class B 26,900 230 Georgia-Pacific Corporation 39,471 1,229 Great Lakes Chemical Corporation 9,200 342 Hercules Incorporated 18,900 360 Homestake Mining Company 46,200 193 *Inco Limited 31,900 535 International Flavors & Fragrances, Inc. 17,600 358 International Paper Company 84,906 3,465 Louisiana-Pacific Corporation 18,300 185 Massey Energy Company 13,300 170 The Mead Corporation 18,000 565 Newmont Mining Corporation 29,580 505 Nucor Corporation 14,300 568 *Pactiv Corporation 29,800 369 Phelps Dodge Corporation 13,824 772 Placer Dome, Inc. 57,600 554 Potlatch Corporation 5,000 168 PPG Industries, Inc. 30,600 1,417 Praxair, Inc. 27,800 1,234 Rohm and Haas Company 38,013 1,380 Sigma-Aldrich Corporation 14,200 558 Temple-Inland, Inc. 9,000 483 Union Carbide Corporation 23,700 1,275 USX-U. S. Steel Group 15,600 281 Vulcan Materials Company 17,700 847 Westvaco Corporation 17,650 515 Weyerhaeuser Company 38,700 1,964 Willamette Industries, Inc. 19,200 901 Worthington Industries, Inc. 15,050 121 ----------- TOTAL 49,671 ----------- CAPITAL GOODS (8.9%) *Allied Waste Industries, Inc. 34,600 504
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- CAPITAL GOODS continued *American Power Conversion Corporation 34,200 $ 423 Avery Dennison Corporation 19,600 1,076 The B.F. Goodrich Company 17,800 647 Ball Corporation 5,100 235 The Boeing Company 157,676 10,407 Briggs & Stratton Corporation 3,800 169 Caterpillar, Inc. 60,700 2,872 Cooper Industries, Inc. 16,400 753 Crane Co. 10,675 304 Cummins Engine Company, Inc. 7,300 277 Danaher Corporation 24,900 1,703 Deere & Company 41,200 1,887 Dover Corporation 35,700 1,448 Eaton Corporation 12,800 962 Emerson Electric Co. 75,100 5,919 *Fluor Corporation 13,300 440 General Dynamics Corporation 34,900 2,722 General Electric Company 1,740,500 83,436 Honeywell International, Inc. 140,750 6,659 Illinois Tool Works, Inc. 53,000 3,157 Ingersoll-Rand Company 28,300 1,185 ITT Industries, Inc. 15,400 597 Johnson Controls, Inc. 15,100 785 Lockheed Martin Corporation 75,008 2,547 McDermott International, Inc. 10,600 114 Millipore Corporation 8,100 510 Minnesota Mining and Manufacturing Company 69,500 8,375 Molex Incorporated 34,500 1,225 National Service Industries, Inc. 7,200 185 *Navistar International Corporation 10,400 272 Northrop Grumman Corporation 12,600 1,046 PACCAR, Inc. 13,470 663 Pall Corporation 21,700 462 Parker-Hannifin Corporation 19,675 868 Pitney Bowes, Inc. 44,900 1,487 Raytheon Company - Class B 59,700 1,854 Rockwell International Corporation 32,500 1,548 *Sanmina Corporation 26,600 2,038 *Sealed Air Corporation 14,671 447 *Solectron Corporation 111,800 3,790 Symbol Technologies, Inc. 25,700 925 Textron, Inc. 25,200 1,172 *Thermo Electron Corporation 30,500 907 Thomas & Betts Corporation 10,200 165 The Timken Company 10,600 160 Tyco International Ltd. 296,113 16,435 United Technologies Corporation 82,300 6,471 Waste Management, Inc. 109,185 3,030 ----------- TOTAL 185,263 -----------
Index 500 Stock Portfolio 36 40
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- COMMUNICATION SERVICES (5.4%) ALLTEL Corporation 55,400 $ 3,459 AT&T Corp. 660,038 11,427 BellSouth Corporation 329,300 13,481 CenturyTel, Inc. 24,700 883 *Global Crossing Ltd. 154,710 2,214 *Nextel Communications, Inc. - Class A 133,800 3,312 *Qwest Communications International Inc. 291,817 11,964 SBC Communications, Inc. 595,625 28,441 Sprint Corporation 155,500 3,159 *Sprint Corporation (PCS Group) 163,100 3,333 Verizon Communications Inc. 477,586 23,939 *WorldCom, Inc. 504,873 7,068 ----------- TOTAL 112,680 ----------- CONSUMER CYCLICAL (7.6%) American Greetings Corporation - Class A 11,300 107 *AutoZone, Inc. 22,400 638 *Bed Bath & Beyond, Inc. 49,700 1,112 *Best Buy Co., Inc. 36,300 1,073 The Black & Decker Corporation 14,600 573 Brunswick Corporation 15,300 251 Carnival Corporation 103,600 3,192 *Cendant Corporation 127,633 1,228 Centex Corporation 10,300 387 Circuit City Stores, Inc. 36,100 415 *Consolidated Stores Corporation 19,600 208 *Convergys Corporation 27,000 1,223 Cooper Tire & Rubber Company 12,700 135 *Costco Wholesale Corporation 78,514 3,136 Dana Corporation 26,200 401 Delphi Automotive Systems Corporation 98,437 1,107 Dillard's, Inc. - Class A 16,400 194 Dollar General Corporation 57,728 1,090 Dow Jones & Company, Inc. 15,400 872 *Federated Department Stores, Inc. 36,500 1,278 Ford Motor Company 332,619 7,796 Gannett Co., Inc. 46,300 2,920 The Gap, Inc. 149,375 3,809 General Motors Corporation 94,247 4,801 Genuine Parts Company 30,700 804 The Goodyear Tire & Rubber Company 27,500 632 H&R Block, Inc. 16,100 666 Harcourt General, Inc. 12,800 732 Harley-Davidson, Inc. 53,200 2,115 *Harrah's Entertainment, Inc. 20,500 541 Hasbro, Inc. 30,275 322 Hilton Hotels Corporation 64,800 680 The Home Depot, Inc. 406,994 18,595 IMS Health Incorporated 52,200 1,409 The Interpublic Group of Companies, Inc. 54,100 2,303
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- CONSUMER CYCLICAL continued J. C. Penney Company, Inc. 46,000 $ 500 Kaufman and Broad Home Corporation 8,500 286 *Kmart Corporation 84,400 448 Knight-Ridder, Inc. 13,300 756 *Kohl's Corporation 57,900 3,532 Leggett & Platt, Incorporated 34,500 653 The Limited, Inc. 75,848 1,294 Liz Claiborne, Inc. 9,400 391 Lowe's Companies, Inc. 67,200 2,990 Marriott International, Inc. - Class A 42,200 1,783 Masco Corporation 80,300 2,063 Mattel, Inc. 74,888 1,081 The May Department Stores Company 52,300 1,713 Maytag Corporation 13,600 439 The McGraw-Hill Companies, Inc. 34,200 2,005 Meredith Corporation 8,900 286 The New York Times Company - Class A 29,300 1,174 NIKE, Inc. - Class B 47,400 2,646 Nordstrom, Inc. 22,900 416 *Office Depot, Inc. 53,700 383 Omnicom Group, Inc. 31,200 2,586 Pulte Corporation 7,100 300 RadioShack Corporation 32,600 1,396 *Reebok International Ltd. 10,000 273 *Robert Half International Inc. 31,400 832 Sears, Roebuck & Co. 60,200 2,092 The Sherwin-Williams Company 28,600 753 Snap-on Incorporated 10,350 289 The Stanley Works 15,200 474 *Staples, Inc. 79,800 943 Starwood Hotels & Resorts Worldwide, Inc. 34,000 1,199 Target Corporation 159,900 5,157 Tiffany & Co. 25,500 806 The TJX Companies, Inc. 51,400 1,426 *Toys "R" Us, Inc. 35,900 599 Tribune Company 54,147 2,288 TRW, Inc. 21,800 845 V. F. Corporation 20,100 728 Visteon Corporation 23,033 265 Wal-Mart Stores, Inc. 784,800 41,693 Whirlpool Corporation 12,500 596 ----------- TOTAL 157,124 ----------- CONSUMER STAPLES (10.3%) Adolph Coors Company - Class B 6,500 522 Alberto-Culver Company - Class B 9,800 420 Albertson's, Inc. 74,326 1,970
37 Index 500 Stock Portfolio 41
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- CONSUMER STAPLES continued Anheuser-Busch Companies, Inc. 159,200 $ 7,244 Avon Products, Inc. 41,700 1,996 Brown-Forman Corporation - Class B 12,000 798 Campbell Soup Company 74,000 2,562 Cardinal Health, Inc. 48,850 4,867 *Clear Channel Communications, Inc. 102,900 4,984 The Clorox Company 41,200 1,463 The Coca-Cola Company 435,200 26,519 Coca-Cola Enterprises, Inc. 73,500 1,397 Colgate-Palmolive Company 100,900 6,513 *Comcast Corporation - Class A 159,000 6,638 ConAgra, Inc. 93,700 2,436 CVS Corporation 68,600 4,112 Darden Restaurants, Inc. 21,500 492 Deluxe Corporation 12,700 321 Fortune Brands, Inc. 27,600 828 General Mills, Inc. 50,200 2,237 The Gillette Company 185,000 6,683 H.J. Heinz Company 61,050 2,896 Hershey Foods Corporation 24,000 1,545 Kellogg Company 71,300 1,872 Kimberly-Clark Corporation 94,544 6,683 *The Kroger Co. 145,100 3,927 Longs Drug Stores Corporation 6,600 159 McDonald's Corporation 232,100 7,891 McKesson HBOC, Inc. 49,945 1,793 Newell Rubbermaid, Inc. 46,832 1,065 PepsiCo, Inc. 253,600 12,569 Philip Morris Companies, Inc. 395,700 17,411 The Procter & Gamble Company 229,800 18,025 The Quaker Oats Company 23,300 2,269 R. R. Donnelley & Sons Company 21,400 578 Ralston Purina Company 53,900 1,408 *Safeway, Inc. 87,400 5,463 Sara Lee Corporation 152,800 3,753 *Starbucks Corporation 32,900 1,456 SUPERVALU INC 23,300 323 SYSCO Corporation 117,200 3,516 Time Warner, Inc. 232,600 12,151 *Tricon Global Restaurants, Inc. 25,590 844 Tupperware Corporation 10,100 206 UST, Inc. 28,500 800 Walgreen Co. 177,500 7,422 The Walt Disney Company 366,307 10,600 Wendy's International, Inc. 19,900 522 Winn-Dixie Stores, Inc. 24,700 479 Wm. Wrigley Jr. Company 20,000 1,916 ----------- TOTAL 214,544 ----------- ENERGY (6.7%) Amerada Hess Corporation 15,800 1,154 Anadarko Petroleum Corporation 42,762 3,040 Apache Corporation 21,500 1,506
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- ENERGY continued Ashland, Inc. 12,300 $ 441 Baker Hughes Incorporated 58,130 2,416 Burlington Resources, Inc. 37,920 1,915 Chevron Corporation 114,700 9,685 Conoco Inc. - Class B 109,400 3,166 Devon Energy Corporation 22,400 1,366 EOG Resources, Inc. 20,400 1,116 Exxon Mobil Corporation 612,185 53,223 Halliburton Company 78,300 2,838 Kerr-McGee Corporation 16,605 1,111 *Nabors Industries, Inc. 25,700 1,520 Occidental Petroleum Corporation 64,800 1,571 Phillips Petroleum Company 44,800 2,548 *Rowan Companies, Inc. 16,600 448 Royal Dutch Petroleum Company 376,800 22,820 Schlumberger Limited 100,200 8,010 Sunoco, Inc. 15,300 515 Texaco, Inc. 96,900 6,020 Tosco Corporation 25,400 862 Transocean Sedco Forex, Inc. 37,001 1,702 Unilever N.V 100,467 6,323 Unocal Corporation 42,700 1,652 USX-Marathon Group 54,800 1,521 ----------- TOTAL 138,489 ----------- FINANCE (17.4%) AFLAC Incorporated 46,600 3,364 The Allstate Corporation 129,028 5,621 Ambac Financial Group, Inc. 18,400 1,073 American Express Company 234,000 12,855 American General Corporation 44,425 3,621 American International Group, Inc. 406,592 40,074 AmSouth Bancorporation 66,200 1,010 Aon Corporation 44,800 1,534 Bank of America Corporation 288,676 13,243 The Bank of New York Company, Inc. 129,700 7,158 Bank One Corporation 203,086 7,438 BB&T Corporation 70,300 2,623 The Bear Stearns Companies, Inc. 18,938 960 Capital One Financial Corporation 34,500 2,271 The Charles Schwab Corporation 242,650 6,885 Charter One Financial, Inc. 36,935 1,066 The Chase Manhattan Corporation 229,918 10,447 The Chubb Corporation 30,700 2,656 CIGNA Corporation 27,700 3,665 Cincinnati Financial Corporation 28,300 1,120 The CIT Group, Inc. 46,100 928 Citigroup, Inc. 884,423 45,160 Comerica Incorporated 27,450 1,630 Conseco, Inc. 57,137 753 Countrywide Credit Industries, Inc. 20,100 1,010
Index 500 Stock Portfolio 38 42
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- FINANCE continued Federal Home Loan Mortgage Corporation 122,100 $ 8,410 Federal National Mortgage Association 177,000 15,355 Fifth Third Bancorp 81,712 4,882 First Union Corporation 173,052 4,813 Firstar Corporation 168,365 3,914 FleetBoston Financial Corporation 158,620 5,958 Franklin Resources, Inc. 42,800 1,631 Golden West Financial Corporation 27,800 1,877 The Hartford Financial Services Group, Inc. 39,400 2,783 Household International, Inc. 82,979 4,564 Huntington Bancshares Incorporated 44,182 715 J.P. Morgan & Co. Incorporated 27,900 4,617 Jefferson-Pilot Corporation 18,150 1,357 KeyCorp 75,700 2,120 Lehman Brothers Holdings, Inc. 42,700 2,888 Lincoln National Corporation 33,500 1,585 Loews Corporation 17,300 1,792 Marsh & McLennan Companies, Inc. 47,650 5,575 MBIA, Inc. 17,300 1,282 MBNA Corporation 149,675 5,529 Mellon Financial Corporation 85,800 4,220 Merrill Lynch & Co., Inc. 141,200 9,628 MetLife, Inc. 134,400 4,704 MGIC Investment Corporation 18,700 1,261 Moody's Corporation 28,500 732 Morgan Stanley Dean Witter & Co. 197,710 15,668 National City Corporation 106,700 3,068 Northern Trust Corporation 39,000 3,181 Old Kent Financial Corporation 24,085 1,054 The PNC Financial Services Group, Inc. 50,800 3,712 The Progressive Corporation 12,900 1,337 Providian Financial Corporation 50,200 2,887 Regions Financial Corporation 38,500 1,052 SAFECO Corporation 22,400 736 SouthTrust Corporation 29,600 1,204 The St. Paul Companies, Inc. 39,286 2,134 State Street Corporation 28,300 3,515 Stilwell Financial Inc. 39,500 1,558 Summit Bancorp 30,600 1,169 SunTrust Banks, Inc. 52,400 3,301 Synovus Financial Corp. 49,950 1,346 T. Rowe Price Associates, Inc. 21,300 900 Torchmark Corporation 22,400 861 U.S. Bancorp 131,031 3,824 Union Planters Corporation 23,700 847 UnumProvident Corporation 42,331 1,138 USA Education, Inc. 27,300 1,856
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- FINANCE continued Wachovia Corporation 35,700 $ 2,075 Washington Mutual, Inc. 94,736 5,027 Wells Fargo & Company 289,330 16,111 ----------- TOTAL 359,918 ----------- HEALTHCARE (13.8%) Abbott Laboratories 272,400 13,194 Aetna Inc. 24,763 1,017 Allergan, Inc. 23,100 2,236 *ALZA Corporation 40,600 1,726 American Home Products Corporation 229,100 14,559 *Amgen, Inc. 180,700 11,554 Applera Corporation - Applied Biosystems Group 36,600 3,443 Bausch & Lomb Incorporated 9,400 380 Baxter International, Inc. 51,300 4,530 Becton, Dickinson and Company 44,500 1,541 *Biogen, Inc. 26,000 1,562 Biomet, Inc. 31,250 1,240 *Boston Scientific Corporation 71,400 977 Bristol-Myers Squibb Company 345,400 25,538 C. R. Bard, Inc. 8,900 414 *Chiron Corporation 32,100 1,428 Eli Lilly and Company 198,500 18,473 *Forest Laboratories, Inc. 15,300 2,033 *Guidant Corporation 53,900 2,907 HCA - The Healthcare Company 98,100 4,317 *HEALTHSOUTH Corporation 67,800 1,106 *Humana, Inc. 29,200 445 Johnson & Johnson 244,300 25,667 *King Pharmaceuticals, Inc. 29,200 1,509 *Manor Care, Inc. 18,000 371 *MedImmune, Inc. 36,900 1,760 Medtronic, Inc. 210,500 12,709 Merck & Co., Inc. 404,300 37,854 Pfizer, Inc. 1,109,450 51,036 Pharmacia Corporation 228,070 13,912 *Quintiles Transnational Corp. 20,300 425 Schering-Plough Corporation 257,400 14,607 *St. Jude Medical, Inc. 14,800 909 Stryker Corporation 34,300 1,735 *Tenet Healthcare Corporation 55,300 2,457 UnitedHealth Group Incorporated 56,400 3,462 *Watson Pharmaceuticals, Inc. 18,000 921 *Wellpoint Health Networks, Inc. - Class A 11,000 1,268 ----------- TOTAL 285,222 ----------- TECHNOLOGY (22.1%) *Adaptec, Inc. 17,400 178 *ADC Telecommunications, Inc. 135,600 2,458 Adobe Systems Incorporated 42,100 2,450 *Advanced Micro Devices, Inc. 54,700 756 *Agilent Technologies, Inc. 79,580 4,357
39 Index 500 Stock Portfolio 43
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- TECHNOLOGY continued *Altera Corporation 70,100 $ 1,845 *America Online, Inc. 405,700 14,118 *Analog Devices, Inc. 62,400 3,194 *Andrew Corporation 14,237 310 *Apple Computer, Inc. 57,100 849 *Applied Materials, Inc. 142,500 5,442 Autodesk, Inc. 10,100 272 Automatic Data Processing, Inc. 110,200 6,977 *Avaya Inc. 48,866 504 *BMC Software, Inc. 43,400 608 *Broadcom Corporation - Class A 39,000 3,296 *BroadVision, Inc. 46,900 554 *Cabletron Systems, Inc. 32,400 488 *Ceridian Corporation 25,500 508 *Cisco Systems, Inc. 1,247,000 47,697 *Citrix Systems, Inc. 32,600 734 Compaq Computer Corporation 298,709 4,496 Computer Associates International, Inc. 103,812 2,024 *Computer Sciences Corporation 29,500 1,774 *Compuware Corporation 64,100 401 *Comverse Technology, Inc. 27,400 2,976 *Conexant Systems, Inc. 40,000 615 Corning Incorporated 155,000 8,186 *Dell Computer Corporation 454,600 7,927 Eastman Kodak Company 54,100 2,130 Electronic Data Systems Corporation 82,000 4,736 *EMC Corporation 383,174 25,481 Equifax, Inc. 24,800 711 First Data Corporation 71,200 3,751 *Gateway, Inc. 56,600 1,018 Hewlett-Packard Company 350,500 11,063 Intel Corporation 1,179,800 35,688 International Business Machines Corporation 309,400 26,299 *Intuit Inc. 35,700 1,408 *JDS Uniphase Corporation 164,500 6,858 *KLA-Tencor Corporation 32,700 1,102 *Lexmark International Group, Inc. - Class A 22,400 993 Linear Technology Corporation 54,700 2,530 *LSI Logic Corporation 54,500 931 Lucent Technologies, Inc. 586,800 7,922 *Maxim Integrated Products, Inc. 49,700 2,376 *Mercury Interactive Corporation 14,000 1,264 *Micron Technology, Inc. 99,200 3,522 *Microsoft Corporation 924,700 40,108 Motorola, Inc. 383,210 7,760 *National Semiconductor Corporation 31,200 628 *NCR Corporation 16,900 830 *Network Appliance, Inc. 54,900 3,526 Nortel Networks Corporation 524,900 16,830 *Novell, Inc. 57,100 298
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- TECHNOLOGY continued *Novellus Systems, Inc. 23,000 $ 827 *Oracle Corporation 989,300 28,751 *Palm, Inc. 99,320 2,812 *Parametric Technology Corporation 47,800 642 Paychex, Inc. 65,375 3,179 *PeopleSoft, Inc. 49,100 1,826 PerkinElmer, Inc. 8,700 914 *Power-One, Inc. 12,900 507 *QLogic Corporation 15,800 1,217 *QUALCOMM Incorporated 130,900 10,758 Sabre Holdings Corporation - Class A 22,667 978 *Sapient Corporation 20,900 249 Scientific-Atlanta, Inc. 28,000 912 *Siebel Systems, Inc. 73,200 4,950 *Sun Microsystems, Inc. 557,500 15,540 Tektronix, Inc. 16,900 569 *Tellabs, Inc. 72,100 4,074 *Teradyne, Inc. 30,500 1,136 Texas Instruments Incorporated 303,700 14,388 *Unisys Corporation 55,000 804 *VERITAS Software Corporation 70,660 6,183 *Viacom Inc. - Class B 266,548 12,461 *Vitesse Semiconductor Corporation 31,600 1,748 W.W. Grainger, Inc. 16,500 602 Xerox Corporation 117,200 542 *Xilinx, Inc. 57,700 2,661 *Yahoo!, Inc. 96,500 2,912 ----------- TOTAL 457,899 ----------- TRANSPORTATION (0.7%) *AMR Corporation 26,400 1,035 Burlington Northern Santa Fe Corporation 71,021 2,011 CSX Corporation 38,400 996 Delta Air Lines, Inc. 21,500 1,079 *FedEx Corporation 50,020 1,999 Norfolk Southern Corporation 67,400 897 Ryder System, Inc. 10,500 175 Southwest Airlines Co. 87,600 2,936 Union Pacific Corporation 43,600 2,212 *US Airways Group, Inc. 11,700 475 ----------- TOTAL 13,815 ----------- UTILITIES (3.9%) #*The AES Corporation 80,300 4,446 Allegheny Energy, Inc. 19,400 935 Ameren Corporation 24,100 1,116 American Electric Power Company, Inc. 56,620 2,633 *Calpine Corporation 48,500 2,186 Cinergy Corp. 27,917 981 CMS Energy Corporation 21,300 675
Index 500 Stock Portfolio 40 44
MARKET SHARES/ VALUE COMMON STOCK (99.2%) PAR (000'S) --------------------------------------------------------- UTILITIES continued The Coastal Corporation 37,700 $ 3,329 Consolidated Edison, Inc. 37,200 1,432 Constellation Energy Group 26,300 1,185 Dominion Resources, Inc. 41,795 2,800 DTE Energy Company 25,100 977 Duke Energy Corporation 64,665 5,512 Dynegy Inc. - Class A 54,400 3,050 Edison International 57,300 895 El Paso Energy Corporation 40,800 2,922 Enron Corp. 129,800 10,789 Entergy Corporation 39,200 1,659 Exelon Corporation 56,812 3,989 FirstEnergy Corp. 40,200 1,269 FPL Group, Inc. 31,200 2,239 GPU, Inc. 21,400 788 KeySpan Corporation 23,600 1,000 Kinder Morgan, Inc. 20,100 1,049 *Niagara Mohawk Holdings, Inc. 28,200 471 Nicor Inc. 8,100 350 NiSource Inc. 35,773 1,100 ONEOK, Inc. 5,100 245 Peoples Energy Corporation 6,200 277 PG&E Corporation 67,800 1,356 Pinnacle West Capital Corporation 14,900 710 PPL Corporation 25,434 1,149 Progress Energy, Inc. 43,092 2,120 Public Service Enterprise Group Incorporated 37,700 1,833 Reliant Energy, Inc. 51,662 2,238 Sempra Energy 35,902 835 The Southern Company 114,000 3,791 TXU Corp. 46,415 2,057 The Williams Companies, Inc. 77,800 3,107 Xcel Energy Inc. 59,620 1,733 ----------- TOTAL 81,228 ----------- TOTAL COMMON STOCK (COST $1,295,221) 2,055,853 ----------- MONEY MARKET INVESTMENTS (1.0%) --------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (0.5%) #Asset Securitization, 6.4%, 2/7/01 $ 10,000,000 9,934 ----------- TOTAL 9,934 -----------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (1.0%) PAR (000'S) ----------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (0.2%) #Federal Home Loan Mortgage Corporation, 6.445%, 1/23/01 $ 5,000,000 $ 4,980 ----------- TOTAL 4,980 ----------- PERSONAL CREDIT INSTITUTIONS (0.3%) #CXC Incorporated, 6.53%, 1/2/01 6,200,000 6,199 ----------- TOTAL 6,199 ----------- TOTAL MONEY MARKET INVESTMENTS (COST $21,113) 21,113 ----------- TOTAL INVESTMENTS (100.2%) (COST $1,316,334)! 2,076,966 ----------- OTHER ASSETS, LESS LIABILITIES (-0.2%) (4,029) ----------- TOTAL NET ASSETS (100.0%) $ 2,072,937 ===========
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $1,317,400 and the net unrealized appreciation of investments based on that cost was $759,566 which is comprised of $882,866 aggregate gross unrealized appreciation and $123,300 aggregate gross unrealized depreciation. * Non-Income Producing # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUER (000'S) CONTRACTS DATE (000'S) - -------------------------------------------------------------- S&P 500 62 3/01 $(789) (Total Notional Value at 12/31/2000, $21,482)
The Accompanying Notes are an Integral Part of the Financial Statements 41 Index 500 Stock Portfolio 45
Objective: Portfolio Strategy: Net Assets: A high level of current income and Achieve consistent returns and low volatility by $3,253,198,972 capital growth with a low risk diversifying among assets. profile
BALANCED PORTFOLIO In order to capitalize on changing financial market and economic conditions, the Balanced Portfolio's asset allocation is adjusted as appropriate among three investment classes: stocks, bonds and money market instruments. The equity portion of the Portfolio is indexed, meaning that the Portfolio is designed to achieve results that approximate the performance of the Standard & Poor's 500 Composite Stock Price Index, which is generally regarded as a good proxy for the overall U.S. equity market. The bond portion of the Portfolio is actively managed, with investments in high quality bonds adjusted frequently as to maturity, market sectors and duration. Liquidity is maintained by holding a portion of the Portfolio in money market investments, which are high quality short-term debt securities. The target asset mix for the Balanced Portfolio is established and adjusted according to an asset valuation model designed to gauge the relative attractiveness of stocks versus bonds. To maintain the target of 54% to 55% stocks that prevailed through most of 2000, stocks were sold during periods of market strength in the first quarter and late summer. These holdings were replaced with bonds, which outperformed stocks in 2000. In the bond portion of the Portfolio, a move to higher quality securities and a defensive stance on interest rates proved successful, as interest rates increased and the spread between rates on Treasury securities and riskier bonds became wider. Stock market weakness near the end of the year created a buying opportunity for stocks, in order to maintain the desired balance of holdings. At the beginning of 2001, the valuation model indicates that the relative attractiveness of stocks and bonds is in balance; it appears that this situation will be stable for the near future, provided there is neither a major drop in earnings nor an upward spike in interest rates. PERCENTAGE HOLDINGS 12/31/00 [PIE CHART]
