<PAGE>
- -----------------
ALLMERICA SELECT
A Higher Standard
[GRAPHIC]
Annual Report
DECEMBER 31, 1999
. Allmerica Select SPL
1999
[LOGO OF ALLMERICA FINANCIAL]
<PAGE>
Allmerica Select gives you access to some of the
world's leading money managers, selected and monitored
by independent industry experts.
It offers you an array of advantages typically reserved for the
nation's largest and most sophisticated investors including:
ACCESS TO A RANGE OF HIGHLY RESPECTED MONEY MANAGERS.
THE COMPREHENSIVE RESEARCH CAPABILITIES OF A NATIONALLY RECOGNIZED
PENSION CONSULTING FIRM, TO HELP IDENTIFY THE MOST QUALIFIED AND BEST SUITED
MONEY MANAGERS REPRESENTING A RANGE OF INVESTMENT APPROACHES.
THE OPPORTUNITY TO DIVERSIFY ACROSS INVESTMENT CATEGORIES AND INVESTMENT
STYLES - TO BETTER MEET YOUR INVESTMENT NEEDS.
OBJECTIVE MONITORING OF THE MONEY MANAGERS' PERFORMANCE BY
ALLMERICA SELECT'S MANAGER EVALUATION COMMITTEE, MADE UP OF
HIGHLY EXPERIENCED INDUSTRY PROFESSIONALS.
PERSONALIZED PERFORMANCE REPORTS AND TIMELY MARKET UPDATES
TO HELP KEEP YOU ON TARGET.
SIGNIFICANT TAX ADVANTAGES, INCLUDING TAX-DEFERRED GROWTH AND
TAX-FREE TRANSFERS BETWEEN INVESTMENT OPTIONS.
<PAGE>
Table of Contents
- --------------------------------------------------------------------------------
General Information..........................................................2
A Letter from the Chairman...................................................3
Fund Performance Summary.....................................................4
Product Performance Summaries................................................5
Allmerica Select SPL (AFLIAC)................................................6
Variable Life Insurance Product Information..................................7
Domestic & International Equity Market Overview..............................8
Select Emerging Markets Fund................................................10
Select Aggressive Growth Fund...............................................11
Select Capital Appreciation Fund............................................12
Select Value Opportunity Fund...............................................13
T. Rowe Price International Stock Portfolio.................................14
Select International Equity Fund............................................15
Fidelity VIP Growth Portfolio...............................................16
Select Growth Fund..........................................................17
Select Strategic Growth Fund................................................18
Select Growth and Income Fund...............................................19
Fidelity VIP Equity-Income Portfolio........................................20
Bond & Money Market Overview................................................21
Fidelity VIP High Income Portfolio..........................................24
Select Income Fund..........................................................25
Money Market Fund...........................................................26
Financials.................................................................F-1
For further information, see the accompanying annual reports.
See Client Notes on Page F-52.
1
<PAGE>
General Information
- --------------------------------------------------------------------------------
Officers of Allmerica Financial Life Insurance and Annuity Company (AFLIAC)
John F. O'Brien, Chairman of the Board
Richard M. Reilly, President and CEO
Edward J. Parry, III, Vice President, CFO and Treasurer
Abigail M. Armstrong, Secretary and Counsel
Investment Manager
Allmerica Financial Investment Management Services, Inc.
440 Lincoln Street, Worcester, MA 01653
General Distributor
Allmerica Investments, Inc.
440 Lincoln Street, Worcester, MA 01653
Independent Accountants
PricewaterhouseCoopers LLP
160 Federal Street, Boston, MA 02110
Administrator and Custodian
Investors Bank & Trust Company
200 Clarendon Street, Boston, MA 02116
Legal Counsel
Ropes & Gray
One International Place, Boston, MA 02110
Officers of Allmerica Investment Trust (AIT)
Richard M. Reilly, President
Paul T. Kane, Treasurer
George M. Boyd, Secretary
Board of Trustees of AIT
John F. O'Brien, Chairman
P. Kevin Condron1
Cynthia A. Hargadon1
Gordon Holmes1
John P. Kavanaugh
Bruce E. Langton1
Attiat F. Ott1
Richard M. Reilly
Ranne P. Warner1
1 Independent Trustees
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Money Market Fund
Bank of Ireland Asset Management (U.S.) Limited
U.S. Offices: 20 Horseneck Lane, Greenwich, CT 06830
Main Offices: 26 Fitzwilliam Place, Dublin 2, Ireland
Select International Equity Fund
Cambiar Investors, Inc.
8400 East Prentice Avenue, Suite 460, Englewood, CO 80111
Select Strategic Growth Fund
Cramer Rosenthal McGlynn, LLC
707 Westchester Avenue, White Plains, NY 10604
Select Value Opportunity Fund
J.P. Morgan Investment Management Inc.
522 Fifth Avenue, New York, NY 10036
Select Growth and Income Fund
Nicholas-Applegate Capital Management, L.P.
600 West Broadway - Suite 2900, San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.
One Post Office Square, Boston, MA 02109
Select Growth Fund
Schroder Investment Management North America Inc.
787 Seventh Avenue, New York, NY 10019
Select Emerging Markets Fund
Standish, Ayer & Wood, Inc.
One Financial Center, Boston, MA 02111
Select Income Fund
T. Rowe Price Associates, Inc.
100 East Pratt Street, Baltimore, MD 21202
Select Capital Appreciation Fund
Investment Advisers
Fidelity Management & Research Company
82 Devonshire Street, Boston, MA 02108
Fidelity VIP Equity-Income Portfolio
Fidelity VIP Growth Portfolio
Fidelity VIP High Income Portfolio
Rowe Price-Fleming International, Inc.
100 East Pratt Street, Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
2
<PAGE>
A Letter from the Chairman
[PHOTO]
Dear Client:
1999 was yet another strong year in the U.S equity market. The S&P 500 Index and
the Dow Jones Industrial Average both enjoyed their fifth consecutive year of
double-digit gains--an unprecedented event. While these returns were impressive,
the real story of the year was the NASDAQ Index with its 85.6% return. Led by
high-flying internet and other technology stocks, the NASDAQ increased as no
other U.S. stock index has before as investors preferred to buy its high-growth,
high-priced stocks, regardless of the earnings of the underlying companies.
Internationally, emerging markets rebounded sharply after a disappointing 1998.
The MSCI EAFE Index, which measures the performance of developed markets
overseas, beat the returns of the S&P 500 for the first time since 1993. Based
on the index the U.S. bond market had its worst annual performance since 1994 as
the Federal Reserve increased interest rates in order to counteract potentially
inflationary growth.
We at Allmerica take a long-term, institutional approach to investing. This
means that we hire money managers with strong organizations, solid long-term
historical investment performance and a disciplined investment process. These
managers use fundamental analysis to uncover the companies with good earnings
prospects over the long term, not just the next quarter. In high-momentum or
speculative markets, we do not expect to have one of the "hot" funds. It was
interesting to note that in 1999, the stock prices of those companies in the
Russell 2000 and Russell Midcap Indices that lost money significantly
outperformed those that produced positive earnings. While most of our investment
managers performed well or in line with their benchmarks over the year, some of
our managers with a value tilt to their investment style had a harder time due
to the market's preference for high-growth stocks. In contrast, our
growth-oriented stock funds did quite well. International stock funds were also
affected by the same high-growth theme as U.S. stock funds. Those funds with a
growth tilt faired better than those more concerned with value.
Our Manager of Managers approach to investing involves constant monitoring of
our managers, focusing on their performance over the longer term. This means
that occasionally we will replace a manager if necessary. On April 1, 1999, we
replaced the sub-advisor for the Select Growth & Income Fund by hiring J.P.
Morgan. While this was not an easy decision, the Investment Operations Committee
felt that this was appropriate in order to continue to bring you the best array
of investment managers. As always, we continue to carefully monitor the fund
managers through our rigorous evaluation process and will make changes as we see
fit.
We encourage you to work closely with your financial advisor to build a
diversified portfolio that helps you achieve your long-term goals while helping
protect you from the unpredictable nature of an ever-changing investment arena.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
3
<PAGE>
Fund Performance Summary
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 12/31/99
For easy reference, the total returns for the Funds are summarized below.
Keep in mind that these returns reflect all Fund charges but do not include any
insurance product fees or expenses. For returns that reflect the deduction of
product charges, please refer to the Product Performance Summary on page 6.
<TABLE>
<CAPTION>
10 Years
Fund or Life
Inception 1 5 of Fund
Funds Date Year Years (if less)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 65.72% N/A 15.22%
Select Aggressive Growth Fund 8/21/92 38.66% 23.32% 20.71%
Select Capital Appreciation Fund 4/28/95 25.36% N/A 21.42%
Select Value Opportunity Fund 4/30/93 -4.70% 13.52% 11.57%
Select International Equity Fund 5/2/94 31.71% 18.54% 15.47%
Select Growth Fund 8/21/92 29.80% 29.06% 20.57%
Select Strategic Growth Fund 2/20/98 16.06% N/A 6.89%
Select Growth and Income Fund 8/21/92 18.43% 21.69% 15.92%
Select Income Fund 8/21/92 -0.85% 6.92% 5.52%
Money Market Fund 4/29/85 5.19% 5.47% 5.23%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 33.32% 15.22% 13.45%
Fidelity Variable Insurance Products
Fund (VIP)
Fidelity VIP Growth Portfolio 10/9/86 37.44% 29.74% 19.94%
Fidelity VIP Equity-Income Portfolio 10/9/86 6.33% 18.61% 14.49%
Fidelity VIP High Income Portfolio 9/19/85 8.15% 10.88% 12.43%
</TABLE>
Fund performance returns given above reflect an investment in the underlying
funds listed on the date of inception of each Fund.
Fund performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
4
<PAGE>
- --------------------------------------------------------------------------------
Performance
<PAGE>
Product Performance Summary
Allmerica Select SPL (AFLIAC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 12/31/99
For easy reference, the total returns for the Allmerica Select SPL sub-accounts
of AFLIAC are summarized below. Keep in mind that these returns are net of all
product charges. For returns that do not reflect the deduction of product
charges, please refer to the individual Portfolio Reviews beginning on page 10.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
Allmerica Investment Trust
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Emerging Markets Fund 11/2/98 64.24% N/A 14.20% 57.48% 49.22% N/A 6.40% 43.98%
Select Aggressive Growth Fund 11/2/98 37.41% 22.24% 19.62% 50.83% 23.21% 19.26% 17.29% 37.50%
Select Capital Appreciation Fund 11/2/98 24.24% N/A 20.32% 35.19% 10.44% N/A 17.15% 22.26%
Select Value Opportunity Fund 11/2/98 -5.56% 12.52% 10.58% -2.64% -18.45% 9.44% 8.07% -14.69%
Select International Equity Fund 11/2/98 30.53% 17.50% 14.45% 34.64% 16.54% 14.48% 11.64% 21.73%
Select Growth Fund 11/2/98 28.64% 27.93% 19.48% 42.73% 14.71% 24.99% 17.15% 29.61%
Select Strategic Growth Fund 11/2/98 15.02% N/A 5.94% 17.80% 1.51% N/A -1.96% 5.30%
Select Growth and Income Fund 11/2/98 17.36% 20.61% 14.87% 22.42% 3.77% 17.62% 12.54% 9.81%
Select Income Fund 11/2/98 -1.74% 5.97% 4.58% -0.33% -14.74% 2.75% 2.21% -12.43%
Money Market Fund 11/2/98 4.24% 4.53% 4.30% 4.25% -8.94% 1.26% 2.49% -7.95%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 11/2/98 32.12% 14.19% 12.44% 33.34% 18.08% 11.14% 9.64% 20.46%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Growth Portfolio 11/2/98 36.20% 28.58% 18.87% 46.47% 22.04% 25.64% 16.84% 33.26%
Fidelity VIP Equity-Income Portfolio 11/2/98 5.37% 17.55% 13.56% 10.25% -7.85% 14.53% 11.59% -2.08%
Fidelity VIP High Income Portfolio 11/2/98 7.18% 9.89% 11.43% 12.07% -6.09% 6.76% 9.50% -0.30%
</TABLE>
Performance returns given above are for the Allmerica Select SPL sub-accounts of
AFLIAC and are net of all product charges (including surrender charges) for a
representative policy. The returns, except in the columns designated as "Life of
Sub-Account" assume an investment in the underlying funds listed above on the
date of inception of each Fund. Performance returns designated as "Life of
Sub-Account" assume an investment in the funds listed on the date of inception
of each Sub-Account. All full surrenders or withdrawals in excess of the free
amount may be subject to a declining surrender charge. Please refer to the
prospectus for the assumptions used to calculate performance.
Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
6
<PAGE>
Variable Life Insurance Product Information
- --------------------------------------------------------------------------------
Allmerica Select SPL
Product Description
- --------------------------------------------------------------------------------
This policy is a modified single premium life insurance policy with Death
Benefits, Policy Value, and other features traditionally associated with life
insurance. The Policy is variable because the Policy Value will increase or
decrease depending on the investment experience of the Sub-Accounts of the
Separate Account. Under some circumstances, the Death Benefit may vary with the
investment experience of the Sub-Accounts.
Payment Schedule
- --------------------------------------------------------------------------------
The Contract requires a single payment on or before the Date of Issue.
Additional payments may be made under certain circumstances.
Cash Value Access
- --------------------------------------------------------------------------------
The Contract Owner may make partial withdrawals, borrow up to the loan value of
your contract or surrender the contract for its Surrender Value. A withdrawal
reduces the Death Benefit by the same percentage that the amount withdrawn
reduces Policy Value. Loans and withdrawals may be taxable and would be subject
to a 10% tax penalty prior to age 59 1/2.
Fixed Account Information
- --------------------------------------------------------------------------------
The Contract Owner may allocate part or all of the contract value to the Fixed
Account. The Fixed Account is a part of the General Account. The Company
guarantees amounts allocated to the Fixed Account as to principal and a minimum
rate of interest. The minimum interest the Company will credit on amounts
allocated to the Fixed Account is 4.0% compounded annually. Fixed Account
Guarantees are based on the claims-paying ability of the issuer.
Death Benefit
- --------------------------------------------------------------------------------
The Company will pay a Death Benefit to the Beneficiary when the Insured dies
while the certificate is in effect. If the contract was issued as a
Second-to-Die policy, the Death Benefit will be paid on the death of the last
surviving insured.
Charges and Fees
- --------------------------------------------------------------------------------
The following is a brief description of the Charges and Fees associated with the
policies. Please see the prospectus for a detailed description of the specific
charges that apply to your policy.
Surrender Charges: These contracts provide for a contingent surrender charge
which will be deducted if the Contract Owner requests a full surrender of the
policy or a partial withdrawal within ten contract years from the Date of Issue.
This charge begins at 10% of the amount that exceeds the free 10% withdrawal
amount and decreased to 0% by the tenth contract year.
Insurance Charges: Charges are deducted monthly to compensate the Company for
the anticipated cost of providing Death Proceeds and any additional options
selected. These charges vary depending on the type of contract and underwriting
class.
Transfers: The Company does not restrict the number of transfers among the
sub-accounts. The first 12 transfers may be made free of charge; subsequent
transfers may be charged a $10 fee per transfer.
Charges Against the Assets of the Separate Account: The Company assesses each
sub-account with a charge of 0.90% on an annual basis for mortality and expense
risks assumed by the Company and a charge of 0.20% on an annual basis for
administrative expenses of the separate account.
Distribution Fee: This fee applies for the first ten contract years only, a
charge of 0.90% is assessed on an annual basis for distribution expenses.
Federal and State Payment Tax Charge: This charge is for the first contract year
only, a charge of 1.50% is assessed on an annual basis for federal, state and
local taxes.
Monthly Administration Charge: A monthly charge is assessed against the policy
to cover administration of the policy.
Underlying Fund Expenses: The funds incur investment advisory fees and other
expenses which are reflected in the variable account. The levels of fees and
expenses vary among the funds.
7
<PAGE>
Domestic & International Equity Market Overview
1995: Favorable economic conditions result in large gains for the U.S. equity
markets. Europe turns in strongest performance of international equity markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
1997: Robust economic growth, declining interest rates and low unemployment
produce a third consecutive year of unprecedented gains for the U.S. stock
market.
1998: Worldwide economic problems cause considerable volatility for stocks. Yet,
the market posts its fourth consecutive year of double-digit gains.
1999: Booming technology and internet stocks help drive the DOW and NASDAQ to
record highs. Investors flock to large-cap stocks. The Fed hikes interest rates
in an effort to help slow the economy and prevent inflation.
For equity investors, 1999 was a year of global economic recovery, NASDAQ and
Dow records, concentrated stock performance, and the largest disparity between
growth and value investing ever.
The past year capped the best decade ever for U.S. stock investors. The U.S.
equity market, as measured by the Standard & Poor's 500 Index, delivered
double-digit returns, despite moderately higher inflation, three Federal Reserve
interest rate hikes, and Y2K concerns.
The U.S. stock market ended the year posting all-time highs as the Dow Jones
Industrial Average climbed to a record 11,497.12, finishing the year up 25% and
the S&P 500 climbed to a record 1,469.25 for the year, ending 21% higher. The
NASDAQ Composite Index had the largest one-year gain ever for a U.S. stock
index, closing at 4,069.31 and ending nearly 86% higher. While the
capitalization-weighted NASDAQ Index was a stellar performer, 48% of its
constituents lost money, further illustrating how performance was driven by a
small number of well-performing stocks.
1999 proved to be a challenge for value investors everywhere and featured the
greatest disparity in performance between value and growth investing styles
ever. The Russell 2500 Growth Index, for example, outperformed the Russell 2500
Value Index by an astounding 54%. One study actually showed that stocks with no
earnings were up an average of 52% for the year while those with earnings were
down an average of 2%.
Large-capitalization growth stocks led the markets during the first three months
of the year. Preferences reversed temporarily in April towards value stocks when
fears of inflation emerged as the economy showed considerable strength.
Correspondingly, cyclicals registered strong relative earnings growth as stocks
weakened. Third-quarter markets later narrowed, with large-cap growth stocks
once again taking the lead.
During the final quarter of 1999, investors focused on a narrow group of
outperforming stocks in the telecommunications, technology, and Internet
sectors. By far, the biggest story of the year was the fourth-quarter rush
towards these
[TIMELINE]
1999 JAN
Brazil devalues its currency; fears that a Brazilian "contagion" would emerge
failed to materialize. Greater price and currency stability enable interest
rates to fall in Latin America and Asia.
FEB
[GRAPHIC]
MAR
Japan begins its slow economic recovery, thanks largely to falling interest
rates, fiscal stimulus policies, and foreign investments.
APR
Growth sectors of the market weaken, over fears that the recovery of worldwide
economies would lead to higher interest rates. Small- and mid-cap stocks
experience a revival as investors renew their interest in attractively valued
securities within the broader market.
MAY
[GRAPHIC]
In an effort to prevent inflation, the U.S. Federal Reserve raises interest
rates 0.25%. European markets rally once the Fed decides to loosen its
tightening bias in favor of a neutral interest rate position.
JUN
8
<PAGE>
so-called "New Economy" issues. In addition, hundreds of companies in these
sectors went public with little or no revenues, scant earnings, and tenuous cash
flow prospects.
Historically, the technology sector is cyclical and has a high failure rate. As
many market experts warn, today's darlings, with their unrealistic valuations,
could well be tomorrow's disasters. It will be interesting to see if the Old
Economy stocks, which drifted over the past year, can successfully adapt their
business models to compete in this e-commerce, Internet-driven market.
Throughout the year, most non-U.S. world equity markets continued to grow and
improve, registering exceptional gains during the final quarter of 1999. The
year began with the January devaluation of the Brazilian real, which was
initially expected to have negative ripple effects in Latin America and emerging
markets in general. These concerns turned out to be unfounded as IMF fundings,
interest rate reductions, and better fiscal discipline attracted investors back
to Brazil and the rest of Latin America.
In Asia, Japan steadily emerged from a nine-year bear market, spurred primarily
by foreign investments, which caused its stock market and the yen to rise
sharply. At the end of the year, the Japanese market index return was up by more
than 55% from 1998, despite underperformance against other Asian regions during
the fourth quarter.
Elsewhere in Asia, economies recorded strong growth and performance during 1999,
with exports and falling interest rates providing the major stimuli. In Hong
Kong for example, the equity market increased by nearly 60% for the year.
After weak performance in the early part of the year, European and UK equities
had modest gains during the fourth quarter. Increased consumer confidence, as
well as lower unemployment and inflation, were responsible for most of this
improvement. The euro's inaugural year, unfortunately, was disappointing. The
currency fell almost 18%.
Looking ahead, the picture appears to be bright for 2000. For the first time
since 1996, there are no major regions of the world in recession. Consumer
confidence is high and inflation is close to a 30-year low.
The U.S. is approaching the longest expansion in its history. Europe appears to
be stable, weakness in the euro notwithstanding. Asian-Pacific and Latin
American economies are expected to continue growing. The only concern is in
Japan, where a continued rising yen could pose a potential problem and threaten
the sustainability of economic recovery.
As worldwide economic improvement continues, it is expected that interest rates
will keep rising moderately. Inflation remains the key issue affecting the
domestic economy and financial markets. Although the inflation outlook in the
U.S. at this time appears relatively benign, the Fed's major concerns remain
excessive growth in the U.S. economy and the 30-year low unemployment level,
both of which it sees as potentially inflationary.
With continued economic improvement around the world, investors will likely
begin to broaden their horizons, looking beyond overpriced global growth stocks
in the technology and Internet sectors and exploring high-quality companies that
trade at more attractive valuations.
[TIMELINE]
JUL
Investors turn away from small- and mid-cap stocks. Large-cap growth issues once
again take center stage, where they will remain for the rest of the year.
[GRAPHIC]
AUG
Inflation fears resurface as the U.S. economy continues to grow and the nation's
unemployment figure approaches an almost 30-year low. The Fed responds by
raising interest rates another 0.25%.
SEPT
The gap in performance between growth and value investing continues to widen. By
year-end, the Russell 2500 Growth Index has outperformed the Russell 2500 Value
Index by an unheard-of 54%.
[GRAPHIC]
OCT
Stocks in the high-performing technology sector begin their unprecedented
fourth-quarter dominance of the world's equity markets.
NOV
With the booming U.S. economy showing no signs of a slowdown, the Fed announces
its third and final interest rate hike of 0.25%.
DEC
The Dow Jones Industrial Average, S&P500, and NASDAQ Composite Index finish an
already-impressive year by posting record gains.
9
<PAGE>
Select Emerging Markets Fund
The Select Emerging Markets Fund returned 65.72% for the period ended December
31, 1999, slightly underperforming its benchmark, the MSCI Emerging Markets Free
Index, which returned 66.41%.
Emerging markets performed well in 1999. Brazil's currency devaluation was
expected to affect Latin America and emerging markets in general. Instead,
rising oil prices and economic stability in Asia fueled emerging market
appreciation. Accordingly, the Fund shifted its weightings away from the usually
safer haven of Europe and increased exposure to Asia and Latin America.
U.S. economic strength, plus strong global growth, supported emerging markets
for much of the year. Greater price and currency stability enabled interest
rates to fall throughout Latin America and Asia, helping their equity markets.
Through most of 1999, Asia was the Fund manager's preferred area of investment.
Holdings in the region became tilted towards technology stocks while maintaining
exposure to quality cyclicals. South Korea was the Fund's top country weighting
for much of the year and helped performance as its economy and business
fundamentals improved.
Towards year-end, the Fund's manager began increasing exposure to Latin America,
believing the larger markets of Brazil and Mexico should benefit from stronger
economic growth than many other emerging markets.
The outlook for 2000 continues to depend on the global economic and financial
environment. Global economic recovery looks more balanced and Y2K concerns have
abated. Political uncertainties and policy weakness within certain emerging
markets have diminished, which should allow the better economic fundamentals and
strengthening commodity prices to surface. However, emerging markets will find
it hard to flourish if inflation concerns re-emerge in the U.S. or if interest
rates in the U.S. rise above current expectations.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Schroder Investment Management North America Inc.
About the Fund
Seeks long-term growth of capital by investing in the world's emerging markets.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the country allocation of net assets was:
[GRAPH]
South Korea 14%
Mexico 13%
Brazil 13%
Taiwan 10%
South Africa 8%
India 8%
Turkey 5%
Israel 3%
Other 26%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Select Emerging Markets Fund 65.72% N/A 15.22%
MSCI Emerging Markets Free Index 66.41% 2.00% 11.50%
Lipper Emerging Markets Funds Average 70.77% 4.78% 11.62%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1998
- --------------------------------------------------------------------------------
[GRAPH]
Select Emerging MSCI Emerging
Market Funds Markets Free Index
2/98 10,000 10,000
12/98 7,871 7,584
12/99 13,046 12,622
The Select Emerging Markets Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The MSCI Emerging Markets Free Index is an unmanaged index of 26 emerging
markets. The Lipper Emerging Markets Funds Average is a non-weighted average of
180 funds within the emerging markets investment objective. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
Please note that investments in international markets may involve political or
currency risks not associated with domestic investments. Investments in emerging
markets may expose investors to heightened risks.
10
<PAGE>
Select Aggressive Growth Fund
The Select Aggressive Growth Fund returned 38.66% for the period ended December
31, 1999, outperforming the Russell 2500 Index's return of 24.15%.
1999 capped the best decade ever for U.S. stock investors. The market posted
all-time highs as the Dow Jones Industrial Average climbed to a record
11,497.12, finishing up 25%. The NASDAQ Composite Index had the largest one-year
gain ever for a U.S. stock index, closing at 4,069.31, ending nearly 86% higher.
In the fourth quarter, Fund holdings within the technology, financial services,
consumer services and commercial/industrial services sectors were primary
contributors to performance. Technology holdings in the software,
telecommunications equipment and computers/office automation industries helped
performance. Stock selection in retail trade and utilities also proved
beneficial to the Fund. The Fund had a small weighting in consumer durables,
consumer non-durables and insurance services, all of which had a slight negative
impact on performance. In general, the Fund's bottom-up approach to stock
selection was very responsive to changes in the market and led the Fund toward
stocks that demonstrated positive fundamental change.
The outlook for investing remains promising. As fundamentals for small- and
mid-caps remain attractive, the Fund manager continues to be optimistic in its
outlook and is encouraged by the fundamental strength of the portfolio. The
manager believes the application of its proven, bottom-up philosophy, in any
macroeconomic environment, will continue to uncover promising stocks that have
the potential to deliver solid returns for long-term investors.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 38.66% 23.32% 20.71%
Russell 2500 Index 24.15% 19.43% 17.37%
Lipper Capital Appreciation Funds Average 41.56% 22.88% 17.73%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[GRAPH]
Inception Select Aggressive Russell
Date Growth Fund 2500 Index
8/92 10,000 10,000
12/92 12,002 11,554
12/93 14,344 13,466
12/94 14,014 13,325
12/95 18,539 17,550
12/96 21,979 20,891
12/97 26,089 25,979
12/98 28,844 26,078
12/99 39,995 32,379
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2,500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Funds Average is a
non-weighted average of 280 funds within the capital appreciation investment
objective. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
Please note that investments in small and mid-capitalization stocks may involve
greater volatility than investments in larger capitalization stocks.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Nicholas-Applegate Capital Management, L.P.