EQUITIES (INCLUDING INDEX FUTURES) BONDS OTHER ASSETS, LESS LIABILITIES ------------------------- ----- ------------------------------ Percentage Holdings 12/31/00 55 42 3
PERFORMANCE RELATIVE TO RELEVANT INDICES [LINE GRAPH]
MERRILL LYNCH DOMESTIC BALANCED PORTFOLIO MASTER INDEX 91 DAY T-BILL S&P 500 INDEX ------------------ ---------------------- ------------- ------------- 12/90 10000.00 10000.00 10000.00 10000.00 12333.00 11585.00 10638.00 13050.00 12/92 13025.00 12463.00 11056.00 14042.00 14316.00 13713.00 11409.00 15460.00 12/94 14339.00 13325.00 11887.00 15646.00 18123.00 15793.00 12603.00 21497.00 12/96 20561.00 16360.00 13272.00 26398.00 24985.00 17941.00 13979.00 35189.00 12/98 29704.00 19532.00 14711.00 45218.00 33026.00 19344.00 15424.00 54741.00 12/00 32975.00 21613.00 16377.00 49803.00
- ---------------------------------------------------------------- Average Annual Total Return For Periods Ended December 31, 2000 1 Year 5 Years 10 Years - ---------------------------------------------------------------- Balanced Portfolio -0.17% 12.72% 12.67% Merrill Lynch Domestic Master Index 11.73% 6.48% 8.01% 91 Day T-Bill 6.18% 5.38% 5.06% S&P 500 Index -9.02% 18.30% 17.42% - ----------------------------------------------------------------
In the graph, the Portfolio is compared against three indices representing the three major components of the Portfolio: equities, fixed income, and cash equivalent investments. The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 selected common stocks, most of which are listed on the New York Stock Exchange. The index is heavily weighted toward stocks with large market capitalizations and represents approximately two-thirds of the total market value of all domestic common stocks. The Merrill Lynch Domestic Master Index is an unmanaged market value weighted index comprised of U.S. Government, mortgage and investment-grade corporate bonds. The index measures the income provided by, and the price changes of, the underlying securities. The Merrill Lynch 91-Day T-Bill Index is comprised of a single issue purchased at the beginning of each month and held for a full month. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. This chart assumes an initial investment of $10,000 made on 12/31/90. Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Balanced Portfolio 42 46 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- BASIC MATERIALS (1.1%) Air Products and Chemicals, Inc. 29,900 $ 1,226 Alcan Aluminium Ltd. 43,600 1,491 Alcoa, Inc. 112,808 3,779 Allegheny Technologies Incorporated 10,581 168 Archer-Daniels-Midland Company 82,404 1,236 Barrick Gold Corporation 51,500 844 Bemis Company, Inc. 6,900 232 Boise Cascade Corporation 7,500 252 The Dow Chemical Company 88,300 3,234 E. I. du Pont de Nemours and Company 135,800 6,560 Eastman Chemical Company 9,975 486 Ecolab, Inc. 16,700 721 Engelhard Corporation 16,600 338 *FMC Corporation 4,000 287 *Freeport-McMoRan Copper & Gold, Inc. - Class B 19,900 170 Georgia-Pacific Corporation 29,291 912 Great Lakes Chemical Corporation 6,800 253 Hercules Incorporated 14,000 267 Homestake Mining Company 34,300 144 *Inco Limited 23,700 397 International Flavors & Fragrances, Inc. 13,000 264 International Paper Company 62,984 2,571 Louisiana-Pacific Corporation 13,600 138 Massey Energy Company 9,900 126 The Mead Corporation 13,400 420 Newmont Mining Corporation 21,930 374 Nucor Corporation 10,600 421 *Pactiv Corporation 22,100 273 Phelps Dodge Corporation 10,210 570 Placer Dome, Inc. 42,700 411 Potlatch Corporation 3,700 124 PPG Industries, Inc. 22,700 1,051 Praxair, Inc. 20,600 914 Rohm and Haas Company 28,201 1,024 Sigma-Aldrich Corporation 10,500 413 Temple-Inland, Inc. 6,600 354 Union Carbide Corporation 17,600 947 USX-U. S. Steel Group 11,600 209 Vulcan Materials Company 13,100 627 Westvaco Corporation 13,150 384 Weyerhaeuser Company 28,700 1,457 Willamette Industries, Inc. 14,200 667 Worthington Industries, Inc. 11,200 90 ----------- TOTAL 36,826 ----------- CAPITAL GOODS (4.2%) *Allied Waste Industries, Inc. 25,600 373 *American Power Conversion Corporation 25,300 313
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- CAPITAL GOODS continued Avery Dennison Corporation 14,500 $ 796 The B.F. Goodrich Company 13,200 480 Ball Corporation 3,800 175 The Boeing Company 116,918 7,717 Briggs & Stratton Corporation 2,800 124 Caterpillar, Inc. 45,000 2,129 Cooper Industries, Inc. 12,100 556 Crane Co. 7,925 225 Cummins Engine Company, Inc. 5,400 205 Danaher Corporation 18,500 1,265 Deere & Company 30,600 1,402 Dover Corporation 26,500 1,075 Eaton Corporation 9,500 714 Emerson Electric Co. 55,600 4,382 *Fluor Corporation 9,900 327 General Dynamics Corporation 25,800 2,012 General Electric Company 1,290,100 61,845 Honeywell International, Inc. 104,350 4,937 Illinois Tool Works, Inc. 39,300 2,341 Ingersoll-Rand Company 20,950 877 ITT Industries, Inc. 11,500 446 Johnson Controls, Inc. 11,200 582 Lockheed Martin Corporation 55,622 1,888 McDermott International, Inc. 7,800 84 Millipore Corporation 6,000 378 Minnesota Mining and Manufacturing Company 51,500 6,206 Molex Incorporated 25,525 906 National Service Industries, Inc. 5,300 136 *Navistar International Corporation 7,670 201 Northrop Grumman Corporation 9,300 772 PACCAR, Inc. 9,990 492 Pall Corporation 16,066 342 Parker-Hannifin Corporation 14,600 644 Pitney Bowes, Inc. 33,300 1,103 Raytheon Company - Class B 44,300 1,376 Rockwell International Corporation 24,100 1,148 *Sanmina Corporation 19,700 1,510 *Sealed Air Corporation 10,886 332 *Solectron Corporation 82,900 2,810 Symbol Technologies, Inc. 19,000 684 Textron, Inc. 18,700 870 *Thermo Electron Corporation 22,600 672 Thomas & Betts Corporation 7,600 123 The Timken Company 7,900 119 Tyco International Ltd. 219,469 12,181 United Technologies Corporation 61,000 4,796 Waste Management, Inc. 80,997 2,248 ----------- TOTAL 137,319 -----------
43 Balanced Portfolio 47
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- COMMUNICATION SERVICES (2.6%) ALLTEL Corporation 41,100 $ 2,566 AT&T Corp. 489,270 8,470 BellSouth Corporation 244,100 9,993 CenturyTel, Inc. 18,300 654 *Global Crossing Ltd. 114,685 1,641 *Nextel Communications, Inc. - Class A 99,200 2,455 *Qwest Communications International Inc. 216,373 8,871 SBC Communications, Inc. 441,550 21,085 Sprint Corporation 115,200 2,340 *Sprint Corporation (PCS Group) 120,900 2,471 Verizon Communications Inc. 354,016 17,745 *WorldCom, Inc. 374,183 5,239 ----------- TOTAL 83,530 ----------- CONSUMER CYCLICAL (3.6%) American Greetings Corporation - Class A 8,400 79 *AutoZone, Inc. 16,600 473 *Bed Bath & Beyond, Inc. 36,800 823 *Best Buy Co., Inc. 26,900 795 The Black & Decker Corporation 10,800 424 Brunswick Corporation 11,400 187 Carnival Corporation 76,800 2,366 *Cendant Corporation 94,573 910 Centex Corporation 7,700 289 Circuit City Stores, Inc. 26,700 307 *Consolidated Stores Corporation 14,500 154 *Convergys Corporation 20,000 906 Cooper Tire & Rubber Company 9,400 100 *Costco Wholesale Corporation 58,202 2,324 Dana Corporation 19,465 298 Delphi Automotive Systems Corporation 72,944 821 Dillard's, Inc. - Class A 12,200 144 Dollar General Corporation 42,785 808 Dow Jones & Company, Inc. 11,400 646 *Federated Department Stores, Inc. 27,100 949 Ford Motor Company 246,557 5,780 Gannett Co., Inc. 34,300 2,163 The Gap, Inc. 110,725 2,824 General Motors Corporation 69,905 3,562 Genuine Parts Company 22,775 596 The Goodyear Tire & Rubber Company 20,400 469 H&R Block, Inc. 11,900 492 Harcourt General, Inc. 9,600 549 Harley-Davidson, Inc. 39,400 1,566 *Harrah's Entertainment, Inc. 15,200 401 Hasbro, Inc. 22,425 238 Hilton Hotels Corporation 48,000 504 The Home Depot, Inc. 301,697 13,785 IMS Health Incorporated 38,700 1,045 The Interpublic Group of Companies, Inc. 40,100 1,707
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- CONSUMER CYCLICAL continued J. C. Penney Company, Inc. 34,100 $ 371 Kaufman and Broad Home Corporation 6,300 212 *Kmart Corporation 62,500 332 Knight-Ridder, Inc. 9,900 563 *Kohl's Corporation 42,900 2,617 Leggett & Platt, Incorporated 25,600 485 The Limited, Inc. 56,170 958 Liz Claiborne, Inc. 6,900 287 Lowe's Companies, Inc. 49,800 2,216 Marriott International, Inc. - Class A 31,300 1,322 Masco Corporation 59,500 1,528 Mattel, Inc. 55,560 802 The May Department Stores Company 38,750 1,269 Maytag Corporation 10,100 326 The McGraw-Hill Companies, Inc. 25,400 1,489 Meredith Corporation 6,600 212 The New York Times Company - Class A 21,700 869 NIKE, Inc. - Class B 35,100 1,959 Nordstrom, Inc. 17,000 309 *Office Depot, Inc. 39,800 284 Omnicom Group, Inc. 23,100 1,914 Pulte Corporation 5,300 224 RadioShack Corporation 24,200 1,036 *Reebok International Ltd. 7,400 202 *Robert Half International Inc. 23,300 617 Sears, Roebuck & Co. 44,700 1,553 The Sherwin-Williams Company 21,200 558 Snap-on Incorporated 7,650 213 The Stanley Works 11,200 349 *Staples, Inc. 59,150 699 Starwood Hotels & Resorts Worldwide, Inc. 25,200 888 Target Corporation 118,500 3,823 Tiffany & Co. 18,900 598 The TJX Companies, Inc. 38,100 1,057 *Toys "R" Us, Inc. 26,600 444 Tribune Company 40,120 1,695 TRW, Inc. 16,200 628 V. F. Corporation 14,900 540 Visteon Corporation 17,062 196 Wal-Mart Stores, Inc. 581,800 30,909 Whirlpool Corporation 9,300 443 ----------- TOTAL 116,480 ----------- CONSUMER STAPLES (4.9%) Adolph Coors Company - Class B 4,800 386 Alberto-Culver Company - Class B 7,300 313 Albertson's, Inc. 55,150 1,461 Anheuser-Busch Companies, Inc. 118,000 5,369 Avon Products, Inc. 30,900 1,479
Balanced Portfolio 44 48
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- CONSUMER STAPLES continued Brown-Forman Corporation - Class B 8,900 $ 592 Campbell Soup Company 54,900 1,901 Cardinal Health, Inc. 36,200 3,606 *Clear Channel Communications, Inc. 76,300 3,696 The Clorox Company 30,600 1,086 The Coca-Cola Company 322,600 19,657 Coca-Cola Enterprises, Inc. 54,500 1,036 Colgate-Palmolive Company 74,800 4,828 *Comcast Corporation - Class A 117,800 4,918 ConAgra, Inc. 69,400 1,804 CVS Corporation 50,900 3,051 Darden Restaurants, Inc. 15,900 364 Deluxe Corporation 9,400 238 Fortune Brands, Inc. 20,400 612 General Mills, Inc. 37,200 1,658 The Gillette Company 137,100 4,953 H.J. Heinz Company 45,250 2,147 Hershey Foods Corporation 17,800 1,146 Kellogg Company 52,800 1,386 Kimberly-Clark Corporation 70,132 4,958 *The Kroger Co. 107,600 2,912 Longs Drug Stores Corporation 4,900 118 McDonald's Corporation 172,000 5,848 McKesson HBOC, Inc. 37,053 1,330 Newell Rubbermaid, Inc. 34,771 791 PepsiCo, Inc. 188,000 9,317 Philip Morris Companies, Inc. 293,300 12,904 The Procter & Gamble Company 170,400 13,365 The Quaker Oats Company 17,300 1,685 R. R. Donnelley & Sons Company 15,900 429 Ralston Purina Company 40,000 1,045 *Safeway, Inc. 64,700 4,044 Sara Lee Corporation 113,300 2,783 *Starbucks Corporation 24,400 1,080 SUPERVALU INC 17,200 239 SYSCO Corporation 86,800 2,604 Time Warner, Inc. 172,400 9,006 *Tricon Global Restaurants, Inc. 18,990 627 Tupperware Corporation 7,500 153 UST, Inc. 21,100 592 Walgreen Co. 131,600 5,503 The Walt Disney Company 271,508 7,857 Wendy's International, Inc. 14,800 389 Winn-Dixie Stores, Inc. 18,300 355 Wm. Wrigley Jr. Company 14,800 1,418 ----------- TOTAL 159,039 ----------- ENERGY (3.2%) Amerada Hess Corporation 11,700 855 Anadarko Petroleum Corporation 31,677 2,252 Apache Corporation 15,900 1,114 Ashland, Inc. 9,100 327 Baker Hughes Incorporated 43,040 1,789
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- ENERGY continued Burlington Resources, Inc. 28,075 $ 1,418 Chevron Corporation 85,000 7,176 Conoco Inc. - Class B 81,100 2,347 Devon Energy Corporation 16,600 1,012 EOG Resources, Inc. 15,100 826 Exxon Mobil Corporation 453,773 39,449 Halliburton Company 58,000 2,103 Kerr-McGee Corporation 12,257 820 *Nabors Industries, Inc. 19,000 1,124 Occidental Petroleum Corporation 48,000 1,164 Phillips Petroleum Company 33,200 1,888 *Rowan Companies, Inc. 12,300 332 Royal Dutch Petroleum Company 279,300 16,914 Schlumberger Limited 74,200 5,931 Sunoco, Inc. 11,300 381 Texaco, Inc. 71,800 4,461 Tosco Corporation 18,800 638 Transocean Sedco Forex, Inc. 27,404 1,261 Unilever N.V. 74,407 4,683 Unocal Corporation 31,600 1,223 USX-Marathon Group 40,600 1,127 ----------- TOTAL 102,615 ----------- FINANCE (8.2%) AFLAC Incorporated 34,500 2,490 The Allstate Corporation 95,594 4,164 Ambac Financial Group, Inc. 13,600 793 American Express Company 173,500 9,532 American General Corporation 32,903 2,682 American International Group, Inc. 301,367 29,702 AmSouth Bancorporation 49,100 749 Aon Corporation 33,175 1,136 Bank of America Corporation 213,995 9,817 The Bank of New York Company, Inc. 96,200 5,309 Bank One Corporation 150,545 5,514 BB&T Corporation 52,100 1,944 The Bear Stearns Companies, Inc. 14,002 710 Capital One Financial Corporation 25,600 1,685 The Charles Schwab Corporation 179,875 5,104 Charter One Financial, Inc. 27,385 791 The Chase Manhattan Corporation 170,472 7,746 The Chubb Corporation 22,800 1,972 CIGNA Corporation 20,500 2,712 Cincinnati Financial Corporation 21,000 831 The CIT Group, Inc. 34,200 688 Citigroup, Inc. 655,549 33,473 Comerica Incorporated 20,400 1,211 Conseco, Inc. 42,370 559 Countrywide Credit Industries, Inc. 14,900 749 Federal Home Loan Mortgage Corporation 90,500 6,233
45 Balanced Portfolio 49
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- FINANCE continued Federal National Mortgage Association 131,200 $ 11,382 Fifth Third Bancorp 60,612 3,622 First Union Corporation 128,286 3,568 Firstar Corporation 124,829 2,902 FleetBoston Financial Corporation 117,551 4,416 Franklin Resources, Inc. 31,700 1,208 Golden West Financial Corporation 20,600 1,391 The Hartford Financial Services Group, Inc. 29,200 2,062 Household International, Inc. 61,559 3,386 Huntington Bancshares Incorporated 32,760 530 J.P. Morgan & Co. Incorporated 20,700 3,426 Jefferson-Pilot Corporation 13,375 1,000 KeyCorp 56,100 1,571 Lehman Brothers Holdings, Inc. 31,600 2,137 Lincoln National Corporation 24,800 1,173 Loews Corporation 12,800 1,326 Marsh & McLennan Companies, Inc. 35,300 4,130 MBIA, Inc. 12,800 949 MBNA Corporation 110,932 4,098 Mellon Financial Corporation 63,600 3,128 Merrill Lynch & Co., Inc. 104,600 7,132 MetLife, Inc. 99,600 3,486 MGIC Investment Corporation 13,800 931 Moody's Corporation 21,100 542 Morgan Stanley Dean Witter & Co. 146,560 11,615 National City Corporation 79,100 2,274 Northern Trust Corporation 28,900 2,357 Old Kent Financial Corporation 17,880 782 The PNC Financial Services Group, Inc. 37,600 2,747 The Progressive Corporation 9,500 984 Providian Financial Corporation 37,200 2,139 Regions Financial Corporation 28,500 778 SAFECO Corporation 16,600 546 SouthTrust Corporation 21,900 891 The St. Paul Companies, Inc. 29,106 1,581 State Street Corporation 21,000 2,608 Stilwell Financial Inc. 29,300 1,156 Summit Bancorp 22,700 867 SunTrust Banks, Inc. 38,800 2,444 Synovus Financial Corp. 37,050 998 T. Rowe Price Associates, Inc. 15,800 668 Torchmark Corporation 16,600 638 U.S. Bancorp 97,187 2,837 Union Planters Corporation 17,600 629 UnumProvident Corporation 31,306 841 USA Education, Inc. 20,200 1,374 Wachovia Corporation 26,500 1,540
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- FINANCE continued Washington Mutual, Inc. 70,214 $ 3,726 Wells Fargo & Company 214,460 11,943 ----------- TOTAL 266,755 ----------- HEALTHCARE (6.5%) Abbott Laboratories 201,900 9,780 Aetna Inc. 18,593 763 Allergan, Inc. 17,100 1,655 *ALZA Corporation 30,100 1,279 American Home Products Corporation 169,800 10,791 *Amgen, Inc. 133,900 8,561 Applera Corporation - Applied Biosystems Group 27,100 2,549 Bausch & Lomb Incorporated 6,900 279 Baxter International, Inc. 38,100 3,365 Becton, Dickinson and Company 33,000 1,143 *Biogen, Inc. 19,300 1,159 Biomet, Inc. 23,150 919 *Boston Scientific Corporation 52,900 724 Bristol-Myers Squibb Company 256,000 18,928 C. R. Bard, Inc. 6,600 307 *Chiron Corporation 23,800 1,059 Eli Lilly and Company 147,100 13,689 *Forest Laboratories, Inc. 11,400 1,515 *Guidant Corporation 40,000 2,158 HCA - The Healthcare Company 72,650 3,197 *HEALTHSOUTH Corporation 50,200 819 *Humana, Inc. 21,600 329 Johnson & Johnson 181,100 19,027 *King Pharmaceuticals, Inc. 21,600 1,116 *Manor Care, Inc. 13,300 274 *MedImmune, Inc. 27,300 1,302 Medtronic, Inc. 156,000 9,419 Merck & Co., Inc. 299,700 28,060 Pfizer, Inc. 822,350 37,829 Pharmacia Corporation 169,021 10,310 *Quintiles Transnational Corp. 15,100 316 Schering-Plough Corporation 190,800 10,828 *St. Jude Medical, Inc. 10,950 673 Stryker Corporation 25,400 1,285 *Tenet Healthcare Corporation 41,000 1,822 UnitedHealth Group Incorporated 41,800 2,565 *Watson Pharmaceuticals, Inc. 13,300 681 *Wellpoint Health Networks, Inc. - Class A 8,200 945 ----------- TOTAL 211,420 ----------- TECHNOLOGY (10.3%) *Adaptec, Inc. 12,900 132 *ADC Telecommunications, Inc. 100,600 1,823 Adobe Systems Incorporated 31,200 1,815 *Advanced Micro Devices, Inc. 40,600 561 *Agilent Technologies, Inc. 59,045 3,233 *Altera Corporation 52,000 1,368 *America Online, Inc. 300,700 10,464
Balanced Portfolio 46 50
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- TECHNOLOGY continued *Analog Devices, Inc. 46,300 $ 2,370 *Andrew Corporation 10,562 230 *Apple Computer, Inc. 42,300 629 *Applied Materials, Inc. 105,700 4,036 Autodesk, Inc. 7,500 202 Automatic Data Processing, Inc. 81,700 5,173 *Avaya Inc. 36,262 374 *BMC Software, Inc. 32,100 449 *Broadcom Corporation - Class A 28,900 2,442 *BroadVision, Inc. 34,800 411 *Cabletron Systems, Inc. 24,000 362 *Ceridian Corporation 18,900 377 *Cisco Systems, Inc. 924,300 35,353 *Citrix Systems, Inc. 24,200 545 Compaq Computer Corporation 221,467 3,333 Computer Associates International, Inc. 77,012 1,502 *Computer Sciences Corporation 21,900 1,317 *Compuware Corporation 47,500 297 *Comverse Technology, Inc. 20,300 2,205 *Conexant Systems, Inc. 29,700 457 Corning Incorporated 114,900 6,068 *Dell Computer Corporation 337,000 5,876 Eastman Kodak Company 40,100 1,579 Electronic Data Systems Corporation 60,800 3,511 *EMC Corporation 283,986 18,885 Equifax, Inc. 18,400 528 First Data Corporation 52,800 2,782 *Gateway, Inc. 42,000 756 Hewlett-Packard Company 259,800 8,200 Intel Corporation 874,500 26,453 International Business Machines Corporation 229,300 19,491 *Intuit Inc. 26,500 1,045 *JDS Uniphase Corporation 121,900 5,082 *KLA-Tencor Corporation 24,200 815 *Lexmark International Group, Inc. - Class A 16,600 736 Linear Technology Corporation 40,500 1,873 *LSI Logic Corporation 40,400 690 Lucent Technologies, Inc. 434,947 5,872 *Maxim Integrated Products, Inc. 36,800 1,760 *Mercury Interactive Corporation 10,400 939 *Micron Technology, Inc. 73,600 2,613 *Microsoft Corporation 685,500 29,733 Motorola, Inc. 283,986 5,751 *National Semiconductor Corporation 23,100 465 *NCR Corporation 12,500 614 *Network Appliance, Inc. 40,700 2,614 Nortel Networks Corporation 389,040 12,474 *Novell, Inc. 42,300 221 *Novellus Systems, Inc. 17,100 615 *Oracle Corporation 733,300 21,311 *Palm, Inc. 73,637 2,085
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- TECHNOLOGY continued *Parametric Technology Corporation 35,500 $ 477 Paychex, Inc. 48,500 2,358 *PeopleSoft, Inc. 36,400 1,354 PerkinElmer, Inc. 6,400 672 *Power-One, Inc. 9,600 377 *QLogic Corporation 11,700 901 *QUALCOMM Incorporated 97,000 7,972 Sabre Holdings Corporation - Class A 16,809 725 *Sapient Corporation 15,500 185 Scientific-Atlanta, Inc. 20,700 674 *Siebel Systems, Inc. 54,300 3,672 *Sun Microsystems, Inc. 413,300 11,521 Tektronix, Inc. 12,500 421 *Tellabs, Inc. 53,400 3,017 *Teradyne, Inc. 22,600 842 Texas Instruments Incorporated 225,100 10,664 *Unisys Corporation 40,800 597 *VERITAS Software Corporation 52,395 4,585 *Viacom Inc. - Class B 197,561 9,236 *Vitesse Semiconductor Corporation 23,400 1,294 W.W. Grainger, Inc. 12,200 445 Xerox Corporation 86,800 401 *Xilinx, Inc. 42,800 1,974 *Yahoo!, Inc. 71,600 2,160 ----------- TOTAL 339,421 ----------- TRANSPORTATION (0.3%) *AMR Corporation 19,500 764 Burlington Northern Santa Fe Corporation 52,699 1,492 CSX Corporation 28,500 739 Delta Air Lines, Inc. 16,000 803 *FedEx Corporation 37,140 1,484 Norfolk Southern Corporation 49,900 664 Ryder System, Inc. 7,800 130 Southwest Airlines Co. 64,975 2,179 Union Pacific Corporation 32,300 1,639 *US Airways Group, Inc. 8,800 357 ----------- TOTAL 10,251 ----------- UTILITIES (1.9%) *The AES Corporation 59,500 3,294 Allegheny Energy, Inc. 14,400 694 Ameren Corporation 17,900 829 American Electric Power Company, Inc. 41,940 1,950 *Calpine Corporation 35,900 1,618 Cinergy Corp. 20,705 727 CMS Energy Corporation 15,800 501 The Coastal Corporation 27,900 2,464 Consolidated Edison, Inc. 27,600 1,063 Constellation Energy Group 19,500 879 Dominion Resources, Inc. 31,025 2,079
47 Balanced Portfolio 51