About the Fund
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock price.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Electronics 17%
Computer Software & Processing 14%
Communications 7%
Computers & Information 7%
Pharmaceuticals 5%
Apparel Retailers 5%
Media 5%
Telephone Systems 4%
Advertising 4%
Commercial Services 3%
Other 29%
11
<PAGE>
Select Capital Appreciation Fund
The Select Capital Appreciation Fund returned 25.36% for the period ended
December 31, 1999, outperforming its benchmark, the Russell 2500 Index, which
returned 24.15%.
Although large company stocks have dominated in recent years, small and mid-cap
stocks, which comprise this Fund, kept pace during the last 12 months.
Technology and healthcare stocks did well during the last three months, while
most other sectors languished.
During 1999, New Economy stocks - technology, telecommunications, biotechnology,
and Internet issues - were irrepressible. Hundreds of companies went public
with little or no revenues, and scant prospects of earnings or positive cash
flow, and garnered fabulous valuations. Other stocks drifted, even though many
continued to grow, generate strong cash flow, and sell at modest valuations.
The Fund just kept pace with its benchmark and was not able to significantly
outperform due primarily to underweighting in technology, particularly in the
high-flying Internet companies where the Fund manager views valuations as
problematic. The Fund is focusing on companies that management believes will be
long-term beneficiaries of the Internet economy, but is only adding these
holdings when their valuations are justified. Nevertheless, the manager believes
that in 2000, many of the companies whose stocks have languished in this
internet/technology driven market will successfully adapt their business models
to the Internet environment. The manager therefore believes that opportunities
exist within these more attractively valued companies.
As 2000 begins, economic growth remains robust, consumer confidence is at record
levels, inflation is close to a 30-year low. The Fund manager believes that
earnings growth remains the key element that will allow mid-cap stocks to
perform well. The Fund will be well-positioned as these companies maintain their
high internal growth rates and investors begin to recognize their compelling
value vs. large cap stocks.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
T. Rowe Price Associates, Inc.
About the Fund
The Fund seeks to construct a diversified portfolio of mid-cap growth stocks
selling at a reasonable price.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 15%
Pharmaceuticals 10%
Electronics 10%
Retailers 10%
Telephone Systems 8%
Medical Supplies 4%
Commercial Services 4%
Transportation 4%
Insurance 4%
Other 31%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31, 1999 1 Year 5 Years Life of Fund
Select Capital Appreciation Fund 25.36% N/A 21.42%
Russell 2500 Index 24.15% 19.43% 18.67%
Lipper Capital Appreciation Funds Average 41.56% 22.88% 22.86%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1995
- --------------------------------------------------------------------------------
[GRAPH]
Select Capital Russell
Appreciation Fund 2500 Index
4/95 10,000 10,000
12/95 13,982 12,176
12/96 15,211 14,494
12/97 17,384 18,024
12/98 19,796 18,093
12/99 24,819 22,464
The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Funds Average is a
non-weighted average of 280 funds within the capital appreciation investment
objective. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
12
<PAGE>
Select Value Opportunity Fund
The Select Value Opportunity Fund returned -4.70% for the period ended December
31, 1999, significantly underperforming its benchmark, the Russell 2500 Index,
which returned 24.15%.
1999 featured the greatest disparity in performance between value and growth
investing ever. For example, the Russell 2500 Growth Index outperformed the
Russell 2500 Value Index by 54%. This disparity was mainly attributable to the
performance of technology-oriented companies.
Overall, 1999 was disappointing for the Fund, due to a minimal presence in the
high-performing, technology sector. The value nature of the Fund precluded it
from buying these expensive stocks. The market's drive toward high-growth,
high-priced stocks hurt fund performance, particularly in the third-quarter.
During the fourth quarter, the portfolio was up 8-9% and saw a recovery in a
number of the stocks that had stumbled in the previous quarter. The Fund's
consumer cyclical holdings hurt performance despite the sector's low valuations
and relatively stable fundamentals. Those disappointing holdings included three
well-known retailers.
The Federal Reserve's concern over the impact of a recovery in global economies
on our own economy will likely lead to additional interest rate increases. This
should help value investors as other investors look for protection in more
fairly valued companies.
The Fund manager believes that the narrow market and valuation disparity between
growth and value stocks will diminish as investors seek value in a broader
universe of stocks. The Fund manager remains encouraged by opportunities to
invest in high-quality, attractively valued companies which should benefit in
the broadening market.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Select Value Opportunity Fund (4.70%) 13.52% 11.57%
Russell 2500 Index 24.15% 19.43% 16.41%
Lipper Small Company Growth Funds Average 33.35% 19.46% 16.53%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1993
- --------------------------------------------------------------------------------
[GRAPH]
Inception Select Value Russell
Date Opportunity Fund 2500 Index
4/30/93 10,000 10,000
12/31/93 11,797 11,454
12/31/94 11,028 11,334
12/31/95 12,967 14,928
12/31/96 16,666 17,770
12/31/97 20,807 22,098
12/31/98 21,821 22,182
12/31/99 20,797 27,542
The Select Value Opportunity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2,500 small- to
mid-capitalization stocks. The Lipper Small-Cap Funds Average is a non-weighted
average of 757 small company funds. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
Please note that investments in small and mid-capitalization stocks may involve
greater volatility and business risk than investments in larger capitalization
stocks.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Cramer Rosenthal McGlynn, LLC
About the Fund
Invests in attractively valued small- to mid-sized companies believed to have
above-average potential for capital appreciation.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 11%
Oil & Gas 10%
Commercial Services 9%
Electric Utilities 7%
Retailers 7%
Heavy Machinery 6%
Insurance 6%
Banking 6%
Telephone Systems 5%
Automotive 4%
Health Care Providers 4%
Other 25%
13
<PAGE>
T. Rowe Price International Stock Portfolio
For the period ended December 31, 1999, the T. Rowe Price International Stock
Portfolio returned 33.32%, outperforming its benchmark, the MSCI EAFE Index,
which returned 27.31%.
In the fourth quarter of 1999, "new economy" stocks - telecom and
Internet-related companies and their suppliers - propelled many world markets.
Stable or improving international economies provided a supportive backdrop.
During the year, Japan ended a nine-year bear market, driven by foreign
investment which pushed up the yen. The euro's decline and the weak performance
of the UK market held Europe back to a relatively modest gain. However, Europe
had stronger than expected growth overall, with accelerated growth in the
banking and telecom sectors. Last year's Asian crisis gave way to rapid Pacific
growth. Latin America achieved a phoenix-like recovery despite the Brazilian
real's devaluation.
Stock selection positively influenced the Portfolio's performance, especially
within the electronic components sector. In terms of country selection, Latin
America and the U.K. helped performance. Japan and Germany slightly detracted
from performance.
The manager is cautious about Japan because declining domestic demand and
capital expenditures, plus a potentially stronger yen, will likely keep the
economy weak. The manager remains cautiously optimistic about Latin America
despite some political uncertainties. The manager is also optimistic about the
prospects for growth in Europe due to continued restructuring and deregulation.
The Portfolio manager is enthusiastic about the growth potential of well managed
telecom, Internet-related and technology businesses with strong franchises and
business models. Overall, greater-than-expected restructuring and reform during
1999, as well as more mergers and acquisitions than anticipated, have enhanced
the earnings-potential of international companies and pave the way for
international markets to rise in 2000.
- --------------------------------------------------------------------------------
Investment Adviser
Rowe Price-Fleming International, Inc.
About the Fund
The Portfolio seeks long-term growth through a highly diversified portfolio of
foreign stocks.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the country allocation of net assets was:
[GRAPH]
Europe 58%
Japan 21%
Pacific Rim 9%
Latin America 4%
Other & Reserves 8%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
T. Rowe Price International Stock Portfolio 33.32% 15.22 13.45%
Morgan Stanley EAFE Index 27.31% 13.15% 12.17%
Lipper International Funds Average 40.80% 15.05% 12.72%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1994
- --------------------------------------------------------------------------------
[GRAPH]
T. Rowe Price
International Morgan Stanley
Stock Portfolio EAFE Index
3/31/94 10,000 10,000
12/31/94 10,180 10,436
12/31/95 11,316 11,642
12/31/96 12,980 12,383
12/31/97 13,382 12,637
12/31/98 15,505 15,208
12/31/99 20,671 19,358
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Funds Average is a non-weighted
average of 618 funds within the International Fund category. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
Please note that investments in international markets may involve political or
currency risks not associated with domestic investments.
14
<PAGE>
Select International Equity Fund
For the period ended December 31, 1999, the Select International Equity Fund
returned 31.71%, outperforming its benchmark, the Morgan Stanley EAFE Index,
which returned 27.31%
World equity markets registered exceptional gains during the final quarter of
1999. The early part of the year saw weak performance from European equities, a
large component of this portfolio. However, as unemployment fell to 8.9% and
inflation began to bottom out, equities had a strong fourth quarter. Nonetheless
in the UK, stock prices were down despite the positive economic effects of
reduced interest rates, accelerated growth, and the global recovery.
It remains difficult to assess Japan, as its economic data continues to be
mixed. In the rest of Asia, growth seems to have returned, with exports proving
the major stimulus.
Japanese stocks within the Technological Innovations theme drove the portfolio
ahead during 1999, especially during the fourth quarter, where more than half
the performance for the year materialized. Telecom stock holdings in a variety
of countries also helped performance. The Fund's holdings within the Financial
and Health-care themes hurt performance.
The economic growth forecast for 2000 is likely to prompt central banks
worldwide to raise interest rates. In Europe, growth looks set to move towards
3% this year, following several sluggish years. Inflation is rising in most
economies, with the exception of Japan.
In Asia, the outlook is still favorable, but companies will need to deliver
strong earnings to maintain market momentum given the region's current higher
valuations. In Australia and New Zealand, improving commodity export prices and
volumes should improve the trade picture.
The Fund manager intends to continue with the investment themes it has been
pursuing; no significant changes to the portfolio are anticipated.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Select International Equity Fund 31.71% 18.54% 15.47%
Morgan Stanley EAFE Index 27.31% 13.15% 11.54%
Lipper International Funds Average 40.80% 15.05% 12.91%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1994
- --------------------------------------------------------------------------------
[GRAPH]
Select International Morgan Stanley
Equity Fund EAFE Index
5/2/94 10,000 10,000
12/31/94 9,668 10,008
12/31/95 11,566 11,165
12/31/96 14,104 11,875
12/31/97 14,760 12,119
12/31/98 17,193 14,585
12/31/99 22,643 18,565
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Funds Average is a non-weighted
average of 618 funds within the International Fund category. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
Please note that investments in international markets may involve political or
currency risk not associated with domestic investments.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Bank of Ireland Asset Management (U.S.) Limited
About the Fund
Seeks maximum long-term total return by investing in established non-U.S.
companies based on fundamental value and strong opportunities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the country allocation of net assets was:
[GRAPH]
Japan 24%
United Kingdom 23%
Netherlands 10%
France 9%
Switzerland 9%
Germany 8%
Australia 4%
Other 13%
15
<PAGE>
Fidelity VIP Growth Portfolio
Fidelity VIP Growth Portfolio returned 37.44% in 1999, outperforming the Lipper
Growth Funds Average return of 29.27% and the Russell 3000 Growth Index's return
of 33.82%.
The Portfolio's above-average performance versus the Index in 1999 was primarily
due to astute stock selection in several sectors. In technology, investments in
semiconductors and wireless communication stocks produced excellent results as
they benefited from the global economic recovery during the year. Holdings in
dominant retailers and multi-national financial services stocks were notable
contributors. Another boost to performance was the Portfolio's underweighted
exposure to consumer nondurables, which lagged the market for the year.
Offsetting the good performance were weak results from a large tobacco company
that continued to face litigation issues. The Portfolio's overweighted position
in the weak performing financial services sector also detracted from
performance.
At the end of 1999, stock selection continued to focus on large capitalization
companies with better than average earnings growth potential and discounted
valuations relative to the stock market. Management favored companies with
strong Portfolio fundamentals and sustainable long-term earnings growth. The
Portfolio was focused on sectors with above-average earnings growth potential,
which included technology, health care, and consumer discretionary. In
technology, the Portfolio was focused on well-known industry leaders, wireless
communication stocks, and the data storage industry, due to its potential growth
prospects as a result of the Internet evolution. Among health care stocks,
pharmaceutical names continued to comprise most of the sector's exposure.
- --------------------------------------------------------------------------------
Investment Adviser
Fidelity Management & Research Company
About the Fund
The Portfolio seeks long-term capital appreciation by investing principally in
common stocks with above-average growth prospects.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Technology 37%
Health 12%
Media & Leisure 9%
Finance 9%
Utilities 8%
Retail & Wholesale 6%
Industrial Mach. & Equip 4%
Non-Durables 4%
Energy 3%
Basic Industries 2%
Other 6%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31, 1999 1 Year 5 Years 10 Years
Fidelity VIP Growth Portfolio 37.44% 29.74% 19.94%
S&P 500(R) Index 21.03% 28.55% 18.21%
Lipper Growth Funds Average 29.27% 25.04% 16.53%
Russell 3000 Growth 33.82% 31.09% 19.69%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1989
- --------------------------------------------------------------------------------
[GRAPH]
Fidelity VIP S&P 500(R)
Growth Portfolio Index
12/31/89 10,000 10,000
12/31/90 8,828 9,691
12/31/91 12,846 12,642
12/31/92 14,044 13,605
12/31/93 16,763 14,977
12/31/94 16,761 15,174
12/31/95 22,688 20,878
12/31/96 26,026 25,674
12/31/97 32,136 34,239
12/31/98 44,828 44,023
12/31/99 61,603 53,283
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R) is
a registered trademark of the Standard & Poor's Corporation. The Russell 3000
Growth Index measures the performance of those Russell 3000 Index companies with
higher price-to-book ratios and higher forecasted growth values. The Lipper
Growth Funds Average is a non-weighted average of 1149 funds. Performance
numbers are net of all fund operating expenses, but do not include insurance
charges. If performance information included the effect of these additional
charges, it would have been lower.
*VIP refers to Variable Insurance Products Fund.
16
<PAGE>
Select Growth Fund
For the year ended December 31, 1999, the Select Growth Fund returned 29.80%,
outperforming the S&P 500 Index, which returned 21.03%.
1999 was marked by rapid, widespread market rotation. In the first three months,
large-cap growth stocks set records, but mid- and small-cap stocks did not
participate in these gains. During this period, growth outperformed value. After
second-quarter broadening and significant sector rotation, third-quarter markets
again narrowed, with large-cap growth stocks in the lead. In the final quarter,
equity markets hit new heights, with technology stocks leading the surge.
Strong stock selection was responsible for the Fund outperforming the S&P 500
Index. The portfolio's best-performing stocks were in the technology, consumer
staples, and communications services sectors. Technology, the clear market
leader for 1999, was the prime contributor to the portfolio's outperformance.
Fund performance was hampered by weak-performing stocks in the health care and
financial services sectors and from a less-than-index exposure to
strong-performing stocks in the energy, basic industry, and capital goods
sectors. The Fund held fewer of these well-performing sectors because they are
composed of stocks which do not meet the manager's large-cap growth criteria.
The Fund manager believes that high-quality growth companies will continue to
benefit from persistent demand and visible earnings growth, particularly within
the technology, consumer staples, and conglomerate sectors. The manager also
believes that although U.S. economic growth may slow in 2000, it will remain
relatively robust. Furthermore, the manager expects additional Federal Reserve
interest rate hikes if strong economic growth translates into inflation.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31, 1999 1 Year 5 Years Life of Fund
Select Growth Fund 29.80% 29.06% 20.57%
S&P 500(R) Index 21.03% 28.55% 21.46%
Lipper Growth Funds Average 29.27% 25.04% 19.19%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[GRAPH]
Select Growth S&P 500(R)
Fund Index
8/92 10,000 10,000
12/92 11,139 10,614
12/93 11,233 11,685
12/94 11,065 11,839
12/95 13,785 16,289
12/96 16,820 20,030
12/97 22,548 26,713
12/98 30,539 34,346
12/99 39,642 41,571
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation.The Lipper
Growth Funds Average is a non-weighted average of 1149 funds within the Growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Putnam Investment Management, Inc.
About the Fund
Seeks long-term growth of capital by investing in stocks of companies believed
to have significant potential for capital appreciation.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 14%
Telephone Systems 8%
Pharmaceuticals 8%
Computers & Information 8%
Communications 7%
Media 6%
Banking 6%
Industrial 6%
Retailers 6%
Other 31%
17
<PAGE>
Select Strategic Growth Fund
The Select Strategic Growth Fund returned 16.06% for the period ended December
31, 1999, underperforming the benchmark Standard & Poor's 500 Index, which
returned 21.03%, and underperforming the Lipper Growth Funds Average's 29.27%.
Strong growth and a surprising lack of inflation marked the U.S. economy in
1999. A broad-based rally among small-cap and cyclical stocks in April and May
reversed itself in the third quarter as the Federal Reserve raised interest
rates to keep inflation in check. This produced a significant widespread decline
among stocks in late summer. The most dramatic returns for the year were from
the fourth quarter performance of technology stocks. Gains of this magnitude in
such a short time have rarely been seen across a large sector.
The majority of the Fund's gains for the year were driven by technology
holdings. Exposure in the generally weak financial sector hindered performance,
due to rising interest rates. In general, the narrow group of stocks that
performed well traded at valuations inconsistent with the manager's more
value-based discipline.
The Fund manager expects higher interest rates to continue over 2000, since the
Fed remains concerned with excessive growth in the U.S. economy and the 30-year
low unemployment level. As a result, the Fund manager expects continued high
market volatility in 2000. The Fund manager believes this volatility could
present many opportunities to purchase very strong companies at attractive
prices. Overall, the Fund manager is quite optimistic regarding the outlook for
relative performance. The environment that led to a select group of substantial
outperformers at very high valuations should recede, and a return to more normal
conditions is likely to occur in the relatively near future.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Cambiar Investors, Inc.
About the Fund
Seeks long-term growth of capital by investing primarily in common stocks of
established companies.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 16%
Pharmaceuticals 11%
Commercial Services 8%
Computers & Information 8%
Oil & Gas 7%
Apparel Retailers 6%
Banking 4%
Insurance 4%
Telephone Systems 4%
Other 32%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Select Strategic Growth Fund 16.06% N/A 6.89%
S&P500(R)Index 21.03% 28.55% 21.80%
Lipper Growth Funds Average 29.27% 25.04% 22.80%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1998
- --------------------------------------------------------------------------------
[GRAPH]
Select Strategic S&P 500(R)
Growth Fund Index
2/20/98 10,000 10,000
12/31/98 9,764 12,038
12/31/99 11,332 14,571
The Select Strategic Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Funds Average is a non-weighted average of 1149 funds within the Growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
18
<PAGE>
Select Growth and Income Fund
The Select Growth and Income Fund returned 18.43% for the year ended December
31, 1999. The S&P 500 returned 21.03% during this time period, and the Lipper
Growth &Income Funds average returned 13.76%.
The U.S. stock market posted all-time highs as the Dow Jones Industrial Average
climbed to a record 11,497.12, finishing up 25%, and the S&P 500 climbed to a
record 1,469.25, ending 21% higher.
The third and fourth quarters were difficult ones for the Fund. During this
time, the large-cap U.S. equity market reverted to a narrow group of
outperforming stocks. During the latter part of the year, investors focused on
short-term earnings. Because the Fund's investment strategy focuses on
normalized earnings and intermediate-term growth rates, performance suffered in
this environment.
Strong relative performance in the technology sector was offset by shortcomings
in the insurance sector. The Fund's diversification significantly minimized the
impact of any single holding.
The Fund manager remains confident in its investment process and risk controls,
and expects the market to broaden. The Fund manager believes that a return of
global growth will cause investors to look beyond overpriced mega-cap growth
stocks to companies trading at more attractive prices.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Select Growth and Income Fund 18.43% 21.69% 15.92%
S&P 500(R)Index 21.03% 28.55% 21.46%
Lipper Growth & Income Funds Average 13.76% 21.34% 16.76%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[GRAPH]
Select Growth and S&P500(R)
Income Fund Index
Aug 21, 92 10,000 10,000
Dec 31, 92 10,000 10,614
Dec 31, 93 11,037 11,685
Dec 31, 94 11,118 11,839
Dec 31, 95 14,490 16,289
Dec 31, 96 17,570 20,030
Dec 31, 97 21,527 26,713
Dec 31, 98 25,060 34,346
Dec 31, 99 29,678 41,571
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Funds Average is a non-weighted average of 913 funds within the
Growth and Income investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
Investment Sub-Adviser
J. P. Morgan Investment Management Inc.*
About the Fund
Seeks a combination of long-term growth of capital and current income by
investing primarily in dividend-paying stocks and convertible securities.
* J. P. Morgan Investment Management Inc. replaced John A. Levin & Co., Inc. as
Investment sub-adviser, effective April 1, 1999.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Computer Software &
Processing 11%
Telephone Systems 8%
Pharmaceuticals 7%
Computers &
Information 7%
Banking 7%
Electronics 6%
Oil & Gas 5%
Industrial-Diversified 5%
Retailers 4%
Beverages, Food & Tobacco 4%
Communications 3%
Other 33%
19
<PAGE>
Fidelity VIP Equity-Income
The Fidelity VIP Equity-Income Portfolio returned 6.33% during he Fidelity VIP
Equity-Income 1999. The Russell 3000 Value Index returned 6.64% for the year.
The performance of the Portfolio was helped by the manager's decision to
overweight the industrial machinery and energy sectors. Stock selection within
both sectors helped as well. The Portfolio's holdings in two major oil companies
were contributors to performance. Stock selection in the retail sector aided
performance during 1999.
The Portfolio was underweighted in technology stocks. The technology sector lead
the market averages higher during 1999. This less-than-market weight served as a
drag on performance for the year. The Portfolio's weighting in the nondurable
sector and stock selection within the sector hurt performance during the year.
The Portfolio's holdings in a large tobacco producer hurt performance as the
firm suffered setbacks on the litigation front. The Portfolio had a
greater-than-index weight in the tobacco group for much of the year. The
performance of the Portfolio was hurt by the less-than-market weight in the
utilities sector. Telecommunications stocks, in general, performed very well
during the year.
As the Portfolio enters the first quarter, the finance, energy, and utilities
sectors continue to be the three largest areas of divergence from the index.
Both finance and utilities are underweight versus the index. The Portfolio's
energy exposure is greater than the index. The industrial machinery and
equipment group, as well as the basic industries sector, also represent larger
than index weight commitments.
Investment Adviser
Fidelity Management & Research Company
About the Fund
Seeks reasonable income by investing primarily in income-producing equity
securities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Finance 24%
Energy 14%
Utilities 11%
Indust. Mach. & Equip. 9%
Basic Industries 8%
Media & Leisure 7%
Health 6%
Non-Durables 4%
Aerospace & Defense 4%
Technology 3%
Other 10%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years 10 Years
Fidelity VIP Equity-Income Portfolio 6.33% 18.61% 14.49%
S&P 500(R) Index 21.03% 28.55% 18.21%
Lipper Equity Income Funds Average 4.55% 17.83% 12.55%
Russell 3000 Value 6.64% 22.14% 15.31%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1989
- --------------------------------------------------------------------------------
[GRAPH]
Fidelity VIP Equity S&P500(R)
Income Portfolio Index
12/31/89 10,000 10,000
12/31/90 8,470 9,691
12/31/91 11,132 12,642
12/31/92 13,013 13,605
12/31/93 15,394 14,977
12/31/94 16,483 15,174
12/31/95 22,267 20,878
12/31/96 25,447 25,674
12/31/97 32,604 34,239
12/31/98 36,395 44,023
12/31/99 38,699 53,283
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The
Russell 3000 Value Index measures the performance of those Russell 3000 Index
companies with lower price-to-book ratios and lower forecasted growth values.
The Lipper Equity Income Funds Average is a non-weighted average of 238 funds
seeking high current income and growth of income by investing more than 60% of
its portfolio in equities. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
*VIP refers to Variable Insurance Products fund.
20
<PAGE>
Overview
<PAGE>
Bond & Money Market Overview
1995: U.S. bond market enjoys its third best performance in 30 years, thanks to
strong total returns from 30-year U.S. Treasuries and corporate issues.
1996: Outlook for Federal Reserve policy affects U.S. bond market.
Long-predicted interest rate cuts, which would have fueled this market, never
occur.
1997: Low inflation and declining interest rates fuel the bond market, which
enjoys its best returns since 1995.
1998: During 1998, bond investments produced widely divergent results as a
series of dramatic swings either left them highly in favor or badly battered.
1999: Inflation concerns and a booming U.S. Economy prompt the Federal Reserve
to hike interest rates. Fixed Income markets close the second half with their
worst-performing year ever with the Lehman Aggregate Bond Index returning
- -0.83%.
On the whole, 1999 was disappointing for fixed-income investors. In fact, it was
the second worse performance year ever for the fixed-income markets, as measured
by the total -0.83%. return of the Lehman Aggregate Bond Index.
A handful of universal themes dominated the markets during the year, namely
successive Federal Reserve interest rate hikes, a steepening yield curve,
volatile corporate bond performance, and rising mortgage rates.
1999 began with investors feeling fairly optimistic about the coming year. The
Federal Reserve had acted in the fall of 1998 to avert a global liquidity
meltdown with three easings that lowered short-term rates to 4.75%. The U.S.
economy seemed to be healthy, with expectations for 1999 GDP in the 3.0% range
and subdued inflation running at about a 2% annual rate.
On the international front, Asia and Latin America continued their recovery from
the problems of 1998. Early in the year, Brazil announced a somewhat unexpected
devaluation of its currency, the real. Global markets braced for a round of
panic selling and other negative ripple effects which never materialized.
Against this backdrop, the first quarter of 1999 progressed with no major
disturbances. Inflation stayed at bay and corporate spread tightening reflected
the positive fundamentals of strong earnings growth.
Beginning in the second quarter, however, the picture began to change. The U.S.
economy grew faster than initially projected and the unemployment rate fell
below 4.2%. Investors began to fear that inflation was imminent. In June, the
Federal Reserve responded by raising the Fed Funds interest rate from 4.75% to
5.00%.
July and August saw spread sectors widen dramatically. Corporate treasurers
pushed corporate and asset-backed bonds into the market hoping
[TIMELINE]
JAN 1999
The new European currency is introduced. Over the course of the year, the euro
loses almost 18% of its value against the U.S. dollar.
[GRAPHIC]
FEB
A rally of agency, corporate, and mortgage-backed bonds encourages investors to
take advantage of bond yield premiums.
MAR
APR
Japan shows signs of economic recovery along with other foreign countries such
as Brazil and Mexico, marking the first time in two years in which some foreign
markets outperform the U.S. bond market.
[GRAPHIC]
MAY
As a group, foreign markets underperform the U.S. bond market, the major culprit
being Europe, where a backup in interest rates is significant.
JUN
22
<PAGE>
Bond & Money Market Overview
to avert a fourth-quarter liquidity trap, which they believed likely as Y2K
fears would drive buyers from the market. Ironically, these efforts became a
self-fulfilling prophesy as treasurers ended up creating their own
mini-liquidity crisis by all trying to issue bonds simultaneously. By August,
there was a second Fed rate hike from 5.00% to 5.25%.
Despite these first two rate increases, the U.S. economy continued to gather
speed in the third and fourth quarters. The nation's third-quarter GDP, for
instance, came in at 5.7%, well above experts' original predictions. Market
participants once again began to worry about a resurgence of inflation. In
response, the Fed raised short-term interest rates for a third and final time in
November to 5.50%.
Investment grade corporate bonds had a good showing at the end of 1999, but
their overall performance was volatile. All excess returns were attributable to
the first and fourth quarters only.
The high yield market finished 1999 on a positive note after poor performance in
the second and third quarters. The market's return for the year was a modest
2.39%, as measured by the Lehman High Yield Corporate Index. The demand side of
the market shifted significantly in 1999, as mutual fund inflows dropped
dramatically to $1.1 billion, down from $15 billion in 1998. Collateralized bond
obligations, structured transactions involving the purchase of high yield debt,
did offset these lower inflows. The market's estimated 4% default rate was the
highest since 1991.
The past year also saw a steepening yield curve as the 30-year Treasury bond,
which began the year at 5.10% on January 1, and ended at 6.49% on December 31.
The mortgage-backed securities market showed strong excess returns for the year,
owing primarily to positive supply/demand factors, an improved prepay
environment, narrowing swap spreads, and lower interest rate volatility. In
particular, Fannie Mae and Freddie Mac assets grew nearly 30% over 1999.
Looking ahead, it is likely that economic growth and strengthening will continue
into 2000, albeit at a slower rate than that of 1999. All signs point to
probable Fed interest rate increases in the new year, with little inflation on
the horizon.
[TIMELINE]
JUL
In response to rapid economic growth, the U.S. Federal Reserve combines neutral
bias with a 0.25% raise in interest rates to guard against inflation.
[GRAPHIC]
AUG
Inflation worries resurface as the U.S. economy continues to grow and the
nation's unemployment figure approaches an almost 30-year low. The Fed responds
by raising interest rates another 0.25%.
SEPT
OCT
Investment grade corporate bonds and the high yield market begin their strong
fourth-quarter performance.
[GRAPHIC]
NOV
DEC
With the booming U.S. economy showing no signs of a slowdown, the Fed announces
its third rate hike of 0.25%. The fixed-income markets end the year down with
the Lehman Aggregate Bond Index posting a dismal total return of -0.83%.
23
<PAGE>
Fidelity VIP High Income Portfolio
The Fidelity VIP High Income Portfolio returned 8.15% during 1999, out-
performing both the Merrill Lynch High Yield Master Index and Lipper High
Current Yield Funds Average, which returned 1.58% and 4.53%, respectively.
The Portfolio's strong performance is attributable to good security selection in
both "new" and "old" economy industries. Besides security selection, an
overweighting in telecommunications, a "new" economy sector, also contributed to
Portfolio returns. The Portfolio manager continues to have a positive view of
the long-term fundamentals of selected telecommunications sub-sectors, including
competitive local exchange carriers and wireless companies. Healthy merger and
acquisition activity in these sub-sectors, along with increased participation by
private equity investors, confirmed the asset values of many of the newer
entrants in the industry.
The Portfolio's holdings in securities of "old" economy industries included
paper and chemicals which advanced based on improving world economic growth and
rising commodity prices. Health-care issues also contributed to returns,
particularly in the second half of the year.
The Portfolio holds a small (4.2%) percentage of assets in common equities.
Deferred pay securities, which comprised 37.9% of the Portfolio's assets at the
end of the quarter, also contributed to performance as the strong economic
fundamentals of the companies issuing these securities more than offset the
effect of rising government bond yields.
Detractors from performance included one holding in the supermarket industry
that declined in value.
Telecommunications and cable TV comprised just under 50% of the Portfolio's
assets as of December 31, with technology moving up to 5.4% of the Portfolio as
the year closed, representing the Portfolio's third-largest sector weighting.
"B"-rated credits comprised the majority of Portfolio assets, representing 53.0%
of the Portfolio at December 31.
- --------------------------------------------------------------------------------
Investment Adviser
Fidelity Management & Research Company
About the Fund
Seeks high income and growth of capital by investing primarily in high-yielding,
lower-rated, fixed-income securities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Telecommunications 36%
Cable TV 13%
Technology 5%
Chemicals 5%
Health Care 4%
Environmental 3%
Diversified Financial Services 3%
Leisure 3%
Energy 2%
Paper 2%
Other 24%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years 10 Years
Fidelity VIP High Income Portfolio 8.15% 10.88% 12.43%
Merrill Lynch High Yield Master Index 1.58% 9.61% 10.80%
Lipper High Current Yield Funds Average 4.53% 8.84% 10.03%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1989
- --------------------------------------------------------------------------------
[GRAPH]
Fidelity VIP Merrill Lynch
High Income Portfolio High Yield Master
12/31/89 10,000 10,000
12/31/90 9,777 9,565
12/31/91 13,207 12,872
12/31/92 16,267 15,212
12/31/93 19,584 17,824
12/31/94 19,263 17,618
12/31/95 23,256 21,125
12/31/96 26,517 23,467
12/31/97 31,203 26,476
12/31/98 29,852 27,447
12/31/99 32,283 27,878
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lipper High Current Yield Funds Average is a non-weighted average of 339
funds that seek high current yield from fixed income securities. The Merrill
Lynch High Yield Master is a market capitalization weighted index of all
domestic and Yankee high-yield bonds. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
*VIP refers to Variable Insurance Products fund.
Please note that the Portfolio's unit price may be volatile due to the nature of
the high-yield bond marketplace. Prices of high-yield bonds tend to be more
sensitive to individual company and economic factors, rather than changes in
interest rates.
24
<PAGE>
Select Income Fund
The Select Income Fund returned -0.85% for the period ended December 31, 1999,
approximately the same as its benchmark, the Lehman Brothers Aggregate Bond
Index, which returned -0.83%.
1999 began strongly as the bond market rallied. By mid-year, the rally was cut
off as bond investors worried about the extraordinary strength of the domestic
economy, the recovery of international economies, the potential for a resurgence
of inflation, and Y2K fears. The portfolio's heavy reliance on corporate bonds
(corporates) and mortgage-backed securities (mortgages) allowed it to weather
these negative factors.
The Fund's trading activity during the first quarter was characterized by heavy
positions in corporates and mortgages, which represented great opportunities for
return. As the year progressed these holdings did well on a relative basis, but
as economic fears arose, the Fund manager reduced these holdings and increased
Treasuries. The manager repositioned some issues that would benefit or suffer as
the economy moved into its tenth year of the recovery with a transition to lower
growth and some margin pressures.
The manager's outlook for the economy is for positive growth with little
inflation. The rise in interest rates, as exemplified by the 30-year U.S.
Treasury, which is now above 6.5%, is based on levels of growth and surging
inflation which are only feared at this time. Although the Federal Reserve will
probably raise rates, that expectation is already reflected in a lower price for
corporates and mortgages, which are key positions in the portfolio.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years Life of Fund
Select Income Fund (0.85%) 6.92% 5.52%
Lehman Brothers Aggregate Bond Index (0.83%) 7.73% 6.24%
Lipper Intermediate Investment
Grade Funds Average (1.31%) 6.79% 5.79%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[GRAPH]
Lehman Brothers Aggregate
Select Income Fund Bond Index
8/21/92 10,000 10,000
12/31/92 10,072 10,144
12/31/93 11,175 11,134
12/31/94 10,637 10,809
12/31/95 12,442 12,806
12/31/96 12,853 13,269
12/31/97 14,032 14,553
12/31/98 14,991 15,816
12/31/99 14,863 15,684
The Select Income Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed rate
debt issues with an investment grade rating at least one year to maturity and an
outstanding par value of at least $25 million. The Lipper Intermediate
Investment Grade Funds Average tracks the performance of 279 funds investing in
intermediate-term corporate and government debt securities. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
Investment Sub-Adviser
Standish, Ayer & Wood, Inc.
About the Fund
The Fund seeks above-average income from corporate bonds, mortgages and
securities issued by the U.S. Government.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Corporate Notes & Bonds 37%
U.S. Govt. Agency
Mortgage-Backed Securities 30%
U.S. Govt. &
Agency Obligations 21%
Asset-Backed Securities 10%
Other 2%
25
<PAGE>
Money Market Fund
For the period ended December 31, 1999, the Money Market Fund returned 5.19%,
out performing its benchmark, the IBC/ Donoghue First Tier Money Market Index,
which returned 4.57%.
During the first quarter of 1999, inflation remained in check. The second
quarter featured stronger than expected growth and an unemployment rate below
4.2%. The Federal Reserve responded in June by increasing interest rates.
In July and August, spread sectors widened dramatically as corporate treasurers
pushed corporate and asset-backed issues into the market in an attempt to avoid
potential Y2K-induced fourth quarter liquidity problems. August brought another
Fed rate hike, with a third and final rate hike occurring in November prompted
by inflation fears amidst a booming economy and GDP at a robust 5.7%. During the
fourth quarter, the Fed provided ample liquidity to the banking system in order
to prepare for potential Y2K cash demands.
The yield curve steepened as the 30 year Treasury bond rose from 5.10% on
January 1, to 6.49% at the close of the year. This increase resulted in the
second worst performance year ever for the fixed income markets, as measured by
the total return of the Lehman Aggregate Bond Index.
During 1999, the Fund maintained a top quartile ranking as measured by the IBC
fund peer group. One of the primary strategies that enhanced performance was the
gradual increase in floating rate note positions. These positions were
advantageous as they quickly reset to higher interest rates as the market
anticipated and reacted to changes in monetary policy.
The Fund manager believes that Fed policy and market interest rates will remain
biased to the upside until economic growth shows signs of moderation. Based on
this outlook, the portfolio will maintain a core holding of longer dated
corporate notes and commercial paper. These positions are coupled with
government agency securities and repurchase agreements to maximize liquidity.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Strives to maximize current income for investors while preserving capital and
liquidity.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of December 31, 1999, the sector allocation of net assets was:
[GRAPH]
Corporate Notes 48%
Commercial Paper 37%
Certificates of Deposit 12%
Other 3%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended December 31,1999 1 Year 5 Years 10 Years
Money Market Fund 5.19% 5.47% 5.23%
IBC/Donoghue First Tier
Money Market Index 4.57% 4.97% 4.79%
Lipper Money Market Funds Average 4.49% 4.95% 4.80%
- --------------------------------------------------------------------------------
Average Yield as of December 31, 1999
- --------------------------------------------------------------------------------
Money Market Fund 7-Day Yield 5.57%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1989
- --------------------------------------------------------------------------------
[GRAPH]
IBC/Donoghue First Tier
Money Market Fund Money Market Index
12/31/89 10,000 10,000
12/31/90 10,805 10,781
12/31/91 11,466 11,393
12/31/92 11,893 11,772
12/31/93 12,250 12,081
12/31/94 12,732 12,528
12/31/95 13,475 13,209
12/31/96 14,196 13,854
12/31/97 14,970 14,548
12/31/98 15,788 15,269
12/31/99 16,607 15,967
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time. The Fund is neither insured nor
guaranteed the Federal Deposit Insurance Corporation or any other Government
Agency. Although the Fund seeks to maintain a net asset value of $1.00 per
share, it is possible to lose money by investing in the Fund. Past performance
is no guarantee of future results. Investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may be
worth more or less than their original cost. IBC/Donoghue is an independent firm
that tracks 2a-7 regulated money market funds on a yield, shareholder, asset
size and portfolio allocation basis. The Lipper Money Market Funds Average is
the average investment performance of 337 funds within the Money Market
category. Performance numbers are net of all fund operating expenses, but do not
include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
26
<PAGE>
Financials
<PAGE>
This page intentionally left blank.
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 91.9%
Argentina - 1.3%
7,339 Banco de Galicia SA, Sponsored ADR $ 145,404
12,100 Gas Natural Ban SA 23,600
10,217 IRSA Inversiones y Representaciones SA 33,109
21,300 Perez Companc SA, Class B 109,077
13,000 Siderar S.A.I.C. 52,920
10,500 Telecom Argentina Stet - France Telecom SA, Class B 72,255
7,200 Telefonos de Argentina, Sponsored ADR 222,300
----------
658,665
----------
Botswana - 0.1%
47,000 Sechaba Breweries, Ltd. 53,683
----------
Brazil - 11.5%
7,000 Aracruz Celulose SA, Sponsored ADR 183,750
6,372 CEMIG SA, Sponsored ADR 143,889
16,100 Cia Cervejaria Brahma, ADR 225,400
21,100 Cia Paranaense Enernergia-Copel, Sponsored ADR 196,494
3,900 Cia Siderurgica Nacional SA, Sponsored ADR 143,325
8,000 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar, GDR 258,500
19,600 Compania Vale Do Rio Doce, Sponsored ADR 546,415
21,400 Electrobras 257,132
1,760,000 Eletropaulo Metropolitana - Electricidade de Sao
Paulo SA* 114,146
16,700 Embratel Participacoes SA, ADR 455,075
27,100 Petroleo Brasileiro SA, Sponsored ADR 695,061
5,500 Tele Celular Sul Participacoes SA, ADR 499,125
3,600 Tele Centro Sul Participacoes SA, ADR 114,300
19,200 Tele Norte Leste Participacoes SA, ADR 489,600
2,100 Telecomunicacoes Brasileiras SA, ADR* 33
700 Telecomunicacoes Brasileiras SA, ADR, Preferred Block 89,950
4,000 Telesp Celular Participacoes SA, ADR 169,500
19,200 Telesp Participacoes SA, ADR 469,200
8,400 Ultrapar Participacoes SA* 96,600
17,800 Uniao de Bancos Brasileiros SA, Sponsored GDR 536,225
20,300 Usiminas Siderurg de Minas Gerais SA 110,921
----------
5,794,641
----------
Chile - 2.1%
4,800 Banco Santander Chile, Sponsored ADR 73,200
2,300 Banco Santiago ADR 49,163
4,600 Chilectra SA, ADR 93,771
3,900 Compania Cerveceri AS Unibas SA, ADR 125,044
13,500 Compania de Telecomunicaciones, Sponsored ADR 246,375
6,500 Distribucion y Servicio, ADR 126,750
4,900 Embotelladora Andina SA, Class B, Sponsored ADR 71,662
8,600 Empresa Nacional De Electricidad SA 122,012
1,511 Enersis SA, Sponsored ADR 35,509
6,000 Quinenco SA, ADR 66,750
2,300 Sociedad Quimica y Minera de Chile SA, ADR 72,594
86 Sociedad Quimica y Minera de Chile SA, Sponsored ADR 2,709
----------
1,085,539
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------
<C> <S> <C>
Croatia - 0.2%
7,090 Pliva D.D., GDR $ 94,372
----------
Czech Republic - 0.7%
7,500 Ceska Spritelna AS* 34,647
32,000 Ceske Energeticke Zavody AS* 79,245
920 Ceske Radiokomunikace* 33,713
1 Komercni Banka AS* 6
13,680 SPT Telecom AS* 220,356
----------
367,967
----------
Egypt - 0.5%
1,360 EFG-Hermes Holding, S.A.E., GDR 18,972
3,560 Egyptian Co. for Mobile Services* 164,612
2,900 Oriental Weavers Co.* 55,165
----------
238,749
----------
Greece - 2.7%
4,120 Alpha Credit Bank SA 324,138
2,840 Hellenic Bottling Co. 66,086
23,570 Hellenic Telecommunication Organization 560,695
4,320 National Bank of Greece SA 319,043
2,800 Panafon Hellenic Telecom SA 37,769
1,860 STET Hellas Telecommunications SA, ADR* 56,730
----------
1,364,461
----------
Hong Kong - 2.1%
254,000 Beijing Datang Power Generation Co. 41,834
51,000 Beijing Enterprises Holdings, Ltd. 80,376
120,000 China Merchants China Direct Investments, Ltd. 98,808
57,000 China Resources Enterprise, Ltd. 91,297
44,000 China Telecom, Ltd.* 275,106
90,000 Cosco Pacific, Ltd. 74,682
66,000 New World China Land* 24,413
34,000 New World Infrastructure, Ltd.* 43,523
136,000 Pacific Century CyberWorks, Ltd.* 316,690
----------
1,046,729
----------
Hungary - 1.7%
800 Gedeon Richter, GDR* 52,279
11,000 Matav Rt., Sponsored ADR 396,000
4,290 MOL Magyar Olaj, GDR 88,664
5,525 OTP Bank Rt., GDR 321,686
----------
858,629
----------
India - 7.6%
3,100 Bajaj Auto, Ltd., Sponsored GDR 29,450
6,600 Hindalco Industries, Ltd., GDR 155,595
2,400 Infosys Technologies, Ltd., ADR 792,000
16,000 ITC, Ltd., Sponsored GDR 312,000
16,000 Larsen & Toubro, Ltd., GDR 532,000
28,200 Mahanagar Telephone Nigam, Ltd., GDR 250,134
31,500 Mahindra & Mahindra, Ltd., GDR 346,500
13,500 Ranbaxy Laboratories, Ltd., Sponsored GDR 298,350
26,000 Reliance Industries, Ltd., GDR* 279,253
32,000 State Bank of India, GDR 390,400
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-1
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------------
<C> <S> <C>
India (continued)
7,000 Tata Engineering and Locomotive Co., Ltd., Sponsored
GDR $ 32,332
19,000 Videsh Sanchar Nigam, Ltd., GDR 394,909
----------
3,812,923
----------
Indonesia - 1.3%
129,000 PT Astra International, Inc.* 69,350
2,660,000 PT Bank Internasional Indonesia* 57,190
37,000 PT Gudang Garam 99,726
45,500 PT Hanjaya Mandala Sampoerna Tbk 115,952
95,000 PT Indofoods Sukses Makmur Tbk* 119,178
343,780 PT Telekomunikasi Indonesia 195,920
----------
657,316
----------
Israel - 3.4%
147,920 Bank Hapoalim 461,244
187,340 Bank Leumi Le-Israel 394,557
13,000 Blue Square-Israel, Ltd., ADR 165,750
440 Check Point Software Technologies Ltd.* 87,615
2,960 ECI Telecommunications, Ltd., ADR 93,610
1,540 NICE Systems Ltd.* 75,749
4,000 Partner Communications Co., Ltd.* 103,500
4,760 Teva Pharmaceutical Industries, Ltd., Sponsored ADR 341,233
----------
1,723,258
----------
Luxembourg - 0.2%
6,600 Quilmes Industrial, ADR 78,788
----------
Malaysia - 0.7%
10,000 AMMB Holdings Berhad* 23,949
19,000 Commerce Asset-Holding Berhad* 48,752
45,000 IOI Corp. Berhad 27,239
20,000 Petronas Gas Berhad 46,844
9,000 Resorts World Berhad 25,817
15,000 Tanjong, Plc 33,159
13,000 Telekom Malaysia Berhad* 50,292
18,000 Tenaga Nasional Berhad 46,424
25,000 United Engineers (Malaysia)* 39,805
----------
342,281
----------
Mauritius - 0.1%
85,000 State Bank of Mauritius, Ltd. 56,916
----------
Mexico - 13.1%
62,100 Alfa SA de CV* 292,118
7,000 Carso Global Telecom* 65,856
32,101 Cemex SA de CV * 179,846
13,093 Cemex SA* 364,967
300,400 Cifra SA de CV, Series C* 572,863
81,900 Consorcio ARA SA 135,921
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ----------------------------------------------------------------------
<C> <S> <C>
Mexico (continued)
51,400 Controladora Comercial Mexicana SA $ 69,005
90,600 Fomento Economico Mexicano SA 405,118
56,600 Grupo Continental SA 82,568
93,900 Grupo Financiero Banamex Accival SA, Class O* 377,187
301,000 Grupo Financiero Bancomer SA, Class O* 125,364
74,615 Grupo Industrial Bimbo, Series A* 166,817
39,600 Grupo Industrial Saltillo, Class B 126,839
17,000 Grupo Mexico SA, Series B 84,371
72,000 Grupo Modelo SA de CV 197,885
9,800 Grupo Televisa SA, Sponsored GDR* 668,850
78,300 Kimberly-Clark de Mexico, Series A 306,247
20,500 Telefonos de Mexico, Sponsored ADR 2,306,250
7,100 Tubos de Acero de Mexico SA 96,294
----------
6,624,366
----------
Peru - 0.5%
44,138 Banco Continental 26,558
4,700 Compania de Minas Buenaventura SA, Sponsored ADR 75,494
3,200 Credicorp, Ltd. 38,400
9,000 Telefonica de Peru, Sponsored ADR 120,375
----------
260,827
----------
Philippines - 1.2%
329,600 Ayala Corp. 96,342
174,600 Ayala Land, Inc. 45,606
60,050 Manila Electric Co., Class B 171,785
16,700 Metropolitan Bank & Trust Co. 120,472
6,700 Philippine Long Distance Telephone Co. 170,833
83,000 SM Prime Holdings* 15,695
----------
620,733
----------
Poland - 1.2%
3,780 Bank Handlowy W Warszawie, GDR 55,970
18,700 Elektrim Spolka Akcyjna SA* 185,642
12,420 KGHM Polska Miedz SA, GDR 156,000
30,000 Telekomunikacja Polska SA, GDR 196,377
----------
593,989
----------
Russia - 2.6%
10,190 LUKoil Holding, Sponsored ADR 529,880
3,000 OAO Gazprom ADR 24,175
39,780 Surgutneftegaz, Sponsored ADR 676,260
8,600 Unified Energy Systems, GDR 103,200
----------
1,333,515
----------
South Africa - 8.1%
54,048 ABSA Group, Ltd. 242,557
2,700 Anglo American Platinum Corp., Ltd* 82,098
33,650 Barlow, Ltd. 242,391
11,300 De Beers Centenary 328,894
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-2
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------
<C> <S> <C>
South Africa (continued)
44,941 Dimension Data Holdings, Ltd. $ 282,068
14,200 Ellerine Holdings, Ltd. 75,041
14,400 Fedsure Holdings, Ltd. 117,073
251,200 FirstRand, Ltd. 359,442
52,000 Illovo Sugar, Ltd. 62,145
40,384 LA Retail Stores, Ltd. 41,042
13,455 Liberty Life Association of Africa, Ltd. 155,334
113,800 Malbak, Ltd. 86,044
203,100 Metro Cash and Carry, Ltd. 231,168
41,610 Nampak, Ltd. 123,478
58,000 Primedia, Ltd.* 71,676
125,000 Profurn Ltd.* 135,363
12,035 Rembrandt Group, Ltd. 114,675
167,700 Sanlam, Ltd. 234,512
28,500 Sappi, Ltd. 281,757
44,300 Sasol, Ltd. 363,765
22,797 South African Breweries, Ltd. 232,048
48,030 Standard Bank Investment Corp.* 199,541
----------
4,062,112
----------
South Korea - 12.6%
7,193 Daewoo Securities Co. 81,436
48,000 Hanvit Bank* 162,398
18,000 Hanwha Chemical Corp.* 158,432
25,436 Hyundai Electronics Industries Co.* 540,095
2,917 Hyundai Merchant Marine* 19,044
19,306 Kookmin Bank 302,772
4,009 Kookmin Bank, Sponsored GDR (A) 62,995
24,200 Korea Electric Power Corp. 750,519
3,000 Korea Electric Power Corp. ADR 50,250
110,500 Korea Exchange Bank* 423,502
1,600 Korea Telecom Corp.* 252,335
3,200 Korea Telecom Corp., Sponsored ADR 239,200
440 Pohang Iron & Steel Co., Ltd. 48,458
2,500 Pohang Iron & Steel Co., Ltd., Sponsored ADR 275,331
22,500 Samsung Corp.* 337,005
9,693 Samsung Electronics Co. 2,271,663
33,200 Shinhan Bank* 359,788
----------
6,335,223
----------
Taiwan - 9.1%
103,925 Acer, Inc., GDR 1,480,931
13,241 Asustek Computer, Inc., GDR 139,801
21,000 Far Eastern Textile, Ltd., GDR* 490,980
33,377 Siliconware Precision Industries Co., GDR 483,132
33,250 Synnex Technology International Corp., GDR* 873,940
19,210 Taiwan Semiconductor Manufacturing Co., ADR 864,450
10,000 Winbond Electronics Corp., GDR* 237,640
----------
4,570,874
----------
Thailand - 2.4%
18,000 Advanced Info Service Public Co., Ltd.* 303,037
27,500 Bangkok Bank Public Co., Ltd.* 69,592
6,600 Siam Cement Co., Ltd.* 220,117
197,000 TelecomAsia Corp., Public Co., Ltd.* 257,144
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ----------------------------------------------------------------------
<C> <S> <C>
Thailand (continued)
120,000 Thai Farmers Bank Public Co. Ltd.* $ 201,384
37,000 Total Access Communication Public Co., Ltd.* 145,780
----------
1,197,054
----------
Turkey - 4.5%
16,765,160 Akbank, TAS 492,821
3,100,000 Akcansa Cimento AS* 69,750
494,080 Ege Biracilik Ve Malt Sanayii AS* 37,649
779,360 Erciyas Biracilik Ve Malt* 37,228
3,700,000 Eregli Demir ve Celik Fabrikalari TAS* 152,810
5,977,405 Haci Omer Sabanci Holding, AS 345,927
1,210,000 Koc Holdings AS* 222,277
480,000 Migros Turk, TAS 308,653
2,500,000 Turkiye Garanti Bankasi AS* 37,663
19,130,723 Yapi ve Kredi Bankasi AS 588,719
----------
2,293,497
----------
Zimbabwe - 0.4%
1,240,000 Econet Wireless Holdings, Ltd.* 216,504
----------
Total Common Stocks 46,343,611
----------
(Cost $33,744,710)
PREFERRED STOCKS - 1.2%
Brazil - 1.0%
36,800,000 Banco Bradesco SA* 299,867
2,200,000 Bank Itau SA 189,024
----------
488,891
----------
Thailand - 0.2%
77,000 Siam Commercial Bank Public Company, Ltd.* 94,356
----------
Total Preferred Stocks 583,247
----------
(Cost $481,005)
INVESTMENT COMPANIES - 0.9%
Taiwan - 0.9%
40,100 R.O.C. Taiwan Fund* 338,344
6,500 Taiwan Fund, Inc.* 132,438
----------
Total Investment Companies 470,782
----------
(Cost $428,599)
RIGHTS - 0.9%
Brazil - 0.0%
2,389,574 Banco Bradesco SA* 8,610
----------
South Korea - 0.9%
2,000 Korea Telecom Corp.* 315,419
1,000 Pohang Iron And Steel Co., Ltd* 135,886
----------
451,305
----------
Total Rights 459,915
----------
(Cost $232,165)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-3
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------
<C> <S> <C>
WARRANTS - 0.4%
Mexico - 0.0%
1,000 Cemex SA, ADR, Warrants* $ 90
818 Cemex SA, Warrants* 21,370
-----------
21,460
-----------
Thailand - 0.4%
131,000 Bangkok Bank Public Co., Ltd.* 199,580
37,000 Siam Commercial Bank Public Company, Ltd.* 17,248
-----------
216,828
-----------
Total Warrants 238,288
-----------
(Cost $189,443)
Total Investments - 95.3% 48,095,843
-----------
(Cost $35,075,922)
Net Other Assets And Liabilities - 4.7% 2,356,433
-----------
Total Net Assets - 100.0% $50,452,276
===========
</TABLE>
- ------------------
* Non-income producing security.
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At December 31, 1999, these secu-
rities amounted to $62,995 or 0.1% of net assets.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
GDR Global Depositary Receipt. A negotiable certificate held in the bank of one
country representing a specific number of shares of a stock traded on an
exchange of another country.