MARKET SHARES/ VALUE COMMON STOCK (46.8%) PAR (000'S) -------------------------------------------------------- UTILITIES continued DTE Energy Company 18,600 $ 724 Duke Energy Corporation 47,971 4,089 Dynegy Inc. - Class A 40,300 2,259 Edison International 42,400 663 El Paso Energy Corporation 30,300 2,170 Enron Corp. 96,200 7,996 Entergy Corporation 29,000 1,227 Exelon Corporation 42,162 2,959 FirstEnergy Corp. 29,800 941 FPL Group, Inc. 23,200 1,665 GPU, Inc. 16,000 589 KeySpan Corporation 17,500 742 Kinder Morgan, Inc. 14,900 778 *Niagara Mohawk Holdings, Inc. 20,900 349 Nicor Inc. 6,000 259 NiSource Inc. 26,584 817 ONEOK, Inc. 3,800 183 Peoples Energy Corporation 4,600 206 PG&E Corporation 50,200 1,004 Pinnacle West Capital Corporation 11,000 524 PPL Corporation 18,833 851 Progress Energy, Inc. 32,179 1,583 Public Service Enterprise Group Incorporated 27,900 1,357 Reliant Energy, Inc. 38,326 1,660 Sempra Energy 26,559 617 The Southern Company 84,500 2,810 TXU Corp. 34,395 1,524 The Williams Companies, Inc. 57,700 2,304 Xcel Energy Inc. 44,170 1,284 ----------- TOTAL 60,232 ----------- TOTAL COMMON STOCK (COST $711,509) 1,523,888 ----------- GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (31.8%) -------------------------------------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (31.6%) Aid-Israel, 0%, 11/15/22 $ 11,600,000 $ 3,052 Aid-Israel, 0%, 11/15/23 11,500,000 2,846 Federal Home Loan Bank, 5.54%, 1/8/09 5,000,000 4,748 Federal Home Loan Mortgage Corporation, 6.5%, 4/1/11 11,219,824 11,282 Federal Home Loan Mortgage Corporation, 7%, 3/15/07 6,882,614 6,952 Federal Home Loan Mortgage Corporation, 7.5%, 10/1/27 10,820,433 11,001 Federal National Mortgage Association, 5.97%, 10/1/08 1,733,277 1,716 Federal National Mortgage Association, 6.24%, 2/1/06 4,782,294 4,818 Federal National Mortgage Association, 6.265%, 10/1/08 5,608,321 5,638 Federal National Mortgage Association, 6.315%, 3/1/06 5,050,809 5,104
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (31.8%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Federal National Mortgage Association, 6.34%, 2/1/08 $ 4,091,196 $ 4,137 Federal National Mortgage Association, 6.43%, 6/1/08 7,200,938 7,312 Federal National Mortgage Association, 6.5%, 9/25/05 4,246,724 4,241 Federal National Mortgage Association, 6.75%, 11/1/07 3,028,970 3,126 Federal National Mortgage Association, 6.75%, 12/25/23 6,500,000 6,573 Federal National Mortgage Association, 6.75%, 4/25/18 5,162,155 5,223 Federal National Mortgage Association, 6.835%, 7/1/03 2,888,594 2,900 Federal National Mortgage Association, 6.895%, 5/1/06 5,917,224 6,118 Federal National Mortgage Association, 6.9%, 4/1/06 2,386,070 2,466 Federal National Mortgage Association, 7%, 6/1/03 2,366,970 2,385 Federal National Mortgage Association, 7%, 6/25/10 7,409,499 7,425 Federal National Mortgage Association, 7%, 4/1/26 12,328,626 12,400 Federal National Mortgage Association, 7.025%, 9/1/05 1,897,183 1,960 Federal National Mortgage Association, 7.12%, 11/1/03 962,622 980 Federal National Mortgage Association, 7.25%, 5/1/04 1,537,511 1,577 Federal National Mortgage Association, 8.4%, 2/25/09 10,910,000 11,514 Federal National Mortgage Association, 11%, 12/1/12 62,352 69 Federal National Mortgage Association, 11%, 9/1/17 752,279 834 Federal National Mortgage Association, 11%, 2/1/18 317,994 353 Federal National Mortgage Association, 11%, 12/1/17 144,479 160 Federal National Mortgage Association, 11.5%, 4/1/18 508,833 571 Federal National Mortgage Association, 12%, 9/1/12 741,976 835 Federal National Mortgage Association, 12%, 12/1/12 164,605 186 Federal National Mortgage Association, 12%, 9/1/17 223,936 254 Federal National Mortgage Association, 12%, 2/1/18 256,364 291 Federal National Mortgage Association, 12%, 10/1/17 228,159 259 Federal National Mortgage Association, 12%, 12/1/17 216,755 246 Federal National Mortgage Association, 12.5%, 4/1/18 213,971 245
Balanced Portfolio 48 52
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (31.8%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Federal National Mortgage Association, 13%, 11/1/12 $ 109,515 $ 125 Federal National Mortgage Association, 13%, 12/1/17 152,997 177 Federal National Mortgage Association, 13%, 11/1/17 192,973 223 Federal National Mortgage Association, 13%, 2/1/18 308,053 356 Federal National Mortgage Association, 14%, 12/1/17 99,909 118 Government National Mortgage Association, 7%, 7/15/23 798,917 806 Government National Mortgage Association, 7%, 9/15/23 369,701 373 Government National Mortgage Association, 7%, 6/15/23 561,341 565 Government National Mortgage Association, 7%, 10/15/23 317,309 319 Government National Mortgage Association, 7%, 5/15/23 7,963,607 8,029 Government National Mortgage Association, 7%, 11/15/23 1,053,025 1,062 Government National Mortgage Association, 7%, 8/15/23 14,410 15 Government National Mortgage Association, 7%, 6/15/28 3,338,911 3,354 Government National Mortgage Association, 7%, 12/15/27 263,402 265 Government National Mortgage Association, 7%, 4/15/28 618,332 621 Government National Mortgage Association, 7%, 2/15/28 106,107 107 Government National Mortgage Association, 7%, 1/15/28 362,379 364 Government National Mortgage Association, 7%, 5/15/28 1,222,335 1,230 Government National Mortgage Association, 7%, 7/15/28 4,207,572 4,226 Government National Mortgage Association, 7%, 3/15/28 161,639 162 Government National Mortgage Association, 7.5%, 1/15/23 516,544 527 Government National Mortgage Association, 7.5%, 6/15/23 269,371 275 Government National Mortgage Association, 7.5%, 6/15/24 7,597 8 Government National Mortgage Association, 7.5%, 7/15/24 206,408 211 Government National Mortgage Association, 7.5%, 8/15/25 11,378 12 Government National Mortgage Association, 7.5%, 12/15/26 520,391 530 Government National Mortgage Association, 7.5%, 9/15/25 193,850 197 Government National Mortgage Association, 7.5%, 3/15/26 456,584 465
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (31.8%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Government National Mortgage Association, 7.5%, 11/15/25 $ 11,619 $ 12 Government National Mortgage Association, 7.5%, 12/15/25 372,116 380 Government National Mortgage Association, 7.5%, 1/15/26 13,223 13 Government National Mortgage Association, 7.5%, 9/15/26 11,274 11 Government National Mortgage Association, 7.5%, 10/15/26 68,484 70 Government National Mortgage Association, 7.5%, 6/15/26 793,523 808 Government National Mortgage Association, 7.5%, 1/15/27 32,699 33 Government National Mortgage Association, 7.5%, 4/15/27 1,220,614 1,242 Government National Mortgage Association, 7.5%, 2/15/27 354,150 360 Government National Mortgage Association, 7.5%, 3/15/27 35,204 36 Government National Mortgage Association, 7.5%, 5/15/27 527,632 537 Government National Mortgage Association, 7.5%, 7/15/27 551,844 562 Government National Mortgage Association, 7.5%, 7/15/28 664,903 676 Government National Mortgage Association, 7.5%, 12/15/27 137,731 140 Government National Mortgage Association, 8%, 3/15/26 14,931 15 Government National Mortgage Association, 8%, 6/15/26 344,907 354 Government National Mortgage Association, 8%, 5/15/26 395,054 405 Government National Mortgage Association, 8%, 7/15/26 714,208 733 Government National Mortgage Association, 8%, 9/15/24 177,047 182 Government National Mortgage Association, 8%, 4/15/27 564,754 579 Government National Mortgage Association, 8%, 12/15/26 297,159 305 Government National Mortgage Association, 8%, 10/15/26 550,113 564 Government National Mortgage Association, 8%, 9/15/26 296,094 304 Government National Mortgage Association, 8%, 8/15/26 345,025 354 Government National Mortgage Association, 8%, 7/20/28 1,972,906 2,015 Government National Mortgage Association, 8%, 7/15/27 126,645 130 Government National Mortgage Association, 8%, 6/15/27 257,504 264 Government National Mortgage Association, 8%, 11/15/26 322,089 330
49 Balanced Portfolio 53
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (31.8%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Government National Mortgage Association, 8.5%, 12/15/22 $ 15,121 $ 16 Government National Mortgage Association, 8.5%, 5/15/22 2,559 3 Government National Mortgage Association, 8.5%, 4/15/26 56,185 58 Government National Mortgage Association, 8.5%, 1/15/26 36,655 38 Government National Mortgage Association, 8.5%, 10/15/22 20,777 21 Government National Mortgage Association, 8.5%, 9/15/22 2,860 3 Government National Mortgage Association, 8.5%, 2/15/25 49,447 51 Government National Mortgage Association, 8.5%, 3/15/26 15,957 17 Government National Mortgage Association, 8.5%, 6/15/24 5,979 6 Government National Mortgage Association, 8.5%, 1/15/25 64,841 67 Government National Mortgage Association, 8.5%, 11/15/25 7,107 7 Government National Mortgage Association, 8.5%, 8/15/24 45,206 47 Government National Mortgage Association, 8.5%, 7/15/24 21,264 22 Government National Mortgage Association, 8.5%, 12/15/24 6,532 7 Government National Mortgage Association, 8.5%, 2/15/26 1,967 2 Government National Mortgage Association, 8.5%, 5/15/26 17,885 18 Government National Mortgage Association, 11%, 1/15/18 5,088,992 5,572 Iroquois Trust, Series 1997-2, Class A, 6.752%, 6/25/07 (144A) 2,231,435 2,232 Iroquois Trust, Series 1997-3, Class A, 6.68%, 11/10/03 (144A) 3,501,097 3,516 Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26 3,690,211 3,690 US Treasury, 4.75%, 2/15/04 19,250,000 19,027 US Treasury, 4.75%, 11/15/08 38,050,000 37,012 US Treasury, 5%, 2/28/01 4,500,000 4,495 US Treasury, 5.25%, 5/31/01 8,000,000 7,983 US Treasury, 5.25%, 5/15/04 29,700,000 29,797 US Treasury, 5.25%, 2/15/29 1,800,000 1,728 US Treasury, 5.5%, 1/31/03 3,500,000 3,524 US Treasury, 5.5%, 3/31/03 15,500,000 15,621 US Treasury, 5.5%, 2/15/08 175,000 178 US Treasury, 5.625%, 12/31/02 2,300,000 2,320 US Treasury, 5.625%, 2/15/06 108,000,000 110,537 US Treasury, 5.625%, 5/15/08 34,000,000 34,924 US Treasury, 5.75%, 8/15/10 27,132,000 28,436 US Treasury, 6%, 7/31/02 4,000,000 4,042
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (31.8%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued US Treasury, 6.00%, 9/30/02 $ 4,900,000 $ 4,964 US Treasury, 6%, 8/15/04 25,000,000 25,713 US Treasury, 6%, 8/15/09 3,818,000 4,030 US Treasury, 6.125%, 8/15/07 22,000,000 23,160 US Treasury, 6.125%, 8/15/29 13,796,000 15,025 US Treasury, 6.25%, 2/15/07 4,500,000 4,755 US Treasury, 6.375%, 8/15/07 4,100,000 4,550 US Treasury, 6.5%, 2/28/02 55,000,000 55,662 US Treasury, 6.5%, 2/15/10 27,374,000 29,960 US Treasury, 6.75%, 5/15/05 27,146,000 28,894 US Treasury, 6.875%, 5/15/06 50,000,000 54,099 US Treasury, 7.25%, 8/15/04 6,000,000 6,413 US Treasury, 7.25%, 5/15/16 4,200,000 4,944 US Treasury Inflation Index Bond, 3.625%, 7/15/02 2,537,375 2,541 US Treasury Inflation Index Bond, 3.625%, 4/15/28 6,500,000 6,379 #US Treasury Inflation Index Bond, 3.875%, 4/15/29 172,089,331 184,308 #US Treasury Inflation Index Bond, 4.25%, 1/15/10 68,412,760 73,085 Vendee Mortgage Trust, Series 1998-3, Class E, 6.5%, 3/15/29 4,500,000 4,338 ----------- TOTAL 1,025,770 ----------- FOREIGN GOVERNMENT BONDS (0.2%) Province of Quebec, 6.5%, 1/17/06 7,500,000 7,623 ----------- TOTAL 7,623 ----------- TOTAL GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (COST $993,079) 1,033,393 ----------- MORTGAGE/ASSET BACKED SECURITIES (6.1%) -------------------------------------------------------- AUTO RELATED (0.4%) Fleetwood Credit Corporation Grantor Trust, Series 1997-B, Class A, 6.4%, 5/15/13 1,216,344 1,217 Team Fleet Financing Corporation, Series 1996-1, Class A, 6.65%, 12/15/02 (144A) 11,800,000 11,816 ----------- TOTAL 13,033 ----------- BOAT DEALERS (0.2%) BankBoston Marine Asset Backed Trust, Series 1997-2, Class A6, 6.64%, 8/15/10 7,000,000 7,088 Nationscredit Grantor Trust, Series 1997-2, Class A1, 6.35%, 4/15/14 1,020,906 1,023 ----------- TOTAL 8,111 -----------
Balanced Portfolio 50 54
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (6.1%) PAR (000'S) -------------------------------------------------------- COMMERCIAL MORTGAGES (4.1%) Asset Securitization Corporation, Series 1996-MD6, Class CS1, 1.6317%, 11/13/26, IO $ 15,513,575 $ 334 Asset Securitization Corporation, Series 1997-D5, Class PS1, 1.6155%, 2/14/41, IO 21,838,963 1,762 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class A2, 6.6%, 11/19/07 8,500,000 8,633 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class B, 6.6%, 11/19/07 2,500,000 2,511 Commercial Mortgage Acceptance Corporation, Series 1997-ML1, Class B, 6.6437%, 12/15/07 2,500,000 2,522 Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class A2, 7.26%, 6/20/07 (144A) 3,041,673 3,130 Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class B, 7.28%, 6/20/07 (144A) 3,250,000 3,324 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7%, 11/2/06 6,500,000 6,358 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7%, 11/2/11 5,700,000 5,083 DLJ Commercial Mortgage Corporation, Series 1998-CF1, Class S, .7003%, 1/15/18 IO 249,150,293 8,733 DLJ Mortgage Acceptance Corp., Series 1994-MF11, Class A2, 8.1%, 6/18/04 1,650,000 1,744 DLJ Mortgage Acceptance Corporation, Series 1994-MF11, Class A1, 8.1%, 6/18/04 1,613,773 1,669 DLJ Mortgage Acceptance Corporation, Series 1997-CF2, Class S, .3516%, 10/15/17 IO (144A) 18,035,309 361 Kmart CMBS Financing, Inc., Series 1997-1, Class B, 7.0275%, 3/1/07 (144A) 8,000,000 7,963 Kmart CMBS Financing, Inc., Series 1997-1, Class C, 7.3275%, 3/1/07 (144A) 12,500,000 12,415 Kmart CMBS Financing, Inc., Series 1997-1, Class D, 7.7275%, 3/1/07 (144A) 4,500,000 4,457
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (6.1%) PAR (000'S) -------------------------------------------------------- COMMERCIAL MORTGAGES continued LB Mortgage Trust, Series 1991-2, Class A3, 8.3962%, 1/20/17 $ 9,959,853 $ 10,889 Midland Realty Acceptance Corporation, Series 1996-C2, Class AEC, 1.3534%, 1/25/29 IO 25,168,986 1,278 Morgan Stanley Capital, Series 1998-WF2, Class A2, 6.54%, 5/15/08 15,000,000 15,223 Mortgage Capital Funding, Inc., Series 1997-MC1, Class A3, 7.288%, 3/20/07 19,000,000 19,899 Nomura Asset Securities Corporation, Series 1998-D6, Class A2, 6.9931%, 3/17/28 15,000,000 15,304 RMF Commercial Mortgage Pass-Through, Series 1997-1, Class F, 7.471%, 1/15/19 (144A) 1,800,000 1,298 ----------- TOTAL 134,890 ----------- CREDIT CARD ASSET BACKED (0.6%) Citibank Credit Card Master Trust I, Series 1997-6, Class A, 0%, 8/15/06 17,000,000 13,686 Heilig-Meyers Master Trust, Series 1998-1A, Class A, 6.125%, 1/20/07 (144A) 5,472,747 4,821 ----------- TOTAL 18,507 ----------- FRANCHISE LOAN RECEIVABLES (0.4%) Enterprise Mortgage Acceptance Company, Series 1998-1, Class A2, 6.38%, 4/15/07 (144A) 6,000,000 5,951 Enterprise Mortgage Acceptance Company, Series 1998-1, Class IO, 1.3704%, 1/15/23 (144A) IO 37,059,241 2,357 FMAC Loan Receivables Trust, Series 1998-A, Class A1, 6.2%, 9/15/20 (144A) 3,283,357 3,261 Global Franchise Trust, Series 1998-1, Class A1, 6.349%, 4/10/04 (144A) 1,992,185 1,974 ----------- TOTAL 13,543 ----------- HEALTH SERVICES (0.1%) Health Care Receivables, 6.25%, 2/1/03 (144A) 3,000,000 2,976 ----------- TOTAL 2,976 -----------
51 Balanced Portfolio 55
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (6.1%) PAR (000'S) -------------------------------------------------------- HOME EQUITY LOAN (0.1%) Amresco Residential Securities, Series 1998-2, Class A2, 6.245%, 4/25/22 $ 1,220,418 $ 1,214 Vanderbilt Mortgage Finance, Inc., Series 1997-B, Class 1A4, 7.19%, 2/7/14 2,500,000 2,558 ----------- TOTAL 3,772 ----------- MOTORCYCLE DEALERS (0.1%) Harley-Davidson Eaglemark Motorcycle Trust, Series 1998-2, Class A2, 5.87%, 4/15/04 1,863,520 1,862 ----------- TOTAL 1,862 ----------- OTHER ASSET BACKED (0.0%) Newcourt Equipment Receivables, Series 1997-A, Class B, 6.764%, 9/20/04 (144A) 306,256 306 Newcourt Equipment Receivables, Series 1997-A, Class C, 7.734%, 9/20/04 (144A) 244,994 244 ----------- TOTAL 550 ----------- RESIDENTIAL MORTGAGES (0.1%) Blackrock Capital Finance L.P., Series 1997-R1, Class B3, 7.75%, 3/25/37 (144A) 4,708,192 847 Blackrock Capital Finance L.P., Series 1997-R3, Class B3, 7.25%, 11/25/28 (144A) 5,679,168 1,023 ----------- TOTAL 1,870 ----------- TOTAL MORTGAGE/ASSET BACKED SECURITIES (COST $207,110) 199,114 ----------- CORPORATE BONDS (4.0%) -------------------------------------------------------- BANK HOLDING COMPANIES (0.5%) Banco Montevideo, 8.4%, 4/30/08 (144A) 6,250,000 5,312 Bank One Corporation, 8%, 4/29/27 3,150,000 3,112 Chase Manhattan Corp., 7.875%, 6/15/2010 5,000,000 5,275 Nationsbank Lease Pass Through Trust, Series 1997-A, Class 1, 1/10/11 1,917,387 1,989 ----------- TOTAL 15,688 ----------- BEVERAGES, MALT BEVERAGES (0.2%) Anheuser-Busch Companies, Inc., 7%, 12/1/25 4,800,000 4,666 Anheuser-Busch Companies, Inc., 7.5%, 3/15/12 2,525,000 2,756 ----------- TOTAL 7,422 -----------
MARKET SHARES/ VALUE CORPORATE BONDS (4.0%) PAR (000'S) -------------------------------------------------------- BOTTLED & CANNED SOFT DRINKS (0.3%) Coca-Cola Enterprises, Inc., 8%, 1/4/05 $ 8,750,000 $ 9,302 ----------- TOTAL 9,302 ----------- BROAD WOVEN FABRIC MILLS, MANMADE (0.0%) ++Polysindo International Finance, 11.375%, 6/15/06 6,500,000 683 ----------- TOTAL 683 ----------- COMMERCIAL EQUIPMENT (0.2%) Tata Engineering & Locomotive, 7.875%, 7/15/07 6,500,000 6,324 ----------- TOTAL 6,324 ----------- ELECTRIC SERVICES (1.5%) Atlantic City Electric, 6.625%, 8/1/13 4,000,000 3,900 Comed Transitional Funding Trust, Series 1998-1, Class A7, 5.74%, 12/25/10 2,750,000 2,668 Dayton Power & Light Company, 8.15%, 1/15/26 5,750,000 5,789 Niagara Mohawk Power, 7.25%, 10/1/02 1,134,147 1,147 Ohio Edison Company, 7.375%, 9/15/02 3,665,000 3,716 Peco Energy Transition Trust, Series 1999-A, Class A7, 3/1/09 4,000,000 3,949 Public Service Electric & Gas Co., 6.875% 1/1/03 9,000,000 9,057 Scottish Power PLC, 5.65%, 11/1/06 4,650,000 4,402 South Carolina Electric & Gas, 6.125%, 3/1/09 3,000,000 2,867 Southern California Edison Co., 7.25%, 3/1/26 10,000,000 7,700 Texas Utilities Electric Co., 7.875%, 3/1/23 4,000,000 4,009 ----------- TOTAL 49,204 ----------- OIL AND GAS EXTRACTION (0.1%) Chevron Corporation, 6.625%, 10/1/04 4,750,000 4,872 ----------- TOTAL 4,872 ----------- PHARMACEUTICALS (0.3%) Johnson & Johnson, 6.625%, 9/1/09 2,800,000 2,883 Merck & Co., Inc. 5.95%, 12/1/28 5,750,000 5,273 ----------- TOTAL 8,156 -----------
Balanced Portfolio 52 56
MARKET SHARES/ VALUE CORPORATE BONDS (4.0%) PAR (000'S) -------------------------------------------------------- PIPELINES (0.1%) El Paso Energy Corporation, 8.05%, 10/15/30 $ 4,100,000 $ 4,310 ----------- TOTAL 4,310 ----------- PLASTICS MATERIALS AND RESINS (0.3%) Dow Capital B.V., 8.5%, 6/8/10 8,200,000 9,052 ----------- TOTAL 9,052 ----------- RESIDENTIAL MORTGAGES (0.1%) EOP Operating LP, 8.1%, 8/1/10 2,250,000 2,365 ----------- TOTAL 2,365 ----------- RETAIL-MISC SHOPPING GOODS STORES (0.1%) Wal-Mart Stores, Inc., 6.875%, 8/1/02 2,000,000 2,027 ----------- TOTAL 2,027 ----------- TOBACCO PRODUCTS (0.2%) Philip Morris Companies Inc., 7.75%, 1/15/27 8,000,000 7,436 ----------- TOTAL 7,436 ----------- TRANSPORTATION SERVICES (0.1%) United Parcel Service, 8.375%, 4/1/20 1,750,000 1,996 ----------- TOTAL 1,996 ----------- TOTAL CORPORATE BONDS (COST $135,043) 128,837 ----------- MONEY MARKET INVESTMENTS (11.0%) -------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (1.2%) #Asset Securitization, 6.57%, 1/24/01 36,500,000 38,338 ----------- TOTAL 38,338 ----------- AUTO RELATED (2.3%) #Daimler-Chrysler N.A., 6.64%, 1/19/01 39,700,000 39,568 #General Motors Acceptance Corporation, 6.52%, 2/9/01 37,500,000 37,236 ----------- TOTAL 76,804 ----------- FEDERAL GOVERNMENT AND AGENCIES (0.6%) Federal Home Loan Mortgage Corporation, 6.445%, 1/23/01 21,000,000 20,917 ----------- TOTAL 20,917 ----------- FINANCE LESSORS (1.2%) Receivable Capital Trust, 6.595%, 1/26/01 38,000,000 37,826 ----------- TOTAL 37,826 -----------
MARKET SHARES/ VALUE MONEY MARKET INVESTMENTS (11.0%) PAR (000'S) -------------------------------------------------------- FINANCE SERVICES (1.2%) Centric Capital Corp., 6.65%, 1/8/01 $ 14,000,000 $ 13,982 Centric Capital Corp., 5.92%, 1/12/01 25,500,000 25,448 ----------- TOTAL 39,430 ----------- FOOD AND KINDRED PRODUCTS (1.1%) #Philip Morris Capital Company, 6.52%, 2/9/01 15,000,000 14,855 #Philip Morris Capital Company, 6.36%, 2/9/01 21,300,000 21,149 ----------- TOTAL 36,004 ----------- PERSONAL CREDIT INSTITUTIONS (2.0%) #CXC Incorporated, 6.55%, 1/22/01 26,000,000 25,901 #Variable Funding Capital, 6.52%, 2/22/01 40,000,000 39,623 ----------- TOTAL 65,524 ----------- SECURITY BROKERS AND DEALERS (0.9%) #The Goldman Sachs Group, 6.55%, 1/17/01 29,500,000 29,414 ----------- TOTAL 29,414 ----------- UTILITY - ELECTRIC (0.5%) #National Rural Utility, 6.5%, 1/10/01 15,000,000 14,976 ----------- TOTAL 14,976 ----------- TOTAL MONEY MARKET INVESTMENTS (COST $359,233) 359,233 ----------- TOTAL INVESTMENTS (99.7%) (COST $2,405,974)! 3,244,465 ----------- OTHER ASSETS, LESS LIABILITIES (0.3%) 8,734 ----------- TOTAL NET ASSETS (100.0%) $ 3,253,199 ===========
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $2,413,994 and the net unrealized appreciation of investments based on that cost was $830,471 which is comprised of $928,480 aggregate gross unrealized appreciation and $98,009 aggregate gross unrealized depreciation. * Non-Income Producing ++ Defaulted Security IO - Interest Only Security 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. 53 Balanced Portfolio 57 # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUER (000'S) CONTRACTS DATE (000'S) - -------------------------------------------------------------- S&P 500 755 03/01 $(476) (Total Notional Value at 12/31/2000, $252,457)
The Accompanying Notes are an Integral Part of the Financial Statements Balanced Portfolio 54 58
Objective: Portfolio Strategy: Net Assets: High current income and capital Generate superior performance by investing in a $138,207,144 appreciation with moderate risk diversified mix of fixed income securities rated below investment grade.