Industry Concentration
of Total Investments
as a Percentage of Net
Assets:
<TABLE>
<S> <C>
Telephone Systems 19.7%
Banking 14.7
Electronics 9.7
Oil & Gas 5.3
Beverages, Food & Tobacco 5.0
Computers & Information 4.9
Electric Utilities 4.4
Metals 3.6
Computer Software &
Processing 2.9
Financial Services 2.6
Industrial - Diversified 2.2
Building Materials 2.2
Forest Products & Paper 1.9
Retailers 1.8
Pharmaceuticals 1.6
Food Retailers 1.5
Media - Broadcasting &
Publishing 1.4
Textiles, Clothing &
Fabrics 1.1
Heavy Machinery 1.1
Chemicals 1.0
Insurance 1.0
Investment Companies 0.9
Real Estate 0.8
Automotive 0.8
Communications 0.7
Industrial 0.7
Industrial-Diversified 0.4
Electrical Equipment 0.4
Mining 0.3
Commercial Services 0.2
Heavy Construction 0.2
Home Construction,
Furnishings & Appliances 0.1
Transportation 0.1
Entertainment & Leisure 0.1
Net Other Assets and
Liabilities 4.7
------
100.0%
======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-4
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
Currency Contracts To Settlement Contracts At In Exchange Unrealized
Value Deliver Date Value for U.S. $ Depreciation
-------- ------------ ---------- ------------ ----------- ------------
1,949,000 HKD 01/21/2000 $ 250,726 $ 244,214 $ (6,512)
============ =========== ============
- ------------------
HKD Hong Kong Dollars
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $35,506,314. Net unrealized appreciation (depreciation) aggregated
$12,589,529 of which $13,846,489 related to appreciated investment securities
and $(1,256,960) related to depreciated investment securities.
At December 31, 1999, the Portfolio had a capital loss carryforward of $390,392
which expires in 2006.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $30,489,421
and $17,629,658 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------
F-5
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
COMMON STOCKS - 98.4%
Electronics - 17.3%
675,200 Adaptec, Inc.* $33,675,600
41,700 ANADIGICS, Inc.* 1,967,719
217,500 Audiovox Corp.* 6,606,563
150,700 Credence Systems Corp.* 13,035,550
170,700 CTS Corp. 12,866,513
188,700 Electroglas, Inc.* 4,788,263
299,900 Helix Technology Corp. 13,439,269
331,600 Integrated Device Technology, Inc.* 9,616,400
222,100 KEMET Corp.* 10,008,381
517,800 Power Integrations, Inc. 24,822,038
366,600 RF Micro Devices, Inc. 25,089,188
23,500 Sanmina Corp.* 2,347,063
15,000 Semtech Corp.* 781,875
265,533 Three-Five Systems, Inc. 10,886,853
264,100 Trimble Navigation, Ltd.* 5,711,163
-----------
175,642,438
-----------
Computer Software & Processing - 14.1%
93,000 Broadvision, Inc. 15,815,800
324,200 Compuware Corp.* 12,076,450
93,900 CyberSource Corp.* 4,871,063
149,000 DST Systems, Inc.* 11,370,563
71,800 Electronics for Imaging, Inc.* 4,173,375
146,800 Netopia, Inc.* 7,973,075
36,700 Network Solutions, Inc.* 7,984,544
277,500 Rational Software Corp.* 13,632,188
766,600 S3, Inc.* 8,815,900
879,700 Sybase, Inc.* 14,954,900
243,700 Symantec Corp.* 14,286,913
163,700 USWeb Corp.* 7,274,419
103,400 VeriSign, Inc. 19,742,938
-----------
142,972,128
-----------
Communications - 7.2%
217,300 CTC Communications Group, Inc.* 8,478,090
269,100 Davox Corp.* 5,281,088
233,000 Exodus Communications, Inc. 20,693,313
255,400 Harmonic, Inc. 24,247,038
214,600 Sawtek, Inc. 14,284,313
-----------
72,983,842
-----------
Computers & Information - 6.8%
376,600 Advanced Digital Information Corp. 18,312,175
362,600 Mercury Computer Systems, Inc. 12,691,000
447,356 Siebel Systems, Inc. 37,577,904
-----------
68,581,079
-----------
Pharmaceuticals - 5.4%
212,700 Alpharma, Inc. Class A 6,540,525
118,000 Andrx Corp.* 4,992,875
115,000 Biogen, Inc. 9,717,500
119,300 Medimmune, Inc.* 19,788,888
215,200 Millipore Corp. 8,312,100
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------
Pharmaceuticals (Continued)
192,000 Priority Healthcare Corp. Class B* $5,556,000
----------
54,907,888
----------
Apparel Retailers - 4.6%
215,800 Abercrombie & Fitch Co., Class A 5,759,163
167,200 AnnTaylor Stores Corp.* 5,757,950
269,115 Intimate Brands, Inc. 11,605,584
334,800 Pacific Sunwear Of California, Inc.* 10,671,750
177,000 Timberland Co.* 9,358,875
173,300 Tommy Hilfiger Corp. 4,040,056
----------
47,193,378
----------
Media - Broadcasting & Publishing - 4.5%
138,000 Central Newspapers, Inc. 5,433,750
116,600 Hispanic Broadcasting Corp.* 10,752,712
435,800 Price Communications Corp.* 12,120,688
307,400 Valuevision International, Inc.* 17,617,863
----------
45,925,013
----------
Telephone Systems - 4.4%
192,700 BroadWing, Inc.* 7,105,812
95,400 Powertel, Inc.* 9,575,775
77,400 Rural Cellular Corp., Class A* 7,004,700
578,700 Talk.com, Inc.* 10,271,925
160,100 Western Wireless Corp., Class A* 10,686,675
----------
44,644,887
----------
Advertising - 3.9%
48,000 DoubleClick, Inc.* 12,147,000
197,200 TMP Worldwide Inc.* 27,879,150
----------
40,026,150
----------
Commercial Services - 3.4%
629,200 Danka Business Systems, Plc* 7,982,975
305,100 Manpower, Inc. 11,479,388
248,200 Profit Recovery Group International, Inc.* 6,577,300
213,200 Valassis Communications, Inc.* 9,007,700
----------
35,047,363
----------
Medical Supplies - 3.4%
193,200 Allergan, Inc. 9,611,700
409,300 LTX Corp.* 9,158,088
143,700 ResMed, Inc.* 5,999,475
187,400 Waters Corp. 9,932,200
----------
34,701,463
----------
Heavy Machinery - 2.6%
203,500 American Standard Companies, Inc.* 9,335,563
127,200 Briggs & Stratton Corp. 6,821,100
227,600 Dycom Industries, Inc.* 10,028,625
----------
26,185,288
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-6
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Restaurants - 2.1%
267,200 Applebee's International, Inc. $7,882,400
154,700 Brinker International, Inc.* 3,712,800
208,000 CEC Entertainment, Inc.* 5,902,000
212,500 Darden Restaurants, Inc. 3,851,563
----------
21,348,763
----------
Home Construction, Furnishings & Appliances - 2.0%
413,000 Furniture Brands International, Inc.* 9,086,000
122,500 Maytag Corp. 5,880,000
255,400 Miller (Herman), Inc. 5,874,200
----------
20,840,200
----------
Transportation - 2.0%
298,500 Avis Rent A Car, Inc.* 7,630,406
99,500 Hertz Corp. Class A 4,987,438
160,800 USFreightways Corp. 7,698,300
----------
20,316,144
----------
Financial Services - 1.9%
410,888 Metris Cos., Inc. 14,663,566
37,700 SEI Investment Co. 4,486,888
----------
19,150,454
----------
Forest Products & Paper - 1.8%
221,800 Boise Cascade Corp. 8,982,900
191,200 Willamette Industries, Inc. 8,878,850
----------
17,861,750
----------
Metals - 1.7%
314,200 CommScope, Inc.* 12,666,187
86,500 Nucor Corp. 4,741,281
----------
17,407,468
----------
Chemicals - 1.7%
191,400 Church & Dwight Co., Inc. 5,107,988
138,100 Sealed Air Corp.* 7,155,306
160,500 The Lubrizol Corp. 4,955,438
----------
17,218,732
----------
Banking - 1.5%
159,300 City National Corp. 5,246,944
165,100 Cullen/Frost Bankers, Inc. 4,251,325
310,800 Roslyn Bancorp, Inc. 5,749,800
----------
15,248,069
----------
Retailers - 1.5%
110,000 Drugstore.Com, Inc.* 3,980,625
223,400 Zale Corp.* 10,806,975
----------
14,787,600
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------------
Health Care Providers - 1.5%
415,100 Apria Healthcare Group Inc.* $ 7,445,856
1,908 Coram Healthcare Corp.* 2,146
353,700 Laser Vision Centers 3,735,956
84,400 Patterson Dental Co.* 3,587,000
--------------
14,770,958
--------------
Beverages, Food & Tobacco - 1.0%
358,800 IBP, Inc. 6,458,400
381,000 The Topps Co., Inc.* 3,952,875
--------------
10,411,275
--------------
Insurance - 0.7%
128,400 United Healthcare Corp. 6,821,250
--------------
Lodging - 0.6%
280,000 Station Casinos, Inc.* 6,282,500
--------------
Automotive - 0.5%
260,000 Meritor Automotive, Inc. 5,037,500
--------------
Oil & Gas - 0.3%
146,200 UTI Energy Corp.* 3,371,738
--------------
Total Common Stocks 999,685,318
--------------
(Cost $724,071,263)
<CAPTION>
Par Value
----------
<C> <S> <C>
COMMERCIAL PAPER (A) - 2.5%
Financial Services - 0.6%
$6,019,000 Associates Corp. of North America 4.00%,
01/03/00 6,016,994
--------------
Oil & Gas - 1.9%
19,588,000 Exxon Corp. 4.50%, 01/03/00 19,580,655
--------------
Total Commercial Paper 25,597,649
--------------
(Cost $25,597,649)
Total Investments - 100.9% 1,025,282,967
--------------
(Cost $749,668,912)
Net Other Assets And Liabilities - (0.9)% (9,584,051)
--------------
Total Net Assets - 100.0% $1,015,698,916
==============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase
See Notes to Financial Statements.
- --------------------------------------------
F-7
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $749,668,915. Net unrealized appreciation (depreciation) aggregated
$275,614,052 of which $305,699,607 related to appreciated investment securities
and $(30,085,555) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$882,678,848 and $916,071,365 of non-governmental issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$89,926,321. The value of collateral amounted to $92,597,758.
See Notes to Financial Statements.
------------------------------------------------------
F-8
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------------------
COMMON STOCKS - 96.0%
Computer Software & Processing - 15.3%
145,000 Affiliated Computer Services, Class A* $6,670,000
188,000 Ceridian Corp.* 4,053,750
217,000 CIBER, Inc.* 5,967,500
19,000 Citrix Systems, Inc.* 2,337,000
14,000 CNET Inc.* 794,500
10,100 eSPEED, Inc.* 359,181
81,500 Intuit, Inc. 4,884,906
148,000 Keane, Inc.* 4,699,000
112,500 National Data Corp. 3,817,969
250,500 NOVA Corp.* 7,906,406
127,000 Novell, Inc.* 5,072,063
145,000 Parametric Technology Corp.* 3,924,063
28,000 Peregrine Systems, Inc.* 2,357,250
41,000 Psinet, Inc.* 2,531,750
146,800 SunGard Data Systems, Inc.* 3,486,500
73,000 Synopsys, Inc.* 4,872,750
----------
63,734,588
----------
Pharmaceuticals - 9.8%
250,500 AmeriSource Health Corp., Class A 3,804,469
49,000 Biogen, Inc. 4,140,500
72,000 Gilead Sciences, Inc.* 3,897,000
35,500 Medimmune, Inc.* 5,888,563
100,000 Millipore Corp. 3,862,500
139,000 Mylan Laboratories 3,501,051
27,700 QLT Phototherapeutics Inc.* 1,627,375
85,000 Schein (Henry), Inc.* 1,131,563
31,500 Sepracor, Inc.* 3,124,406
108,000 Shire Pharmaceuticals Group, Plc, ADR* 3,145,500
90,000 Teva Pharmaceutical Industries, Ltd., Sponsored ADR 6,451,875
16,000 Watson Pharmaceuticals, Inc.* 573,000
----------
41,147,802
----------
Electronics - 9.7%
103,000 Analog Devices, Inc.* 9,579,000
33,000 Lattice Semiconductor Corp.* 1,555,125
98,000 Maxim Intergrated Products, Inc. 4,624,375
91,000 Molex Inc., Class A 4,117,750
25,000 PMC-Sierra, Inc. 4,007,813
25,000 Sanmina Corp.* 2,496,875
108,000 SCI Systems, Inc.* 8,876,250
112,000 Xilinx, Inc. 5,092,506
----------
40,349,694
----------
Retailers - 9.5%
158,500 BJ'S Wholesale Club, Inc.* 5,785,250
108,800 Borders Group, Inc.* 1,747,600
192,000 Circuit City Stores, Inc. 8,652,000
167,000 Consolidated Stores Corp.* 2,713,750
29,000 Costco Wholesale Corp.* 2,646,250
237,000 Family Dollar Stores, Inc. 3,866,063
114,000 MSC Industrial Co., Class A* 1,510,500
146,000 O'Reilly Automotive, Inc. 3,139,000
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
Retailers (continued)
133,000 Shopko Stores, Inc.* $3,059,000
104,500 Tech Data Corp.* 2,834,563
178,000 TJX Cos., Inc. 3,637,875
----------
39,591,851
----------
Telephone Systems - 8.4%
127,400 Crown Castle International Corp.* 4,092,725
78,500 Pinnacle Holdings, Inc.* 3,326,438
9,000 Tritel, Inc.* 285,188
106,000 VoiceStream Wireless Corp.* 15,085,125
184,000 Western Wireless Corp., Class A* 12,282,000
----------
35,071,476
----------
Medical Supplies - 4.4%
68,600 Danaher Corp. 3,309,950
29,000 KLA-Tencor Corp.* 3,229,875
374,000 Omnicare, Inc. 4,488,000
174,000 Sybron International Corp.* 4,295,625
58,000 Waters Corp. 3,074,000
----------
18,397,450
----------
Commercial Services - 4.3%
15,000 Affymetrix Inc.* 2,545,313
22,700 Apollo Group, Inc.* 455,419
37,000 Concord EFS, Inc. 952,750
108,500 Manpower, Inc. 4,082,313
292,500 Republic Services, Inc.* 4,204,688
60,000 Robert Half International, Inc.* 1,713,750
46,000 Sotheby's Holdings Inc. 1,380,000
142,500 United Rentals, Inc.* 2,440,313
----------
17,774,546
----------
Transportation - 3.7%
49,000 C.H. Robinson Worldwide Inc. 1,947,750
20,300 Expeditors International of Washington, Inc. 889,394
124,000 Galileo International, Inc. 3,712,250
100,000 Hertz Corp. Class A 5,012,500
79,500 Royal Caribbean Cruises, Ltd. 3,920,344
----------
15,482,238
----------
Insurance - 3.6%
146,000 ACE, Ltd. 2,436,375
36,000 E.W. Blanch Holdings, Inc. 2,205,000
58,000 MGIC Investment Corp. 3,490,875
102,000 Protective Life Corp. 3,244,875
75,000 Radian Group, Inc. 3,581,250
----------
14,958,375
----------
Financial Services - 3.6%
194,000 Federated Investors, Inc., Class B 3,892,125
196,000 Heller Financial, Inc. 3,932,250
20,000 NextCard, Inc.* 577,500
177,000 Waddell & Reed Financial, Class A 4,801,125
68,000 Waddell & Reed Financial, Class B 1,708,500
----------
14,911,500
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-9
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
Oil & Gas - 3.3%
179,000 BJ Services Co.* $7,484,438
133,500 Devon Energy Corp. 4,388,813
271,500 Ocean Energy, Inc.* 2,104,125
----------
13,977,376
----------
Media - Broadcasting & Publishing - 2.9%
10,000 Allegiance Telecom Inc.* 922,500
120,000 Charter Communications, Inc. Class-A* 2,625,000
102,500 Infinity Broadasting Corp., Class A* 3,709,219
83,000 Rogers Communications, Inc., Class B* 2,054,250
27,000 Univision Communications, Inc.* 2,759,063
----------
12,070,032
----------
Banking - 2.6%
83,500 Capital One Financial Corp. 4,023,656
124,000 CIT Group, Inc., Class A 2,619,500
39,000 First Tennessee National Corp. 1,111,500
167,000 North Fork Bancorp., Inc. 2,922,500
----------
10,677,156
----------
Heavy Machinery - 2.3%
117,000 Pentair, Inc. 4,504,500
100,200 Smith International, Inc.* 4,978,688
----------
9,483,188
----------
Restaurants - 1.9%
129,500 Outback Steakhouse, Inc.* 3,358,906
169,000 Viad Corp. 4,710,875
----------
8,069,781
----------
Advertising - 1.3%
47,300 Catalina Marketing Corp.* 5,474,975
----------
Textiles, Clothing & Fabrics - 1.3%
179,500 Jones Apparel Group, Inc.* 4,868,938
47,000 Warnaco Group, Inc. 578,688
----------
5,447,626
----------
Food Retailers - 1.3%
117,000 Whole Foods Market, Inc.* 5,425,875
----------
Beverages, Food & Tobacco - 1.2%
309,000 U.S. Foodservice, Inc. 5,175,750
----------
Health Care Providers - 1.2%
73,000 Wellpoint Health Networks Inc.* 4,813,438
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------------
Communications - 1.1%
40,000 ADC Telecommunications, Inc.* $ 2,902,500
28,000 McLeodUSA, Inc.* 1,648,500
------------
4,551,000
------------
Entertainment & Leisure - 1.0%
137,500 Premier Parks Inc.* 3,970,313
------------
Computers & Information - 0.7%
20,000 EarthLink Network, Inc.* 850,000
121,000 Quantum Corp.* 1,830,125
2,000 Safeguard Scientifics, Inc.* 324,125
------------
3,004,250
------------
Electrical Equipment - 0.6%
82,200 Teleflex, Inc. 2,573,888
------------
Chemicals - 0.5%
58,500 Great Lakes Chemical Corp. 2,233,969
------------
Building Materials - 0.5%
51,000 Martin Marietta Materials, Inc. 2,091,000
------------
Total Common Stocks 400,459,137
------------
(Cost $302,056,002)
<CAPTION>
Par Value
----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) - 3.3%
Fannie Mae - 1.4%
$5,950,000 5.00%, 01/21/00 5,932,646
Federal Home Loan Bank - 1.2%
5,000,000 5.82%, 03/22/00 4,926,442
Freddie Mac - 0.7%
2,812,000 5.61%, 01/27/00 2,790,966
------------
Total U.S. Government Agency Obligations 13,650,054
------------
(Cost $13,650,054)
Total Investments - 99.3% 414,109,191
------------
(Cost $315,706,056)
Net Other Assets And Liabilities - 0.7% 2,977,832
------------
Total Net Assets - 100.0% $417,087,023
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
------------------------------------------------------
F-10
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $315,775,185. Net unrealized appreciation (depreciation) aggregated
$98,334,006, of which $128,355,870 related to appreciated investment securities
and $(30,021,864) related to depreciated investment securities.
For the period ended December 31, 1999, the Portfolio has elected to defer
$2,599,303 of capital losses attributable to Post-October losses.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$214,226,542 and $199,474,840 of non-governmental issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$52,618,652. The value of collateral amounted to $54,179,521.
See Notes to Financial Statements.
- --------------------------------------------
F-11
<PAGE>
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------
COMMON STOCKS - 95.1%
Computer Software & Processing - 11.2%
166,600 Cabletron Systems, Inc.* $4,331,600
187,600 Comdisco, Inc. 6,988,100
59,800 Electronics for Imaging, Inc.* 3,475,875
134,700 Fiserv, Inc* 5,160,694
63,300 Psinet, Inc.* 3,908,775
176,100 Sterling Commerce Corp.* 5,998,406
78,600 Symantec Corp.* 4,607,925
----------
34,471,375
----------
Oil & Gas - 9.9%
189,400 Alberta Energy Co., Ltd. 5,930,588
90,500 Amerada Hess Corp. 5,135,875
120,000 Columbia Energy Group 7,590,000
118,400 Diamond Offshore Drilling, Inc. 3,618,600
102,300 Helmerich & Payne, Inc. 2,231,419
290,500 Kinder Morgan, Inc. 5,864,469
----------
30,370,951
----------
Commercial Services - 9.0%
251,500 Convergys Corp.* 7,733,625
93,900 H&R Block, Inc. 4,108,125
890,200 Republic Services, Inc.* 12,796,625
284,075 Safety-Kleen Corp.* 3,213,598
----------
27,851,973
----------
Electric Utilities - 6.7%
232,900 Illinova Corp. 8,093,275
211,100 Montana Power Co. 7,612,794
346,700 Niagara Mohawk Power Corp.* 4,832,131
----------
20,538,200
----------
Retailers - 6.5%
343,500 Consolidated Stores Corp.* 5,581,875
524,100 K Mart Corp.* 5,273,756
449,600 Rite Aid Corp. 5,029,900
181,600 Shopko Stores, Inc.* 4,176,800
----------
20,062,331
----------
Heavy Machinery - 6.3%
300,500 Applied Power, Inc., Class A 11,043,375
394,400 Pall Corp. 8,504,250
----------
19,547,625
----------
Insurance - 5.8%
290,800 Everest Reinsurance Holdings, Inc. 6,488,475
404,200 Humana, Inc.* 3,309,388
209,500 ReliaStar Financial Corp. 8,209,781
----------
18,007,644
----------
Banking - 5.6%
219,700 CIT Group, Inc., Class A 4,641,163
268,400 Dime Bancorp, Inc. 4,059,551
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
Banking (continued)
406,120 Sovereign Bancorp, Inc. $3,026,853
142,000 UnionBanCal Corp. 5,600,125
----------
17,327,692
----------
Telephone Systems - 4.7%
201,300 BroadWing, Inc. 7,422,938
56,800 Telephone & Data Systems, Inc. 7,156,800
----------
14,579,738
----------
Automotive - 3.7%
80,700 Borg-Warner Automotive, Inc. 3,268,350
210,028 Goodrich (B.F.) Co. 5,775,770
243,700 Tenneco Automotive, Inc. 2,269,456
----------
11,313,576
----------
Health Care Providers - 3.5%
322,700 Manor Care, Inc.* 5,163,200
84,700 Wellpoint Health Networks Inc.* 5,584,906
----------
10,748,106
----------
Beverages, Food & Tobacco - 3.2%
241,600 Keebler Food Co* 6,795,000
233,100 Whitman Corp. 3,132,281
----------
9,927,281
----------
Household Products - 2.7%
239,000 Fortune Brands Inc. 7,901,937
15,400 Snap-On, Inc. 409,063
----------
8,311,000
----------
Medical Supplies - 2.3%
181,500 Tektronix, Inc. 7,055,813
----------
Lodging - 2.1%
270,500 Starwood Hotels & Resorts Worldwide, Inc. 6,356,750
----------
Transportation - 1.8%
72,100 Kansas City Southern Industries, Inc. 5,380,463
----------
Restaurants - 1.5%
170,200 Viad Corp. 4,744,325
----------
Metals - 1.5%
368,300 MascoTech, Inc. 4,672,806
----------
Pharmaceuticals - 1.5%
559,500 Bergen Brunswig Corporation, Class A 4,650,844
----------
Forest Products & Paper - 1.5%
424,900 Pactiv Corp.* 4,514,563
----------
Computers & Information - 1.4%
292,800 Quantum Corp.* 4,428,600
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-12
<PAGE>
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
Electronics - 1.2%
48,200 Cypress Semiconductor Corp.* $ 1,560,472
71,700 Integrated Device Technology, Inc.* 2,079,300
-----------
3,639,772
-----------
Advertising - 1.2%
80,400 True North Communications Inc. 3,592,875
-----------
Industrial-Diversified - 0.3%
70,400 Johns Manville Corp. 985,600
-----------
Total Common Stocks 293,079,903
-----------
(Cost $290,085,189)
INVESTMENT COMPANY - 2.2%
808,800 John Hancock Bank & Thrift Opportunity Fund 6,824,250
-----------
Total Investment Company 6,824,250
-----------
(Cost $7,038,823)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS (A) - 1.7%
U.S. Treasury Bills - 1.7%
$4,000,000 4.93%, 01/13/00 $ 3,987,975
1,300,000 4.93%, 01/20/00 1,287,913
------------
Total U.S. Government Obligations 5,275,888
------------
(Cost $5,275,888)
Total Investments - 99.0% 305,180,041
------------
(Cost $302,399,900)
Net Other Assets and Liabilities - 1.0% 3,150,943
------------
Total Net Assets - 100.0% $308,330,984
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $303,659,594. Net unrealized appreciation (depreciation) aggregated
$1,520,447, of which $36,094,809 related to appreciated investment securities
and $(34,574,362) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$325,524,802 and $267,616,433 of non-governmental issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$19,084,168. The value of collateral amounted to $19,835,748.
See Notes to Financial Statements.