HIGH YIELD BOND PORTFOLIO Investing in a portfolio of high yield bonds provides investors who can accept a moderate level of risk with a high level of current income, coupled with the opportunity for capital gains. Holdings of particular interest include solid investments in entities that have the possibility of a positive event, such as a significant improvement in credit rating or earnings or a change in ownership. In a high-yield portfolio, some credit losses over time are inevitable; high coupons and diversification across many holdings mitigate the impact of individual securities on the performance of the total Portfolio. The Portfolio performed significantly better than its benchmark, the Lehman Brothers High Yield Intermediate Market Index, during 2000, and outperformed essentially all equity indices. Although total return was negative, investors in the Portfolio benefited from a steady stream of interest income. As an asset class, high yield bonds continue to provide lower returns than investment grade bonds, as prices of high yield bonds have been held down by several factors. A relatively high level of defaults of bonds issued two to four years ago, when the market was very bullish and credit standards became somewhat lax, has made investors wary. Rising interest rates during 2000 put pressure on bond prices already hurt by limited demand from investors. On the positive side, volatility has been substantially less than in the equity market. The current wide yield spreads combined with Federal Reserve moves to lower interest rates should allow high yield bonds to improve performance during 2001. In this rather difficult environment, the High Yield Bond Portfolio has benefited from careful selection of individual securities and a bias toward high quality: approximately 8% of holdings are rated investment grade by either Moody's or S&P, the two major rating services. The Portfolio has experienced no defaults since November 1999. Performance has been boosted by several positive credit events, including the acquisitions of issuers of several bonds in the Portfolio by investment grade companies. The Portfolio's industry mix is conservative: the emphasis is on industries with positive fundamentals, including telecommunications, cable television, financial services, hotels and casinos, and utilities; holdings in highly cyclical industries such as paper, autos and steel are minimal. The quality level and industry mix position the Portfolio well to withstand any economic slowdown that may develop, while broad diversification reduces the impact of volatility in individual issues. PERCENTAGE HOLDINGS BY INDUSTRY SECTOR 12/31/00 [PIE CHART] Basic Materials/Capital Goods/Energy 7 Consumer Cyclical 16 Consumer Staples 7 Finance 9 Broadcast/Cable 15 Telecommunications/Wireless 15 Utilities 9 Transport Services 4 Other Industries 9 Money Market Investments 9
PERFORMANCE RELATIVE TO THE LEHMAN BROTHERS INDEX [PERFORMANCE RELATIVE TO THE LEHMAN BROTHERS INDEX LINE GRAPH]
LEHMAN BROTHERS HIGH YIELD HIGH YIELD BOND PORTFOLIO INTERMEDIATE MARKET INDEX ------------------------- -------------------------- 5/94 10000 10000 12/94 10302 10188 12/95 12030 11952 12/96 14409 13409 12/97 16693 15020 12/98 16388 15244 12/99 16316 15646 12/00 15563 14635
- -------------------------------------------------------------- Average Annual Total Return For Periods Ended December 31, 2000 Since 1 Year 5 Years Inception# - -------------------------------------------------------------- High Yield Bond Portfolio -4.60% 5.29% 6.86% Lehman Brothers High Yield Intermediate Market Index -6.46% 4.13% 5.88% - -------------------------------------------------------------- #Inception date of 5/3/1994
The total return performance for the High Yield Bond Portfolio is shown in comparison with the Lehman Brothers High Yield Intermediate Market Index. The Lehman Brothers index is an appropriate measure of portfolio performance since it has a quality and maturity profile that resembles the High Yield Bond Portfolio. The Lehman Brothers High Yield Intermediate Market Index is made up of dollar-denominated, nonconvertible, SEC publicly registered fixed rate noninvestment grade issues. The bonds will have remaining maturities of between one and ten years and have an outstanding par value of at least $100 million. Yankee and global bonds (SEC registered) of issuers in G-7 countries are included. Original issue zero coupon bonds and step-up coupon structures are also included; however, the index excludes pay-in-kind (PIK) bonds. Each bond must be rated Ba1 or lower by Moody's Investor Service. If a Moody's rating is unavailable, the bonds must be rated BB+ or lower by Standard & Poor's, or by Fitch if an S&P rating is unavailable. A few unrated bonds are included in the index; to be eligible they must have previously held a high yield rating or have been associated with a high yield issuer. The index is an unmanaged market value weighted index and measures the income provided by, and the price changes of, the underlying securities. This chart assumes an initial investment of $10,000 made on 5/3/94 (commencement of operations). Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. 55 High Yield Bond Portfolio 59 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET SHARES/ VALUE BONDS (81.9%) PAR (000'S) -------------------------------------------------------- BASIC MATERIALS (3.5%) METALS & MINING (3.2%) Glencore Nickel, Ltd, 9%, 12/1/14 $ 500,000 $ 408 Great Central Mines, Ltd., 8.875%, 4/1/08 2,750,000 2,172 USEC Inc., 6.625%, 1/20/06 2,050,000 1,763 --------- TOTAL 4,343 --------- PAPER (0.3%) APP China Group Ltd., 14%, 3/15/10 (144A) 1,200,000 456 --------- TOTAL 456 --------- TOTAL BASIC MATERIALS 4,799 --------- CAPITAL GOODS (0.7%) United Rentals, Inc., 8.8%, 8/15/08 1,250,000 938 --------- TOTAL CAPITAL GOODS 938 --------- CONSUMER CYCLICAL (14.7%) APPAREL, TEXTILE (3.3%) Guess ?, Inc., 9.5%, 8/15/03 1,000,000 920 Tommy Hilfiger USA, Inc., 6.5%, 6/1/03 1,650,000 1,403 Tommy Hilfiger USA, Inc., 6.85%, 6/1/08 1,150,000 862 Westpoint Stevens Inc., 7.875%, 6/15/08 1,000,000 720 Westpoint Stevens, Inc., 7.875%, 06/15/05 1,100,000 820 --------- TOTAL 4,725 --------- AUTO & TRUCKS (1.0%) Avis Group Holdings, Inc., 11%, 5/1/09 1,250,000 1,347 --------- TOTAL 1,347 --------- AUTO RELATED (1.4%) Tower Automotive, Inc., 5%, 8/1/04 2,850,000 1,955 --------- TOTAL 1,955 --------- HOUSEHOLD APPLIANCES (0.3%) Rent-A-Center, Inc., 11%, 8/15/08 400,000 389 --------- TOTAL 389 --------- LEISURE RELATED (1.9%) Bally Total Fitness Holdings, Series D, 9.875%, 10/15/07 650,000 603 Royal Caribbean Cruises Ltd., 6.75%, 3/15/08 1,600,000 1,427 Royal Caribbean Cruises Ltd., 7%, 10/15/07 600,000 547 --------- TOTAL 2,577 ---------
MARKET SHARES/ VALUE BONDS (81.9%) PAR (000'S) -------------------------------------------------------- LODGING/RESORTS (2.3%) Felcor Lodging Limited Partnership, 9.5%, 9/15/08 $1,750,000 $ 1,733 John Q. Hammons Hotels, Inc., 8.875%, 2/15/04 400,000 362 Lodgian Financing Corp., 12.25%, 7/15/09 1,150,000 1,035 --------- TOTAL 3,130 --------- PRINTING & PUBLISHING (2.9%) Jostens, Inc., 12.75%, 5/01/10 1,550,000 1,395 Mail-Well, Inc., 5%, 11/1/02 2,800,000 2,071 Ziff Davis Media, Inc., 12%, 7/15/10 (144A) 750,000 589 --------- TOTAL 4,055 --------- RETAIL - GENERAL (1.6%) Buhrmann US, Inc., 12.25%, 11/1/09 2,150,000 2,160 --------- TOTAL 2,160 --------- TOTAL CONSUMER CYCLICAL 20,338 --------- CONSUMER STAPLES (6.6%) DRUGS (0.8%) ICN Pharmaceuticals, Inc., 9.25%, 08/15/05 350,000 355 ICN Pharmaceuticals, Inc., 8.75%, 11/15/08 (144A) 750,000 750 --------- TOTAL 1,105 --------- GAMING (4.7%) Hollywood Casino Corporation, 13%, 8/1/06 1,750,000 1,864 Jupiters Limited, 8.5%, 3/1/06 1,000,000 960 Las Vegas Sands, Inc., 12.25%, 11/15/04 1,000,000 980 Mandalay Resort Group, 9.50%, 8/1/08 800,000 792 Sun International Hotels Limited, 9%, 03/15/07 400,000 370 Venetian Casino Resort, LLC, 7.625%, 7/15/13 1,850,000 1,462 --------- TOTAL 6,428 --------- HEALTHCARE (1.1%) HEALTHSOUTH Corporation, 10.75%, 10/01/08 (144A) 1,500,000 1,575 --------- TOTAL 1,575 --------- TOTAL CONSUMER STAPLES 9,108 --------- ENERGY (2.4%) Conproca S.A., 12%, 6/16/10 (144A) 1,100,000 1,144 PDV America, Inc., 7.875%, 8/1/03 2,250,000 2,196 --------- TOTAL ENERGY 3,340 ---------
High Yield Bond Portfolio 56 60
MARKET SHARES/ VALUE BONDS (81.9%) PAR (000'S) -------------------------------------------------------- FINANCE (7.4%) BANKS (2.1%) Sovereign Bancorp, 10.5%, 11/15/06 $1,900,000 $ 1,872 Sovereign Real Estate Investment Trust, 12%, 8/29/49 (144A) 1,325,000 1,060 --------- TOTAL 2,932 --------- FINANCE COMPANIES (4.5%) Finova Capital Corporation, 7.25%, 11/8/04 2,150,000 1,291 Metris Companies, Inc., 10.125%, 7/15/06 2,600,000 2,210 PDVSA Finance Ltd. 1999-i, 9.75%, 2/15/10 2,600,000 2,671 --------- TOTAL 6,172 --------- FINANCIAL SERVICES (0.8%) Labranche & Company Inc., 12%, 3/2/07 1,100,000 1,155 --------- TOTAL 1,155 --------- TOTAL FINANCE 10,259 --------- MISCELLANEOUS (3.7%) R.E.I.T. (2.2%) Macerich Company, 7.25%, 12/15/02 (144A) 1,000,000 894 Security Capital U.S. Realty, 2%, 5/22/03 (144A) 2,500,000 2,176 --------- TOTAL 3,070 --------- REAL ESTATE (1.5%) Crescent Real Estate Equities, 7%, 9/15/02 500,000 479 Crescent Real Estate Equities, 7.5%, 9/15/07 1,750,000 1,533 --------- TOTAL 2,012 --------- TOTAL MISCELLANEOUS 5,082 --------- PROFESSIONAL SERVICES (2.5%) Building One Services, 10.5%, 5/1/09 2,150,000 1,333 Integrated Electrical Services, Series B, 9.375%, 2/1/09 550,000 490 Interim Services Inc. 4.5%, 6/1/05 2,400,000 1,620 --------- TOTAL PROFESSIONAL SERVICES 3,443 --------- TECHNOLOGY (26.6%) BROADCASTING (1.0%) CD Radio Inc., 14.5%, 5/15/09 1,000,000 680 XM Satellite Radio Inc., 14%, 3/15/2010 1,400,000 770 --------- TOTAL 1,450 --------- CABLE (9.9%) Adelphia Communications Corporation, 10.875%, 10/1/10 2,700,000 2,605 British Sky Broadcasting Group Plc., 6.875%, 2/23/09 750,000 659
MARKET SHARES/ VALUE BONDS (81.9%) PAR (000'S) -------------------------------------------------------- CABLE continued +Charter Communications Holdings, LLC, 11.75%, 1/15/10 $ 750,000 $ 435 +Charter Communications Holdings, LLC, 9.92%, 4/1/11 750,000 435 Charter Communications Holdings, LLC, 8.625, 4/1/09 800,000 726 Echostar Broadband Corp., 10.375%, 10/1/07 (144A) 1,150,000 1,130 +International Cabletel Inc., 11.5%, 2/1/06 1,000,000 870 NTL Communications Corp., 11.5%, 10/1/08 1,950,000 1,720 NTL Communications Corp., 11.875%, 10/01/10 (144A) 250,000 223 +NTL, Inc., 9.75%, 4/1/08 1,900,000 1,045 +Telewest Communications Plc, 9.25%, 4/15/09 1,000,000 470 Telewest Communications Plc, 9.875%, 02/01/10 400,000 348 +United Global Communications, Inc., Series B, 2.75%, 2/15/08 3,050,000 1,251 +United Pan-Europe Communications N.V., 13.75%, 2/1/10 600,000 171 United Pan-Europe Communications N.V., 10.875%, 8/1/09 1,550,000 992 +US Unwired Inc., 13.375%, 11/1/09 1,150,000 523 --------- TOTAL 13,603 --------- ELECTRONICS (2.7%) Amkor Technologies Inc., 5.0%, 3/15/07 1,000,000 654 Amkor Technologies Inc., 9.25%, 5/1/06 1,400,000 1,319 Flextronics International Ltd., 9.875%, 7/1/10 1,050,000 1,050 LSI Logic Corp. 1,000,000 713 --------- TOTAL 3,736 --------- TELECOMMUNICATIONS (6.7%) Adelphia Business Solutions, Inc., 12.25%, 9/1/04 2,300,000 1,793 Arch Communications, Inc., 13.75%, 4/15/08 4,100,000 1,475 Exodus Communications, Inc., 11.625%, 7/15/10 (144A) 1,250,000 1,113 Global Crossing Ltd., 9.625%, 5/15/08 300,000 282 +GT Group Telecom Inc., 13.25%, 2/1/10 1,650,000 545 +Intermedia Communications, Inc., 12.5%, 5/15/06 600,000 420 Intermedia Communications, Inc., 8.60% 6/1/08 1,300,000 910 Level 3 Communications, Inc., 11%, 3/15/08 1,200,000 1,056
57 High Yield Bond Portfolio 61
MARKET SHARES/ VALUE BONDS (81.9%) PAR (000'S) -------------------------------------------------------- TELECOMMUNICATIONS continued NEXTLINK Communications, Inc., 10.75%, 6/1/09 $1,050,000 $ 861 Williams Communications Group, 10.875%, 10/1/09 1,150,000 857 --------- TOTAL 9,312 --------- WIRELESS COMMUNICATION (6.3%) +AirGate PCS Inc., 13.5%, 10/1/09 1,150,000 656 +Alamosa PCS Holdings, Inc., 12.875%, 2/15/10 1,150,000 535 Crown Castle International Corp., 10.75%, 8/1/11 1,000,000 1,040 +Horizon PCS Inc., 14%, 10/1/10 2,000,000 820 +Nextel Communications, Inc., 9.95%, 2/15/08 1,550,000 1,132 Nextel Communications, Inc., 9.375%, 11/15/09 1,150,000 1,072 Spectrasite Holdings Inc., 12.50%, 11/15/2010, (144A) 1,450,000 1,438 TeleCorp PCS, Inc., 10.625%, 7/15/2010 1,500,000 1,522 Voicestream Wireless Corporation, 10.375%, 11/15/09 400,000 429 --------- TOTAL 8,644 --------- TOTAL TECHNOLOGY 36,745 --------- TELEPHONE COMMUNICATIONS (0.5%) Global Crossing Holdings, Ltd., 9.5%, 11/15/09 700,000 662 --------- TOTAL TELEPHONE COMMUNICATIONS 662 --------- TRANSPORT SERVICES (4.5%) RAILROADS (0.9%) Railamerica Transportation Corp., 12.875%, 8/15/10 1,400,000 1,260 --------- TOTAL 1,260 --------- TRUCKING - SHIPPING (3.6%) American Commercial Lines, LLC, Series B, 10.25%, 6/30/08 1,500,000 1,140 Eletson Holdings, Inc., 9.25%, 11/15/03 850,000 820 North American Van Lines, 13.375%, 12/1/09 (144A) 1,650,000 1,353 Stena AB, 10.5%, 12/15/05 1,900,000 1,710 --------- TOTAL 5,023 --------- TOTAL TRANSPORT SERVICES 6,283 ---------
MARKET SHARES/ VALUE BONDS (81.9%) PAR (000'S) -------------------------------------------------------- UTILITIES (8.8%) UTILITY - ELECTRIC (2.2%) The AES Corporation, 9.375%, 9/15/10 $ 400,000 $ 409 Aes Drax Energy Ltd., 11.5%, 8/30/10 (144A) 1,200,000 1,278 Orion Power Holdings Inc., 12%, 5/1/10 (144A) 1,200,000 1,302 --------- TOTAL 2,989 --------- UTILITY - GARBAGE DISPOSAL (3.9%) Allied Waste North America, Inc., 7.625%, 1/1/06 2,100,000 1,990 Allied Waste North America, Inc., 7.875%, 1/1/09 1,750,000 1,623 Allied Waste North America, Inc., Series B, 10%, 8/1/09 500,000 471 IT Group, Series B, 11.25%, 4/1/09 1,600,000 1,296 --------- TOTAL 5,380 --------- UTILITY - GAS (1.3%) EOTT Energy Partners, L.P., 11%, 10/1/09 1,800,000 1,863 --------- TOTAL 1,863 --------- UTILITY - WATER (1.4%) Azurix Corp., Series B, 10.75%, 2/15/10 1,950,000 1,911 --------- TOTAL 1,911 --------- TOTAL UTILITIES 12,143 --------- TOTAL BONDS (COST $123,616) 113,140 --------- PREFERRED STOCK (6.3%) -------------------------------------------------------- CONSUMER CYCLICAL (0.9%) Primedia, Inc. - Series D 5,000 410 Primedia, Inc. - Series F 10,000 780 --------- TOTAL CONSUMER CYCLICAL 1,190 --------- FINANCE (1.2%) California Federal Preferred Capital 74,000 1,716 --------- TOTAL FINANCE 1,716 --------- TECHNOLOGY (3.8%) BROADCASTING (2.1%) **Crown Castle International Corp. 11,660 1,116 **Cumulus Media, Inc. 12,460 807 Sinclair Capital 11,500 978 --------- TOTAL 2,901 --------- CABLE (1.7%) CSC Holdings, Inc. - Series H 14,411 1,542 **CSC Holdings, Inc. - Series M 7,708 817 --------- TOTAL 2,359 --------- TOTAL TECHNOLOGY 5,260 ---------
High Yield Bond Portfolio 58 62
MARKET SHARES/ VALUE PREFERRED STOCK (6.3%) PAR (000'S) -------------------------------------------------------- TELEPHONE COMMUNICATIONS (0.4%) **XO Communications, Inc. 19,000 $ 570 --------- TOTAL TELEPHONE COMMUNICATIONS 570 --------- TOTAL PREFERRED STOCK (COST $10,215) 8,736 --------- COMMON STOCK AND WARRANTS (0.6%) -------------------------------------------------------- CONSUMER CYCLICAL (0.0%) HOUSEHOLD APPLIANCES (0.0%) *Samsonite Corporation 6,250 19 --------- TOTAL 19 --------- LEISURE RELATED (0.0%) *Hedstrom Holdings, Inc. (144A) 201,674 2 --------- TOTAL 2 --------- PRINTING & PUBLISHING (0.0%) Jostens, Inc. 1,350 27 --------- TOTAL 27 --------- TOTAL CONSUMER CYCLICAL 48 --------- MISCELLANEOUS (0.0%) *Meditrust Companies 11,117 28 --------- TOTAL MISCELLANEOUS 28 --------- TECHNOLOGY (0.6%) BROADCASTING (0.0%) XM Satellite Radio Holdings Inc. 1,400 49 --------- TOTAL 49 --------- TELECOMMUNICATIONS (0.6%) *Arch Wireless Communications, Inc. 35,377 22 *Arch Wireless Communications, Inc. 134,177 83 Arch Wireless Communications, Inc. 32,686 1 GT Group Telecom Inc. 1,650 72 KMC Telecom Holdings Inc. 6,250 13 *McLeodUSA Incorporated 27,405 386 *RCN Corporation 2,494 16 *Viatel, Inc. 16,325 61 --------- TOTAL 654 --------- TOTAL TECHNOLOGY 703 --------- TRANSPORT SERVICES (0.0%) PROFESSIONAL SERVICES (0.0%) *DecisionOne Corporation 4,062 23 --------- TOTAL 23 ---------
MARKET SHARES/ VALUE COMMON STOCK AND WARRANTS (0.6%) PAR (000'S) -------------------------------------------------------- RAILROADS (0.0%) Railamerica, Inc. 1,400 $ 14 --------- TOTAL 14 --------- TOTAL TRANSPORT SERVICES 37 --------- TOTAL COMMON STOCK AND WARRANTS (COST $9,444) 816 --------- MONEY MARKET INVESTMENTS (9.2%) -------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (5.7%) Asset Securitization, 6.4%, 2/7/01 $8,000,000 7,948 --------- TOTAL ASSET-BACKED SECURITIES (CMO'S) 7,948 --------- PERSONAL CREDIT INSTITUTIONS (3.5%) CXC Incorporated, 6.53%, 1/2/01 4,800,000 4,799 --------- TOTAL FINANCE SERVICES 4,799 --------- TOTAL MONEY MARKET INVESTMENTS (COST $12,747) 12,747 --------- TOTAL INVESTMENTS (98.0%) (COST $156,022)! 135,439 --------- OTHER ASSETS, LESS LIABILITIES (2.0%) 2,768 --------- TOTAL NET ASSETS (100.0%) $ 138,207 =========
! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $151,894 and the net unrealized depreciation of investments based on that cost was $16,455 which is comprised of $2,778 aggregate gross unrealized appreciation and $19,233 aggregate gross unrealized depreciation. * Non-Income Producing + Step bond security that presently receives no coupon payments. At a predetermined date the stated coupon rate becomes effective. ** PIK - Payment in Kind 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. The Accompanying Notes are an Integral Part of the Financial Statements 59 High Yield Bond Portfolio 63
Objective: Portfolio Strategy: Net Assets: A stable and relatively high level Invest in high grade corporate bonds, U.S. $291,677,622 of long-term total return and government bonds and bonds of government preservation of capital agencies.
SELECT BOND PORTFOLIO The Select Bond Portfolio invests primarily in high quality debt securities, mainly government bonds, corporate bonds and mortgage-backed securities. Exposure to market sectors is adjusted as yield spreads change among the various classes of securities. Duration and maturities are altered with moderate adjustments in recognition or anticipation of interest rate changes. In an unusual year for the bond market, the Select Bond Portfolio delivered returns higher than most equity investments, but slightly underperformed its major benchmark, the Merrill Lynch Domestic Master Index. Overall return was hampered by poor relative performance of two mortgage-backed bonds. In a period of economic uncertainty, the portfolio was managed defensively throughout the year. Interest rate risk was maintained at a moderate level by keeping durations relatively defensive, while default risk was kept low through emphasis on high quality holdings, generally rated AA or better. At the end of 2000, the Treasury component of the portfolio was higher than during most of the year; a more normal mix was restored early in 2001. PERCENTAGE HOLDINGS 12/31/00 [PIE CHART]
MORTGAGE-BACKED GOVERNMENT AND AND ASSET-BACKED GOVERNMENT MONEY MARKET OTHER ASSETS, LESS CORPORATE BONDS SECURITIES AGENCIES INVESTMENTS LIABILITIES --------------- ---------------- -------------- ------------ ------------------ Percentage Holdings 12/31/00 25 28 42 4 1
The Corporate Bonds sector includes bonds of companies headquartered outside the United States. The Government and Government Agencies category includes taxable bonds of domestic and foreign governments and a small position in municipal bonds. Consistent with the Portfolio's stated parameters, no more than 10% of the Portfolio is invested in foreign securities, and no more than 10% is invested in high-yield securities. PERFORMANCE RELATIVE TO THE MERRILL LYNCH DOMESTIC MASTER INDEX [LINE GRAPH]
SELECT BOND PORTFOLIO MERRILL LYNCH DOMESTIC MASTER INDEX --------------------- ----------------------------------- 12/90 10000 10000 11732 11585 12/92 12641 12463 14007 13713 12/94 13688 13325 16301 15793 12/96 16841 16360 18435 17941 12/98 19741 19532 19543 19344 12/00 21534 21613
- ---------------------------------------------------- Average Annual Total Return For Periods Ended December 31, 2000 1 Year 5 Years 10 Years - ---------------------------------------------------- Select Bond Portfolio 10.21% 5.72% 7.97% Merrill Lynch Domestic Master Index 11.73% 6.48% 8.01% - ----------------------------------------------------
Since the Portfolio invests broadly in U.S. Government, mortgage and corporate bonds, a useful basis for comparing returns is the Merrill Lynch Domestic Master Index. The index is an unmanaged market value weighted index comprised of U.S. Government, mortgage and investment-grade corporate bonds. The index measures the income provided by, and the price changes of, the underlying securities. This chart assumes an initial investment of $10,000 made on 12/31/90. Returns shown include deductions for management and other fund expenses, and reinvestment of all dividends. Returns exclude deductions for separate account sales loads and account fees. Past performance is not predictive of future performance. Investment return and principal value will fluctuate, so that your shares, when redeemed, may be worth more or less than their original cost. Total returns shown on page 2 reflect mortality and expense risk charges and premium charges deducted from the assets of the separate account. The cost of insurance protection, which is not reflected in the returns shown on this chart, would make the returns significantly lower. Investors are urged to obtain a personalized illustration of historical performance which reflects the cost of insurance protection. Select Bond Portfolio 60 64 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (42.0%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (42.0%) Aid-Israel, 0%, 11/1/24 $ 8,900,000 $ 2,077 Federal Home Loan Bank, 5.54%, 1/8/09 3,700,000 3,514 Federal Home Loan Mortgage Corporation, 7.5%, 10/1/27 6,333,912 6,440 Federal National Mortgage Association, 5.97%, 10/1/08 3,851,726 3,813 Federal National Mortgage Association, 6.22%, 2/1/06 1,868,828 1,882 Federal National Mortgage Association, 6.24%, 1/1/06 5,266,922 5,305 Federal National Mortgage Association, 6.265%, 10/1/08 2,926,081 2,941 Federal National Mortgage Association, 6.32%, 2/1/06 3,789,414 3,829 Federal National Mortgage Association, 6.36%, 4/1/08 3,678,823 3,723 Federal National Mortgage Association, 6.39%, 4/1/08 1,411,514 1,431 Federal National Mortgage Association, 6.5%, 9/25/05 1,820,384 1,818 Federal National Mortgage Association, 6.75%, 12/25/23 3,500,000 3,539 Federal National Mortgage Association, 6.75%, 4/25/18 2,212,352 2,238 Federal National Mortgage Association, 7%, 6/1/03 215,085 217 Federal National Mortgage Association, 7.36%, 4/1/11 3,202,722 3,417 Federal National Mortgage Association, 8.4%, 2/25/09 2,500,000 2,638 Federal National Mortgage Association, 10%, 10/1/17 48,820 53 Federal National Mortgage Association, 11%, 12/1/12 49,615 55 Federal National Mortgage Association, 11%, 9/1/17 601,116 667 Federal National Mortgage Association, 11%, 2/1/18 253,941 282 Federal National Mortgage Association, 11%, 12/1/17 207,445 230 Federal National Mortgage Association, 11.5%, 4/1/18 254,487 286 Federal National Mortgage Association, 12%, 9/1/12 594,329 669 Federal National Mortgage Association, 12%, 12/1/12 131,780 149 Federal National Mortgage Association, 12%, 2/1/18 204,966 233 Federal National Mortgage Association, 12%, 9/1/17 179,149 203 Federal National Mortgage Association, 12%, 12/1/17 173,368 197
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (42.0%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Federal National Mortgage Association, 12%, 10/1/17 $ 181,980 $ 206 Federal National Mortgage Association, 12.25%, 1/1/18 103,571 118 Federal National Mortgage Association, 12.5%, 4/1/18 106,721 122 Federal National Mortgage Association, 13%, 11/1/12 87,475 100 Federal National Mortgage Association, 13%, 2/1/18 246,439 285 Federal National Mortgage Association, 13%, 12/1/17 122,529 142 Federal National Mortgage Association, 13%, 11/1/17 154,433 179 Federal National Mortgage Association, 14%, 12/1/17 79,924 94 Government National Mortgage Association, 7%, 5/15/23 248,601 251 Government National Mortgage Association, 7.5%, 4/15/22 192,771 197 Government National Mortgage Association, 7.5%, 10/15/23 536,596 548 Government National Mortgage Association, 7.5%, 11/15/25 10,830 11 Government National Mortgage Association, 7.5%, 5/15/26 11,637 12 Government National Mortgage Association, 7.5%, 10/15/25 27,297 28 Government National Mortgage Association, 7.5%, 4/15/27 86,606 88 Government National Mortgage Association, 7.5%, 2/15/27 415,381 423 Government National Mortgage Association, 7.5%, 3/15/27 41,658 42 Government National Mortgage Association, 7.5%, 1/15/27 303,906 309 Government National Mortgage Association, 7.5%, 8/15/27 10,755 11 Government National Mortgage Association, 7.5%, 6/15/28 399,499 406 Government National Mortgage Association, 8%, 2/15/26 402,764 413 Government National Mortgage Association, 8%, 12/15/26 96,316 99 Government National Mortgage Association, 8%, 9/15/26 200,833 206 Government National Mortgage Association, 8%, 8/15/26 449,255 461 Government National Mortgage Association, 8%, 1/15/26 339,082 348 Government National Mortgage Association, 8%, 3/15/27 368,481 378
61 Select Bond Portfolio 65
GOVERNMENT (DOMESTIC MARKET AND FOREIGN) AND AGENCY SHARES/ VALUE BONDS (42.0%) PAR (000'S) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES continued Government National Mortgage Association, 8%, 4/15/27 $ 690,435 $ 708 Government National Mortgage Association, 8%, 7/15/27 347,445 356 Government National Mortgage Association, 8%, 6/15/27 327,275 336 Government National Mortgage Association, 8%, 1/15/27 355,983 365 Government National Mortgage Association, 8%, 8/15/27 237,337 243 Government National Mortgage Association, 8%, 9/15/27 258,384 265 Government National Mortgage Association, 8.5%, 9/15/21 35,703 37 Government National Mortgage Association, 8.5%, 11/15/24 335,020 345 Government National Mortgage Association, 8.5%, 7/15/24 50,157 52 Government National Mortgage Association, 8.5%, 6/15/23 3,852 4 Government National Mortgage Association, 8.5%, 3/15/23 1,828 2 Government National Mortgage Association, 8.5%, 9/15/24 726 1 Government National Mortgage Association, 8.5%, 6/15/24 71,039 73 Government National Mortgage Association, 8.5%, 2/15/25 45,277 47 Government National Mortgage Association, 11%, 1/15/18 3,257,356 3,567 Iroquois Trust, Series 1997-2, Class A, 6.752%, 6/25/07 (144A) 939,552 940 Rural Housing Trust 1987-1, Series 1, Class D, 6.33%, 4/1/26 995,771 996 US Treasury, 4.875%, 3/31/01 2,380,000 2,374 US Treasury, 5%, 2/28/01 4,000,000 3,995 US Treasury, 5.75%, 8/15/10 14,282,000 14,967 US Treasury, 6.125%, 8/15/29 2,613,000 2,846 US Treasury, 6.5%, 2/15/10 10,000,000 10,945 US Treasury, 6.75%, 5/15/05 13,288,000 14,143 #US Treasury Inflation Index Bond, 3.875%, 4/15/29 7,045,923 7,546 --------- TOTAL GOVERNMENT (DOMESTIC AND FOREIGN) AND AGENCY BONDS (COST $119,213) 122,476 --------- MORTGAGE/ASSET BACKED SECURITIES (28.1%) -------------------------------------------------------- AUTO RELATED (1.3%) Fleetwood Credit Corporation Grantor Trust, Series 1997-B, Class A, 6.4%, 5/15/13 521,290 522
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (28.1%) PAR (000'S) -------------------------------------------------------- AUTO RELATED continued Team Fleet Financing Corporation, Series 1996-1, Class A, 6.65%, 12/15/02 (144A) $ 3,200,000 $ 3,204 --------- TOTAL 3,726 --------- BOAT DEALERS (0.4%) Nationscredit Grantor Trust, Series 1997-2, Class A1, 6.35%, 4/15/14 1,020,906 1,023 --------- TOTAL 1,023 --------- COMMERCIAL MORTGAGES (20.2%) Asset Securitization Corporation, Series 1996-MD6, Class CS1, 1.6317%, 11/13/26, IO 12,283,116 264 Asset Securitization Corporation, Series 1996-MD6, Class CS2, 1.098%, 11/13/26, IO 52,000,000 1,869 Asset Securitization Corporation, Series 1997-D5, Class PS1, 1.6155%, 2/14/41, IO 11,759,441 949 Chase Commercial Mortgage Securities Corporation, Series 1997-1, Class B, 7.37%, 4/19/07 1,000,000 1,044 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class A2, 6.6%, 11/19/07 5,000,000 5,078 Chase Commercial Mortgage Securities Corporation, Series 1997-2, Class B, 6.6%, 11/19/07 2,000,000 2,009 Commercial Mortgage Acceptance Corporation, Series 1997-ML1, Class B, 6.6437%, 12/15/07 2,000,000 2,018 Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class A2, 7.26%, 6/20/07 (144A) 1,403,849 1,445 Credit Suisse First Boston Mortgage Securities Corporation, Series 1997-C1, Class B, 7.28%, 6/20/07 (144A) 1,500,000 1,534 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class A1, 7%, 11/2/06 3,000,000 2,934 Criimi Mae Commercial Mortgage Trust, Series 1998-C1, Class B, 7%, 11/2/11 4,000,000 3,567 DLJ Commercial Mortgage Corporation, Series 1998-CF1, Class S, .7003%, 1/15/18 IO 117,692,006 4,125 DLJ Mortgage Acceptance Corp., Series 1994-MF11, Class A2, 8.1%, 6/18/04 1,000,000 1,057
Select Bond Portfolio 62 66
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (28.1%) PAR (000'S) -------------------------------------------------------- COMMERCIAL MORTGAGES continued DLJ Mortgage Acceptance Corporation, Series 1994-MF11, Class A1, 8.1%, 6/18/04 $ 1,217,633 $ 1,259 DLJ Mortgage Acceptance Corporation, Series 1997-CF2, Class S, .3516%, 10/15/17 IO (144A) 100,631,814 2,013 The Equitable Life Assurance Society, Series 174, Class C1, 7.52%, 5/15/06 (144A) 2,000,000 2,068 Kmart CMBS Financing, Inc., Series 1997-1, Class B, 7.0275%, 3/1/07 (144A) 2,000,000 1,991 Kmart CMBS Financing, Inc., Series 1997-1, Class C, 7.3275%, 3/1/07 (144A) 2,500,000 2,483 Kmart CMBS Financing, Inc., Series 1997-1, Class D, 7.7275%, 3/1/07 (144A) 2,000,000 1,981 LB Mortgage Trust, Series 1991-2, Class A3, 8.3962%, 1/20/17 5,622,501 6,146 Malan Mortgage Securities Trust, Series 1995-1, Class A3, 7.8%, 8/15/05 (144A) 3,000,000 3,050 Midland Realty Acceptance Corporation, Series 1996-C2, Class AEC, 1.3534%, 1/25/29 IO 12,584,493 639 Mortgage Capital Funding, Inc., Series 1997-MC1, Class A3, 7.288%, 3/20/07 5,323,000 5,575 Nomura Asset Securities Corporation, Series 1998-D6, Class A2, 6.9931%, 3/17/28 2,800,000 2,857 RMF Commercial Mortgage Pass- Through, Series 1997-1, Class F, 7.471%, 1/15/19 (144A) 1,800,000 1,298 --------- TOTAL 59,253 --------- CREDIT CARD ASSET BACKED (0.8%) Heilig-Meyers Master Trust, Series 1998-1A, Class A, 6.125%, 1/20/07 (144A) 2,525,883 2,225 --------- TOTAL 2,225 --------- FRANCHISE LOAN RECEIVABLES (2.4%) Enterprise Mortgage Acceptance Company, Series 1998-1, Class A2, 6.38%, 4/15/07 (144A) 3,100,000 3,075 Enterprise Mortgage Acceptance Company, Series 1998-1, Class IO, 1.3704%, 1/15/23 (144A) IO 29,056,009 1,848
MARKET MORTGAGE/ASSET BACKED SHARES/ VALUE SECURITIES (28.1%) PAR (000'S) -------------------------------------------------------- FRANCHISE LOAN RECEIVABLES continued FMAC Loan Receivables Trust, Series 1998-A, Class A1, 6.2%, 9/15/20 (144A) $ 930,285 $ 924 Global Franchise Trust, Series 1998-1, Class A1, 6.349%, 4/10/04 (144A) 1,035,936 1,026 --------- TOTAL 6,873 --------- HEALTH SERVICES (0.4%) Health Care Receivables, 6.25%, 2/1/03 (144A) 1,125,000 1,116 --------- TOTAL 1,116 --------- HOME EQUITY LOAN (1.2%) Amresco Residential Securities, Series 1998-2, Class A2, 6.245%, 4/25/22 1,073,968 1,068 Vanderbilt Mortgage Finance, Inc., Series 1997-B, Class 1A4, 7.19%, 2/7/14 2,500,000 2,558 --------- TOTAL 3,626 --------- MANUFACTURED HOUSING (0.3%) Mid-State Trust, Series 6, Class A3, 7.54%, 7/1/35 917,099 925 --------- TOTAL 925 --------- MOTORCYCLE DEALERS (0.5%) Harley-Davidson Eaglemark Motorcycle Trust, Series 1998-2, Class A2, 5.87%, 4/15/04 1,471,200 1,470 --------- TOTAL 1,470 --------- OTHER ASSET BACKED (0.1%) Newcourt Equipment Receivables, Series 1997-A, Class B, 6.764%, 9/20/04 (144A) 245,005 245 --------- TOTAL 245 --------- RESIDENTIAL MORTGAGES (0.5%) Blackrock Capital Finance L.P., Series 1997-R1, Class B3, 7.75%, 3/25/37 (144A) 3,766,553 678 Blackrock Capital Finance L.P., Series 1997-R3, Class B3, 7.25%, 11/25/28 (144A) 4,259,376 767 --------- TOTAL 1,445 --------- TOTAL MORTGAGE/ASSET BACKED SECURITIES (COST $89,416) 81,927 ---------
63 Select Bond Portfolio 67
MARKET SHARES/ VALUE CORPORATE BONDS (25.3%) PAR (000'S) -------------------------------------------------------- BANK HOLDING COMPANIES (3.5%) Bank One Corporation, 8%, 4/29/27 $ 3,267,000 $ 3,228 Chase Manhattan Corp., 7.875%, 6/15/2010 4,000,000 4,219 Nationsbank Lease Pass Through Trust, Series 1997-A, Class 1, 1/10/11 2,876,081 2,983 --------- TOTAL 10,430 --------- BEVERAGES, MALT BEVERAGES (2.3%) Anheuser-Busch Companies, Inc., 7%, 12/1/25 4,200,000 4,083 Anheuser-Busch Companies, Inc., 7.5%, 3/15/12 2,500,000 2,728 --------- TOTAL 6,811 --------- BROAD WOVEN FABRIC MILLS, MANMADE (0.2%) ++Polysindo International Finance, 11.375%, 6/15/06 4,200,000 441 --------- TOTAL 441 --------- ELECTRIC SERVICES (4.9%) Comed Transitional Funding Trust, Series 1998-1, Class A7, 5.74%, 12/25/10 1,750,000 1,698 Ohio Edison Company, 7.375%, 9/15/02 1,000,000 1,014 Peco Energy Transition Trust, Series 1999-A, Class A7, 3/1/09 2,750,000 2,715 Public Service Electric & Gas Co., 6.875%, 1/1/03 2,250,000 2,264 Scottish Power PLC, 5.65%, 11/1/06 4,500,000 4,260 South Carolina Electric & Gas, 6.125%, 3/1/09 1,750,000 1,672 Texas Utilities Electric Co., 7.875%, 3/1/23 1,000,000 1,002 --------- TOTAL 14,625 --------- MEDICAL & HOSPITAL EQUIPMENT (0.8%) Johnson & Johnson, 6.95%, 09/01/2029 2,200,000 2,285 --------- TOTAL 2,285 --------- OIL AND GAS EXTRACTION (1.6%) Chevron Corporation, 6.625%, 10/1/04 4,500,000 4,616 --------- TOTAL 4,616 --------- PHARMACEUTICALS (3.3%) Johnson & Johnson, 6.625%, 9/1/09 2,750,000 2,832 Merck & Co., Inc. 5.95%, 12/1/28 7,375,000 6,762 --------- TOTAL 9,594 --------- PIPELINES (1.8%) El Paso Energy Corporation, 8.05%, 10/15/30 5,000,000 5,256 --------- TOTAL 5,256 ---------
MARKET SHARES/ VALUE CORPORATE BONDS (25.3%) PAR (000'S) -------------------------------------------------------- PLASTICS MATERIALS AND RESINS (0.7%) Dow Capital B.V., 8.5%, 6/8/10 $ 1,800,000 $ 1,987 --------- TOTAL 1,987 --------- RESIDENTIAL MORTGAGES (0.8%) EOP Operating LP, 8.1%, 8/1/10 2,125,000 2,234 --------- TOTAL 2,234 --------- RETAIL-MISC SHOPPING GOODS STORES (0.9%) Wal-Mart Stores, Inc., 6.875%, 8/1/02 2,500,000 2,534 --------- TOTAL 2,534 --------- TOBACCO PRODUCTS (2.4%) Philip Morris Companies Inc., 7.75%, 1/15/27 7,500,000 6,972 --------- TOTAL 6,972 --------- TRANSPORTATION SERVICES (2.1%) United Parcel Service, 8.375%, 4/1/20 5,350,000 6,103 --------- TOTAL 6,103 --------- TOTAL CORPORATE BONDS (COST $74,924) 73,888 --------- MONEY MARKET INVESTMENTS (3.6%) -------------------------------------------------------- FEDERAL GOVERNMENT AND AGENCIES (0.5%) Federal Home Loan Mortgage Corporation, 6.445%, 1/23/01 1,600,000 1,594 --------- TOTAL 1,594 --------- PERSONAL CREDIT INSTITUTIONS (1.4%) #CXC Incorporated, 6.53%, 1/2/01 4,000,000 3,999 --------- TOTAL 3,999 --------- SHORT TERM BUSINESS CREDIT (1.7%) #American Express Credit, 6.4%, 1/5/01 5,000,000 4,996 --------- TOTAL 4,996 --------- TOTAL MONEY MARKET INVESTMENTS (COST $10,589) 10,589 --------- TOTAL INVESTMENTS (99.0%) (COST $294,142)! 288,880 --------- OTHER ASSETS, LESS LIABILITIES (1.0%) 2,798 --------- TOTAL NET ASSETS (100.0%) $ 291,678 =========
Select Bond Portfolio 64 68 ! At 12/31/2000 the aggregate cost of securities for federal tax purposes was $296,467 and the net unrealized depreciation of investments based on that cost was $7,587 which is comprised of $7,116 aggregate gross unrealized appreciation and $14,703 aggregate gross unrealized depreciation. IO - Interest Only Security ++ Defaulted Security 144A after the name of a security represents a security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. # All or a portion of the securities have been committed as collateral for open futures positions. Information regarding open futures contracts as of period end is summarized below.
UNREALIZED APPRECIATION/ NUMBER OF EXPIRATION (DEPRECIATION) ISSUER (000'S) CONTRACTS DATE (000'S) - --------------------------------------------------------------- 90 Day Euro 31 03/01 $(56) (Total Notional Value at 12/31/2000, $7,237)
The Accompanying Notes are an Integral Part of the Financial Statements 65 Select Bond Portfolio 69
Objective: Portfolio Strategy: Net Assets: Maximum current income consistent Achieve stability of capital by investing in $384,455,252 with liquidity and stability of short-term debt securities. capital
Money Market Portfolio The Money Market Portfolio, which invests only in high quality commercial paper and other short-term debt securities with maturities generally not exceeding one year, is the least risky of the Portfolios. The Portfolio benefited during 2000 from maturities somewhat shorter than the benchmark, as accurate forecasts of interest rate increases by the Federal Reserve enabled the Money Market Portfolio to perform well for the year. Although the timing of the Fed's January rate cut was a surprise to all observers, short maturities continued to serve the Portfolio well, since the expectation of lower interest rates during 2001 was already reflected in market prices. A defensive position, with maturities still relatively short, continues to seem appropriate in a period of economic uncertainty. AN INVESTMENT IN THE MONEY MARKET PORTFOLIO IS NEITHER INSURED NOR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, THERE IS NO ASSURANCE THAT THE PORTFOLIO WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE SO IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE PORTFOLIO. Money Market Portfolio 66 70 NORTHWESTERN MUTUAL SERIES FUND, INC. Schedule of Investments December 31, 2000
MARKET VALUE SHORT TERM PAPER (91.8%) PAR (000'S) -------------------------------------------------------- ASSET-BACKED SECURITIES (CMO'S) (5.7%) Asset Securitization, 6.55%, 1/19/01 $ 6,800,000 $ 6,778 Asset Securitization, 6.52%, 2/8/01 4,000,000 3,972 Copelco Capital Funding, 6.986%, 3/19/01 11,000,000 11,000 --------- TOTAL 21,750 --------- AUTO RELATED (9.8%) Daimler-Chrysler N.A., 6.58%, 1/26/01 9,000,000 8,959 Ford Motor Credit Co., 6.58%, 1/19/01 9,000,000 8,970 General Motors Acceptance Corporation, 6.54%, 1/17/01 9,000,000 8,974 Toyota Motor Credit Corp., 6.54%, 1/26/01 10,935,000 10,885 --------- TOTAL 37,788 --------- COMMUNICATIONS (1.3%) AT&T Corp., 6.54%, 1/11/01 5,000,000 4,991 --------- TOTAL 4,991 --------- ELECTRICAL EQUIPMENT (2.4%) General Electric Capital Corp., 6.55%, 1/19/01 9,255,000 9,225 --------- TOTAL 9,225 --------- FEDERAL & FEDERALLY-SPONSORED CREDIT (2.9%) Federal Home Loan Bank, 5.75%, 1/5/01 11,090,000 11,083 --------- TOTAL 11,083 --------- FINANCE LESSORS (5.7%) Preferred Receivable Funding, 6.56%, 1/10/01 6,000,000 5,990 Preferred Receivable Funding, 6.59%, 1/11/01 5,000,000 4,991 Receivable Capital Trust, 6.62%, 1/16/01 11,000,000 10,970 --------- TOTAL 21,951 --------- FINANCE SERVICES (9.4%) Caterpillar Financial Services Corporation, 6.756%, 6/1/01 10,000,000 9,999 Centric Capital Corp., 6.53%, 2/9/01 3,000,000 2,979 Centric Capital Corp., 6.65%, 1/8/01 3,000,000 2,996 Centric Capital Corp., 6.68%, 1/12/01 8,000,000 7,984 Ciesco LP, 6.525%, 1/30/01 4,220,000 4,198 Ciesco LP, 6.51%, 1/2/01 8,000,000 7,999 --------- TOTAL 36,155 ---------
MARKET VALUE SHORT TERM PAPER (91.8%) PAR (000'S) -------------------------------------------------------- FOOD AND KINDRED PRODUCTS (8.0%) Coca-Cola Company, 6.53%, 1/30/01 $ 4,000,000 $ 3,979 Coca-Cola Company, 6.53%, 1/19/01 7,030,000 7,007 Nestle Capital, 6.5%, 1/8/01 11,000,000 10,987 Philip Morris Capital Company, 6.52%, 2/9/01 9,000,000 8,936 --------- TOTAL 30,909 --------- INDUSTRIAL INORGANIC CHEMICALS (1.9%) Monsanto Company, 6.52%, 2/6/01 7,370,000 7,322 --------- TOTAL 7,322 --------- MISC. BUSINESS CREDIT INSTITUTIONS (2.8%) Quincy Capital Corporation, 6.66%, 1/2/01 10,885,000 10,883 --------- TOTAL 10,883 --------- MORTGAGE BACKED (5.1%) Merrill Lynch Mortgage Investors, Inc., 6.65%, 11/27/01 19,674,602 19,675 --------- TOTAL 19,675 --------- PERSONAL CREDIT INSTITUTIONS (21.2%) American General Finance, 6.53%, 2/12/01 9,000,000 8,931 Associates Corp. of NA, 6.775%, 6/26/01 10,000,000 10,000 The CIT Group Holdings, 5.625%, 2/2/01 10,500,000 10,491 CXC Incorporated, 6.53%, 1/29/01 6,000,000 5,969 CXC Incorporated, 6.54%, 1/22/01 5,000,000 4,981 Delaware Funding Corp., 6.54%, 1/26/01 5,000,000 4,977 Delaware Funding Corp., 6.56%, 1/24/01 6,000,000 5,975 General Electric Capital Corp., 6.55%, 1/24/01 3,500,000 3,485 Household Finance Corp., 6.54%, 1/30/01 9,000,000 8,953 New Center Asset Trust, 6.58%, 1/18/01 9,000,000 8,972 Variable Funding Capital, 6.58%, 1/12/01 9,000,000 8,982 --------- TOTAL 81,716 --------- PHARMACEUTICAL PREPARATIONS (2.6%) American Home Products, 6.5%, 1/2/01 10,000,000 9,998 --------- TOTAL 9,998 ---------
67 Money Market Portfolio 71
MARKET VALUE SHORT TERM PAPER (91.8%) PAR (000'S) -------------------------------------------------------- SECURITY BROKERS AND DEALERS (5.2%) The Goldman Sachs Group, 6.54%, 1/12/01 $11,000,000 $ 10,978 Salomon Smith Barney Holdings, Inc., 6.57%, 1/29/01 9,000,000 8,954 --------- TOTAL 19,932 --------- SHORT TERM BUSINESS CREDIT (5.2%) American Express Credit, 6.49%, 1/22/01 9,000,000 8,966 Transamerica Financial Corporation, 6.51%, 2/23/01 11,000,000 10,895 --------- TOTAL 19,861 --------- UTILITY - ELECTRIC (2.6%) National Rural Utility, 6.5%, 1/10/01 9,885,000 9,869 --------- TOTAL 9,869 --------- TOTAL SHORT TERM PAPER (COST $353,108) 353,108 --------- TOTAL INVESTMENTS (91.8%) (COST $353,108)! 353,108 --------- OTHER ASSETS, LESS LIABILITIES (8.2%) 31,347 --------- TOTAL NET ASSETS (100.0%) $ 384,455 ========= ! Also represents cost for federal income tax purposes.