- --------------------------------------------
F-13
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
COMMON STOCKS - 97.3%
Australia - 3.7%
88,055 Brambles Industries, Ltd. $2,435,099
439,570 National Australia Bank, Ltd. 6,723,970
789,584 News Corp., Ltd. 7,666,703
966,300 Telstra Corp. 5,252,710
468,917 Westpac Banking Corp., Ltd. 3,234,589
----------
25,313,071
----------
Denmark - 0.6%
52,200 Tele Danmark 3,877,494
----------
France - 9.0%
39,337 Alcatel Alsthom 9,034,788
139,074 Aventis* 8,083,551
88,200 Axa 12,296,641
74,460 Michelin, Class B 2,925,295
91,210 Total SA, Class B 12,174,200
188,290 Vivendi 17,004,338
----------
61,518,813
----------
Germany - 7.6%
216,034 Bayerische Motoren Werke (BMW) AG 6,593,963
10,178 Celanese AG* 184,541
83,530 HypoVereinsbank 5,704,982
126,210 Mannesmann AG 30,449,576
124,770 Veba AG 6,064,421
160,472 Viag AG 2,942,062
----------
51,939,545
----------
Hong Kong - 1.2%
406,000 Cheung Kong Holdings Ltd. 5,157,905
295,500 Hong Kong Electric 923,792
224,000 Sun Hung Kai Properties Ltd. 2,334,237
----------
8,415,934
----------
Italy - 2.8%
624,970 ENI 3,437,460
1,125,852 Telecom Italia 15,877,891
----------
19,315,351
----------
Japan - 23.8%
27,100 Acom Co., Ltd. 2,656,394
185,000 Bank of Tokyo Mitsubishi 2,579,714
402,000 Canon, Inc. 15,982,354
152,000 Fuji Photo Film 5,551,906
450,000 Hitachi Ltd (Hit. Seisakusho)* 7,226,775
109,000 Honda Motor Co., Ltd. 4,056,010
33,000 Hoya Corp. 2,601,350
249,500 Kao Corp. 7,121,928
10,300 Keyence Corp. 4,185,761
11,800 Mabuchi Motor Co., Ltd. 2,060,262
100,000 Murata Manufacturing Co., Ltd. 23,501,760
290 Nippon Telegraph & Telephone Corp.* 4,969,644
538 NTT Mobile Communication Network, Inc. 20,704,465
112,000 Pioneer Corp.* 2,961,224
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
Japan (continued)
24,100 Rohm Co., Ltd. $ 9,911,867
205,000 Shiseido Co., Ltd. 2,991,094
89,400 Sony Corp. 26,525,856
260,000 Takeda Chemical Industries, Ltd. 12,857,416
23,600 Takefuji Corp. 2,955,777
-----------
161,401,557
-----------
Netherlands - 9.7%
262,287 ABN-Amro Holdings 6,552,559
175,495 Elsevier NV 2,096,674
103,015 Fortis (NL) NV* 3,709,869
331,092 ING Groep NV 19,991,600
223,385 Koninklijke Ahold, NV 6,613,559
147,885 Koninklijke, NV 14,435,439
101,700 Royal Dutch Petroleum Co. 6,233,956
129,160 TNT Post Group, NV 3,701,622
46,350 VNU NV* 2,436,328
-----------
65,771,606
-----------
New Zealand - 0.2%
221,966 Telecom Corp. Of New Zealand, Ltd. 1,044,594
-----------
Portugal - 0.3%
106,317 Electricidade de Portugal 1,856,018
-----------
Singapore - 2.4%
606,075 DBS Group Holdings Ltd. 9,943,448
254,200 Overseas Chinese Banking Corp. 2,337,293
173,000 Singapore Press Holdings, Ltd. 3,753,183
-----------
16,033,924
-----------
South Korea - 1.0%
57,475 Korea Telecom Corp., Sponsored ADR 4,296,256
71,600 Pohang Iron & Steel Co., Sponsored ADR 2,506,000
-----------
6,802,256
-----------
Spain - 2.5%
695,214 Banco de Santander 7,871,700
369,372 Telefonica SA 9,227,799
-----------
17,099,499
-----------
Sweden - 0.5%
51,250 Ericsson AB 3,298,865
-----------
Switzerland - 8.6%
4,225 Alusuisse Lonza Holdings, Registered 3,116,063
4,225 Lonza AG, Registered* 2,569,293
6,105 Nestle SA 11,187,514
7,094 Novartis AG 10,419,508
922 Roche Holdings AG 10,947,230
5,425 Schweiz Rueckversich Sponsored ADR 11,147,867
32,920 Union Bank of Switzerland 8,892,824
-----------
58,280,299
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-14
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------
United Kingdom - 23.4%
694,125 Allied Zurich, Plc $8,233,503
369,150 Barclays Bank, Plc 10,654,518
39,306 British Aerospace Plc* 260,431
692,575 British American Tobacco Industries, Plc 3,875,304
1,163,300 BTR Siebe, Plc, Sponsored ADR 6,297,757
678,500 Cable & Wireless, Plc 11,480,084
769,960 Cadbury Schweppes, Plc 4,522,976
746,290 Diageo, Plc 6,000,022
239,631 EMI Group, Plc 2,337,049
420,075 Glaxo Wellcome, Plc 11,907,110
835,692 Granada Group, Plc 8,427,118
254,400 HSBC Holdings, Plc 3,567,426
891,000 Ladbroke Group, Plc 2,811,372
676,840 Lloyds TSB Group, Plc 8,455,018
91,667 Marconi, Plc 1,622,836
124,178 National Power, Plc 714,408
215,585 National Westminster, Plc 4,644,067
539,100 Old Mutual Plc* 1,433,143
178,670 Pearson, Plc 5,797,824
716,050 Prudential Corp., Plc 14,059,499
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
United Kingdom (continued)
102,460 Railtrack Group, Plc $ 1,680,621
1,359,963 Shell Transportation & Trading, Plc 11,301,837
286,400 TI Group, Plc 2,129,012
3,772,551 Vodafone AirTouch, Plc 18,609,617
189,675 Zeneca Group, Plc 7,871,456
------------
158,694,008
------------
Total Common Stocks 660,662,834
------------
(Cost $430,164,521)
Total Investments - 97.3% 660,662,834
------------
(Cost $430,164,521)
Net Other Assets and Liabilities - 2.7% 18,677,714
------------
Total Net Assets - 100.0% $679,340,548
============
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
Industry Concentration of Common Stocks
as a Percentage of Net Assets:
<TABLE>
<S> <C>
Telephone Systems 14.1%
Banking 12.2%
Pharmaceuticals 7.9%
Electronics 7.7%
Insurance 7.5%
Electrical Equipment 5.6%
Oil & Gas 4.9%
Communications 4.7%
Heavy Machinery 4.5%
Media - Broadcasting & Publishing 4.4%
Beverages, Food & Tobacco 3.8%
Commercial Services 2.9%
Automotive 2.3%
Industrial - Diversified 1.7%
Chemicals 1.7%
Financial Services 1.6%
Medical Supplies 1.6%
Securities Broker 1.5%
Electric Utilities 1.4%
Real Estate 1.1%
Cosmetics & Personal Care 1.0%
Food Retailers 1.0%
Metals 0.8%
Entertainment & Leisure 0.8%
Transportation 0.6%
Aerospace & Defense 0.0%
Net Other Assets and Liabilities 2.7%
------
Total 100.0%
======
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-15
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
-------- ------------ ---------- ------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
1,100,790,000 JPY 01/18/2000 $ 10,810,500 $ 10,393,341 $ (417,159)
586,452,000 JPY 02/09/2000 5,779,722 5,651,188 (128,534)
766,444,000 JPY 02/18/2000 7,564,541 7,383,854 (180,687)
658,958,000 JPY 02/24/2000 6,509,969 6,307,810 (202,159)
456,933,000 JPY 02/29/2000 4,517,760 4,465,180 (52,580)
------------- ------------- --------------
$ 35,182,492 $ 34,201,373 $ (981,119)
============= ============= ==============
</TABLE>
- ------------------
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $430,200,591. Net unrealized appreciation (depreciation) aggregated
$230,462,243, of which $244,702,496 related to appreciated investment securi-
ties and $(14,240,253) related to depreciated investment securities.
For the period ended December 31, 1999, the Portfolio has elected to defer
$493,963 of capital losses attributable to Post-October losses.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$112,633,284 and $96,044,778 of non-governmental issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$46,287,292. The value of collateral amounted to $48,600,244.
See Notes to Financial Statements.
------------------------------------------------------
F-16
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
COMMON STOCKS - 97.5%
Computer Software & Processing - 13.6%
50,100 Amazon.Com, Inc.* $ 3,813,863
324,900 America Online, Inc. 24,509,644
153,000 BMC Software, Inc.* 12,230,438
88,900 Electronic Data Systems Corp. 5,950,744
522,500 Microsoft Corp. 61,001,875
161,600 Oracle Corp.* 18,109,300
253,200 Sun Microsystems, Inc. 19,607,175
45,400 VERITAS Software Corp. 6,497,875
32,359 Yahoo!, Inc.* 14,001,335
-----------
165,722,249
-----------
Telephone Systems - 8.0%
145,700 Alltel Corp. 12,047,569
483,100 AT & T Corp. - Liberty Media Group, Class A 27,415,925
102,600 MCI WorldCom, Inc. 5,444,213
232,000 SBC Communications, Inc. 11,310,000
385,300 Sprint Corp. 25,935,507
96,800 Sprint Corp. (PCS Group)* 9,922,000
35,400 VoiceStream Wireless Corp.* 5,037,863
-----------
97,113,077
-----------
Pharmaceuticals - 7.8%
213,800 AMGEN Inc. 12,841,363
63,600 Biogen, Inc. 5,374,200
181,700 Bristol-Myers Squibb Co. 11,662,869
35,800 Genentech, Inc. 4,815,100
48,000 Immunex Corp. 5,256,000
190,900 Johnson & Johnson 17,777,563
433,100 Schering-Plough Corp. 18,271,406
230,900 Warner-Lambert Co. 18,919,369
-----------
94,917,870
-----------
Computers & Information - 7.6%
105,700 Apple Computer, Inc.* 10,867,281
283,700 Cisco Systems, Inc. 30,391,363
41,200 Comverse Technology, Inc. 5,963,700
246,800 Dell Computer Corp.* 12,586,800
135,000 EMC Corp. 14,748,750
37,500 Lexmark International Group, Inc. 3,393,750
155,300 Solectron Corp.* 14,772,900
-----------
92,724,544
-----------
Communications - 6.7%
299,500 Lucent Technologies, Inc. 22,406,344
115,800 Nextel Communications, Inc., Class A* 11,941,875
108,100 Nokia Oyj Corp., Sponsored ADR 20,539,000
39,300 Omnipoint Corp.* 4,740,563
112,100 Qualcomm, Inc. 19,743,612
37,400 Tellabs, Inc. 2,400,612
-----------
81,772,006
-----------
Media - Broadcasting & Publishing - 6.3%
206,600 CBS Corp.* 13,209,488
188,900 Clear Channel Communications, Inc.* 16,859,325
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------------
Media - Broadcasting & Publishing (Continued)
205,800 Comcast Corp., Class A $10,405,763
213,500 Time Warner, Inc. 15,465,406
347,300 Viacom, Inc., Class B 20,989,944
-----------
76,929,926
-----------
Industrial - Diversified - 6.2%
315,000 General Electric Co. 48,746,250
699,000 Tyco International Group SA 27,173,625
-----------
75,919,875
-----------
Banking - 6.2%
120,700 Capital One Financial Corp. 5,816,231
472,450 Citigroup, Inc. 26,250,503
30,900 Comerica, Inc. 1,442,644
151,700 Fifth Third Bancorp 11,130,988
201,500 First Security Corp. 5,144,557
511,900 Firstar Corp. 10,813,888
59,000 Northern Trust Corp. 3,127,000
174,000 Wells Fargo Co. 7,036,125
70,200 Zions Bancorp. 4,154,963
-----------
74,916,899
-----------
Retailers - 6.0%
24,980 Costco Wholesale Corp.* 2,272,125
165,900 CVS Corp. 6,625,631
167,700 Dayton-Hudson Corp. 12,315,469
222,500 Tandy Corp. 10,944,219
479,700 TJX Cos., Inc. 9,803,869
451,600 Wal-Mart Stores, Inc. 31,216,850
-----------
73,178,163
-----------
Electronics - 5.2%
178,400 Intel Corp. 14,684,550
215,700 Motorola, Inc. 31,761,825
86,600 Texas Instruments, Inc. 8,389,375
176,000 Xilinx, Inc. 8,002,509
-----------
62,838,259
-----------
Oil & Gas - 4.7%
123,900 Burlington Resources, Inc. 4,096,444
401,900 Conoco, Inc., Class A 9,947,025
355,200 Enron Corp. 15,762,000
209,000 Exxon Corp. 16,837,563
179,800 Royal Dutch Petroleum Co. 10,866,663
-----------
57,509,695
-----------
Building Materials - 2.8%
505,650 Home Depot, Inc. 34,668,628
-----------
Insurance - 2.8%
117,500 American General Corp. 8,915,313
205,750 American International Group, Inc. 22,246,719
71,200 Lincoln National Corp. 2,848,000
-----------
34,010,032
-----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-17
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
Financial Services - 2.1%
92,200 American Express Co. $ 15,328,250
106,400 Providian Financial Corp. 9,689,050
-------------
25,017,300
-------------
Heavy Machinery - 1.9%
95,000 Applied Materials, Inc.* 12,035,313
164,900 United Technologies Corp. 10,718,500
-------------
22,753,813
-------------
Cosmetics & Personal Care - 1.8%
180,700 Colgate-Palmolive Co. 11,745,500
203,300 Estee Lauder Cos., Inc., Class A 10,253,944
-------------
21,999,444
-------------
Advertising - 1.8%
267,700 Interpublic Group of Companies, Inc. 15,442,944
60,600 Omnicom Group, Inc. 6,060,000
-------------
21,502,944
-------------
Medical Supplies - 1.8%
87,600 Allergan, Inc. 4,358,100
63,000 Bausch & Lomb, Inc. 4,311,563
79,200 JDS Uniphase Corp. 12,775,950
-------------
21,445,613
-------------
Chemicals - 1.2%
28,800 Avery Dennison Corp. 2,098,800
161,700 Praxair, Inc. 8,135,531
76,800 Sealed Air Corp.* 3,979,200
-------------
14,213,531
-------------
Forest Products & Paper - 1.1%
122,400 Kimberly-Clark Corp. 7,986,600
77,700 Weyerhaeuser Co. 5,579,831
-------------
13,566,431
-------------
Beverages, Food & Tobacco - 0.8%
65,800 Anheuser-Busch Companies, Inc. 4,663,575
135,200 Sysco Corp. 5,348,850
-------------
10,012,425
-------------
Household Products - 0.6%
52,300 Corning, Inc. 6,743,431
-------------
Entertainment & Leisure - 0.3%
73,100 Carnival Corp. 3,495,094
-------------
Automotive - 0.2%
55,400 Rockwell International Corp. 2,652,275
-------------
Total Common Stocks 1,185,623,524
-------------
(Cost $805,796,415)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------
COMMERCIAL PAPER (A) - 0.9%
Financial Services - 0.2%
$3,000,000 Trident Capital Finance
6.20%, 01/19/00 $ 2,975,717
--------------
Securities Broker - 0.5%
6,000,000 Morgan Stanley Dean Witter & Co.
5.43%, 01/31/00 5,817,190
--------------
Miscellaneous - 0.2%
3,000,000 Arizona Student Loan
7.05%, 01/05/00 2,995,888
--------------
Total Commercial Paper 11,788,795
--------------
(Cost $11,788,795)
U.S. GOVERNMENT OBLIGATIONS - 0.8%
U.S. Treasury Note - 0.8%
9,550,000 5.88%, 10/31/2001 9,490,313
--------------
Total U.S. Government Obligations 9,490,313
--------------
(Cost $9,547,399)
CORPORATE DEBT - 0.6%
Chemicals - 0.4%
5,000,000 Du Pont (E.I.) De Nemours and Co.
6.63%, 08/29/00 5,006,500
--------------
Automotive - 0.1%
1,100,000 Ford Motor Credit Corp.
6.25%, 11/08/00 1,096,291
--------------
Securities Broker - 0.1%
1,300,000 Paine Webber Group, Inc.
5.83%, 01/25/01 1,280,959
--------------
Total Corporate Debt 7,383,750
--------------
(Cost $7,432,697)
<CAPTION>
Shares
----------
<C> <S> <C>
INVESTMENT COMPANY - 0.7%
8,200,297 SSgA Prime Money Market Fund 8,200,297
--------------
Total Investment Company 8,200,297
--------------
(Cost $8,200,297)
Total Investments - 100.5% 1,222,486,679
--------------
(Cost $842,765,603)
Net Other Assets and Liabilities - (0.5)% (6,121,581)
--------------
Total Net Assets - 100.0% $1,216,365,098
==============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
------------------------------------------------------
F-18
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $842,983,539. Net unrealized appreciation (depreciation) aggregated
$379,503,140, of which $393,624,286 related to appreciated investment securi-
ties and $(14,121,146) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$888,517,080 and $762,884,917 of non-governmental issuers, respectively, and
$25,457,855 and $32,772,866 of U.S. Government and Agency issuers, respective-
ly.
At December 31, 1999, the value of the securities loaned amounted to
$66,380,117. The value of collateral amounted to $67,994,306.
See Notes to Financial Statements.
- --------------------------------------------
F-19
<PAGE>
Select Strategic Growth Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------
COMMON STOCKS - 87.6%
Computer Software & Processing - 15.9%
4,500 Electronic Data Systems Corp. $ 301,219
25,800 J.D. Edwards & Co.* 770,775
45,000 Novell, Inc.* 1,797,187
13,800 Oracle Corp.* 1,546,463
8,300 Synopsys, Inc.* 554,025
----------
4,969,669
----------
Pharmaceuticals - 10.5%
25,300 Abbott Laboratories 918,706
24,400 American Home Products Corp. 962,275
24,100 Elan Corp., Plc, Sponsored ADR 710,950
19,000 Watson Pharmaceuticals, Inc.* 680,438
----------
3,272,369
----------
Commercial Services - 8.0%
21,400 Equifax, Inc. 504,238
23,700 First Data Corp. 1,168,706
22,100 Manpower, Inc. 831,512
----------
2,504,456
----------
Computers & Information - 7.6%
32,000 3Com Corp.* 1,504,000
32,500 Compaq Computer Corp. 879,531
----------
2,383,531
----------
Oil & Gas - 6.9%
27,500 Conoco, Inc., Class B 684,063
12,500 Schlumberger, Ltd. 703,125
22,920 Transocean Sedco Forex Inc. 772,118
----------
2,159,306
----------
Apparel Retailers - 5.7%
26,000 Abercrombie & Fitch Co., Class A* 693,875
25,300 Limited, Inc. 1,095,806
----------
1,789,681
----------
Banking - 4.2%
12,000 First Union Corp. 393,750
15,000 ING Groep NV-ADR 915,000
----------
1,308,750
----------
Insurance - 4.1%
23,000 Allstate Corp. 552,000
14,000 MBIA, Inc. 739,375
----------
1,291,375
----------
Telephone Systems - 4.1%
25,000 AT & T Corp. 1,268,750
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------------------
Medical Supplies - 3.3%
8,500 Baxter International, Inc. $ 533,906
15,500 Mallinckrodt, Inc. 493,094
-----------
1,027,000
-----------
Electrical Equipment - 3.0%
6,992 Koninklijke (Royal) Phillips Electronics NV, ADR 943,920
-----------
Retailers - 2.8%
15,400 Neiman Marcus Group, Inc.* 430,237
41,100 Office Depot, Inc. 449,531
-----------
879,768
-----------
Household Products - 2.4%
29,500 Owens-Illinois, Inc.* 739,344
-----------
Mining - 2.3%
24,800 De Beers Consolidated Mines, ADR 717,650
-----------
Restaurants - 1.9%
24,000 Brinker International, Inc.* 576,000
-----------
Transportation - 1.5%
19,500 Ryder System, Inc. 476,531
-----------
Beverages, Food & Tobacco - 1.3%
17,500 Philip Morris Cos., Inc. 405,781
-----------
Textiles, Clothing & Fabrics - 1.1%
28,000 Warnaco Group, Inc. 344,750
-----------
Home Construction, Furnishings & Appliances - 1.0%
9,700 Lear Corp.* 310,400
-----------
Communications - 0.0%
1 ComSat Corp. 19
-----------
Total Common Stocks 27,369,050
-----------
(Cost $24,221,019)
Total Investments - 87.6% 27,369,050
-----------
(Cost $24,221,019)
Net Other Assets and Liabilities - 12.4% 3,884,931
-----------
Total Net Assets - 100.0% $31,253,981
===========
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
------------------------------------------------------
F-20
<PAGE>
Select Strategic Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $24,221,018. Net unrealized appreciation (depreciation) aggregated
$3,148,032, of which $5,386,097 related to appreciated investment securities
and $(2,238,065) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $21,740,747
and $11,425,717 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------
F-21
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
COMMON STOCKS - 97.1%
Computer Software & Processing - 11.3%
12,200 Adobe Systems, Inc. $ 820,450
227,300 America Online, Inc. 17,146,944
56,000 Automatic Data Processing, Inc. 3,017,000
29,600 BMC Software, Inc.* 2,366,150
9,100 Citrix Systems, Inc.* 1,119,300
43,000 Electronic Data Systems Corp. 2,878,313
415,700 Microsoft Corp.* 48,532,941
14,200 Networks Associates, Inc.* 378,963
32,800 Novell, Inc.* 1,309,950
1,000 Oracle Corp.* 112,063
171,100 Sun Microsystems, Inc. 13,249,556
10,300 Yahoo!, Inc.* 4,456,681
-----------
95,388,311
-----------
Telephone Systems - 7.9%
111,600 AT & T Corp. 5,663,700
164,500 AT & T Corp. - Liberty Media Group, Class A 9,335,375
66,200 Bell Atlantic Corp. 4,075,438
78,500 Global Crossing, Ltd.* 3,925,000
106,400 GTE Corp. 7,507,850
37,500 Level 3 Communications, Inc.* 3,070,313
306,000 MCI WorldCom, Inc. 16,237,125
351,800 SBC Communications, Inc. 17,150,250
100 Sprint Corp. (PCS Group)* 10,250
-----------
66,975,301
-----------
Pharmaceuticals - 7.0%
184,400 Abbott Laboratories 6,696,025
17,500 ALZA Corp., Class A* 605,938
212,800 American Home Products Corp. 8,392,300
248,600 Bristol-Myers Squibb Co. 15,957,013
15,200 Forest Laboratories, Inc.* 933,850
14,500 Genzyme Corp.* 652,500
2,600 Human Genome Sciences, Inc.* 396,825
5,000 IDEC Pharmaceuticals Corp. 491,250
5,200 Johnson & Johnson 484,250
173,900 Lilly (Eli) & Co. 11,564,350
48,500 Merck & Co., Inc. 3,252,531
25,300 Pfizer, Inc. 820,669
105,400 Warner-Lambert Co. 8,636,213
17,500 Watson Pharmaceuticals, Inc.* 626,719
-----------
59,510,433
-----------
Computers & Information - 7.0%
19,800 3Com Corp.* 930,600
298,100 Cisco Systems, Inc. 31,933,963
124,200 Compaq Computer Corp. 3,361,163
400 Dell Computer Corp.* 20,400
126,400 EMC Corp. 13,809,200
47,100 International Business Machines Corp. 5,086,800
13,000 Lexmark International Group, Inc.* 1,176,500
32,400 Quantum Corp.* 490,050
21,800 Seagate Technology, Inc.* 1,015,063
22,700 Symbol Technologies, Inc. 1,442,869
-----------
59,266,608
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
Banking - 7.0%
54,600 Amsouth Bancorp. $ 1,054,463
8,900 Associated Banc Corp. 304,825
101,700 Associates First Capital Corp., Class A 2,790,394
4,000 Astoria Financial Corp. 121,750
161,300 Banc One Corp. 5,171,681
219,900 Bank of America Corp. 11,036,231
30,100 Charter One Financial, Inc. 575,663
33,000 CIT Group, Inc., Class A 697,125
74,700 Citigroup, Inc. 4,150,519
21,700 Comerica, Inc. 1,013,119
8,800 Commerce Bancshares, Inc. 298,100
18,100 Compass Bancshares, Inc. 403,856
28,900 Dime Bancorp, Inc. 437,113
11,800 FirstMerit Corp. 271,400
17,900 First Tennessee National Corp. 510,150
156,200 First Union Corp. 5,125,313
132,300 Firstar Corp. 2,794,838
128,500 Fleet Boston Financial Corp. 4,473,406
21,600 Golden West Financial Corp. 723,600
17,600 Greenpoint Financial Corp. 419,100
22,100 Hibernia Corp., Class A 234,813
31,300 Huntington Bancshares, Inc. 747,288
62,800 KeyCorp 1,389,450
1,100 M&T Bank Corp. 455,675
8,400 Mercantile Bankshares Corp. 268,275
85,200 National City Corp. 2,018,175
18,900 North Fork Bancorp., Inc. 330,750
13,700 Peoples Heritage Financial Group, Inc. 206,356
47,500 PNC Bank Corp. 2,113,750
34,000 Regions Financial Corp. 854,250
23,300 Southtrust Corp. 881,031
18,900 Sovereign Bancorp, Inc. 140,864
23,300 Summit Bancorp 713,563
11,500 TCF Financial Corp. 286,063
19,700 Union Planters Corp. 776,919
108,500 U.S. Bancorp. 2,583,656
92,900 Washington Mutual, Inc. 2,415,400
-----------
58,788,924
-----------
Electronics - 6.1%
29,500 Emerson Electric Co. 1,692,563
325,400 Intel Corp. 26,784,488
66,000 Motorola, Inc. 9,718,500
17,400 National Semiconductor Corp.* 744,938
42,000 Raytheon Co., Class A 1,042,125
12,300 Raytheon Co., Class B 326,719
113,800 Texas Instruments, Inc. 11,024,375
-----------
51,333,708
-----------
Oil & Gas - 5.4%
59,100 Chevron Corp. 5,119,538
13,100 Columbia Energy Group 828,575
23,700 Conoco, Inc., Class A 586,575
11,700 Ensco International, Inc. 267,638
304,800 Exxon Corp. 24,555,450
20,400 Global Marine, Inc.* 339,150
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-22
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Oil & Gas - (continued)
13,700 Phillips Petroleum Co. $ 643,900
196,300 Royal Dutch Petroleum Co. 11,863,881
22,200 R&B Falcon Corp.* 294,150
3,800 Texaco, Inc. 206,388
17,900 Tosco Corp. 486,656
10,200 Ultramar Diamond Shamrock Corp. 231,413
23,600 Union Pacific Resources Group, Inc. 300,900
----------
45,724,214
----------
Industrial - Diversified - 5.0%
216,600 General Electric Co. 33,518,850
224,400 Tyco International Group SA 8,723,550
----------
42,242,400
----------
Beverages, Food & Tobacco - 4.2%
16,200 Best Foods 851,513
69,000 Coca-Cola Co. 4,019,250
44,400 General Mills, Inc. 1,587,300
19,600 Hershey Foods Corp. 931,000
52,200 H.J. Heinz Co. 2,078,213
59,400 Nabisco Group Holdings Corp., Class A 1,878,525
377,200 Philip Morris Cos., Inc. 8,746,325
83,800 Safeway, Inc.* 2,980,138
127,700 Sara Lee Corp. 2,817,381
126,400 Seagram Co., Ltd. 5,680,100
75,300 Unilever NV 4,099,144
----------
35,668,889
----------
Retailers - 4.0%
15,700 Circuit City Stores, Inc. 707,481
7,400 CVS Corp. 295,538
74,800 Dayton-Hudson Corp. 5,493,125
37,400 Federated Department Stores, Inc.* 1,891,038
44,000 J.C. Penney Co., Inc. 877,250
82,600 K Mart Corp.* 831,163
54,300 May Department Stores Co. 1,751,175
60,600 TJX Cos., Inc. 1,238,513
296,300 Wal-Mart Stores, Inc. 20,481,738
----------
33,567,021
----------
Communications - 3.4%
14,400 Exodus Communications, Inc. 1,278,900
276,800 Lucent Technologies, Inc. 20,708,100