The Accompanying Notes are an Integral Part of the Financial Statements Money Market Portfolio 68 72 [PRICEWATERHOUSECOOPERS LLP - LETTERHEAD] REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Board of Directors of Northwestern Mutual Series Fund, Inc. In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Small Cap Growth Stock Portfolio, Aggressive Growth Stock Portfolio, International Equity Portfolio, Index 400 Stock Portfolio, Growth Stock Portfolio, Growth and Income Stock Portfolio, Index 500 Stock Portfolio, Balanced Portfolio, High Yield Bond Portfolio, Select Bond Portfolio and Money Market Portfolio (constituting Northwestern Mutual Series Fund, Inc., hereafter referred to as the "Fund") at December 31, 2000, the results of each of their operations for the year then ended, the changes in each of their net assets and financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund'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 of America, 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, 2000 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. [PRICEWATERHOUSECOOPERS LLP] Milwaukee, Wisconsin January 26, 2001 69 Accountants' Report 73 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Assets and Liabilities December 31, 2000 (in thousands, except per share amounts)
SMALL CAP AGGRESSIVE INTERNATIONAL INDEX 400 GROWTH GROWTH AND GROWTH STOCK GROWTH STOCK EQUITY STOCK STOCK INCOME STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at value (1)................ $ 264,932 $1,713,687 $ 841,235 $ 137,320 $ 771,357 $ 593,320 Cash..................................... 43 168 2,294 122 346 33 Due from Sale of Fund Shares............. 311 176 26,694 434 110 81 Due from Sale of Securities.............. 1,400 2,275 121 -- 934 789 Dividends and Interest Receivable........ 68 224 1,944 72 396 492 ---------- ---------- ---------- ---------- ---------- ---------- TOTAL ASSETS........................... 266,754 1,716,530 872,288 137,948 773,143 594,715 ---------- ---------- ---------- ---------- ---------- ---------- LIABILITIES Due on Purchase of Securities............ 6,341 12,360 2,586 2 -- 12,865 Due on Redemption of Fund Shares......... 9,552 5,592 59,522 8 1,148 1,574 Due to Investment Advisor................ 121 737 446 30 273 280 Accrued Expenses......................... 65 69 117 37 46 15 Due on Futures Variation Margin.......... 361 1,759 -- 255 860 -- ---------- ---------- ---------- ---------- ---------- ---------- TOTAL LIABILITIES...................... 16,440 20,517 62,671 332 2,327 14,734 ---------- ---------- ---------- ---------- ---------- ---------- NET ASSETS............................. $ 250,314 $1,696,013 $ 809,617 $ 137,616 $ 770,816 $ 579,981 ========== ========== ========== ========== ========== ========== REPRESENTED BY: Aggregate Paid in Capital (2), (3)....... $ 246,322 $ 999,599 $ 675,357 $ 131,847 $ 584,922 $ 563,835 Undistributed Net Investment Income...... 19 1,517 12,912 21 5,419 4,262 Undistributed Accumulated Net Realized Gain (Loss) on Investments............. (4,675) 306,320 67,527 2,099 22,296 5,244 Net Unrealized Appreciation (Depreciation) of: Investment Securities.................. 8,225 385,854 54,280 3,621 158,424 6,640 Index Futures Contracts................ 423 2,723 -- 28 (245) -- Foreign Currency Transactions.......... -- -- (459) -- -- -- ---------- ---------- ---------- ---------- ---------- ---------- Net Assets for Shares Outstanding (2).... $ 250,314 $1,696,013 $ 809,617 $ 137,616 $ 770,816 $ 579,981 ========== ========== ========== ========== ========== ========== Net Asset Value, Offering and Redemption Price per Share........................ $ 1.86 $ 4.47 $ 1.63 $ 1.14 $ 2.47 $ 1.37 ========== ========== ========== ========== ========== ========== (1) Investments, at cost................... $ 256,707 $1,327,833 $ 786,955 $ 133,699 $ 612,933 $ 586,680 (2) Shares outstanding..................... 134,872 379,308 495,807 120,299 312,364 423,551 (3) Shares authorized, $.01 par value...... 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000 2,000,000
The Accompanying Notes are an Integral Part of the Financial Statements Statements of Assets and Liabilities 70 74 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Assets and Liabilities December 31, 2000 (in thousands, except per share amounts)
INDEX 500 HIGH YIELD SELECT MONEY STOCK BALANCED BOND BOND MARKET PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - ------------------------------------------------------------------------------------------------------------------------- ASSETS Investments, at value (1)................. $2,076,966 $3,244,465 $ 135,439 $ 288,880 $ 353,108 Cash...................................... 237 -- 1,177 -- 185 Due from Sale of Fund Shares.............. 203 48 28 736 31,365 Due from Sale of Securities............... -- 2,246 -- 2,329 -- Dividends and Interest Receivable......... 1,772 19,193 3,296 3,431 463 ---------- ---------- ---------- ---------- ---------- TOTAL ASSETS............................ 2,079,178 3,265,952 139,940 295,376 385,121 ---------- ---------- ---------- ---------- ---------- LIABILITIES Due on Purchase of Securities............. -- 1,836 1,212 1,863 -- Due on Redemption of Fund Shares.......... 5,508 6,651 451 1,758 574 Due to Investment Advisor................. 353 829 59 74 92 Accrued Expenses.......................... 98 2 11 1 -- Due on Futures Variation Margin........... 282 3,435 -- 2 -- ---------- ---------- ---------- ---------- ---------- TOTAL LIABILITIES....................... 6,241 12,753 1,733 3,698 666 ---------- ---------- ---------- ---------- ---------- NET ASSETS.............................. $2,072,937 $3,253,199 $ 138,207 $ 291,678 $ 384,455 ========== ========== ========== ========== ========== REPRESENTED BY: Aggregate Paid in Capital (2), (3)........ $1,230,230 $2,195,554 $ 204,253 $ 290,284 $ 384,455 Undistributed Net Investment Income....... 24,105 117,944 168 18,919 -- Undistributed Accumulated Net Realized Gain (Loss) on Investments.............. 58,759 101,686 (45,631) (12,207) -- Net Unrealized Appreciation (Depreciation) of: Investment Securities................... 760,632 838,491 (20,583) (5,262) -- Index Futures Contracts................. (789) (476) -- (56) -- Foreign Currency Transactions........... -- -- -- -- -- ---------- ---------- ---------- ---------- ---------- Net Assets for Shares Outstanding (2)..... $2,072,937 $3,253,199 $ 138,207 $ 291,678 $ 384,455 ========== ========== ========== ========== ========== Net Asset Value, Offering and Redemption Price per Share......................... $ 3.41 $ 2.03 $ 0.69 $ 1.16 $ 1.00 ========== ========== ========== ========== ========== (1) Investments, at cost.................... $1,316,334 $2,405,974 $ 156,022 $ 294,142 $ 353,108 (2) Shares outstanding...................... 608,432 1,599,541 200,045 252,155 384,471 (3) Shares authorized, $.01 par value....... 2,000,000 3,000,000 2,000,000 1,000,000 1,000,000
The Accompanying Notes are an Integral Part of the Financial Statements 71 Statements of Assets and Liabilities 75 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Operations For the Year Ended December 31, 2000 (in thousands, except per share data)
SMALL CAP AGGRESSIVE INDEX GROWTH AND GROWTH GROWTH INTERNATIONAL 400 GROWTH INCOME STOCK STOCK EQUITY STOCK STOCK STOCK PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Income Interest................................ $ 1,356 $ 9,196 $ 3,886 $ 1,248 $ 6,855 $ 688 Dividends (1)........................... 222 1,413 16,043 988 4,774 7,121 ------- --------- -------- ------- -------- -------- TOTAL INCOME....................... 1,578 10,609 19,929 2,236 11,629 7,809 ------- --------- -------- ------- -------- -------- Expenses Management Fees......................... 1,144 9,021 5,275 276 3,156 3,530 Custodian Expenses...................... 27 29 255 45 21 19 Other Expenses.......................... 50 55 273 16 37 1 Audit Fees.............................. 15 16 20 15 17 16 ------- --------- -------- ------- -------- -------- TOTAL EXPENSES..................... 1,236 9,121 5,823 352 3,231 3,566 ------- --------- -------- ------- -------- -------- Less Waived Fees: Paid by Affiliate.................. -- (16) -- -- -- (17) Paid Indirectly.................... (7) (13) -- (4) (21) (2) ------- --------- -------- ------- -------- -------- TOTAL NET EXPENSES................. 1,229 9,092 5,823 348 3,210 3,547 ------- --------- -------- ------- -------- -------- Net Investment Income..................... 349 1,517 14,106 1,888 8,419 4,262 ------- --------- -------- ------- -------- -------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES Net Realized Gain (Loss) on: Investment Securities................... (2,084) 313,538 67,555 10,900 33,021 9,404 Index Futures Contracts................. (2,006) (2,891) -- 3,447 (7,851) -- Foreign Currency Transactions........... -- -- (1,171) -- -- -- ------- --------- -------- ------- -------- -------- NET REALIZED GAIN (LOSS) ON INVESTMENTS...................... (4,090) 310,647 66,384 14,347 25,170 9,404 ------- --------- -------- ------- -------- -------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities................... (5,284) (224,468) (77,769) (229) (52,476) (57,201) Index Futures Contracts................. 32 314 -- (104) (3,120) -- Foreign Currency Transactions........... -- -- (388) -- -- -- ------- --------- -------- ------- -------- -------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENTS...................... (5,252) (224,154) (78,157) (333) (55,596) (57,201) ------- --------- -------- ------- -------- -------- Net Gain (Loss) on Investments............ (9,342) 86,493 (11,773) 14,014 (30,426) (47,797) ------- --------- -------- ------- -------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................. $(8,993) $ 88,010 $ 2,333 $15,902 $(22,007) $(43,535) ======= ========= ======== ======= ======== ======== (1) Less Foreign dividend tax............. $ -- $ -- $ 1,278 $ -- $ 50 $ 29
The Accompanying Notes are an Integral Part of the Financial Statements Statements of Operations 72 76 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Operations For the Year Ended December 31, 2000 (in thousands, except per share data)
INDEX HIGH 500 YIELD SELECT MONEY STOCK BALANCED BOND BOND MARKET PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Income Interest....................................... $ 2,534 $108,804 $ 15,577 $20,019 $23,728 Dividends (1).................................. 26,116 19,885 1,487 -- -- --------- --------- -------- ------- ------- TOTAL INCOME.............................. 28,650 128,689 17,064 20,019 23,728 --------- --------- -------- ------- ------- Expenses Management Fees................................ 4,451 10,246 748 839 1,116 Custodian Expenses............................. 62 -- 24 -- -- Other Expenses................................. 22 -- 1 -- -- Audit Fees..................................... 16 -- 19 -- -- --------- --------- -------- ------- ------- TOTAL EXPENSES............................ 4,551 10,246 792 839 1,116 --------- --------- -------- ------- ------- Less Waived Fees: Paid by Affiliate......................... -- -- (22) -- -- Paid Indirectly........................... (6) -- (2) -- -- --------- --------- -------- ------- ------- TOTAL NET EXPENSES........................ 4,545 10,246 768 839 1,116 --------- --------- -------- ------- ------- Net Investment Income............................ 24,105 118,443 16,296 19,180 22,612 --------- --------- -------- ------- ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES Net Realized Gain (Loss) on: Investment Securities.......................... 63,535 140,484 (15,781) (1,630) -- Index Futures Contracts........................ (3,430) (32,284) -- (3,394) -- Foreign Currency Transactions.................. -- -- -- -- -- --------- --------- -------- ------- ------- NET REALIZED GAIN (LOSS) ON INVESTMENTS... 60,105 108,200 (15,781) (5,024) -- --------- --------- -------- ------- ------- Net Change in Unrealized Appreciation (Depreciation) of: Investment Securities.......................... (281,344) (225,605) (7,398) 13,102 -- Index Futures Contracts........................ (1,903) (4,887) -- (31) -- Foreign Currency Transactions.................. -- -- -- -- -- --------- --------- -------- ------- ------- NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) OF INVESTMENTS........... (283,247) (230,492) (7,398) 13,071 -- --------- --------- -------- ------- ------- Net Gain (Loss) on Investments................... (223,142) (122,292) (23,179) 8,047 -- --------- --------- -------- ------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $(199,037) $ (3,849) $ (6,883) $27,227 $22,612 ========= ========= ======== ======= ======= (1) Less Foreign dividend tax.................... $ 115 $ 87 $ -- $ -- $ --
The Accompanying Notes are an Integral Part of the Financial Statements 73 Statements of Operations 77 NORTHWESTERN MUTUAL SERIES FUND, INC. Statements of Changes in Net Assets SMALL CAP GROWTH STOCK PORTFOLIO
FOR THE PERIOD FOR THE APRIL 30, 1999* YEAR ENDED THROUGH DECEMBER 31, DECEMBER 31, 2000 1999 - ------------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income (Loss)............................ $ 349 $ (11) Net Realized Gain (Loss) on Investments................. (4,090) 6,449 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (5,252) 13,901 -------- ------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... (8,993) 20,339 -------- ------- Distributions to Shareholders from: Net Investment Income................................... (330) -- Net Realized Gain on Investments........................ (4,666) (2,362) -------- ------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (4,996) (2,362) -------- ------- Fund Share Transactions Proceeds from Sale of 110,714 and 41,794 Shares......... 222,618 55,379 Proceeds from Shares Issued on Reinvestment of Distributions Paid (2,632 and 1,007 shares, respectively).......................................... 4,996 2,362 Payments for 18,323 and 2,952 Shares Redeemed........... (34,794) (4,235) -------- ------- Net Increase in Net Assets Resulting from Fund Share Transactions (95,023 and 39,849 shares, respectively)........................................ 192,820 53,506 -------- ------- Total Increase in Net Assets.............................. 178,831 71,483 NET ASSETS Beginning of Period..................................... 71,483 -- -------- ------- End of Period (includes undistributed net investment income of $19 and $0, respectively).................... $250,314 $71,483 ======== =======
* Portfolio commenced operations April 30, 1999. AGGRESSIVE GROWTH STOCK PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income (Loss)............................ $ 1,517 $ (180) Net Realized Gain on Investments........................ 310,647 201,622 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (224,154) 247,911 ---------- ---------- Net Increase in Net Assets Resulting from Operations........................................... 88,010 449,353 ---------- ---------- Distributions to Shareholders from: Net Investment Income................................... -- (389) Net Realized Gain on Investments........................ (203,984) (38,180) ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (203,984) (38,569) ---------- ---------- Fund Share Transactions Proceeds from Sale of 178,227 and 14,536 Shares......... 890,503 53,705 Proceeds from Shares Issued on Reinvestment of Distributions Paid (45,880 and 11,023 shares, respectively).......................................... 203,984 38,569 Payments for 153,808 and 44,946 Shares Redeemed......... (767,811) (155,213) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (70,299 and (19,387) shares, respectively)........................................ 326,676 (62,939) ---------- ---------- Total Increase in Net Assets.............................. 210,702 347,845 NET ASSETS Beginning of Period..................................... 1,485,311 1,137,466 ---------- ---------- End of Period (includes undistributed net investment income of $1,517 and $0, respectively)................. $1,696,013 $1,485,311 ========== ==========
The Accompanying Notes are an Integral Part of the Financial Statements Statement of Changes in Net Assets 74 78 NORTHWESTERN MUTUAL SERIES FUND, INC. INTERNATIONAL EQUITY PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 14,106 $ 18,083 Net Realized Gain on Investments........................ 66,384 42,589 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (78,157) 84,953 ----------- --------- Net Increase in Net Assets Resulting from Operations........................................... 2,333 145,625 ----------- --------- Distributions to Shareholders from: Net Investment Income................................... (16,173) (18,221) Net Realized Gain on Investments........................ (41,802) (78,977) ----------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (57,975) (97,198) ----------- --------- Fund Share Transactions Proceeds from Sale of 842,807 and 210,725 Shares........ 1,389,357 347,201 Proceeds from Shares Issued on Reinvestment of Distributions Paid (37,092 and 58,943 shares, respectively).......................................... 57,975 97,198 Payments for 817,728 and 236,223 Shares Redeemed........ (1,354,243) (391,762) ----------- --------- Net Increase in Net Assets Resulting from Fund Share Transactions (62,171 and 33,445 shares, respectively)........................................ 93,089 52,637 ----------- --------- Total Increase in Net Assets.............................. 37,447 101,064 NET ASSETS Beginning of Period..................................... 772,170 671,106 ----------- --------- End of Period (includes undistributed net investment income of $12,912 and $12,686 respectively)............ $ 809,617 $ 772,170 =========== =========
INDEX 400 STOCK PORTFOLIO
FOR THE PERIOD FOR THE APRIL 30, 1999* YEAR ENDED THROUGH DECEMBER 31, DECEMBER 31, 2000 1999 - ------------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 1,888 $ 451 Net Realized Gain on Investments........................ 14,347 1,579 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (333) 3,982 -------- ------- Net Increase in Net Assets Resulting from Operations........................................... 15,902 6,012 -------- ------- Distributions to Shareholders from: Net Investment Income................................... (1,867) (473) Net Realized Gain on Investments........................ (13,495) (319) -------- ------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (15,362) (792) -------- ------- Fund Share Transactions Proceeds from Sale of 80,621 and 55,140 Shares.......... 99,261 55,323 Proceeds from Shares Issued on Reinvestment of Distributions Paid (14,227 and 35 shares, respectively).......................................... 15,362 792 Payments for 28,116 and 1,608 Shares Redeemed........... (37,191) (1,691) -------- ------- Net Increase in Net Assets Resulting from Fund Share Transactions (66,732 and 53,567 shares, respectively)........................................ 77,432 54,424 -------- ------- Total Increase in Net Assets.............................. 77,972 59,644 NET ASSETS Beginning of Period..................................... 59,644 -- -------- ------- End of Period (includes undistributed net investment income of $21 and $0, respectively).................... $137,616 $59,644 ======== =======
* Portfolio commenced operations on April 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements 75 Statement of Changes in Net Assets 79 NORTHWESTERN MUTUAL SERIES FUND, INC. GROWTH STOCK PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 8,419 $ 6,595 Net Realized Gain on Investments........................ 25,170 29,373 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (55,596) 79,082 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... (22,007) 115,050 -------- -------- Distributions to Shareholders from: Net Investment Income................................... (4,365) (6,147) Net Realized Gain on Investments........................ (30,683) (13,531) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (35,048) (19,678) -------- -------- Fund Share Transactions Proceeds from Sale of 53,298 and 65,947 Shares.......... 140,509 156,519 Proceeds from Shares Issued on Reinvestment of Distributions Paid (13,623 and 8,157 shares, respectively).......................................... 35,048 19,678 Payments for 9,117 and 7,013 Shares Redeemed............ (23,820) (16,717) -------- -------- Net Increase in Net Assets Resulting from Fund Share Transactions (57,804 and 67,091 shares, respectively)........................................ 151,737 159,480 -------- -------- Total Increase in Net Assets.............................. 94,682 254,852 NET ASSETS Beginning of Period..................................... 676,134 421,282 -------- -------- End of Period (includes undistributed net investment income of $5,419 and $1,365, respectively)............. $770,816 $676,134 ======== ========
GROWTH AND INCOME STOCK PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 4,262 $ 4,979 Net Realized Gain on Investments........................ 9,404 28,648 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (57,201) 10,475 -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... (43,535) 44,102 -------- -------- Distributions to Shareholders from: Net Investment Income................................... (4,979) (164) Net Realized Gain on Investments........................ (30,759) (69,388) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (35,738) (69,552) -------- -------- Fund Share Transactions Proceeds from Sale of 23,840 and 53,719 Shares.......... 35,146 85,448 Proceeds from Shares Issued on Reinvestment of Distributions Paid (24,732 and 43,992 shares, respectively).......................................... 35,738 69,552 Payments for 48,882 and 25,373 Shares Redeemed.......... (73,182) (38,968) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((310) and 72,338 shares, respectively)........................................ (2,298) 116,032 -------- -------- Total Increase (Decrease) in Net Assets................... (81,571) 90,582 NET ASSETS Beginning of Period..................................... 661,552 570,970 -------- -------- End of Period (includes undistributed net investment income of $4,262 and $4,979, respectively)............. $579,981 $661,552 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements Statement of Changes in Net Assets 76 80 NORTHWESTERN MUTUAL SERIES FUND, INC. INDEX 500 STOCK PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 24,105 $ 22,921 Net Realized Gain on Investments........................ 60,105 64,417 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (283,247) 293,988 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... (199,037) 381,326 ---------- ---------- Distributions to Shareholders from: Net Investment Income................................... (22,921) (19,629) Net Realized Gain on Investments........................ (65,358) (25,890) ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (88,279) (45,519) ---------- ---------- Fund Share Transactions Proceeds from Sale of 39,698 and 79,345 Shares.......... 147,411 277,173 Proceeds from Shares Issued on Reinvestment of Distributions Paid (24,022 and 12,786 shares, respectively).......................................... 88,279 45,519 Payments for 39,762 and 21,770 Shares Redeemed.......... (147,393) (77,223) ---------- ---------- Net Increase in Net Assets Resulting from Fund Share Transactions (23,958 and 70,361 shares, respectively)........................................ 88,297 245,469 ---------- ---------- Total Increase (Decrease) in Net Assets................... (199,019) 581,276 NET ASSETS Beginning of Period..................................... 2,271,956 1,690,680 ---------- ---------- End of Period (includes undistributed net investment income of $24,105 and $22,921, respectively)........... $2,072,937 $2,271,956 ========== ==========
BALANCED PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 118,443 $ 114,902 Net Realized Gain on Investments........................ 108,200 181,565 Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (230,492) 67,796 ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... (3,849) 364,263 ---------- ---------- Distributions to Shareholders from: Net Investment Income................................... (114,893) (104,192) Net Realized Gain on Investments........................ (167,534) (250,227) ---------- ---------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (282,427) (354,419) ---------- ---------- Fund Share Transactions Proceeds from Sale of 17,894 and 47,979 Shares.......... 37,754 105,834 Proceeds from Shares Issued on Reinvestment of Distributions Paid (139,058 and 167,416 shares, respectively).......................................... 282,427 354,419 Payments for 158,895 and 89,877 Shares Redeemed......... (338,606) (194,268) ---------- ---------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((1,943) and 125,518 shares, respectively)........................................ (18,425) 265,985 ---------- ---------- Total Increase (Decrease) in Net Assets................... (304,701) 275,829 NET ASSETS Beginning of Period..................................... 3,557,900 3,282,071 ---------- ---------- End of Period (includes undistributed net investment income of $117,944 and $114,394, respectively)......... $3,253,199 $3,557,900 ========== ==========
The Accompanying Notes are an Integral Part of the Financial Statements 77 Statement of Changes in Net Assets 81 NORTHWESTERN MUTUAL SERIES FUND, INC. HIGH YIELD BOND PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 16,296 $ 19,127 Net Realized Loss on Investments........................ (15,781) (26,106) Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. (7,398) 6,190 -------- -------- Net Decrease in Net Assets Resulting from Operations........................................... (6,883) (789) -------- -------- Distributions to Shareholders from: Net Investment Income................................... (16,401) (19,051) Net Realized Gain on Investments........................ -- -- -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (16,401) (19,051) -------- -------- Fund Share Transactions Proceeds from Sale of 12,332 and 14,760 Shares.......... 9,921 11,697 Proceeds from Shares Issued on Reinvestment of Distributions Paid (23,819 and 21,045 shares, respectively).......................................... 16,401 19,052 Payments for 32,449 and 36,981 Shares Redeemed.......... (26,255) (34,267) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions (3,702 and (1,176) shares, respectively)........................................ 67 (3,518) -------- -------- Total Decrease in Net Assets.............................. (23,217) (23,358) NET ASSETS Beginning of Period..................................... 161,424 184,782 -------- -------- End of Period (includes undistributed net investment income of $168 and $273, respectively)................. $138,207 $161,424 ======== ========
SELECT BOND PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 19,180 $ 19,306 Net Realized Loss on Investments........................ (5,024) (2,358) Net Change in Unrealized Appreciation (Depreciation) of Investments for the Period............................. 13,071 (19,883) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Operations........................................... 27,227 (2,935) -------- -------- Distributions to Shareholders from: Net Investment Income................................... (19,349) (17,828) Net Realized Gain on Investments........................ -- (7,228) -------- -------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (19,349) (25,056) -------- -------- Fund Share Transactions Proceeds from Sale of 19,112 and 23,659 Shares.......... 21,374 27,875 Proceeds from Shares Issued on Reinvestment of Distributions Paid (18,463 and 22,018 shares, respectively).......................................... 19,349 25,056 Payments for 38,678 and 31,015 Shares Redeemed.......... (43,416) (36,481) -------- -------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((1,103) and 14,662 shares, respectively)........................................ (2,693) 16,450 -------- -------- Total Increase (Decrease) in Net Assets................... 5,185 (11,541) NET ASSETS Beginning of Period..................................... 286,493 298,034 -------- -------- End of Period (includes undistributed net investment income of $18,919 and $19,088, respectively)........... $291,678 $286,493 ======== ========
The Accompanying Notes are an Integral Part of the Financial Statements Statement of Changes in Net Assets 78 82 NORTHWESTERN MUTUAL SERIES FUND, INC. MONEY MARKET PORTFOLIO
FOR THE FOR THE YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, 2000 1999 - ---------------------------------------------------------------------------------------- (IN THOUSANDS) INCREASE IN NET ASSETS Operations Net Investment Income................................... $ 22,612 $ 16,692 ----------- --------- Net Increase in Net Assets Resulting from Operations........................................... 22,612 16,692 ----------- --------- Distributions to Shareholders from: Net Investment Income................................... (22,612) (16,692) ----------- --------- Net Decrease in Net Assets Resulting from Distributions to Shareholders........................ (22,612) (16,692) ----------- --------- Fund Share Transactions Proceeds from Sale of 2,096,168 and 543,084 Shares...... 2,096,166 543,082 Proceeds from Shares Issued on Reinvestment of Distributions Paid (22,612 and 16,692 shares, respectively).......................................... 22,612 16,692 Payments for 2,138,607 and 446,954 Shares Redeemed...... (2,138,607) (446,954) ----------- --------- Net Increase (Decrease) in Net Assets Resulting from Fund Share Transactions ((19,827) and 112,822 shares, respectively)........................................ (19,829) 112,820 ----------- --------- Total Increase (Decrease) in Net Assets................... (19,829) 112,820 NET ASSETS Beginning of Period..................................... 404,284 291,464 ----------- --------- End of Period (includes no undistributed net investment income)................................................ $ 384,455 $ 404,284 =========== =========
The Accompanying Notes are an Integral Part of the Financial Statements 79 Statement of Changes in Net Assets 83 NORTHWESTERN MUTUAL SERIES FUND, INC. Financial Highlights SMALL CAP GROWTH STOCK PORTFOLIO
FOR THE PERIOD FOR THE APRIL 30, 1999* YEAR ENDED THROUGH DECEMBER 31, DECEMBER 31, (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 - -------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.79 $ 1.00 Income from Investment Operations: Net Investment Income................................... -- -- Net Realized and Unrealized Gains on Investments........ 0.13 0.85 -------- ------- Total from Investment Operations...................... 0.13 0.85 -------- ------- Less Distributions: Distributions from Net Investment Income................ -- -- Distributions from Realized Gains on Investments........ (0.06) (0.06) -------- ------- Total Distributions................................... (0.06) (0.06) -------- ------- Net Asset Value, End of Period.............................. $ 1.86 $ 1.79 ======== ======= Total Return+............................................... 6.71% 86.09% ======== ======= RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $250,314 $71,483 ======== ======= Ratio of Gross Expenses to Average Net Assets............... 0.67% 1.03%** ======== ======= Ratio of Net Expenses to Average Net Assets................. 0.67% 1.00%** ======== ======= Ratio of Net Investment Income (Loss) to Average Net Assets.................................................... 0.19% (0.07%)** ======== ======= Portfolio Turnover Rate..................................... 86.13% 70.72% ======== =======