14,200 Nortel Networks Corp. 1,434,200
28,000 Qualcomm, Inc. 4,931,500
----------
28,352,700
----------
Insurance - 3.1%
32,700 Aetna, Inc. 1,825,069
199,700 Allstate Corp. 4,792,800
17,500 AMBAC, Inc. 913,281
27,400 American International Group, Inc. 2,962,625
64,200 AON Corp. 2,568,000
24,400 AXA Financial, Inc. 826,550
27,700 CIGNA Corp. 2,231,581
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
Insurance - (continued)
56,300 Hartford Financial Services Group, Inc. $2,667,213
900 Lincoln National Corp. 36,000
25,200 MBIA, Inc. 1,330,875
9,200 Mercury General Corp. 204,700
34,800 SAFECO Corp. 865,650
50,200 St. Paul Cos. 1,691,113
27,100 Torchmark Corp. 787,594
14,700 Travelers Property Casualty Corp. 503,475
200 United Healthcare Corp. 10,625
63,100 UnumProvident Corp. 2,023,144
----------
26,240,295
----------
Media - Broadcasting & Publishing - 3.1%
95,500 Comcast Corp., Class A 4,828,719
66,900 Gannett Co., Inc. 5,456,531
24,700 Knight-Ridder, Inc. 1,469,650
143,300 MediaOne Group, Inc.* 11,007,231
37,500 New York Times Co., Class A 1,842,188
20,400 Times Mirror Co., Class A 1,366,800
272 Washington Post Co., Class B 151,198
----------
26,122,317
----------
Cosmetics & Personal Care - 2.9%
34,900 Clorox Co. 1,758,088
130,200 Gillette Co. 5,362,613
159,200 Procter & Gamble Co. 17,442,350
5 Water Pik Tecnologies, Inc.* 48
----------
24,563,099
----------
Electric Utilities - 2.0%
19,700 Allegheny Energy, Inc. 530,669
46,700 Carolina Power & Light Co. 1,421,431
85,200 Central & South West Corp. 1,704,000
25,600 CINergy Corp. 617,600
17,600 CMS Energy Corp. 548,900
53,600 Dominion Resources, Inc. 2,103,800
23,400 DTE Energy Co. 734,175
7,000 Entergy Corp. 180,250
25,400 Florida Power & Light Group Capital, Inc. 1,087,438
20,200 GPU, Inc. 604,738
19,900 NiSource, Inc. 355,713
54,700 Northern States Power Co. 1,066,650
64,000 PG&E Corp. 1,312,000
13,300 Pinnacle West Capital, Corp. 406,481
24,300 PP&L Resources, Inc. 555,863
39,400 Reliant Energy, Inc. 901,275
21,700 TECO Energy, Inc. 402,806
45,600 Texas Utilities Co. 1,621,650
6,500 Unicom Corp. 217,750
18,600 Wisconsin Energy Corp. 358,050
----------
16,731,239
----------
Automotive - 1.8%
33,900 Dana Corp. 1,014,881
110,500 Delphi Automotive Systems Corp. 1,740,375
159,600 Ford Motor Co. 8,528,625
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-23
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------
Automotive - (continued)
36,300 Genuine Parts Co. $ 900,694
10,600 Goodrich (B.F.) Co. 291,500
31,800 Goodyear Tire & Rubber Co. 896,363
24,500 ITT Industries, Inc. 819,219
15,900 Paccar, Inc. 704,569
-----------
14,896,226
-----------
Financial Services - 1.7%
15,200 Countrywide Credit Industries, Inc. 383,800
87,700 Fannie Mae 5,475,769
10,000 Finova Group, Inc. 355,000
20,300 Franklin Resources, Inc. 650,869
98,600 Freddie Mac 4,640,363
65,400 Household International, Inc. 2,436,150
3,400 Wilmington Trust Corp. 164,050
-----------
14,106,001
-----------
Chemicals - 1.6%
73,000 Air Products & Chemicals, Inc. 2,450,063
32,300 IMC Global, Inc. 528,913
45,300 Lyondell Chemical Co. 577,575
163,600 Monsanto Co. 5,828,250
5,700 PPG Industries, Inc. 356,606
100 Praxair, Inc. 5,031
47,700 Solutia, Inc. 736,369
43,900 Union Carbide Corp. 2,930,325
-----------
13,413,132
-----------
Commercial Services - 1.5%
240,700 Cendant Corp.* 6,393,594
45,300 Equifax, Inc. 1,067,381
52,700 First Data Corp. 2,598,769
85,200 Service Corp. International 591,075
137,400 Waste Management, Inc. 2,361,563
-----------
13,012,382
-----------
Securities Broker - 1.3%
19,600 Bear Stearns Cos., Inc. 837,900
49,300 Goldman Sachs and Co. 4,643,444
51,500 Merrill Lynch & Co., Inc. 4,300,250
19,000 Paine Webber Group, Inc. 737,438
52,500 TD Waterhouse Group, Inc.* 862,969
-----------
11,382,001
-----------
Heavy Machinery - 1.2%
37,500 Applied Materials, Inc.* 4,750,781
100 Baker Hughes, Inc. 2,106
800 Caterpillar, Inc. 37,650
4,400 Cooper Cameron Corp.* 215,325
52,100 Deere & Co. 2,259,838
25,300 Ingersoll-Rand Co. 1,393,081
5,600 Smith International, Inc.* 278,250
20,800 W.W. Grainger, Inc. 994,500
-----------
9,931,531
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Electrical Equipment - 0.9%
73,400 Eastman Kodak Co. $4,862,750
128,200 Xerox Corp. 2,908,538
----------
7,771,288
----------
Metals - 0.9%
45,700 Alcoa, Inc. 3,793,100
21,400 Allegheny Technologies Inc. 480,163
21,100 Cooper Industries, Inc. 853,231
38,700 Freeport-McMoRan Copper & Gold, Inc.* 817,538
8,200 Hubbell Inc. 223,450
15,800 Reynolds Metals Co. 1,210,675
10,500 USX - U.S. Steel Group 346,500
----------
7,724,657
----------
Building Materials - 0.9%
107,550 Home Depot, Inc. 7,373,897
5,000 USG Corp. 235,625
----------
7,609,522
----------
Apparel Retailers - 0.9%
15,200 Abercrombie & Fitch Co., Class A 405,650
135,500 Gap, Inc. 6,233,000
22,200 Nordstrom, Inc. 581,363
----------
7,220,013
----------
Aerospace & Defense - 0.8%
2,400 Boeing Co. 99,750
66,300 Honeywell International Inc. 3,824,681
122,200 Lockheed Martin Corp. 2,673,125
5 Teledyne Technologies Inc.* 47
----------
6,597,603
----------
Forest Products & Paper - 0.7%
5,700 Bowater, Inc. 309,581
26,700 Fort James Corp. 730,913
17,800 Georgia-Pacific Corp. 903,350
42,100 International Paper Co. 2,376,019
11,900 Louisiana Pacific Corp. 169,575
25,500 Smurfit-Stone Container Corp.* 624,750
6,200 Temple Inland, Inc. 408,813
----------
5,523,001
----------
Medical Supplies - 0.6%
24,900 Becton, Dickinson & Co. 666,075
20,500 Boston Scientific Corp.* 448,438
16,100 Eaton Corp. 1,169,263
49,500 Medtronic, Inc. 1,803,656
8,600 PE Corp. - PE Biosystems Group 1,034,688
7,300 St. Jude Medical, Inc.* 224,019
----------
5,346,139
----------
Health Care Providers - 0.6%
90,500 Columbia/HCA Healthcare Corp. 2,652,781
58,500 Tenet Healthcare Corp.* 1,374,750
11,600 Wellpoint Health Networks Inc.* 764,875
----------
4,792,406
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-24
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------------------
Transportation - 0.4%
45,200 Burlington Northern Santa Fe Corp. $ 1,096,100
4,000 CNF Transportation, Inc. 138,000
20,300 CSX Corp. 636,913
35,600 Norfolk Southern Corp. 729,800
23,900 Union Pacific Corp. 1,042,638
-----------
3,643,451
-----------
Household Products - 0.4%
89,300 Rohm & Haas Co. 3,633,394
-----------
Lodging - 0.4%
80,900 Hilton Hotels Corp. 778,663
28,300 Mandalay Resort Group* 569,538
61,600 Mirage Resorts, Inc.* 943,250
55,500 Starwood Hotels & Resorts Worldwide, Inc. 1,304,250
-----------
3,595,701
-----------
Food Retailers - 0.4%
22,400 Albertson's, Inc. 722,400
136,500 Kroger Co. 2,576,438
-----------
3,298,838
-----------
Airlines - 0.3%
35,800 AMR Corp.* 2,398,600
200 Southwest Airlines, Inc. 3,238
-----------
2,401,838
-----------
Home Construction, Furnishings & Appliances - 0.2%
14,800 Lear Corp.* 473,600
42,200 Leggett & Platt, Inc. 904,663
1,000 Miller (Herman), Inc. 23,000
-----------
1,401,263
-----------
Entertainment & Leisure - 0.1%
17,000 Hasbro, Inc. 324,063
6,500 Lanier Worldwide, Inc.* 25,188
67,200 Mattel, Inc. 882,000
-----------
1,231,251
-----------
Textiles, Clothing & Fabrics - 0.1%
23,900 Jones Apparel Group, Inc.* 648,288
-----------
Advertising - 0.0%
100 DoubleClick, Inc.* 25,306
-----------
Total Common Stocks 819,680,691
-----------
(Cost $753,056,489)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS - 0.2%
U.S. Treasury Note - 0.2%
$1,500,000 5.88%, 02/15/00 (1) $ 1,500,938
------------
Total U.S. Government Obligations 1,500,938
------------
(Cost $1,506,152)
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANY - 0.0%
342,459 SSgA Prime Money Market Fund 342,459
------------
Total Investment Company 342,459
------------
(Cost $342,459)
Total Investments - 97.3% 821,524,088
------------
(Cost $754,905,100)
Net Other Assets and Liabilities - 2.7% 23,013,988
------------
Total Net Assets - 100.0% $844,538,076
============
</TABLE>
- ------------------
* Non-income producing security.
(1) Security has been deposited as initial margin on futures contracts. At
December 31, 1999, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of Market Value at
Contracts Contract Expiration Aggregate December
Purchased Type Date Cost 31, 1999
- --------- -------- ---------- --------- ---------------
<S> <C> <C> <C> <C>
63 S & P 500 Mar-2000 $22,661,200 $23,374,300
=========== ===========
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $756,143,422. Net unrealized appreciation (depreciation) aggregated
$65,380,666, of which $139,399,067 related to appreciated investment securities
and $(74,018,401) related to depreciated investment securities.
OTHER INFORMATION
For the period ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$996,976,495 and $919,540,306 of non-governmental issuers, respectively, and
$33,118,542 and $20,946,931 of U.S Government and Agency issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$10,751,481. The value of collateral amounted to $11,072,000.
See Notes to Financial Statements.
- --------------------------------------------
F-25
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTAGE BACKED OBLIGATIONS (B) - 30.4%
Ginnie Mae - 22.8%
$ 629,628 6.50%, 04/15/29 Aaa $ 591,457
16,535,450 7.00%, 04/15/26 - 05/15/28 Aaa 15,996,971
4,968,176 7.50%, 08/15/29 Aaa 4,916,422
16,410,619 8.00%, 08/15/25 - 12/15/29 Aaa 16,587,442
1,490,157 9.00%, 12/15/17 Aaa 1,566,456
----------
39,658,748
----------
Fannie Mae - 7.6%
110,445 6.00%, 03/01/03 Aaa 107,652
3,496,141 6.50%, 03/01/29 Aaa 3,301,885
3,459,696 7.00%, 10/01/14 - 11/15/27 Aaa 3,419,611
5,125,000 7.50%, 01/01/29, TBA (D) Aaa 5,068,943
1,262,837 9.00%, 11/01/25 Aaa 1,315,896
----------
13,213,987
----------
Total U.S. Government Agency Mortgage Backed
Obligations 52,872,735
----------
(Cost $54,452,074)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 20.6%
U.S. Treasury Bonds - 10.8%
4,375,000 6.00%, 08/15/09 Aaa 4,238,281
2,500,000 7.88%, 11/15/04 Aaa 2,644,533
4,400,000 8.12%, 08/15/19 (E) Aaa 5,013,250
3,450,000 8.13%, 05/15/21 Aaa 3,955,642
2,100,000 11.25%, 02/15/15 (E) Aaa 2,967,563
----------
18,819,269
----------
Freddie Mac - 4.3%
8,200,000 5.75%, 03/15/09 Aaa 7,471,250
----------
U. S. Treasury Inflationary
Index - 2.8%
1,375,000 3.63%, 07/15/02 Aaa 1,429,996
3,400,000 3.98%, 01/15/09 Aaa 3,370,280
----------
4,800,276
----------
Fannie Mae - 2.7%
1,700,000 5.61%, 01/19/00 Aaa 1,690,463
750,000 5.63%, 05/14/04 Aaa 715,341
2,350,000 6.50%, 08/15/04 Aaa 2,317,507
----------
4,723,311
----------
Total U.S. Government and
Agency Obligations 35,814,106
----------
(Cost $36,951,025)
CORPORATE NOTES AND BONDS - 37.1%
Banking - 6.6%
300,000 Abbey National, Plc, Yankee Bond
6.70%, 06/29/49 Aa 271,609
</TABLE>
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
Banking - (continued)
$ 850,000 Ahold Finance USA, Inc.
6.25%, 05/01/09 A $ 771,114
975,000 BB&T Corp.
6.38%, 06/30/05 A 916,356
700,000 BB&T Corp.
7.25%, 06/15/07 A 677,522
525,000 First Union Corp.
7.50%, 07/15/06 Baa 522,614
800,000 Firstar Corp.
7.125%, 12/1/09 A 772,489
1,025,000 Mellon Financial Co.
5.75%, 11/15/03 A 973,733
800,000 National City Corp.
5.75%, 02/01/09 A 700,424
1,965,000 National Westminster Bank
7.75%, 04/29/49 Aa 1,901,470
1,125,000 Union Planters Bank
6.50%, 03/15/08 Baa 1,010,397
1,000,000 U.S. Bancorp.
6.00%, 05/15/04 A 956,454
1,275,000 Wells Fargo Co.
6.625%, 7/15/04 Aa 1,247,058
775,000 Wells Fargo Co.
6.75%, 06/15/07 Aa 747,487
----------
11,468,727
----------
Automotive - 4.5%
1,000,000 DaimlerChrysler North America Holding
Corp.
6.90%, 09/01/04 A 990,384
5,200,000 Ford Motor Credit Corp.
6.70%, 07/16/04 A 5,086,738
1,750,000 TRW, Inc. (A)
6.63%, 06/01/04 Baa 1,687,252
----------
7,764,374
----------
Media - Broadcasting & Publishing -
3.4%
1,675,000 Cox Communications, Inc.
6.69%, 09/20/04 Baa 1,638,386
1,325,000 News America Holdings, Inc.
7.30%, 04/30/28 Baa 1,185,224
375,000 News America Holdings, Inc.
7.75%, 1/20/24 Baa 341,917
1,525,000 Time Warner, Inc.
7.75%, 06/15/05 Ba 1,545,325
500,000 Times Mirror Co.
7.45%, 10/15/09 A 491,653
700,000 Viacom, Inc.
7.75%, 06/01/05 Baa 707,607
----------
5,910,112
----------
Transportation - 3.0%
1,200,000 CSX Corp.
6.25%, 10/15/08 Baa 1,084,966
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-26
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- -----------------------------------------------------------------------------
Transportation - (continued)
$1,200,000 CSX Corp.
7.25%, 05/01/04 Baa $1,188,258
1,100,000 Norfolk Southern Corp.
6.95%, 05/01/02 Baa 1,091,640
850,000 Stagecoach Holdings, Plc
8.63%, 11/15/09 Baa 851,062
1,000,000 Wisconsin Central Transportation
Corp.
6.63%, 04/15/08 Baa 928,684
----------
5,144,610
----------
Industrial - Diversified - 2.7%
1,725,000 General Electric Credit Corp.
6.27%, 7/23/03 Aaa 1,687,362
800,000 Tyco International Group SA
6.38%, 06/15/05 Baa 750,060
2,325,000 Tyco International Group SA
6.88%, 09/05/02 (A) Ba 2,288,456
----------
4,725,878
----------
Insurance - 2.6%
400,000 AAG Holding Co., Inc.
6.88%, 06/01/08 Baa 360,402
600,000 American Financial Group, Inc.
7.13%, 04/15/09 A 543,692
1,000,000 Conseco, Inc.
6.80%, 06/15/05 Aa 936,320
800,000 Markel Corp.
7.25%, 11/01/03 Baa 791,291
725,000 Marsh & Mclennan Cos. Inc.
6.63%, 06/15/04 A 707,844
750,000 Reliastar Financial Corp.
6.50%, 11/15/08 A 678,393
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 Baa 420,525
----------
4,438,467
----------
Real Estate - 2.6%
275,000 Avalon Properties, Inc., REIT
7.38%, 09/15/02 Baa 271,901
1,350,000 ERP Operating, LP, Senior Note
6.63%, 02/15/05 Baa 1,279,253
400,000 Franchise Finance Corp. of America,
REIT
7.00%, 11/30/00 Baa 397,014
650,000 Meditrust Cos., REIT
7.82%, 09/10/26 Ba 490,194
900,000 ProLogis Trust, REIT
6.70%, 04/15/04 Baa 858,038
825,000 Regency Centers, LP, REIT
7.40%, 04/01/04 Baa 789,550
500,000 Shopping Center Associates (A)
6.75%, 01/15/04 Baa 479,285
----------
4,565,235
----------
</TABLE>
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- ----------------------------------------------------------------------------
Financial Services - 1.6%
$ 1,550,000 AMVESCAP, Plc, Yankee Bond
6.60%, 05/15/05 A $1,390,930
1,500,000 Brascan Ltd. - Yankee Note
7.38%, 10/01/02 Baa 1,487,904
----------
2,878,834
----------
Pharmaceuticals - 1.2%
1,700,000 Merck & Co., Inc.
5.76%, 05/03/37 Aaa 1,697,443
450,000 Merck & Co., Inc.
6.40%, 03/01/28 Aaa 396,564
----------
2,094,007
----------
Beverages, Food & Tobacco - 1.1%
2,000,000 Safeway, Inc.
7.25%, 09/15/04 Baa 1,988,226
----------
Chemicals - 1.1%
2,100,000 Great Lakes Chemical Corp. Aa
7.00%, 07/15/09 1,998,318
----------
Securities Broker - 0.9%
1,600,000 Morgan Stanley Dean Witter & Co.
7.125%, 01/5/03 Baa 1,598,053
----------
Commercial Services - 0.8%
550,000 Waste Management, Inc.
6.13%, 07/15/01 Baa 524,110
625,000 Waste Management, Inc.
6.38%, 12/01/03 Ba 559,649
450,000 Waste Management, Inc.
7.00%, 07/15/28 Baa 335,367
----------
1,419,126
----------
Communications - 0.8%
325,000 PanAmSat Corp.
6.00%, 01/15/03 Baa 302,464
1,225,000 PanAmSat Corp.
6.13%, 01/15/05 Baa 1,093,038
----------
1,395,502
----------
Entertainment & Leisure - 0.7%
1,325,000 Royal Caribbean Cruises, Ltd.,
Yankee Debenture
7.50%, 10/15/27 Baa 1,190,474
----------
Heavy Machinery - 0.6%
1,075,000 IDEX Corp.
6.875%, 2/15/08 Baa 966,309
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-27
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------------
Computers & Information - 0.5%
$ 825,000 International Business Machines Corp.
8.38%, 11/01/19 Baa $ 894,076
-----------
Oil & Gas - 0.5%
900,000 Enron Corp.
6.45%, 11/15/01 Baa 889,277
-----------
Retailers - 0.4%
800,000 CVS Corp. (A)
5.50%, 02/15/04 A 745,818
-----------
Forest Products & Paper - 0.4%
800,000 Fort James Corp.
6.88%, 09/15/07 Baa 757,835
-----------
Telephone Systems - 0.4%
700,000 Telephone & Data Systems, Inc.
7.00%, 08/01/06 Baa 652,728
-----------
Computer Software & Processing - 0.4%
650,000 Electronic Data Systems Corp.
7.45%, 10/15/29 A 630,249
-----------
Lodging - 0.3%
500,000 La Quinta Inns, Inc., MTN 7.11%,
10/17/01 A 471,094
-----------
Total Corporate Notes and Bonds 64,587,329
-----------
(Cost $67,701,159)
ASSET BACKED SECURITIES (B) - 9.5%
1,476,524 Bear Stearns Mortgage Securities,
Inc., Series 1998-2, Class B, CMO
6.75%, 04/30/30 Aa 1,386,279
700,000 Chase Commercial Mortgage Securities
Corp., Series 1997-1, Class D, CMO
7.37%, 05/19/07 (C) BBB 657,888
999,819 Chase Commercial Mortgage Securities
Corp., Series 1996-1, Class E, CMO
7.60%, 06/18/06 A 923,483
1,300,000 Chase Credit Card Master Trust,
Series 1999-3, Class B, CMO
6.95%, 10/15/07 A 1,287,065
1,096,418 Citicorp Mortgage Securities, Inc.,
Series 1995-3, Class B3, CMO
7.50%, 11/25/25 Aaa 1,020,349
</TABLE>
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------------
ASSET BACKED SECURITIES (B) - (continued)
$1,675,000 Delta Funding Home Equity Loan
Trust, Series 1999-1, Class A6F, CMO
6.34%, 10/15/28 Baa $ 1,572,875
1,675,000 General Electric Capital Mortgage
Services, Inc., Series 1999-HE1,
Class A-2
6.27%, 04/25/29 Baa 1,581,351
900,000 GMAC Commercial Mortgage
Securities Corp., Series 1997-C1,
Class E, CMO
7.09%, 11/15/10 Baa 822,627
350,000 Green Tree Financial Corp., Series
1998-8, Class B-1, CMO
7.69%, 09/01/30 Baa 315,619
455,040 Housing Securities, Inc., Series
1994-2, Class A-1, CMO
6.50%, 07/25/09 Baa 442,999
2,000,000 MBNA Master Credit Card Trust
6.60%, 12/15/06 A 1,957,080
1,000,000 Merrill Lynch Mortgage Investors,
Inc., Series 1996-C2, Class E, CMO
6.96%, 11/21/28 Baa 849,510
825,000 Merrill Lynch Mortgage Investors,
Inc., Series 1997-C1, Class D, CMO
7.12%, 06/18/29 Aaa 759,676
575,000 Mortgage Capital Funding, Inc.,
Series 1996-MC1, Class A2B, CMO
7.90%, 07/15/28 Baa 590,249
700,000 Preferred Credit Corp., Series 1997-
1, Class A6, CMO
7.59%, 07/25/26 Aaa 700,420
164,677 Resolution Trust Corp., Series 1995-
2, Class C-1, CMO
7.45%, 05/25/29 Baa 160,621
1,650,000 UCFC Home Equity Loan, Series 1998-
D, Class AF7, CMO
6.32%, 04/15/30 Aaa 1,554,531
-----------
Total Asset Backed Securities 16,582,622
-----------
(Cost $17,418,219)
FOREIGN GOVERNMENT OBLIGATIONS - 1.0%
925,000 Quebec Province 7.50%, 09/15/29 A 895,418
750,000 Quebec Province 8.80%, 04/15/03 A 785,677
-----------
Total Foreign Government Obligations 1,681,095
-----------
(Cost $1,696,324)
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-28
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Moody's Ratings Value
Par Value (unaudited) (Note 2)
- ---------------------------------------------
<C> <S> <C> <C>
Total Investments - 98.6% $171,537,887
------------
(Cost $178,218,801)
Net Other Assets and
Liabilities - 1.4% 2,499,253
------------
Total Net Assets - 100.0% $174,037,140
============
</TABLE>
- ------------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At December 31, 1999, these secu-
rities amounted to $5,200,811 or 3.0% of net assets.
(B) Pass Through Certificates
(C) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(D) Forward Commitment
(E) Designated as Collateral on Forward Commitment
MTN Medium Term Note
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $178,286,266. Net unrealized appreciation (depreciation) aggregated
$(6,748,379), of which $61,067 related to appreciated investment securities and
$(6,809,446) related to depreciated investment securities.
For the period ended December 31, 1999, the Portfolio has elected to defer
$453,438 of capital losses attributable to Post-October losses.
At December 31, 1999, the Portfolio had a capital loss carryforward of
$4,139,353 which expires in 2007.
OTHER INFORMATION
For the year ended December 31, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $81,474,875
and $91,267,978 of non-governmental issuers, respectively, and $245,660,661 and
$197,782,351 from U.S. Government and Agency issuers, respectively.
At December 31, 1999, the value of the securities loaned amounted to
$11,084,214. The value of collateral amounted to $11,398,706.
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings S&P Ratings
<S> <C> <C> <C>
Aaa 56.3% BBB 0.4%
------
0.4%
======
Aa 4.9
A 13.6
Baa 21.9
Ba 2.9
--------
99.6%
========
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-29
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
CORPORATE NOTES - 47.6%
Banking - 12.5%
$4,000,000 Bankers Trust Corp.
9.50%, 06/14/00 $4,058,769
1,500,000 Bayerische Landesbank NY
6.25%, 03/15/00 1,500,205
6,000,000 Chase Manhattan Corp. MTN
4.96%, 01/20/00* 6,000,048
10,000,000 Comerica Bank
6.53%, 09/25/00* 9,998,077
5,000,000 First National Bank of Chicago, Euro MTN
7.00%, 05/08/00 5,027,230
9,000,000 First Union National Bank, MTN
6.27%, 09/27/00* 8,994,991
2,750,000 Fleet Boston Financial Corp., MTN
6.38%, 08/11/00 2,751,470
7,000,000 Key Bank National Association, MTN
5.13%, 03/22/00 6,999,321
2,000,000 KeyCorp
6.30%, 04/20/00 2,000,852
2,000,000 Norwest Financial, Inc.
6.88%, 06/15/00 2,009,553
15,000,000 Wilmington Trust Corp.
6.02%, 10/01/00 14,993,533
----------
64,334,049
----------
Securities Broker - 11.6%
1,575,000 Bear Stearns Cos., Inc., MTN
6.50%, 06/15/00 1,580,975
5,000,000 Bear Stearns Cos., Inc., MTN
5.00%, 02/02/00* 5,000,000
2,000,000 Donaldson, Lufkin & Jenrette, Inc., MTN
6.31%, 05/26/00 2,003,276
1,300,000 Goldman Sachs and Co. (A)
5.56%, 01/11/01 1,289,258
4,000,000 Goldman Sachs and Co. (A)
5.04%, 02/07/00* 4,000,000
7,000,000 Lehman Brothers Holdings, Inc., MTN
7.29%, 09/25/00 7,037,945
4,236,000 Merrill Lynch & Co., Inc., MTN
6.47%, 02/15/00* 4,238,121
675,000 Merrill Lynch & Co., Inc., MTN
6.70%, 08/01/00 677,556
14,000,000 Morgan Stanley Dean Witter & Co., MTN
6.08%, 02/14/00* 14,000,000
10,000,000 Paine Webber Group, Inc., MTN
6.64%, 12/12/00* 10,000,000
6,750,000 Paine Webber Group, Inc., MTN
7.00%, 03/01/00 6,764,318
2,000,000 Paine Webber Group, Inc., MTN
7.00%, 03/01/00 2,001,946
1,000,000 Salomon Smith Barney Holdings, Inc.
6.63%, 01/30/00 1,002,772
----------
59,596,167
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------------------
Financial Services - 9.2%
$1,000,000 Abbey National Treasury Service PLC
5.13%, 05/04/00 $ 996,329
1,000,000 Beneficial Corp., MTN
5.09%, 01/10/00* 1,000,025
1,000,000 Countrywide Funding Corp.
7.31%, 08/28/00 1,006,733
7,000,000 Heller Financial, Inc.
6.49%, 09/18/00* 6,995,170
10,000,000 Heller Financial, Inc.
5.90%, 08/07/00 9,996,833
23,000,000 Homeside Lending, Inc., MTN
6.27%, 08/16/00* 23,002,865
2,000,000 Household Finance Corp.
6.37%, 06/30/00 2,002,796
2,000,000 Household Finance Corp.
6.75%, 06/01/00 2,008,733
----------
47,009,484
----------
Telephone Systems - 3.1%
11,885,000 GTE Corp.
6.16%, 06/12/00* 11,880,251
2,356,000 GTE Corp.
9.38%, 12/01/00 2,419,519
1,500,000 Nynex Capital Funding Corp.
9.40%, 06/01/00 1,522,393
----------
15,822,163
----------
Electric Utilities - 2.9%
15,000,000 National Rural Utilities Cooperative Finance Corp.
6.14%, 06/26/00* 15,000,091
----------
Automotive - 2.3%
6,000,000 American Honda Finance Corp. (A)
5.00%, 01/20/00* 5,999,876
6,000,000 American Honda Finance Corp. (A)
5.78%, 08/02/00* 5,999,314
----------
11,999,190
----------
Aerospace & Defense - 1.9%
10,000,000 Textron Financial Corp. (A)
5.92%, 05/12/00* 10,000,000
----------
Heavy Machinery - 1.7%
4,000,000 Caterpillar Financial Services Corp., MTN
6.28%, 05/01/00 4,010,484
4,500,000 John Deere Capital Corp.
5.68%, 04/10/00 4,502,473
----------
8,512,957
----------
Retailers - 0.9%
3,700,000 Sears Roebuck Acceptance, MTN
5.88%, 05/08/00 3,697,381
1,000,000 Wal-Mart Stores, Inc.
5.85%, 06/01/00 1,000,760
----------
4,698,141
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-30
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------
Commercial Services - 0.6%
$3,000,000 International Lease Finance Corp.
6.63%, 06/01/00 $ 3,013,592
-----------
Transportation - 0.6%
3,000,000 Richmond County Development Authority
5.65%, 06/01/00 2,997,934
-----------
Computers & Information - 0.3%
1,500,000 International Business Machines Corp.
5.79%, 03/20/00* 1,498,932
-----------
Total Corporate Notes 244,482,700
-----------
(Cost $244,482,700)
COMMERCIAL PAPER (B) - 37.3%
Financial Services - 10.5%
1,212,000 Associates Financial Services
5.95%, 01/27/00 1,190,566
5,000,000 Fairway Finance Corp. (A)
5.84%, 03/09/00 4,858,056
14,000,000 Finova Capital Corp.
5.08%, 02/25/00* 14,000,000
5,000,000 Franklin Resources, Inc. (A)
6.75%, 02/14/00 4,949,375
6,000,000 Pegasus Four Ltd. (A)
6.20%, 01/12/00 5,915,267
5,536,000 Swiss Re Financial Products
5.80%, 02/15/00 5,494,973
10,000,000 Tulip Funding Corp. (A)
6.18%, 01/26/00 9,847,217
1,820,000 Variable Funding Capital (A)
6.60%, 01/10/00 1,811,325
3,000,000 Westways Funding I (A)
6.17%, 01/31/00 2,954,239
2,684,000 Westways Funding V (A)
6.20%, 01/12/00 2,645,634
-----------
53,666,652
-----------
Securities Broker - 9.4%
11,000,000 Bear Stearns Cos., Inc.
5.28%, 03/30/00* 11,000,000
15,000,000 Donaldson, Lufkin & Jenrette, Inc.
6.20%, 02/29/00 14,839,833
11,550,000 Goldman Sachs and Co. (A)
6.60%, 12/21/00 11,550,000
2,500,000 Lehman Brothers Holdings, Inc.
5.75%, 03/27/00 2,405,365
5,000,000 Lehman Brothers Holdings, Inc.
5.58%, 02/14/00 4,831,825
4,000,000 Morgan Stanley Dean Witter & Co.
5.43%, 01/31/00 3,878,127
-----------
48,505,150
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Education - 3.8%
$7,000,000 Arizona Student Loan
7.05%, 01/05/00 $ 6,990,404
5,000,000 Massachusetts College of Pharmacy
5.85%, 06/08/00 4,870,000
7,830,000 Massachusetts College of Pharmacy
5.85%, 06/06/00 7,627,692
-----------
19,488,096
-----------
Commercial Services - 3.5%
8,500,000 Block Financial Corp. (A)
6.17%, 01/31/00 8,380,542
10,000,000 Block Financial Corp. (A)
6.15%, 01/31/00 9,856,500
-----------
18,237,042
-----------
Chemicals - 2.9%
15,000,000 Akzo Nobel, Inc.
5.80%, 03/13/00 14,690,775
-----------
Oil & Gas - 1.9%
10,000,000 Equilon Enterprises, LLC
5.74%, 01/24/00 9,760,833
-----------
Automotive - 1.7%
1,630,000 Enterprise Funding Corp. (A)
5.95%, 01/18/00 1,614,644
1,546,000 Enterprise Funding Corp. (A)
5.95%, 01/27/00 1,529,136
5,575,000 Enterprise Funding Corp. (A)
6.20%, 02/11/00 5,519,312
-----------
8,663,092
-----------
Forest Products & Paper - 1.7%
4,500,000 Jefferson Smurfit Financial
6.80%, 01/21/00 4,480,450
1,000,000 Jefferson Smurfit Financial
6.95%, 01/18/00 996,139
1,200,000 Jefferson Smurfit Financial
6.80%, 01/24/00 1,193,880
2,000,000 Jefferson Smurfit Financial
6.80%, 01/28/00 1,988,289
-----------
8,658,758
-----------
Industrial - 1.0%
5,000,000 Invensys, Plc (A)
5.65%, 02/07/00 4,970,181
-----------
Electric Utilities - 0.9%
5,000,000 Florida Power & Light Group Capital, Inc. (A)
5.45%, 01/31/00 4,848,611
-----------
Total Commercial Paper 191,489,190
-----------
(Cost $191,489,190)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-31
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 12.1%
$15,000,000 Abbey National Treasury Service PLC
6.31%, 01/31/00 $15,005,661
5,000,000 Bankers Trust Corp.
6.16%, 04/10/00* 4,999,702
10,000,000 Barclays Bank, Plc, Yankee CD
4.89%, 05/12/00* 9,997,879
10,000,000 CIC Floating Rate CD
5.82%, 08/02/00* 9,998,857
3,000,000 Commerzbank, AG, Yankee CD
4.99%, 01/25/00 2,999,978
8,000,000 European American Bank
5.28%, 05/12/00 7,999,166
10,000,000 National Bank Canada NY
6.10%, 11/22/00 9,994,035
1,215,000 Toronto Dominion Bank NY
5.18%, 02/29/00 1,213,994
-----------
Total Certificates of Deposit 62,209,272
-----------
(Cost $62,209,272)
U.S. GOVERNMENT AGENCY OBLIGATIONS (B) - 3.6%
Federal Home Loan Bank - 2.7%
900,000 4.85%, 01/27/00 899,590
8,000,000 5.19%, 03/24/00* 8,000,670
5,000,000 5.22%, 03/17/00 5,000,000
-----------
13,900,260
-----------
Fannie Mae - 0.9%
5,000,000 5.62%, 09/01/00 4,785,347
-----------
Total U.S. Government Agency Obligations 18,685,607
-----------
(Cost $18,685,607)
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANIES - 3.4%
17,438,366 Scudder Institutional Money Market Fund 17,438,366
3,830 SSgA Prime Money Market Fund 3,830
-----------
Total Investment Companies 17,442,196
-----------
(Cost $17,442,196)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------------
ASSET BACKED AND MORTGAGE BACKED SECURITIES - 1.7%
$1,514,163 Fidelity Equipment Lease Trust, Series 1999-1,
Class A1 (A), CMO
5.16%, 06/16/00 $ 1,514,163
1,839,743 Fidelity Equipment Lease Trust, Series 1999-2,
Class A1 (A), CMO
6.13%, 12/15/00 1,839,743
5,000,000 SMM Trust, 1999-C (A)
6.42%, 01/26/00* 5,000,000
------------
Total Asset Backed and Mortgage Backed Securities 8,353,906
------------
(Cost $8,353,906)
MUNICIPAL OBLIGATIONS - 0.2%
1,000,000 New Jersey State Municipal
6.38%, 08/01/00 1,004,020
------------
Total Municipal Obligations 1,004,020
------------
(Cost $1,004,020)
Total Investments - 105.9% 543,666,891
------------
(Cost $543,666,891)
Net Other Assets and Liabilities - (5.9)% (30,061,012)
------------
Total Net Assets - 100.0% $513,605,879
============
</TABLE>
- ------------------
* Variable rate security. The rate shown reflects rate in effect at
December 31, 1999.
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At December 31, 1999,
these securities amounted to $116,892,393 or 22.76% of net assets.
(B) Effective yield at time of purchase
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
See Notes to Financial Statements.
------------------------------------------------------
F-32
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . December 31, 1999
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At December 31, 1999, the aggregate cost on investment securities for tax pur-
poses was $543,666,891.
At December 31, 1999, the Portfolio had a capital loss carryforwards which
expire as follows: $347 in 2002; $144 in 2003; $35,977 in 2004; $8,154 in 2005;
$52,338 in 2006.
OTHER INFORMATION
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings
(Unaudited)
<S> <C>
Aaa 96.79%
NR (Not Rated) 3.21
------
100.00%
======
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-33
<PAGE>
Allmerica Investment Trust
STATEMENTS OF ASSETS AND LIABILITIES (in 000's) . December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select Select
Emerging Aggressive Capital Value Opportunity
Markets Fund Growth Fund Appreciation Fund Fund
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments:
Investments at cost............. $ 35,076 $ 749,669 $ 315,706 $ 302,400
Net unrealized appreciation
(depreciation)................. 13,020 275,614 98,403 2,780
--------- ---------- --------- ---------
Total investments at value...... 48,096 1,025,283 414,109 305,180
Cash and foreign currency*....... 2,013 10 1 4,765
Short-term investments held as
collateral for securities
loaned.......................... -- 92,598 54,180 19,836
Receivable for investments sold.. 123 735 1,507 3,739
Receivable for shares sold....... 568 1,173 2,233 841
Receivable for variation margin.. -- -- -- --
Interest and dividend
receivables..................... 92 598 350 315
Receivable for expense
reimbursement................... -- -- -- --
Deferred organizational expense.. -- -- 1 --
Dividend tax reclaim
receivables..................... -- -- 10 --
--------- ---------- --------- ---------
Total Assets.................... 50,892 1,120,397 472,391 334,676
--------- ---------- --------- ---------
LIABILITIES:
Payable for investments
purchased....................... 337 10,884 543 6,102
Payable for shares repurchased... -- 107 -- 50
Collateral for securities
loaned.......................... -- 92,598 54,180 19,836
Net unrealized depreciation on
forward currency contracts...... 7 -- -- --
Advisory fee payable............. 51 638 291 221
Accrued expenses and other
payables........................ 45 471 290 136
--------- ---------- --------- ---------
Total Liabilities............... 440 104,698 55,304 26,345
--------- ---------- --------- ---------
NET ASSETS....................... $ 50,452 $1,015,699 $ 417,087 $ 308,331
========= ========== ========= =========
NET ASSETS consist of
Paid-in capital.................. $ 38,187 $ 533,575 $ 305,818 $ 302,445
Undistributed (distribution in
excess of) net investment income
(loss).......................... (45) -- -- 1,208
Accumulated (distribution in
excess of) net realized gain
(loss) on investments sold,
foreign currency transactions
and futures contracts........... (703) 206,510 12,866 1,898
Net unrealized appreciation
(depreciation) of investments,
assets and liabilities in
foreign currency and futures
contracts....................... 13,013 275,614 98,403 2,780
--------- ---------- --------- ---------
TOTAL NET ASSETS................. $ 50,452 $1,015,699 $ 417,087 $ 308,331
========= ========== ========= =========
Shares of beneficial interest
outstanding
(unlimited authorization, no par
value) (in 000's)................ 39,060 297,774 203,195 202,756
NET ASSET VALUE,
Offering and redemption price per
share
(Net Assets/Shares Outstanding).. $ 1.292 $ 3.411 $ 2.053 $ 1.521
========= ========== ========= =========
</TABLE>
- ------------------------------------
* Cost $2,013 and $17,967 for Select Emerging Markets Fund and Select Inter-
national Equity Fund, respectively.
See Notes to Financial Statements.
------------------------------------------------------
F-34
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select Select Select Select Growth Select Money
International Growth Strategic and Income Income Market
Equity Fund Fund Growth Fund Fund Fund Fund
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 430,165 $ 842,766 $ 24,221 $754,905 $178,219 $543,667
230,498 379,721 3,148 66,619 (6,681) --
--------- ---------- ------- -------- -------- --------
660,663 1,222,487 27,369 821,524 171,538 543,667
17,991 15 2,720 21,886 1,897 3
48,600 67,994 -- 11,072 11,399 --
20 4,679 1,155 -- 3,664 --
1,555 -- 23 542 -- --
-- -- -- 52 -- --
529 1,141 42 1,220 2,252 5,495
-- -- 1 -- -- --
-- -- -- -- -- --
633 -- -- 23 -- --
--------- ---------- ------- -------- -------- --------
729,991 1,296,316 31,310 856,319 190,750 549,165
--------- ---------- ------- -------- -------- --------
-- 10,316 -- -- 5,101 22,164
253 450 14 84 74 13,257
48,600 67,994 -- 11,072 11,399 --
981 -- -- -- -- --
482 744 20 466 77 100
334 447 22 159 62 38
--------- ---------- ------- -------- -------- --------
50,650 79,951 56 11,781 16,713 35,559
--------- ---------- ------- -------- -------- --------
$ 679,341 $1,216,365 $ 31,254 $844,538 $174,037 $513,606
========= ========== ======= ======== ======== ========
$ 423,297 $ 691,096 $ 27,756 $629,357 $185,279 $513,703
3,722 -- 2 420 99 --
22,791 145,548 348 147,429 (4,660) (97)
229,531 379,721 3,148 67,332 (6,681) --
--------- ---------- ------- -------- -------- --------
$ 679,341 $1,216,365 $ 31,254 $844,538 $174,037 $513,606
========= ========== ======= ======== ======== ========
334,405 398,968 27,767 436,949 182,709 513,705
$ 2.031 $ 3.049 $ 1.126 $ 1.933 $ 0.953 $ 1.000
========= ========== ======= ======== ======== ========
</TABLE>
- --------------------------------------------
F-35
<PAGE>
Allmerica Investment Trust
STATEMENTS OF OPERATIONS (in 000's) . For the Year Ended December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select Select
Emerging Aggressive Capital Value Opportunity
Markets Fund Growth Fund Appreciation Fund Fund
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.................. $ 102 $ 671 $ 646 $ 567
Dividends................. 596 2,378 1,155 3,119
Securities lending
income................... -- 267 89 17
Less net foreign taxes
withheld................. (32) -- (4) --
--------- --------- --------- ---------
Total investment income... 666 3,316 1,886 3,703
--------- --------- --------- ---------
EXPENSES
Investment advisory fees.. 428 6,804 3,062 2,531
Custodian and Fund
accounting fees.......... 154 233 116 92
Legal fees................ -- 12 5 4
Audit fees................ 3 59 20 17
Trustees' fees and
expenses................. 1 16 7 6
Reports to shareholders... 8 162 83 81
Amortization of
organization costs....... -- -- -- --
Miscellaneous............. 3 13 5 5
--------- --------- --------- ---------
Total expense before
reductions and waiver.... 597 7,299 3,298 2,736
Less reductions........... (12) (271) (3) (241)
Less
reimbursement/waiver..... -- -- -- --
--------- --------- --------- ---------
Total expenses net of
reductions and waiver.... 585 7,028 3,295 2,495
--------- --------- --------- ---------
NET INVESTMENT INCOME
(LOSS).................... 81 (3,712) (1,409) 1,208
--------- --------- --------- ---------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss)
on investments sold...... 2,111 208,801 15,287 1,971
Net realized gain (loss)
on futures contracts..... -- -- -- --
Net realized gain (loss)
on foreign currency
transactions............. (110) -- -- --
Net change in unrealized
appreciation
(depreciation) of assets
and liabilities in
foreign currency......... 71 -- -- --
Net change in unrealized
appreciation
(depreciation) of
investments and futures
contracts................ 15,042 76,344 68,546 (16,101)
--------- --------- --------- ---------
NET GAIN (LOSS) ON
INVESTMENTS............... 17,114 285,145 83,833 (14,130)
--------- --------- --------- ---------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING FROM
OPERATIONS................ $ 17,195 $ 281,433 $ 82,424 $ (12,922)
========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-36
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select Select Select Select Growth Select Money
International Growth Strategic and Income Income Market
Equity Fund Fund Growth Fund Fund Fund Fund
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 615 $ 1,404 $ 95 $ 2,818 $11,835 $22,442
9,810 5,516 248 11,143 -- 269
121 80 -- 25 7 --
(1,180) -- -- (123) -- --
--------- -------- ------- -------- ------- -------
9,366 7,000 343 13,863 11,842 22,711
--------- -------- ------- -------- ------- -------
4,936 7,472 186 4,909 901 1,020
447 268 56 252 95 112
8 14 -- 11 3 6
45 79 9 53 11 18
11 19 -- 15 4 8
121 142 9 102 30 66
-- -- -- -- -- --
10 15 2 12 2 2
--------- -------- ------- -------- ------- -------
5,578 8,009 262 5,354 1,046 1,232
(54) (233) (7) (25) -- --
-- -- (1) -- -- --
--------- -------- ------- -------- ------- -------
5,524 7,776 254 5,329 1,046 1,232
--------- -------- ------- -------- ------- -------
3,842 (776) 89 8,534 10,796 21,479
--------- -------- ------- -------- ------- -------
31,286 146,732 804 147,205 (4,599) --
-- -- -- 317 -- --
2,399 -- -- -- -- --
570 -- -- -- -- --
126,449 127,039 2,723 (32,024) (7,682) --
--------- -------- ------- -------- ------- -------
160,704 273,771 3,527 115,498 (12,281) --
--------- -------- ------- -------- ------- -------
$ 164,546 $272,995 $ 3,616 $124,032 $(1,485) $21,479
========= ======== ======= ======== ======= =======
</TABLE>
- --------------------------------------------
F-37
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Emerging Select Aggressive Select Capital
Markets Fund* Growth Fund Appreciation Fund
- ------------------------------------------------------------------------------------------------------------
Year Ended Period Ended
December 31, December 31, Years Ended December 31, Years Ended December 31,
1999 1998 1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning
of year................ $ 20,873 $ 20,000(A) $ 752,741 $ 604,123 $ 310,582 $ 240,526
--------- --------- ----------- ----------- ----------- -----------
Increase (decrease) in
net assets
resulting from
operations:
Net investment income
(loss)................ 81 161 (3,712) (2,428) (1,409) (1,215)
Net realized gain
(loss) on investments
sold and foreign
currency
transactions.......... 2,001 (2,714) 208,801 (367) 15,287 49,583
Net change in
unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency...... 15,113 (2,100) 76,344 71,945 68,546 (11,429)
--------- --------- ----------- ----------- ----------- -----------
Net increase in net
assets resulting from
operations............ 17,195 (4,653) 281,433 69,150 82,424 36,939
--------- --------- ----------- ----------- ----------- -----------
Distributions to
shareholders from:
Net investment income.. (208) (37) -- -- -- --
Distribution in excess
of net investment
income................ -- -- -- -- -- --
Net realized gain on
investments........... -- -- -- -- (511) (47,014)
--------- --------- ----------- ----------- ----------- -----------
Total distributions... (208) (37) -- -- (511) (47,014)
--------- --------- ----------- ----------- ----------- -----------
Capital share
transactions:
Net proceeds from sales
of shares............. 13,372 5,729 182,716 102,931 74,290 52,851
Issued to shareholders
in reinvestment of
distributions......... 208 37 -- -- 511 47,014
Cost of shares
repurchased........... (988) (203) (201,191) (23,463) (50,209) (19,734)
--------- --------- ----------- ----------- ----------- -----------
Net increase from
capital share
transactions......... 12,592 5,563 (18,475) 79,468 24,592 80,131
--------- --------- ----------- ----------- ----------- -----------
Total increase
(decrease) in net
assets............... 29,579 873 262,958 148,618 106,505 70,056
--------- --------- ----------- ----------- ----------- -----------
NET ASSETS at the end of
year................... $ 50,452 $ 20,873 $ 1,015,699 $ 752,741 $ 417,087 $ 310,582
========= ========= =========== =========== =========== ===========
Undistributed
(distribution in excess
of) net investment
income (loss).......... $ (45) $ 193 $ -- $ -- $ -- $ (264)
========= ========= =========== =========== =========== ===========
OTHER INFORMATION:
Share transactions:
Sold................... 13,235 6,831 65,884 46,519 41,852 31,712
Issued to shareholders
in reinvestment of
distributions......... 189 48 -- -- 278 28,667
Repurchased............ (984) (259) (74,092) (12,098) (28,289) (12,704)
--------- --------- ----------- ----------- ----------- -----------
Net increase in shares
outstanding.......... 12,440 6,620 (8,208) 34,421 13,841 47,675
========= ========= =========== =========== =========== ===========
</TABLE>
- ------------------
* The Select Emerging Markets Fund and the Select Strategic Growth Fund
commenced operations on February 20, 1998.
(A) Represents initial seed money and shares. Original shares were priced at
$1.00.
See Notes to Financial Statements.
------------------------------------------------------
F-38
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select Value Select International Select Growth Select Strategic
Opportunity Fund Equity Fund Fund Growth Fund*
- ----------------------------------------------------------------------------------------------------------
Years Ended Year Ended Period Ended
December 31, Years Ended December 31, Years Ended December 31, December 31, December 31,
1999 1998 1999 1998 1999 1998 1999 1998
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 268,405 $ 202,139 $ 505,553 $ 397,915 $ 815,390 $ 470,356 $ 14,839 $5,000 (A)
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
1,208 2,231 3,842 4,550 (776) 504 89 34
1,971 16,620 33,685 (7,626) 146,732 32,636 804 (456)
(16,101) (8,160) 127,019 70,083 127,039 159,491 2,723 425
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
(12,922) 10,691 164,546 67,007 272,995 192,631 3,616 3
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
(2) (2,255) -- (6,430) (504) (94) (87) (34)
-- -- -- -- -- -- -- (1)
(16,638) (835) -- -- (32,039) (6,735) -- --
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
(16,640) (3,090) -- (6,430) (32,543) (6,829) (87) (35)
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
82,103 59,689 402,948 141,035 175,324 167,762 14,491 10,823
16,639 3,090 -- 6,430 32,543 6,829 87 35
(29,254) (4,114) (393,706) (100,404) (47,344) (15,359) (1,692) (987)
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
69,488 58,665 9,242 47,061 160,523 159,232 12,886 9,871
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
39,926 66,266 173,788 107,638 400,975 345,034 16,415 9,839
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
$ 308,331 $ 268,405 $ 679,341 $ 505,553 $ 1,216,365 $ 815,390 $ 31,254 $ 14,839
========= ========= =========== =========== =========== =========== ========= =========
$ 1,208 $ 2 $ 3,722 $ (2,522) $ -- $ 504 $ 2 $ --
========= ========= =========== =========== =========== =========== ========= =========
52,425 35,634 241,959 94,467 68,437 80,682 14,098 11,408
9,881 1,828 -- 4,119 12,663 3,082 80 36
(18,777) (2,586) (235,513) (67,343) (17,926) (7,661) (1,659) (1,196)
--------- --------- ----------- ----------- ----------- ----------- --------- ---------
43,529 34,876 6,446 31,243 63,174 76,103 12,519 10,248
========= ========= =========== =========== =========== =========== ========= =========
</TABLE>
- --------------------------------------------
F-39
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Growth and Select Money Market
Income Fund Income Fund Fund
- ------------------------------------------------------------------------------------------------------------
Years Ended December 31, Years Ended December 31, Years Ended December 31,
1999 1998 1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning
of year................ $ 646,086 $ 473,553 $ 160,450 $ 104,253 $ 336,253 $ 260,619
----------- ----------- ----------- ----------- ----------- -----------
Increase (decrease) in
net assets resulting
from operations:
Net investment income
(loss)................ 8,534 6,986 10,796 7,849 21,479 14,920
Net realized gain
(loss) on investments
sold and foreign
currency
transactions.......... 147,522 54,948 (4,599) 2,478 -- (52)
Net change in
unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency...... (32,024) 21,673 (7,682) (1,811) -- ---
----------- ----------- ----------- ----------- ----------- -----------
Net increase in net
assets resulting from
operations............ 124,032 83,607 (1,485) 8,516 21,479 14,868
----------- ----------- ----------- ----------- ----------- -----------
Distributions to
shareholders from:
Net investment income.. (8,173) (7,005) (10,916) (7,821) (21,479) (14,920)
Distribution in excess
of net investment
income................ -- -- -- -- -- (2)
Net realized gain on
investments........... (54,380) (2,017) (1,346) -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Total distributions... (62,553) (9,022) (12,262) (7,821) (21,479) (14,922)
----------- ----------- ----------- ----------- ----------- -----------
Capital share
transactions:
Net proceeds from sales
of shares............. 93,057 101,277 37,170 57,084 1,057,803 327,728
Issued to shareholders
in reinvestment of
distributions......... 62,553 9,022 12,262 7,821 21,479 14,922
Cost of shares
repurchased........... (18,637) (12,351) (22,098) (9,403) (901,929) (266,962)
----------- ----------- ----------- ----------- ----------- -----------
Net increase from
capital share
transactions......... 136,973 97,948 27,334 55,502 177,353 75,688
----------- ----------- ----------- ----------- ----------- -----------
Total increase
(decrease) in net
assets............... 198,452 172,533 13,587 56,197 177,353 75,634
----------- ----------- ----------- ----------- ----------- -----------
NET ASSETS at the end of
year................... $ 844,538 $ 646,086 $ 174,037 $ 160,450 $ 513,606 $ 336,253
=========== =========== =========== =========== =========== ===========
Undistributed
(distribution in
excess of) net
investment income
(loss)................ $ 420 $ 58 $ 99 $ 99 $ -- $ --
=========== =========== =========== =========== =========== ===========
OTHER INFORMATION:
Share transactions:
Sold................... 50,308 60,638 36,810 55,529 1,057,803 327,728
Issued to shareholders
in reinvestment of
distributions......... 33,680 5,339 12,530 7,565 21,479 14,922
Repurchased............ (10,177) (8,018) (22,179) (9,521) (901,929) (266,962)
----------- ----------- ----------- ----------- ----------- -----------
Net increase in shares
outstanding.......... 73,811 57,959 27,161 53,573 177,353 75,688
=========== =========== =========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-40
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
- --------------------------------------------
F-41
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
--------------------------------------------- -----------------------------------------------------------------
Net Realized
Net and Distributions
Asset Net Unrealized Dividends from Net
Value Investment Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Income on Investment Investment Capital in Return of Total
December 31, of Year (Loss)(/2/) Investments Operations Income Gains Excess Capital Distributions
------------ --------- ----------- ------------ ---------- ---------- ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Emerging
Markets
Fund(/1/)
1999 $0.784 $0.001 $0.513 $0.514 $(0.006) $ -- $ -- $ -- $(0.006)
1998(D) 1.000 0.006 (0.221) (0.215) (0.001) -- -- -- (0.001)
Select
Aggressive
Growth Fund
1999 2.460 (0.012) 0.963 0.951 -- -- -- -- --
1998 2.225 (0.008) 0.243 0.235 -- -- -- -- --
1997 2.037 (0.009) 0.387 0.378 -- (0.182) (0.008)(/3/) -- (0.190)
1996 1.848 (0.009) 0.351 0.342 -- (0.153) -- -- (0.153)
1995 1.397 (0.001) 0.452 0.451 -- -- -- -- --
Select Capital
Appreciation
Fund(/1/)
1999 1.640 (0.007) 0.423 0.416 -- (0.003) -- -- (0.003)
1998 1.698 (0.006) 0.241 0.235 -- (0.293) -- -- (0.293)
1997 1.485 (0.005) 0.218 0.213 -- -- -- -- --
1996 1.369 (0.003) 0.124 0.121 -- (0.005) -- -- (0.005)
1995(E) 1.000 (0.001) 0.397 0.396 -- (0.027) -- -- (0.027)
Select Value
Opportunity
Fund(/1/)
1999 1.686 0.006 (0.077) (0.071) -- (0.094) -- -- (0.094)
1998 1.626 0.014 0.066 0.080 (0.014) (0.006) -- -- (0.020)
1997 1.511 0.010 0.364 0.374 (0.010) (0.249) -- -- (0.259)
1996 1.238 0.011 0.342 0.353 (0.011) (0.069) -- -- (0.080)
1995 1.089 0.009 0.183 0.192 (0.009) (0.033) (0.001)(/3/) -- (0.043)
Select
International
Equity Fund
1999 1.542 0.012 0.477 0.489 -- -- -- -- --
1998 1.341 0.014 0.207 0.221 (0.020) -- -- -- (0.020)
1997 1.356 0.015 0.049 0.064 (0.019) (0.046) (0.014)(/4/) -- (0.079)
1996 1.136 0.011 0.238 0.249 (0.012) (0.003) (0.014)(/4/) -- (0.029)
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) -- -- (0.016)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
------------ ----------
<S> <C>
Select Emerging
Markets
Fund(/1/)
1999 $0.508
1998(D) (0.216)
Select
Aggressive
Growth Fund
1999 0.951
1998 0.235
1997 0.188
1996 0.189
1995 0.451
Select Capital
Appreciation
Fund(/1/)
1999 0.413
1998 (0.058)
1997 0.213
1996 0.116
1995(E) 0.369
Select Value
Opportunity
Fund(/1/)
1999 (0.165)
1998 0.060
1997 0.115
1996 0.273
1995 0.149
Select
International
Equity Fund
1999 0.489
1998 0.201
1997 (0.015)
1996 0.220
1995 0.173
</TABLE>
- ------------------
* Annualized
** Not Annualized
(A) Including reimbursements, waivers, and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For period ended December 31, 1998.