AGGRESSIVE GROWTH STOCK PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, ------------------------------------------------------------ (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - -------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 4.81 $ 3.46 $ 3.34 $ 3.15 $ 2.77 Income from Investment Operations: Net Investment Income................................... -- -- -- -- -- Net Realized and Unrealized Gains on Investments........ 0.29 1.48 0.24 0.39 0.49 ---------- ---------- ---------- ---------- -------- Total from Investment Operations...................... 0.29 1.48 0.24 0.39 0.49 ---------- ---------- ---------- ---------- -------- Less Distributions: Distributions from Net Investment Income................ -- -- -- -- -- Distributions from Realized Gains on Investments........ (0.63) (0.13) (0.12) (0.20) (0.11) ---------- ---------- ---------- ---------- -------- Total Distributions................................... (0.63) (0.13) (0.12) (0.20) (0.11) ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period.............................. $ 4.47 $ 4.81 $ 3.46 $ 3.34 $ 3.15 ========== ========== ========== ========== ======== Total Return+............................................... 6.18% 43.78% 7.56% 13.86% 17.70% ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $1,696,013 $1,485,311 $1,137,466 $1,067,068 $871,926 ========== ========== ========== ========== ======== Ratio of Expenses to Average Net Assets..................... 0.52% 0.51% 0.52% 0.53% 0.54% ========== ========== ========== ========== ======== Ratio of Net Investment Income (Loss) to Average Net Assets.................................................... 0.09% (0.02%) 0.04% 0.06% (0.03%) ========== ========== ========== ========== ======== Portfolio Turnover Rate..................................... 63.18% 68.64% 50.43% 57.27% 47.25% ========== ========== ========== ========== ========
* Portfolio commenced operations April 30, 1999. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. The Accompanying Notes are an Integral Part of the Financial Statements Financial Highlights 80 84 NORTHWESTERN MUTUAL SERIES FUND, INC. INTERNATIONAL EQUITY PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, -------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - ---------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.78 $ 1.68 $ 1.69 $ 1.56 $ 1.35 Income from Investment Operations: Net Investment Income................................... 0.02 0.03 0.05 0.04 0.04 Net Realized and Unrealized Gains (Losses) on Investments........................................... (0.04) 0.33 0.04 0.15 0.24 -------- -------- -------- -------- -------- Total from Investment Operations...................... (0.02) .0.36 0.09 0.19 0.28 -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income................ (0.04) (0.05) (0.04) (0.04) (0.03) Distributions from Realized Gains on Investments........ (0.09) (0.21) (0.06) (0.02) (0.04) -------- -------- -------- -------- -------- Total Distributions................................... (0.13) (0.26) (0.10) (0.06) (0.07) -------- -------- -------- -------- -------- Net Asset Value, End of Period.............................. $ 1.63 $ 1.78 $ 1.68 $ 1.69 $ 1.56 ======== ======== ======== ======== ======== Total Return+............................................... (0.79%) 22.88% 4.82% 12.28% 21.01% ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $809,617 $772,170 $671,106 $659,850 $505,189 ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets..................... 0.73% 0.74% 0.76% 0.77% 0.81% ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets........ 1.77% 2.62% 3.38% 2.75% 3.02% ======== ======== ======== ======== ======== Portfolio Turnover Rate..................................... 26.95% 38.37% 30.41% 16.74% 17.07% ======== ======== ======== ======== ========
INDEX 400 STOCK PORTFOLIO
FOR THE PERIOD FOR THE APRIL 30, 1999* YEAR ENDED THROUGH DECEMBER 31, DECEMBER 31, (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 - -------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.11 $ 1.00 Income from Investment Operations: Net Investment Income................................... 0.02 0.01 Net Realized and Unrealized Gains on Investments........ 0.16 0.12 -------- ------- Total from Investment Operations...................... 0.18 0.13 -------- ------- Less Distributions: Distributions from Net Investment Income................ (0.02) (0.01) Distributions from Realized Gains on Investments........ (0.13) (0.01) -------- ------- Total Distributions................................... (0.15) (0.02) -------- ------- Net Asset Value, End of Period.............................. $ 1.14 $ 1.11 ======== ======= Total Return+............................................... 17.21% 12.83% ======== ======= RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $137,616 $59,644 ======== ======= Ratio of Gross Expenses to Average Net Assets............... 0.32% 0.46%** ======== ======= Ratio of Net Expenses to Average Net Assets................. 0.32% 0.35%** ======== ======= Ratio of Net Investment Income to Average Net Assets........ 1.71% 1.69%** ======== ======= Portfolio Turnover Rate..................................... 54.60% 26.51% ======== =======
* Portfolio commenced operations April 30, 1999. ** Computed on an annualized basis. + Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. The Accompanying Notes are an Integral Part of the Financial Statements 81 Financial Highlights 85 NORTHWESTERN MUTUAL SERIES FUND, INC. GROWTH STOCK PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, ---------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 2.66 $ 2.25 $ 1.81 $ 1.46 $ 1.26 Income from Investment Operations: Net Investment Income................................... 0.03 0.03 0.02 0.02 0.02 Net Realized and Unrealized Gains (Losses) on Investments........................................... (0.09) 0.47 0.46 0.42 0.25 -------- -------- -------- -------- -------- Total from Investment Operations...................... (0.06) 0.50 0.48 0.44 0.27 -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income................ (0.02) (0.03) (0.02) (0.02) (0.02) Distributions from Realized Gains on Investments........ (0.11) (0.06) (0.02) (0.07) (0.05) -------- -------- -------- -------- -------- Total Distributions................................... (0.13) (0.09) (0.04) (0.09) (0.07) -------- -------- -------- -------- -------- Net Asset Value, End of Period.............................. $ 2.47 $ 2.66 $ 2.25 $ 1.81 $ 1.46 ======== ======== ======== ======== ======== Total Return+............................................... (2.49%) 22.50% 26.69% 29.85% 20.91% ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $770,816 $676,134 $421,282 $243,071 $170,482 ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets..................... 0.43% 0.43% 0.46% 0.49% 0.57% ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets........ 1.12% 1.22% 1.10% 1.24% 1.41% ======== ======== ======== ======== ======== Portfolio Turnover Rate..................................... 28.01% 27.26% 21.64% 33.20% 37.61% ======== ======== ======== ======== ========
GROWTH AND INCOME STOCK PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, ---------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.56 $ 1.62 $ 1.33 $ 1.32 $ 1.21 Income from Investment Operations: Net Investment Income................................... 0.01 0.01 0.01 0.01 0.02 Net Realized and Unrealized Gains (Losses) on Investments........................................... (0.11) 0.12 0.29 0.37 0.23 -------- -------- -------- -------- -------- Total from Investment Operations...................... (0.10) 0.13 0.30 0.38 0.25 -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income................ (0.01) -- (0.01) (0.01) (0.02) Distributions from Realized Gains on Investments........ (0.08) (0.19) -- (0.36) (0.12) -------- -------- -------- -------- -------- Total Distributions................................... (0.09) (0.19) (0.01) (0.37) (0.14) -------- -------- -------- -------- -------- Net Asset Value, End of Period.............................. $ 1.37 $ 1.56 $ 1.62 $ 1.33 $ 1.32 ======== ======== ======== ======== ======== Total Return+............................................... (6.97%) 7.47% 23.14% 30.03% 19.97% ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $579,981 $661,552 $570,970 $371,935 $234,184 ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets..................... 0.57% 0.57% 0.58% 0.60% 0.62% ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets........ 0.68% 0.80% 1.00% 1.04% 1.44% ======== ======== ======== ======== ======== Portfolio Turnover Rate..................................... 47.67% 106.93% 160.40% 144.52% 93.92% ======== ======== ======== ======== ========
+ Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. The Accompanying Notes are an Integral Part of the Financial Statements Financial Highlights 82 86 NORTHWESTERN MUTUAL SERIES FUND, INC. INDEX 500 STOCK PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, ---------------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - ------------------------------------------------------------------------------------------------------------------------------ SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 3.89 $ 3.29 $ 2.64 $ 2.06 $ 1.72 Income from Investment Operations: Net Investment Income................................... 0.04 0.04 0.04 0.04 0.04 Net Realized and Unrealized Gains (Losses) on Investments........................................... (0.37) 0.64 0.71 0.62 0.35 ---------- ---------- ---------- ---------- -------- Total from Investment Operations...................... (0.33) 0.68 0.75 0.66 0.39 ---------- ---------- ---------- ---------- -------- Less Distributions: Distributions from Net Investment Income................ (0.04) (0.03) (0.04) (0.04) (0.02) Distributions from Realized Gains on Investments........ (0.11) (0.05) (0.06) (0.04) (0.03) ---------- ---------- ---------- ---------- -------- Total Distributions................................... (0.15) (0.08) (0.10) (0.08) (0.05) ---------- ---------- ---------- ---------- -------- Net Asset Value, End of Period.............................. $ 3.41 $ 3.89 $ 3.29 $ 2.64 $ 2.06 ========== ========== ========== ========== ======== Total Return+............................................... (8.75%) 20.91% 28.72% 33.20% 22.75% ========== ========== ========== ========== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $2,072,937 $2,271,956 $1,690,680 $1,152,857 $740,066 ========== ========== ========== ========== ======== Ratio of Expenses to Average Net Assets..................... 0.20% 0.20% 0.21% 0.21% 0.21% ========== ========== ========== ========== ======== Ratio of Net Investment Income to Average Net Assets........ 1.08% 1.16% 1.40% 1.86% 2.27% ========== ========== ========== ========== ======== Portfolio Turnover Rate..................................... 6.47% 5.65% 3.03% 3.15% 3.45% ========== ========== ========== ========== ========
BALANCED PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, ------------------------------------------------------------------ (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - -------------------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 2.22 $ 2.22 $ 1.99 $ 1.72 $ 1.60 Income from Investment Operations: Net Investment Income................................... 0.08 0.07 0.07 0.07 0.06 Net Realized and Unrealized Gains (Losses) on Investments........................................... (0.09) 0.17 0.29 0.28 0.15 ---------- ---------- ---------- ---------- ---------- Total from Investment Operations...................... (0.01) 0.24 0.36 0.35 0.21 ---------- ---------- ---------- ---------- ---------- Less Distributions: Distributions from Net Investment Income................ (0.07) (0.07) (0.07) (0.06) (0.06) Distributions from Realized Gains on Investments........ (0.11) (0.17) (0.06) (0.02) (0.03) ---------- ---------- ---------- ---------- ---------- Total Distributions................................... (0.18) (0.24) (0.13) (0.08) (0.09) ---------- ---------- ---------- ---------- ---------- Net Asset Value, End of Period.............................. $ 2.03 $ 2.22 $ 2.22 $ 1.99 $ 1.72 ========== ========== ========== ========== ========== Total Return+............................................... (0.17%) 11.18% 18.88% 21.52% 13.45% ========== ========== ========== ========== ========== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $3,253,199 $3,557,900 $3,282,071 $2,788,494 $2,326,234 ========== ========== ========== ========== ========== Ratio of Expenses to Average Net Assets..................... 0.30% 0.30% 0.30% 0.30% 0.30% ========== ========== ========== ========== ========== Ratio of Net Investment Income to Average Net Assets........ 3.47% 3.36% 3.48% 3.70% 3.95% ========== ========== ========== ========== ========== Portfolio Turnover Rate..................................... 24.36% 27.16% 44.18% 29.94% 67.66% ========== ========== ========== ========== ==========
+ Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. The Accompanying Notes are an Integral Part of the Financial Statements 83 Financial Highlights 87 NORTHWESTERN MUTUAL SERIES FUND, INC. HIGH YIELD BOND PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, ------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - --------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 0.82 $ 0.94 $ 1.06 $ 1.10 $ 1.03 Income from Investment Operations: Net Investment Income................................... 0.09 0.11 0.10 0.11 0.09 Net Realized and Unrealized Gains (Losses) on Investments........................................... (0.13) (0.12) (0.12) 0.06 0.10 -------- -------- -------- -------- ------- Total from Investment Operations...................... (0.04) (0.01) (0.02) 0.17 0.19 -------- -------- -------- -------- ------- Less Distributions: Distributions from Net Investment Income................ (0.09) (0.11) (0.10) (0.14) (0.09) Distributions from Realized Gains on Investments........ -- -- -- (0.07) (0.03) -------- -------- -------- -------- ------- Total Distributions................................... (0.09) (0.11) (0.10) (0.21) (0.12) -------- -------- -------- -------- ------- Net Asset Value, End of Period.............................. $ 0.69 $ 0.82 $ 0.94 $ 1.06 $ 1.10 ======== ======== ======== ======== ======= Total Return+............................................... (4.60%) (0.44%) (1.84%) 15.85% 19.77% ======== ======== ======== ======== ======= RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $138,207 $161,424 $184,782 $153,038 $93,878 ======== ======== ======== ======== ======= Ratio of Gross Expenses to Average Net Assets............... 0.53% 0.50% 0.50% 0.55% 0.60% ======== ======== ======== ======== ======= Ratio of Net Expenses to Average Net Assets................. 0.52% 0.50% 0.50% 0.55% 0.60% ======== ======== ======== ======== ======= Ratio of Net Investment Income to Average Net Assets........ 10.90% 11.15% 10.85% 9.95% 9.54% ======== ======== ======== ======== ======= Portfolio Turnover Rate..................................... 124.91% 139.87% 153.71% 129.49% 143.91% ======== ======== ======== ======== =======
SELECT BOND PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, -------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - ---------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.13 $ 1.25 $ 1.26 $ 1.22 $ 1.23 Income from Investment Operations: Net Investment Income................................... 0.08 0.08 0.08 0.08 0.07 Net Realized and Unrealized Gains (Losses) on Investments........................................... 0.03 (0.09) -- 0.04 (0.04) -------- -------- -------- -------- -------- Total from Investment Operations...................... 0.11 (0.01) 0.08 0.12 0.03 -------- -------- -------- -------- -------- Less Distributions: Distributions from Net Investment Income................ (0.08) (0.08) (0.08) (0.08) (0.04) Distributions from Realized Gains on Investments........ -- (0.03) (0.01) -- -- -------- -------- -------- -------- -------- Total Distributions................................... (0.08) (0.11) (0.09) (0.08) (0.04) -------- -------- -------- -------- -------- Net Asset Value, End of Period.............................. $ 1.16 $ 1.13 $ 1.25 $ 1.26 $ 1.22 ======== ======== ======== ======== ======== Total Return+............................................... 10.21% (1.00%) 7.07% 9.46% 3.31% ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $291,678 $286,493 $298,034 $244,835 $214,333 ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets..................... 0.30% 0.30% 0.30% 0.30% 0.30% ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets........ 6.84% 6.56% 6.87% 7.03% 6.48% ======== ======== ======== ======== ======== Portfolio Turnover Rate..................................... 139.89% 76.65% 161.79% 184.93% 195.98% ======== ======== ======== ======== ========
+ Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. The Accompanying Notes are an Integral Part of the Financial Statements Financial Highlights 84 88 NORTHWESTERN MUTUAL SERIES FUND, INC. MONEY MARKET PORTFOLIO
FOR THE YEAR ENDED DECEMBER 31, -------------------------------------------------------- (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD) 2000 1999 1998 1997 1996 - ---------------------------------------------------------------------------------------------------------------------- SELECTED PER SHARE DATA Net Asset Value, Beginning of Period........................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 Net Investment Income....................................... 0.06 0.05 0.05 0.05 0.05 Less Distributions from Net Investment Income............... (0.06) (0.05) (0.05) (0.05) (0.05) -------- -------- -------- -------- -------- Net Asset Value, End of Period.............................. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== Total Return+............................................... 6.28% 5.10% 5.43% 5.47% 5.29% ======== ======== ======== ======== ======== RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (in thousands).................... $384,455 $404,284 $291,464 $194,470 $176,298 ======== ======== ======== ======== ======== Ratio of Expenses to Average Net Assets..................... 0.30% 0.30% 0.30% 0.30% 0.30% ======== ======== ======== ======== ======== Ratio of Net Investment Income to Average Net Assets........ 6.08% 4.99% 5.26% 5.33% 5.13% ======== ======== ======== ======== ========
+ Total Return includes deductions for management and other fund expenses; excludes deductions for sales loads and account fees. The Accompanying Notes are an Integral Part of the Financial Statements 85 Financial Highlights 89 NORTHWESTERN MUTUAL SERIES FUND, INC. Notes to Financial Statements December 31, 2000 NOTE 1 -- Northwestern Mutual Series Fund, Inc. (the "Series Fund"), is registered as a diversified open-end investment company under the Investment Company Act of 1940. The Series Fund consists of the Small Cap Growth Stock Portfolio, Aggressive Growth Stock Portfolio, International Equity Portfolio, Index 400 Stock Portfolio, Growth Stock Portfolio, Growth and Income Stock Portfolio, Index 500 Stock Portfolio, Balanced Portfolio, High Yield Bond Portfolio, Select Bond Portfolio and the Money Market Portfolio (the "Portfolios"). Shares are presently offered only to The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") and its segregated asset accounts. NOTE 2 -- The preparation of the financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Principal accounting policies are summarized below. NOTE 3 -- Stocks listed on a national or foreign stock exchange are valued at the final sale price, or final bid price in absence of a sale. Stocks not listed on a national or foreign stock exchange are valued at the closing bid price on the over-the-counter market. Bonds are valued on the basis of prices furnished by a service which determines prices for normal institutional size trading units of bonds. Money market investments, other than in the Money Market Portfolio, with maturities exceeding sixty days but generally not exceeding one year are valued by marking to market on the basis of an average of the most recent bid prices or yields. Money market investments with maturities of sixty days or less and all securities in the Money Market Portfolio are valued on an amortized cost basis or, if the current market value differs substantially from the amortized cost, by marking to market. When quotations are not readily available, securities are valued at fair market value determined by procedures approved by the Board of Directors. NOTE 4 -- Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated in U.S. dollar amounts on the respective dates of such transactions. When the International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio purchases or sells a foreign security they may enter into a foreign exchange currency contract to minimize market risk from the trade date to the settlement date of such transaction. Such foreign exchange currency contracts are marked to market daily. The Portfolios may enter into forward foreign currency contracts to hedge against exchange rate risk arising from investments in securities denominated in foreign currencies. Contracts are valued at the contractual forward rate and are marked to market daily, with the change in market value recorded as an unrealized gain or loss. When the contracts are closed, a realized gain or loss is incurred. Risks may arise from changes in market value of the underlying instruments and from the possible inability of counterparties to meet the terms of their contracts. The International Equity Portfolio, Balanced Portfolio and Select Bond Portfolio do not separately report the results of operations due to changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized or unrealized gain or loss from investments. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade date and the settlement date on security transactions, the differences between the amounts of dividends and foreign withholding taxes recorded on the portfolio's books, and the U.S. dollar equivalent of the amounts actually received or paid. NOTE 5 -- The Small Cap Growth Stock, Aggressive Growth Stock, Index 400 Stock, Growth Stock, Index 500 Stock, Balanced and Select Bond Portfolios invest in futures contracts as an alternative to investing in individual securities. The Small Cap Growth Stock, Aggressive Growth Stock, Index 400 Stock, Growth Stock, Index 500 Stock, Balanced and Select Bond Portfolios could be exposed to market risk due to changes in the value of the underlying securities or due to an illiquid secondary market. Futures contracts are marked to market daily based upon quoted settlement prices. Notes to Financial Statements 86 90 The Portfolios receive from or pay to brokers an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments, known as the "variation margin," are recorded by the Portfolios as unrealized gains or losses. When the contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. ............................................................................... NOTE 6 -- Interest income and discounts earned are recorded daily on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as information from foreign issuers is available. Where applicable, dividends are recorded net of foreign dividend tax. Discounts and premiums on securities purchased are amortized over the life of the respective securities when required for federal income tax purposes using the effective interest method. Securities transactions are accounted for on trade date. The basis for determining cost on sale of securities is identified cost. For the year ended December 31, 2000, transactions in securities other than money market investments were:
U.S. GOVT. TOTAL SECURITY U.S. GOVT. TOTAL SECURITY SECURITY SALES/ SECURITY SALES/ PORTFOLIOS PURCHASES PURCHASES MATURITIES MATURITIES - ---------- -------------- ---------- -------------- --------------- Small Cap Growth Stock.......................... $ 312,554,174 -- $ 140,312,417 -- Aggressive Growth Stock......................... 1,143,129,758 -- 1,016,629,684 -- International Equity............................ 196,254,819 -- 214,744,881 -- Index 400 Stock................................. 107,278,053 -- 50,464,222 -- Growth Stock.................................... 281,875,328 -- 180,780,022 -- Growth and Income Stock......................... 292,520,050 -- 329,924,446 -- Index 500 Stock................................. 174,574,610 -- 141,130,055 -- Balanced........................................ 729,490,384 $363,143,608 854,022,119 $237,312,277 High Yield Bond................................. 172,230,161 -- 181,203,758 -- Select Bond..................................... 383,989,037 153,688,318 377,247,760 142,658,690
............................................................................... NOTE 7 -- The Series Fund and its Portfolios are parties to annually renewable contracts pursuant to which each Portfolio pays a charge for investment management and administrative services. Each Portfolio pays a monthly fee for these investment advisory services at an annual rate based on the average daily net asset values of each Portfolio. For the Index 500 Stock Portfolio the rate is .20%, for the Index 400 Stock Portfolio the rate is .25%, and for the Balanced, Select Bond and Money Market Portfolios the rate is .30%. For the other Portfolios the rate for the investment advisory fee is graded by the asset size of the Portfolio according to the following schedule:
FIRST NEXT $50 $50 PORTFOLIOS MILLION MILLION EXCESS - ---------- ------- ------- ------ Small Cap Growth Stock....... .80% .65% .50% Aggressive Growth Stock...... .80% .65% .50% International Equity......... .85% .65% .65% Growth Stock................. .60% .50% .40% Growth and Income Stock...... .70% .60% .55% High Yield Bond.............. .60% .50% .40%
These amounts are paid to Northwestern Mutual Investment Services, LLC ("NMIS"), a wholly owned company of Northwestern Mutual, which is the manager and investment adviser of the Fund. Northwestern Mutual is also a party to the agreement. Other costs for each Portfolio are paid either by the Portfolios, Northwestern Mutual, or NMIS depending upon the applicable agreement in place. The Small Cap Growth Stock Portfolio, International Equity Portfolio, Index 400 Stock Portfolio and Index 500 Stock Portfolio pay their own custodian fees. In addition, certain Portfolios pay a portion of their custodian fees indirectly through expense offset arrangements. Custodian fees are reduced for Portfolios that maintain compensating balances in non-interest bearing accounts. The Portfolios could have invested the assets used to pay for the custodian fees, had the assets not been used in the expense offset arrangements. For the year ended December 31, 2000, the amounts paid through expense offset arrangements are $7,225 in the Small Cap Growth Stock Portfolio, $13,039 in the Aggressive Growth Stock Portfolio, $4,384 in the Index 400 Stock Portfolio, $20,792 in the Growth Stock Portfolio, $2,273 in the Growth and Income Stock Portfolio, $5,959 in the Index 500 Stock Portfolio and $1,738 in the High Yield Bond Portfolio. 87 Notes to Financial Statements 91 J. P. Morgan Investment Management, Inc. ("J. P. Morgan") and Templeton Investment Counsel, Inc. ("Templeton Counsel") have been retained under an investment sub-advisory agreement to provide investment advice and, in general, to conduct the management investment program of the Growth and Income Stock Portfolio and the International Equity Portfolio, respectively. NMIS pays J. P. Morgan .45% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by J. P. Morgan, .40% on the next $100 million, .35% on the next $200 million and .30% in excess of $400 million. NMIS pays Templeton Counsel .50% on the first $100 million of the combined net assets for all funds managed for Northwestern Mutual by Templeton Counsel and .40% in excess of $100 million. The Small Cap Growth Stock and Aggressive Growth Stock Portfolios paid commissions on Fund transactions to an affiliated broker in the amounts of $19,086 and $73,110, respectively, for the year ended December 31, 2000. NOTE 8 -- Each of the Portfolios of the Series Fund has elected to be taxed as a regulated investment company meeting certain requirements under the Internal Revenue Code. Since each expects to distribute all net investment income and net realized capital gains, the Portfolios anticipate incurring no federal income taxes. Taxable distributions from net investment income and realized capital gains in the Portfolios differ from book amounts earned during the period due to differences in the timing of capital gains recognition and due to the reclassification of certain gains or losses from capital to income. The differences between cost amounts for book purposes and tax purposes are principally due to treatment of deferred losses. It is the policy of the Series Fund to reclassify the net effect of permanent differences between book and taxable income to capital accounts on the statements of assets and liabilities. After October 31, 2000, the Small Cap Growth Stock, Growth Stock, Growth and Income Stock, Balanced and High Yield Bond Portfolios had capital losses in the amounts of $3,634,128, $3,480,810, $5,938,168, $3,296,251 and $1,921,346, respectively. The International Equity Portfolio had currency losses in the amount of $378,584. These amounts are deferred and deemed to have occurred in the next fiscal year. For Federal income tax purposes, the High Yield Bond Portfolio also has a net realized capital loss of $47,838,316 which will be carried forward to offset future net realized capital gains. The amount expires as follows: $2,661,875 in 2006, $23,977,979 in 2007 and $21,198,462 in 2008. The Select Bond Portfolio has a net realized capital loss of $9,881,159, which will expire as follows: $1,399,791 in 2007 and $8,481,368 in 2008. For Federal income tax purposes, net unrealized appreciation (depreciation) on open futures contracts is generally required to be treated as realized gains (losses). NOTE 9 -- Dividends from net investment income and net realized capital gains are declared each year for the Small Cap Growth Stock, Aggressive Growth Stock, International Equity, Index 400 Stock, Growth Stock, Growth and Income Stock, Index 500 Stock, Balanced, High Yield Bond and Select Bond Portfolios and each business day for the Money Market Portfolio. NOTE 10 -- Effective April 1, 1996, Northwestern Mutual voluntarily reimburses the International Equity Portfolio for the benefit Northwestern Mutual receives from foreign dividend taxes charged against the Portfolio. The amount reimbursed represents approximately 65% of the foreign dividend tax withheld from the Portfolio. Reimbursements are recorded when foreign dividend taxes are accrued. This voluntary reimbursement for the years ended December 31, 2000 and December 31, 1999 was $830,396 and $1,243,988, respectively. Notes to Financial Statements 88 92 (This page intentionally left blank) 89 Notes to Financial Statements 93 [PRICEWATERHOUSECOOPERS LLP - LETTERHEAD] Report of Independent Accountants To The Northwestern Mutual Life Insurance Company and Policyowners of Northwestern Mutual Variable Life Account In our opinion, the accompanying combined statement of assets and liabilities and the related combined and separate statements of operations and of changes in equity present fairly, in all material respects, the financial position of Northwestern Mutual Variable Life Account and the Small Cap Growth Stock Division, Aggressive Growth Stock Division, International Equity Division, Index 400 Stock Division, Growth Stock Division, Growth & Income Stock Division, Index 500 Stock Division, Balanced Division, High Yield Bond Division, Select Bond Division, Money Market Division, Russell Multi-Style Equity Division, Russell Aggressive Equity Division, Russell Non-U.S. Division, Russell Real Estate Securities Division and Russell Core Bond Division thereof at December 31, 2000, and the results of each of their operations and the changes in each of their equity for the year then ended and for the year or period ended December 31, 1999, in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of The Northwestern Mutual Life Insurance Company'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 of America 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 direct confirmation of the number of shares owned at December 31, 2000 with Northwestern Mutual Series Fund, Inc., and the Russell Insurance Funds, provide a reasonable basis for our opinion. [PRICEWATERHOUSECOOPERS LLP] Milwaukee, Wisconsin January 26, 2001 Accountants' Report 90 94 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Assets and Liabilities December 31, 2000 (in thousands)
ASSETS Investments at Market Value: Northwestern Mutual Series Fund, Inc. Small Cap Growth Stock 27,143 shares (cost $54,148)....................... $ 50,377 Aggressive Growth Stock 62,139 shares (cost $230,642)...................... 277,825 International Equity 96,704 shares (cost $157,621)...................... 157,917 Index 400 Stock 21,253 shares (cost $25,165)....................... 24,314 Growth Stock 69,562 shares (cost $152,111)...................... 171,678 Growth and Income Stock 81,884 shares (cost $120,746)...................... 112,099 Index 500 Stock 111,533 shares (cost $322,476)..................... 379,992 Balanced 94,861 shares (cost $166,032)...................... 192,948 High Yield Bond 29,663 shares (cost $27,345)....................... 20,497 Select Bond 21,152 shares (cost $24,542)....................... 24,473 Money Market 87,426 shares (cost $87,426)....................... 87,426 Russell Insurance Funds Multi-Style Equity 2,909 shares (cost $45,754)........................ 41,075 Aggressive Equity 1,640 shares (cost $21,227)........................ 19,237 Non-U.S. 2,304 shares (cost $29,251)........................ 25,686 Real Estate Securities 704 shares (cost $6,831)........................... 7,514 Core Bond 767 shares (cost $7,510)........................... 7,723 $1,600,781 -------- Due from Sale of Fund Shares.............................. 379 Due from Northwestern Mutual Life Insurance Company....... 57 ---------- Total Assets..................................... $1,601,217 ========== LIABILITIES Due to Northwestern Mutual Life Insurance Company......... $ 379 Due on Purchase of Fund Shares............................ 57 ---------- Total Liabilities................................ 436 ---------- EQUITY (NOTE 8) Variable Life Policies Issued Before October 11, 1995..... 477,135 Variable Complife Policies Issued On or After October 11, 1995.................................................... 1,052,690 Variable Executive Life Policies Issued On or After March 2, 1998................................................. 37,419 Variable Joint Life Policies Issued On or After December 10, 1998................................................ 33,537 ---------- Total Equity..................................... 1,600,781 ---------- Total Liabilities and Equity..................... $1,601,217 ==========
The Accompanying Notes are an Integral Part of the Financial Statements 91 Variable Life Financial Statements 95 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations (in thousands)
SMALL CAP GROWTH AGGRESSIVE GROWTH COMBINED STOCK DIVISION # STOCK DIVISION ---------------------------- ---------------------------- ---------------------------- SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividend Income.................. $ 98,818 $ 60,160 $ 828 $ 239 $ 29,746 $ 4,628 Mortality and Expense Charges.... 6,166 4,044 130 5 1,141 605 Taxes............................ 2,675 1,737 56 3 489 259 --------- -------- ------- ------ -------- ------- Net Investment Income............ 89,977 54,379 642 231 28,116 3,764 --------- -------- ------- ------ -------- ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments.................... 15,962 7,370 1,839 -- 3,321 1,888 Unrealized Appreciation (Depreciation) of Investments During the Period.............. (155,582) 115,169 (5,210) 1,440 (23,838) 54,225 --------- -------- ------- ------ -------- ------- Net Gain (Loss) on Investments... (139,620) 122,539 (3,371) 1,440 (20,517) 56,113 --------- -------- ------- ------ -------- ------- Increase (Decrease) in Equity Derived from Investment Activity....................... $ (49,643) $176,918 $(2,729) $1,671 $ 7,599 $59,877 ========= ======== ======= ====== ======== =======
# The initial investment in this Division was made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements Variable Life Financial Statements 92 96
INTERNATIONAL EQUITY INDEX 400 DIVISION STOCK DIVISION # GROWTH STOCK DIVISION - ------------------------------- --------------------------- --------------------------- SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 2000 1999 - ------------------------------------------------------------------------------------------- $ 9,885 $13,164 $ 2,587 $ 58 $ 6,953 $ 3,284 595 420 52 4 644 395 257 180 22 2 275 170 -------- ------- ------- ------- -------- ------- 9,033 12,564 2,513 52 6,034 2,719 -------- ------- ------- ------- -------- ------- 1,818 504 71 4 1,026 595 (12,052) 7,108 (1,171) 321 (13,347) 16,158 -------- ------- ------- ------- -------- ------- (10,234) 7,612 (1,100) 325 (12,321) 16,753 -------- ------- ------- ------- -------- ------- $ (1,201) $20,176 $ 1,413 $ 377 $ (6,287) $19,472 ======== ======= ======= ======= ======== =======
93 Variable Life Financial Statements 97 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations (in thousands)
GROWTH AND INCOME INDEX 500 STOCK DIVISION STOCK DIVISION BALANCED DIVISION ---------------------------- ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, (CONTINUED) 2000 1999 2000 1999 2000 1999 - --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividend Income.................. $ 6,106 $ 9,123 $ 14,015 $ 5,542 $ 15,457 $17,659 Mortality and Expense Charges.... 470 372 1,575 1,104 891 769 Taxes............................ 201 159 676 473 382 330 -------- ------- -------- ------- -------- ------- Net Investment Income............ 5,435 8,592 11,764 3,965 14,184 16,560 -------- ------- -------- ------- -------- ------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments.................... 1,538 514 1,749 1,529 5,358 2,596 Unrealized Appreciation (Depreciation) of Investments During the Period.............. (15,724) (3,359) (50,374) 42,832 (21,229) (1,744) -------- ------- -------- ------- -------- ------- Net Gain (Loss) on Investments... (14,186) (2,845) (48,625) 44,361 (15,871) 852 -------- ------- -------- ------- -------- ------- Increase (Decrease) in Equity Derived from Investment Activity....................... $ (8,751) $ 5,747 $(36,861) $48,326 $ (1,687) $17,412 ======== ======= ======== ======= ======== =======
# The initial investment in this Division was made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements Variable Life Financial Statements 94 98
HIGH YIELD BOND DIVISION SELECT BOND DIVISION MONEY MARKET DIVISION - ------------------------------- --------------------------- --------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 2000 1999 - ------------------------------------------------------------------------------------------- $ 2,383 $ 2,112 $1,285 $ 1,211 $4,666 $2,507 82 70 75 62 278 212 35 30 31 27 150 92 ------- ------- ------ ------- ------ ------ 2,266 2,012 1,179 1,122 4,238 2,203 ------- ------- ------ ------- ------ ------ (626) (288) (82) 33 -- -- (2,680) (1,879) 829 (1,386) -- -- ------- ------- ------ ------- ------ ------ (3,306) (2,167) 747 (1,353) -- -- ------- ------- ------ ------- ------ ------ $(1,040) $ (155) $1,926 $ (231) $4,238 $2,203 ======= ======= ====== ======= ====== ======
95 Variable Life Financial Statements 99 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Operations (in thousands)
RUSSELL MULTI- RUSSELL AGGRESSIVE STYLE EQUITY DIVISION # EQUITY DIVISION # ---------------------------- ---------------------------- SIX MONTHS SIX MONTHS YEAR ENDED ENDED YEAR ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, (CONTINUED) 2000 1999 2000 1999 - ---------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividend Income........................................... $ 989 $381 $1,909 $ 19 Mortality and Expense Charges............................. 105 14 45 4 Taxes..................................................... 45 5 20 3 ------- ---- ------ ---- Net Investment Income..................................... 839 362 1,844 12 ------- ---- ------ ---- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Realized Gain (Loss) on Investments....................... (121) (1) 47 (4) Unrealized Appreciation (Depreciation) of Investments During the Period....................................... (5,159) 484 (2,428) 438 ------- ---- ------ ---- Net Gain (Loss) on Investments............................ (5,280) 483 (2,381) 434 ------- ---- ------ ---- Increase (Decrease) in Equity Derived from Investment Activity................................................ $(4,441) $845 $ (537) $446 ======= ==== ====== ====
# The initial investment in this Division was made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements Variable Life Financial Statements 96 100
RUSSELL NON- RUSSELL REAL ESTATE SECURITIES RUSSELL CORE U.S. DIVISION # SECURITIES DIVISION # BOND DIVISION # - ------------------------------- ------------------------------- --------------------------- SIX MONTHS SIX MONTHS SIX MONTHS YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 2000 1999 - ----------------------------------------------------------------------------------------------- $ 1,559 $145 $204 $35 $246 $ 53 60 5 14 1 9 2 26 2 6 1 4 1 ------- ---- ---- --- ---- ---- 1,473 138 184 33 233 50 ------- ---- ---- --- ---- ---- 31 -- 1 -- (8) -- (4,148) 585 692 (9) 257 (45) ------- ---- ---- --- ---- ---- (4,117) 585 693 (9) 249 (45) ------- ---- ---- --- ---- ---- $(2,644) $723 $877 $24 $482 $ 5 ======= ==== ==== === ==== ====
97 Variable Life Financial Statements 101 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Changes in Equity (in thousands)
SMALL CAP GROWTH COMBINED STOCK DIVISION # ---------------------------- ---------------------------- SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 - ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net Investment Income..................................... $ 89,977 $ 54,379 $ 642 $ 231 Net Realized Gain (Loss).................................. 15,962 7,370 1,839 -- Net Change in Unrealized Appreciation (Depreciation)...... (155,582) 115,169 (5,210) 1,440 ---------- ---------- ------- ------ Increase (Decrease) in Equity............................... (49,643) 176,918 (2,729) 1,671 ---------- ---------- ------- ------ EQUITY TRANSACTIONS Policyowners' Net Payments................................ 613,832 403,531 8,148 319 Policy Loans, Surrenders and Death Benefits............... (85,955) (54,502) (1,391) (74) Mortality Charges and Other (net)......................... (91,405) (61,013) (1,558) (25) Transfers from Other Divisions............................ 419,640 243,273 44,208 5,878 Transfers to Other Divisions.............................. (419,640) (244,190) (3,863) (207) ---------- ---------- ------- ------ Increase in Equity Derived from Equity Transactions......... 436,472 287,099 45,544 5,891 ---------- ---------- ------- ------ Net Increase in Equity...................................... 386,829 464,017 42,815 7,562 EQUITY Beginning of Period....................................... 1,213,952 749,935 7,562 -- ---------- ---------- ------- ------ End of Period............................................. $1,600,781 $1,213,952 $50,377 $7,562 ========== ========== ======= ======
# The initial investment in this Division was made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements Variable Life Financial Statements 98 102
AGGRESSIVE GROWTH INDEX 400 STOCK DIVISION INTERNATIONAL EQUITY DIVISION STOCK DIVISION # GROWTH STOCK DIVISION - ------------------------------- ----------------------------- --------------------------- --------------------------- SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 2000 1999 2000 1999 - --------------------------------------------------------------------------------------------------------------------------- $ 28,116 $ 3,764 $ 9,033 $ 12,564 $ 2,513 $ 52 $ 6,034 $ 2,719 3,321 1,888 1,818 504 71 4 1,026 595 (23,838) 54,225 (12,052) 7,108 (1,171) 321 (13,347) 16,158 -------- -------- -------- -------- ------- ------ -------- -------- 7,599 59,877 (1,201) 20,176 1,413 377 (6,287) 19,472 -------- -------- -------- -------- ------- ------ -------- -------- 46,622 37,031 32,762 25,923 3,691 165 37,607 22,738 (17,395) (9,017) (8,140) (5,642) (586) (43) (9,123) (5,004) (10,329) (7,239) (6,157) (4,876) (724) (27) (7,575) (4,452) 65,880 23,525 28,171 19,043 17,439 4,152 44,134 33,353 (20,612) (17,347) (10,026) (10,533) (1,179) (364) (12,837) (6,373) -------- -------- -------- -------- ------- ------ -------- -------- 64,166 26,953 36,610 23,915 18,641 3,883 52,206 40,262 -------- -------- -------- -------- ------- ------ -------- -------- 71,765 86,830 35,409 44,091 20,054 4,260 45,919 59,734 206,060 119,230 122,508 78,417 4,260 -- 125,759 66,025 -------- -------- -------- -------- ------- ------ -------- -------- $277,825 $206,060 $157,917 $122,508 $24,314 $4,260 $171,678 $125,759 ======== ======== ======== ======== ======= ====== ======== ========
99 Variable Life Financial Statements 103 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Changes in Equity (in thousands)
GROWTH AND INCOME INDEX 500 STOCK DIVISION STOCK DIVISION ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, (CONTINUED) 2000 1999 2000 1999 - ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net Investment Income..................................... $ 5,435 $ 8,592 $ 11,764 $ 3,965 Net Realized Gain (Loss).................................. 1,538 514 1,749 1,529 Net Change in Unrealized Appreciation (Depreciation)...... (15,724) (3,359) (50,374) 42,832 -------- -------- -------- -------- Increase (Decrease) in Equity............................... (8,751) 5,747 (36,861) 48,326 -------- -------- -------- -------- EQUITY TRANSACTIONS Policyowners' Net Payments................................ 29,344 23,731 85,004 56,388 Policy Loans, Surrenders and Death Benefits............... (6,846) (5,239) (20,850) (14,992) Mortality Charges and Other (net)......................... (6,174) (4,489) (16,957) (10,807) Transfers from Other Divisions............................ 17,575 22,159 69,748 72,157 Transfers to Other Divisions.............................. (16,300) (9,185) (28,136) (14,168) -------- -------- -------- -------- Increase in Equity Derived from Equity Transactions......... 17,599 26,977 88,809 88,578 -------- -------- -------- -------- Net Increase in Equity...................................... 8,848 32,724 51,948 136,904 EQUITY Beginning of Period....................................... 103,251 70,527 328,045 191,141 -------- -------- -------- -------- End of Period............................................. $112,099 $103,251 $379,993 $328,045 ======== ======== ======== ========
# The initial investment in this Division was made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements Variable Life Financial Statements 100 104
BALANCED DIVISION HIGH YIELD BOND DIVISION SELECT BOND DIVISION MONEY MARKET DIVISION - ------------------------------- --------------------------- --------------------------- --------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 2000 1999 2000 1999 - ------------------------------------------------------------------------------------------------------------------------- $ 14,184 $ 16,560 $ 2,266 $ 2,012 $ 1,179 $ 1,122 $ 4,238 $ 2,203 5,358 2,596 (626) (288) (82) 33 -- -- (21,229) (1,744) (2,680) (1,879) 829 (1,386) -- -- -------- -------- ------- ------- ------- ------- --------- --------- (1,687) 17,412 (1,040) (155) 1,926 (231) 4,238 2,203 -------- -------- ------- ------- ------- ------- --------- --------- 25,988 20,488 6,244 5,513 5,193 3,020 312,705 207,164 (11,702) (9,916) (1,031) (933) (930) (985) (5,338) (2,420) (5,718) (4,412) (1,023) (928) (930) (557) (30,361) (23,000) 14,233 16,340 3,354 3,662 6,989 3,874 26,244 13,433 (16,597) (9,591) (3,972) (3,710) (3,102) (2,463) (287,463) (169,279) -------- -------- ------- ------- ------- ------- --------- --------- 6,204 12,909 3,572 3,604 7,220 2,889 15,787 25,898 -------- -------- ------- ------- ------- ------- --------- --------- 4,517 30,321 2,532 3,449 9,146 2,658 20,025 28,101 188,431 158,110 17,965 14,516 15,327 12,669 67,401 39,300 -------- -------- ------- ------- ------- ------- --------- --------- $192,948 $188,431 $20,497 $17,965 $24,473 $15,327 $ 87,426 $ 67,401 ======== ======== ======= ======= ======= ======= ========= =========
101 Variable Life Financial Statements 105 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Statement of Changes in Equity (in thousands)
RUSSELL MULTI-STYLE RUSSELL AGGRESSIVE EQUITY DIVISION # EQUITY DIVISION # ---------------------------- ---------------------------- SIX MONTHS SIX MONTHS YEAR ENDED ENDED YEAR ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, (CONTINUED) 2000 1999 2000 1999 - ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net Investment Income..................................... $ 839 $ 362 $ 1,844 $ 12 Net Realized Gain (Loss).................................. (121) (1) 47 (4) Net Change in Unrealized Appreciation (Depreciation)...... (5,159) 484 (2,428) 438 ------- ------- ------- ------ Increase (Decrease) in Equity............................... (4,441) 845 (537) 446 ------- ------- ------- ------ EQUITY TRANSACTIONS Policyowners' Net Payments................................ 9,683 669 3,674 28 Policy Loans, Surrenders and Death Benefits............... (1,153) (109) (550) (34) Mortality Charges and Other (net)......................... (1,847) (114) (762) (37) Transfers from Other Divisions............................ 30,351 13,008 14,978 5,080 Transfers to Other Divisions.............................. (5,256) (561) (2,922) (127) ------- ------- ------- ------ Increase in Equity Derived from Equity Transactions......... 31,778 12,893 14,418 4,910 ------- ------- ------- ------ Net Increase in Equity...................................... 27,337 13,738 13,881 5,356 EQUITY Beginning of Period....................................... 13,738 -- 5,356 -- ------- ------- ------- ------ End of Period............................................. $41,075 $13,738 $19,237 $5,356 ======= ======= ======= ======
# The initial investment in this Division was made on June 30, 1999. The Accompanying Notes are an Integral Part of the Financial Statements Variable Life Financial Statements 102 106
RUSSELL RUSSELL REAL ESTATE SECURITIES RUSSELL NON-U.S. DIVISION # SECURITIES DIVISION # CORE BOND DIVISION # - ------------------------------- ------------------------------- --------------------------- SIX MONTHS SIX MONTHS SIX MONTHS YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2000 1999 2000 1999 2000 1999 - ----------------------------------------------------------------------------------------------- $ 1,473 $ 138 $ 184 $ 33 $ 233 $ 50 31 -- 1 -- (8) -- (4,148) 585 692 (9) 257 (45) ------- ------ ------ ------ ------ ------ (2,644) 723 877 24 482 5 ------- ------ ------ ------ ------ ------ 5,228 254 1,150 49 789 51 (550) (48) (73) (8) (297) (38) (884) (34) (198) (8) (208) (8) 25,372 4,917 5,039 1,097 5,925 1,595 (6,442) (205) (431) (6) (502) (71) ------- ------ ------ ------ ------ ------ 22,724 4,884 5,487 1,124 5,707 1,529 ------- ------ ------ ------ ------ ------ 20,080 5,607 6,364 1,148 6,189 1,534 5,607 -- 1,148 -- 1,534 -- ------- ------ ------ ------ ------ ------ $25,687 $5,607 $7,512 $1,148 $7,723 $1,534 ======= ====== ====== ====== ====== ======
103 Variable Life Financial Statements 107 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements December 31, 2000 NOTE 1 -- Northwestern Mutual Variable Life Account (the "Account") is registered as a unit investment trust under the Investment Company Act of 1940 and is a segregated asset account of The Northwestern Mutual Life Insurance Company ("Northwestern Mutual") used to fund variable life insurance policies. NOTE 2 -- The preparation of the financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. Principal accounting policies are summarized below. NOTE 3 -- All assets of each Division of the Account are invested in shares of the corresponding Portfolio of Northwestern Mutual Series Fund, Inc and the Russell Insurance Funds (collectively known as "the Funds"). The shares are valued at the Funds' offering and redemption prices per share. The Funds are diversified open-end investment companies registered under the Investment Company Act of 1940. NOTE 4 -- Dividend income from the Funds is recorded on the record date of the dividends. Transactions in the Funds shares are accounted for on the trade date. The basis for determining cost on sale of Funds shares is identified cost. Purchases and sales of the Funds shares for the year ended December 31, 2000 by each Division are shown below:
DIVISIONS: PURCHASES SALES ---------- --------- ----- Small Cap Growth Stock Division................. $ 55,982,785 $ 9,796,834 Aggressive Growth Stock Division................. 97,721,920 5,437,370 International Equity Division................. 53,349,154 7,706,250 Index 400 Stock Division... 21,671,180 517,518 Growth Stock Division...... 59,917,909 1,677,627 Growth & Income Stock Division................. 28,487,265 5,453,806 Index 500 Stock Division... 103,355,265 2,799,818 Balanced Division.......... 32,698,140 12,306,329 High Yield Bond Division... 7,448,265 1,609,489 Select Bond Division....... 9,789,978 1,392,344 Money Market Division...... 86,529,890 66,504,075 Russell Multi-Style Equity Division................. 34,087,389 1,470,586 Russell Aggressive Equity Division................. 17,146,432 884,624 Russell Non-U.S. Division................. 25,614,811 1,420,072 Russell Real Estate Securities Division...... 5,807,436 131,460 Russell Core Bond Division................. 6,507,726 569,629
NOTE 5 -- A deduction for mortality and expense risks is determined daily and paid to Northwestern Mutual. Generally, for Variable Life policies issued before October 11, 1995, and Variable Complife policies issued on or after October 11, 1995 the deduction is at an annual rate of .50% and .60%, respectively, of the net assets of the Division. A deduction for the mortality and expense risks for the Variable Executive Life policies issued on or after March 3, 1998 is determined monthly at an annual rate of .75% of the amount invested in the Division for the Policy for the first ten Policy years, and .30% thereafter. The mortality risk is that insureds may not live as long as estimated. The expense risk is that expenses of issuing and administering the policies may exceed the estimated costs. Certain deductions are also made from the annual, single or other premiums before amounts are allocated to the Account. These deductions are for (1) sales load, (2) administrative expenses, (3) taxes and (4) a risk charge for the guaranteed minimum death benefit. Additional mortality costs are deducted from the policy annually and are paid to Northwestern Mutual to cover the cost of providing insurance protection. This cost is actuarially calculated based upon the insured's age, the 1980 Commissioners Standard Ordinary Mortality Table and the amount of insurance provided under the policy. NOTE 6 -- Northwestern Mutual is taxed as a "life insurance company" under the Internal Revenue Code. The variable life insurance policies which are funded in the Account are taxed as part of the operations of Northwestern Mutual. Policies provide that a charge for taxes may be made against the assets of the Account. Generally, for Variable Life policies issued before October 11, 1995, Northwestern Mutual charges the Account at an annual rate of .20% of the Account's net assets and reserves the right to increase, decrease or eliminate the charge for taxes in the future. Generally, for Variable Complife policies issued on or after October 11, 1995, Variable Executive Life policies issued on or after March 2, 1998 and Variable Joint Life policies issued on or after December 10, 1998, there is no charge being made against the assets of the Account for federal income taxes, but Northwestern Mutual reserves the right to charge for taxes in the future. NOTE 7 -- The Account is credited for the policyowners' net annual premiums at the respective policy anniversary dates regardless of when policyowners actually pay their premiums. Northwestern Mutual's equity represents any unpaid portion of net annual premiums. This applies to Variable Life and Variable Complife policies only. Notes to Financial Statements 104 108 NORTHWESTERN MUTUAL VARIABLE LIFE ACCOUNT Notes to Financial Statements December 31, 2000 (in thousands) NOTE 8 -- Equity Values by Division are shown below:
VARIABLE LIFE VARIABLE COMPLIFE POLICIES ISSUED POLICIES ISSUED BEFORE OCTOBER 11, 1995 ON OR AFTER OCTOBER 11, 1995 EQUITY OF: EQUITY OF: ------------------------- TOTAL ----------------------------- TOTAL POLICYOWNERS NML EQUITY POLICYOWNERS NML EQUITY ------------------------------------------------------------------------------------------ Small Cap Growth Stock Division...... $ 8,420 $ 1,019 $ 9,439 $ 23,735 $ 14,754 $ 38,489 Aggressive Growth Stock Division..... 63,627 8,624 72,251 149,593 51,531 201,124 International Equity Division........ 40,514 2,564 43,078 87,842 23,332 111,174 Index 400 Stock Division............. 3,361 309 3,670 11,649 7,654 19,303 Growth Stock Division................ 31,564 2,615 34,179 97,512 32,823 130,335 Growth and Income Stock Division..... 22,938 2,187 25,125 65,005 19,691 84,696 Index 500 Stock Division............. 110,052 8,019 118,071 186,759 62,946 249,705 Balanced Division.................... 134,376 5,699 140,075 38,140 11,484 49,624 High Yield Bond Division............. 3,342 256 3,598 12,693 3,308 16,001 Select Bond Division................. 8,058 284 8,342 9,041 2,113 11,154 Money Market Division................ 6,428 243 6,671 33,857 39,992 73,849 Russell Multi-Style Equity Division........................... 3,803 361 4,164 18,467 11,228 29,695 Russell Aggressive Equity Division... 2,327 239 2,566 7,666 4,975 12,641 Russell Non-U.S. Division............ 3,400 197 3,597 11,508 5,918 17,426 Russell Real Estate Securities Division........................... 1,858 68 1,926 3,150 1,746 4,896 Russell Core Bond Division........... 365 18 383 1,829 749 2,578 -------- ------- -------- -------- -------- ---------- $444,433 $32,702 $477,135 $758,446 $294,244 $1,052,690 ======== ======= ======== ======== ======== ==========
VARIABLE EXECUTIVE LIFE VARIABLE JOINT LIFE POLICIES ISSUED POLICIES ISSUED ON OR AFTER MARCH 2, 1998 ON OR AFTER DECEMBER 10, 1998 ------------------------- ----------------------------- TOTAL TOTAL EQUITY EQUITY ------------------------------------------------------------- Small Cap Growth Stock Division............................ $ 192 $ 2,256 Aggressive Growth Stock Division........................... 1,582 2,868 International Equity Division.............................. 1,662 2,003 Index 400 Stock Division................................... 163 1,178 Growth Stock Division...................................... 3,586 3,578 Growth and Income Stock Division........................... 731 1,546 Index 500 Stock Division................................... 5,650 6,567 Balanced Division.......................................... 1,450 1,799 High Yield Bond Division................................... 725 174 Select Bond Division....................................... 4,420 557 Money Market Division...................................... 2,289 4,617 Russell Multi-Style Equity Division........................ 3,917 3,299 Russell Aggressive Equity Division......................... 3,138 892 Russell Non-U.S. Division.................................. 3,187 1,478 Russell Real Estate Securities Division.................... 289 402 Russell Core Bond Division................................. 4,438 323 ------- ------- $37,419 $33,537 ======= =======
105 Notes to Financial Statements 109 NORTHWESTERN MUTUAL SERIES FUND, INC. DIRECTORS James D. Ericson.................................. Chairman and Chief Executive Officer, Northwestern Mutual, .................................................. Milwaukee Martin F. Stein................................... Founder, Stein Optical, .................................................. Milwaukee John K. MacIver................................... Senior Partner, Michael Best & Friedrich, LLC, .................................................. Milwaukee Stephen N. Graff.................................. Retired Partner, Arthur Andersen LLP .................................................. Milwaukee William J. Blake.................................. Chairman, Blake Investment Corp., .................................................. Milwaukee William A. McIntosh............................... Retired Division Head-U.S. Fixed Income, Salomon Brothers, .................................................. Chicago Edward J. Zore.................................... President, Northwestern Mutual .................................................. Milwaukee
OFFICERS James D. Ericson.................................. President Mark G. Doll...................................... Vice President & Treasurer Merrill C. Lundberg............................... Secretary Barbara E. Courtney............................... Controller
Directors and Officers 106 110 The Northwestern Mutual Life Insurance Company - Milwaukee, WI www.northwesternmutual.com 90-1999 (07-00) (REV 1-01) This report is submitted for the general information of owners of Northwestern Mutual Variable Life policies. This report is not authorized for distribution to prospective purchasers of variable life policies unless it is accompanied by an effective prospectus. Northwestern Mutual Variable Life policies are sold through individuals who, in addition to being licensed life insurance agents of Northwestern Mutual Life, are registered representatives of Northwestern Mutual Investment Services, LLC, a wholly-owned subsidiary of Northwestern Mutual Life and a registered broker-dealer under the Securities Exchange Act of 1934 and a member of the National Association of Securities Dealers, Inc. ---------------- [NORTHWESTERN MUTUAL LOGO] PRSRT STD US POSTAGE PO BOX 3095 PAID MILWAUKEE WI 53201-3095 MILWAUKEE WI CHANGE SERVICE REQUESTED PERMIT NO. 426 ---------------- -----END PRIVACY-ENHANCED MESSAGE-----