(E) For period ended December 31, 1995.
(1) The Select Emerging Markets Fund commenced operations on February 20, 1998.
The Select Capital Appreciation Fund commenced operations on April 28, 1995
and changed sub-advisers on April 1, 1998. The Select Value Opportunity
Fund changed sub-advisers on January 1, 1997.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $0.000 in 1999, $0.004 in 1998 for
Select Emerging Markets Fund; $(0.013) in 1999, $(0.009) in 1998 and
$(0.010) in 1997 for Select Aggressive Growth Fund; $(0.001) in 1995 for
Select Capital Appreciation Fund; $0.005 in 1999, $0.013 in 1998, $0.009 in
1997 and $0.010 in 1996 for Select Value Opportunity Fund; and $0.011 in
1999, $0.014 in 1998, $0.015 in 1997 and $0.011 in 1996 for Select Interna-
tional Equity Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
------------------------------------------------------
F-42
<PAGE>
Allmerica Investment Trust
Ratios/Supplemental Data
-----------------------------------------------------
Ratios To Average Net Assets
----------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
End of Total Period Investment Operating Expenses Management Fee Turnover
Period Return (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------ ---------- ------------- ------ ------ ------ -------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.292 65.72% $ 50,452 0.25% 1.88% 1.92% 1.92% 1.35% 1.35% 60%
0.784 (21.46)%** 20,873 0.96%* 2.19%* 2.19%* 2.54%* 1.35%* 1.00%* 62%**
3.411 38.66% 1,015,699 (0.46)% 0.88% 0.91% 0.91% 0.85% 0.85% 101%
2.460 10.56% 752,741 (0.36)% 0.92% 0.95% 0.95% 0.88% 0.88% 99%
2.225 18.71% 604,123 (0.45)% 0.99% 1.04% 1.04% 0.95% 0.95% 95%
2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08% 1.00% 1.00% 113%
1.848 32.28% 254,872 (0.07)% 1.09% -- 1.09% 1.00% 1.00% 104%
2.053 25.36% 417,087 (0.42)% 0.98% 0.98% 0.98% 0.91% 0.91% 61%
1.640 13.88% 310,582 (0.47)% 1.02% 1.04% 1.04% 0.94% 0.94% 141%
1.698 14.28% 240,526 (0.38)% 1.13% 1.13% 1.13% 0.98% 0.98% 133%
1.485 8.80% 142,680 (0.32)% 1.13% 1.13% 1.13% 1.00% 1.00% 98%
1.369 39.56%** 41,376 (0.25)%* 1.35%* -- 1.42%* 1.00%* 0.93%* 95%**
1.521 (4.70)% 308,331 0.43% 0.88% 0.97% 0.97% 0.90% 0.90% 98%
1.686 4.87% 268,405 0.95% 0.94% 0.98% 0.99% 0.91% 0.90% 73%
1.626 24.85% 202,139 0.73% 0.98% 1.04% 1.06% 0.92% 0.90% 110%
1.511 28.53% 113,969 0.91% 0.95% 0.97% 0.97% 0.85% 0.85% 20%
1.238 17.60% 64,575 0.86% 1.01% -- 1.01% 0.85% 0.85% 17%
2.031 31.71% 679,341 0.69% 1.01% 1.02% 1.02% 0.89% 0.89% 18%
1.542 16.48% 505,553 0.99% 1.01% 1.02% 1.02% 0.90% 0.90% 27%
1.341 4.65% 397,915 1.17% 1.15% 1.17% 1.17% 0.97% 0.97% 20%
1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23% 1.00% 1.00% 18%
1.136 19.63% 104,312 1.68% 1.24% -- 1.24% 1.00% 1.00% 24%
</TABLE>
- --------------------------------------------
F-43
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
---------------------------------------------
Net Realized
Net and
Asset Net Unrealized
Value Investment Gain (Loss) Total from
Beginning Income on Investment
Year Ended December 31, of Period (Loss)(/2/) Investments Operations
- ----------------------- --------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
Select Growth Fund(/1/)
1999 $2.428 $(0.002) $ 0.709 $ 0.707
1998 1.811 0.002 0.638 0.640
1997 1.430 0.006 0.480 0.486
1996 1.369 0.005 0.297 0.302
1995 1.099 -- 0.270 0.270
Select Strategic
Growth Fund(/1/)
1999 0.973 0.003 0.153 0.156
1998(D) 1.000 0.002 (0.027) (0.025)
Select Growth and
Income Fund(/1/)
1999 1.779 0.022 0.298 0.320
1998 1.552 0.020 0.233 0.253
1997 1.405 0.020 0.293 0.313
1996 1.268 0.020 0.246 0.266
1995 1.027 0.019 0.290 0.309
Select Income Fund
1999 1.032 0.062 (0.071) (0.009)
1998 1.022 0.059 0.010 0.069
1997 0.995 0.060 0.028 0.088
1996 1.024 0.061 (0.029) 0.032
1995 0.930 0.060 0.095 0.155
Money Market
Fund
1999 1.000 0.051 -- 0.051
1998 1.000 0.054 -- 0.054
1997 1.000 0.053 -- 0.053
1996 1.000 0.052 -- 0.052
1995 1.000 0.057 -- 0.057
<CAPTION>
Less Distributions
-------------------------------------------------------------------
Net
Increase
Dividends Distributions (Decrease)
from Net from Net Distributions Return in
Investment Realized in of Total Net Asset
Year Ended December 31, Income Capital Gains Excess Capital Distributions Value
- ------------------------ -------------- ------------- ---------------- ------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Select Growth Fund(/1/)
1999 $(0.003) $(0.085) $ -- $ -- $(0.086) 0.621
1998 --(/3/) (0.023) -- -- (0.023) 0.617
1997 (0.006) (0.099) -- -- (0.105) 0.381
1996 (0.005) (0.236) -- -- (0.241) 0.061
1995 -- -- -- -- -- 0.270
Select Strategic
Growth Fund(/1/)
1999 (0.003) -- -- -- (0.003) 0.153
1998(D) (0.002) -- -- -- (0.002) (0.027)
Select Growth and
Income Fund(/1/)
1999 (0.021) (0.145) -- -- (0.166) 0.154
1998 (0.020) (0.006) -- -- (0.026) 0.227
1997 (0.020) (0.146) -- -- (0.166) 0.147
1996 (0.020) (0.109) -- -- (0.129) 0.137
1995 (0.019) (0.049) -- -- (0.068) 0.241
Select Income Fund
1999 (0.063) (0.007) -- -- (0.070) (0.079)
1998 (0.059) -- -- -- (0.059) 0.010
1997 (0.061) -- -- -- (0.061) 0.027
1996 (0.061) -- -- -- (0.061) (0.029)
1995 (0.060) -- (0.001)(/4/) -- (0.061) 0.094
Money Market
Fund
1999 (0.051) -- -- -- (0.051) --
1998 (0.054) -- -- -- (0.054) --
1997 (0.053) -- -- -- (0.053) --
1996 (0.052) -- -- -- (0.052) --
1995 (0.057) -- -- -- (0.057) --
</TABLE>
- ------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For period ended December 31, 1998.
(1) The Select Growth Fund changed sub-advisers on July 1, 1996. The Select
Strategic Growth Fund commenced operations on February 20, 1998. The Select
Growth and Income Fund changed sub-advisers on April 1, 1999.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $(0.003) in 1999, $0.001 in 1998,
$0.006 in 1997 and $0.005 in 1996 for Select Growth Fund; $0.003 in 1999,
$(0.001) in 1998 for Select Strategic Growth Fund; $0.022 in 1999, $0.019
in 1998, $0.019 in 1997 and $0.019 in 1996 for the Select Growth and Income
Fund and $0.060 in 1995 for Select Income Fund.
(3) Dividends from net investment income are less than $0.0005.
(4) Distribution in excess of net investment income.
See Notes to Financial Statements.
------------------------------------------------------
F-44
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Ratios/Supplemental Data
---------------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------------
Net Assets
Net Asset End of Net Operating Management Portfolio
Value End Total Period Investment Expenses Fee Turnover
of Period Returns (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------- ---------- ------------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$3.049 29.80% $1,216,365 (0.08)% 0.81% 0.83% 0.83% 0.78% 0.78% 84%
2.428 35.44% 815,390 0.08% 0.85% 0.87% 0.87% 0.82% 0.82% 86%
1.811 34.06% 470,356 0.42% 0.91% 0.93% 0.93% 0.85% 0.85% 75%
1.430 22.02% 228,551 0.38% 0.92% 0.93% 0.93% 0.85% 0.85% 159%
1.369 24.59% 143,125 0.02% 0.97% -- 0.97% 0.85% 0.85% 51%
1.126 16.06% 31,254 0.41% 1.17% 1.20% 1.20% 0.85% 0.85% 58%
0.973 (2.47)%** 14,839 0.41%* 1.14%* 1.20%* 1.66%* 0.85%* 0.39%* 24%**
1.933 18.43% 844,538 1.17% 0.73% 0.74% 0.74% 0.67% 0.67% 131%
1.779 16.43% 646,086 1.26% 0.70% 0.73% 0.73% 0.68% 0.68% 112%
1.552 22.51% 473,552 1.34% 0.77% 0.80% 0.80% 0.73% 0.73% 71%
1.405 21.26% 295,638 1.44% 0.80% 0.83% 0.83% 0.75% 0.75% 78%
1.268 30.32% 191,610 1.69% 0.85% -- 0.85% 0.75% 0.75% 112%
0.953 (0.85)% 174,037 6.26% 0.61% 0.61% 0.61% 0.52% 0.52% 177%
1.032 6.83% 160,450 5.92% 0.64% 0.64% 0.64% 0.54% 0.54% 130%
1.022 9.17% 104,253 6.12% 0.72% 0.72% 0.72% 0.59% 0.59% 79%
0.995 3.32% 77,498 6.29% 0.74% 0.74% 0.74% 0.60% 0.60% 108%
1.024 16.96% 60,368 6.24% 0.79% -- 0.80% 0.60% 0.59% 131%
1.000 5.19% 513,606 5.09% 0.29% 0.29% 0.29% 0.24% 0.24% N/A
1.000 5.51% 336,253 5.36% 0.32% 0.32% 0.32% 0.26% 0.26% N/A
1.000 5.47% 260,620 5.33% 0.35% 0.35% 0.35% 0.27% 0.27% N/A
1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34% 0.28% 0.28% N/A
1.000 5.84% 155,211 5.68% 0.36% -- 0.36% 0.29% 0.29% N/A
</TABLE>
- --------------------------------------------
F-45
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940 ("the 1940 Act"), as amended, as an open-end, diversified
management investment company established as a Massachusetts business trust.
The Trust is intended to serve as an investment medium for (i) variable life
insurance policies and variable annuity contracts offered by insurance compa-
nies, (ii) certain qualified pension and retirement plans, as permitted by
Treasury Regulations; and (iii) life insurance companies and advisers to the
Portfolios and their affiliates. The Trust is comprised of fourteen managed
investment portfolios. The accompanying financial statements and financial
highlights are those of the Select Emerging Markets, Select Aggressive Growth,
Select Capital Appreciation, Select Value Opportunity, Select International
Equity, Select Growth, Select Strategic Growth, Select Growth and Income,
Select Income and Money Market Funds (individually a "Portfolio", collectively,
the "Portfolios").
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions at
the date of the financial statements. Actual results could differ from those
estimates.
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
Security Valuation: Securities which are traded on a recognized exchange (in-
cluding securities traded through the National Market System) are valued at the
last sale price on the securities exchange on which securities are primarily
traded or, if there were no sales that day, at the mean of the closing bid and
asked price. Over-the-counter securities that are not traded through the
National Market System are valued on the basis of the bid price at the close of
business each day. Short-term investments that mature in 60 days or less are
valued at amortized cost. Corporate debt securities and debt securities of the
U.S. Government and its agencies (other than short-term investments) are valued
by an independent pricing service approved by the Board of Trustees which util-
izes market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. If not valued by a pricing
service, such securities are valued at prices obtained from independent bro-
kers. Investments with prices that cannot be readily obtained are carried at
fair value as determined in good faith under consistently applied procedures
established by and under the supervision of the Board of Trustees. The invest-
ments of the Money Market Fund are valued utilizing the amortized cost valua-
tion method, permitted in accordance with Rule 2a-7 under the 1940 Act. This
method involves valuing a portfolio security initially at its cost and thereaf-
ter assuming a constant amortization to maturity of any discount or premium.
Forward Foreign Currency Contracts: The Select Emerging Markets, Select Capital
Appreciation, Select International Equity, and Select Income Funds may enter
into forward foreign currency contracts whereby the Portfolios agree to
exchange a specific currency at a specific price at a future date in an attempt
to hedge against fluctuations in the value of the underlying currency of cer-
tain portfolio instruments. Forward foreign currency contracts are valued at
the daily exchange rate of the underlying currency with any fluctuations
recorded as unrealized gains or losses. Receivables and payables of forward
foreign currency contracts are presented on a net basis in the Statements of
Assets and Liabilities. Gains or losses on the purchase or sale of forward for-
eign currency contracts having the same settlement date and broker are recog-
nized on the date of offset, otherwise gains and losses are recognized on the
settlement date.
The use of forward foreign currency contracts does not eliminate fluctuations
in the underlying prices of the Portfolios, but it does establish a rate of
exchange that can be achieved in the future. Although forward foreign currency
contracts used for hedging purposes limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, the Portfolios
could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts.
------------------------------------------------------
F-46
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
Foreign Currency Translation: Investment valuations, other assets and liabili-
ties denominated in foreign currencies are translated each business day into
U.S. dollars based upon current exchange rates. Purchases and sales of foreign
investments and income and expenses are translated into U.S. dollars based upon
exchange rates prevailing on the respective dates of such transactions. That
portion of unrealized gains or losses on investments due to fluctuations in
foreign currency exchange rates is not separately disclosed.
Security Transactions and Investment Income: Security transactions are recorded
as of trade date. Realized gains and losses from security transactions are
determined on the basis of identified cost. Interest income, including amorti-
zation of premium and accretion of discount on securities, is accrued daily.
Dividend income is recorded on the ex-dividend date, except that certain divi-
dends from foreign securities are recorded as soon as the Portfolios are
informed of the ex-dividend date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio intends to continue to qualify as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains, if any, for its tax year ending December 31, 1999. In addi-
tion, by distributing during each calendar year substantially all of its net
investment income, capital gains and certain other amounts, if any, each Port-
folio will not be subject to Federal excise tax. Therefore, no Federal income
tax provision is required. Withholding taxes on foreign dividend income and
gains have been paid or provided for in accordance with the applicable
country's tax rules and rates.
Distributions to Shareholders: Dividends from net investment income are
declared and reinvested daily for the Money Market Fund, declared and distrib-
uted quarterly for the Select Growth and Income, and Select Income Funds, and
annually for the Select Emerging Markets, Select Aggressive Growth, Select Cap-
ital Appreciation, Select Value Opportunity, Select International Equity,
Select Growth and Select Strategic Growth Funds. All Portfolios declare and
distribute all net realized capital gains, if any, at least annually. Distribu-
tions to shareholders are recorded on ex-dividend date. Income and capital
gains distributions are determined in accordance with income tax regulations,
which may differ from generally accepted accounting principles. These
differences are primarily due to differing book and tax treatments in the tim-
ing of the recognition of gains or losses, including "Post-October Losses" for-
eign currency gains and losses and losses deferred due to wash sales; and per-
manent differences due to differing treatments for paydown gains/losses on
mortgage-backed securities, market discount, and non-taxable dividends. Any
taxable income or gain remaining at fiscal year end is distributed in the fol-
lowing year. Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital. Undistrib-
uted net investment income may include temporary book and tax basis differences
which will reverse in a subsequent period. Permanent book-tax differences, if
any, are not included in ending undistributed net investment income for the
purposes of calculating net investment income per share in the Financial High-
lights.
Futures Contracts: All Portfolios, except the Money Market Fund, may enter into
futures contracts for the delayed delivery of securities at a fixed price at
some future date or the change in value of a specified financial index over a
predetermined time period. Cash or securities are deposited with the brokers in
order to establish and maintain a position. Subsequent payments made or
received by the Portfolio based on the daily change in the market value of the
position are recorded as unrealized gain or loss until the contract is closed
out, at which time the gain or loss is realized.
Organization Costs: For the Select Capital Appreciation Fund, cost incurred in
connection with its organization, including the fees and expenses of register-
ing and qualifying its shares for distribution under applicable securities reg-
ulations were capitalized and are being amortized using the straight line
method over a period of five years beginning with the commencement of the Port-
folio's operation.
Securities Lending: Each Portfolio, using Investors Bank & Trust Company
("IBT") as its lending agent, may loan securities to brokers and dealers in
exchange for negotiated lenders' fees. These fees are disclosed as "securities
lending income" in the Statements of Operations. Each applicable Portfolio
receives collateral against the loaned securities
- --------------------------------------------
F-47
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
which must be maintained at not less than 102% of the market value of the
loaned securities during the period of the loan. Collateral received is gener-
ally cash, and is invested in short term investments. Lending portfolio securi-
ties involves possible delays in receiving additional collateral or in the
recovery of the securities or possible loss of rights in the collateral. Infor-
mation regarding the value of the securities loaned and the value of the col-
lateral at period end is included under the caption "Other Information" at the
end of each applicable Portfolio's schedule of investments. Prior to April,
1999 Bankers Trust Company was the Portfolios lending agent.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: The Select Capital Appreciation Fund, Select Income Fund,
Investment Grade Income Fund, Government Bond Fund and Money Market Fund may
enter into contracts to purchase securities for a fixed price at a specified
future date beyond customary settlement time ("forward commitments"). If the
Portfolios do so, they will maintain cash or other liquid obligations having a
value in an amount at all times sufficient to meet the purchase price. Forward
commitments involve a risk of loss if the value of the security to be purchased
declines prior to the settlement date. Although the Portfolios generally will
enter into forward commitments with the intention of acquiring securities for
their portfolio, they may dispose of a commitment prior to settlement if their
Sub-Adviser deems it appropriate to do so.
3. INVESTMENT ADVISORY, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS.
Allmerica Financial Investment Management Services, Inc. (the "Manager"), a
wholly-owned subsidiary of First Allmerica Financial Life Insurance Company
("First Allmerica"), serves as investment advisor and administrator to the
Trust. Under the terms of the management agreement, the Portfolios pay a man-
agement fee, calculated daily and payable monthly, at an annual rate based upon
the following fee schedules:
<TABLE>
<CAPTION>
Percentage of Average Daily Net Assets
First Next Next Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $250,000,000 $1,000,000,000
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Select Emerging Markets 1.35% 1.35% 1.35% 1.35% 1.35% 1.35%
Select Value Opportunity 1.00% 0.85% 0.80% 0.75% 0.70% 0.70%
Select International
Equity 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
Select Growth 0.85% 0.85% 0.80% 0.75% 0.70% 0.70%
Select Strategic Growth 0.85% 0.85% 0.85% 0.85% 0.85% 0.85%
Select Growth and Income 0.75% 0.70% 0.65% 0.65% 0.65% 0.65%
Prior to September 1,
1999
- ---------------------------------------------------------------------------------------------------------
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
Select Capital
Appreciation 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
After September 1, 1999
- ---------------------------------------------------------------------------------------------------------
Select Aggressive Growth 1.00% 0.90% 0.80% 0.70% 0.70% 0.65%
Select Capital
Appreciation 1.00% 0.90% 0.80% 0.70% 0.70% 0.65%
</TABLE>
------------------------------------------------------
F-48
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- ----------------------------------------------------
<S> <C> <C> <C>
Money Market 0.35% 0.25% 0.20%
<CAPTION>
First Next Over
Portfolio $50,000,000 $50,000,000 $100,000,000
- ----------------------------------------------------
<S> <C> <C> <C>
Select Income 0.60% 0.55% 0.45%
</TABLE>
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for
the payment of all fees to the Sub-Advisers. The Sub-Advisers for each of the
Portfolios are as follows:
<TABLE>
<S> <C>
Select Emerging Markets Schroder Investment Management North America Inc. ("Schroder")
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Select Capital Appreciation T. Rowe Price Associates, Inc. ("T. Rowe Price")
Select Value Opportunity Cramer Rosenthal McGlynn, LLC
Select International Equity Bank of Ireland Asset Management (U.S.) Limited
Select Growth Putnam Investment Management, Inc.
Select Strategic Growth Cambiar Investors, Inc
Select Growth and Income J.P. Morgan Investment Management Inc.
Select Income Standish, Ayer & Wood, Inc.
Money Market Allmerica Asset Management, Inc. (wholly-owned subsidiary of First Allmerica)
</TABLE>
Effective April 1, 1999, J.P. Morgan Investment Management Inc. assumed sub-
adviser responsibilities from John A. Levin & Co., Inc. for the Select Growth
and Income Fund. T. Rowe Price, an investment company managed by an affiliate
of T. Rowe Price Associates, Inc., is currently used as an investment vehicle
for certain insurance products sponsored by First Allmerica and Allmerica
Financial Life Insurance and Annuity Company, a wholly-owned subsidiary of
First Allmerica. In addition, T. Rowe Price currently serves as investment
adviser to a corporate investment account of Allmerica Financial Corporation.
Standish, Ayer & Wood, Inc. also currently serves as investment adviser to an
institutional account sponsored by First Allmerica.
Effective April 1, 1999, IBT provides portfolio accounting and custody services
to the Trust and receives fees and reimbursement of certain out-of-pocket
expenses for its services from the Trust. The Manager has entered into an
Administrative Services Agreement with IBT, whereby IBT performs certain admin-
istrative services for the Portfolios and is entitled to receive an administra-
tive fee and certain out-of-pocket expenses. The Manager is solely responsible
for the payment of the administrative fee to IBT. Prior to April 1, 1999, First
Data Investor Services Group, Inc. performed fund administration and fund
accounting services for the Trust, and custodian services were performed by
Bankers Trust Company. The Trust pays no salaries or compensation to any of its
officers. Trustees who are not directors, officers or employees of the Trust or
any investment adviser are reimbursed for their travel expenses in attending
meetings of the Trustees, and receive quarterly meeting and retainer fees for
their services. Such amounts are paid by the Trust.
4. REIMBURSEMENT OF EXPENSES AND WAIVER OF FEES
In the event normal operating expenses of each Portfolio, except for the Select
Emerging Markets Fund, excluding taxes, interest, broker commissions, and
extraordinary expenses, but including the advisory fee, exceed certain volun-
tary expense limitations as a percentage of average net assets (Select Aggres-
sive Growth Fund--1.35%, Select Capital Appreciation Fund--1.35%, Select Value
Opportunity Fund--1.25%, Select International Equity Fund--1.50%, Select Growth
Fund--1.20%, Select Strategic Growth Fund--1.20%, Select Growth and Income
Fund--1.10%, Select Income Fund--1.00%, and Money Market Fund--0.60%), the Man-
ager will voluntarily reimburse fees and any expenses in excess of the expense
limitations. Expense limitations may be removed or revised at any time after a
Portfolio's first fiscal year of operations without prior notice to existing
shareholders. For the year ended December 31, 1999, the operating expenses of
the Select Strategic Growth Fund exceeded the amount of its expense limitations
by $813.
- --------------------------------------------
F-49
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
- --------------------------------------------------------------------------------
The Manager has voluntarily agreed until further notice to waive its management
fee to the extent that expenses of the Select Emerging Markets Fund exceed
2.00% of the Fund's average daily net assets. The amount of such waiver will be
limited to the net amount of management fees earned by the Manager from the
Fund after subtracting the fees paid by the Manager to Schroder for sub-advi-
sory services. The Manager has also voluntarily agreed to limit its management
fee from the Select Value Opportunity Fund to an annual rate of 0.90% of aver-
age daily net assets.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the bro-
kers will rebate a portion of brokerage commissions. Such amounts earned by the
Portfolios, under such agreements, are presented as a reduction of expenses in
the Statement of Operations.
6. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value. At December 31, 1999, First Allmerica owned 20,148,426 shares of Select
Emerging Markets Fund and 5,026,417 shares of Select Strategic Growth Fund.
7. FOREIGN SECURITIES AND EMERGING MARKETS
All Portfolios except the Government Bond Fund may purchase securities of for-
eign issuers. The Money Market Fund may invest in only U.S. dollar denominated
foreign securities. Investing in foreign securities involves special risks not
typically associated with investing in securities of U.S. issuers. The risks
include revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign issuers and their markets
may be less liquid and their prices more volatile than those of securities of
comparable U.S. issuers.
Investing in emerging markets may involve special risks and considerations not
typically associated with investing in the developed markets. These risks
include revaluation of currencies, high rates of inflation, repatriation
restrictions on income and capital, and future adverse political and economical
developments. Moreover, securities issued in these markets may be less liquid,
subject to government ownership controls, subject to delayed settlements, and
their prices more volatile than those of comparable securities in the United
States.
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options trans-
actions, and forward foreign currency contracts involves risk other than that
reflected in the Statement of Assets and Liabilities. Risks associated with
these instruments include the potential for an imperfect correlation between
the movements in the price of the instruments and the price of the underlying
securities and interest rates, an illiquid secondary market for the instruments
or inability of counterparties to perform under terms of the contracts, and
changes in the value of foreign currency relative to the U.S. dollar. The
Select Emerging Market Fund, the Select Capital Appreciation Fund, the Select
International Equity Fund, the Select Growth Fund, and the Select Income Fund
may enter into these forward contracts primarily to protect the Portfolio from
adverse currency movement.
9. PLAN OF SUBSTITUTION
An application has been filed with the Securities and Exchange Commission
("SEC") seeking an order approving the substitution of shares of the Investment
Grade Income Fund ("IGIF") for all of the shares of the Select Income Fund
("SIF"). To the extent required by law, approvals of such substitution will
also be obtained from the state insurance regulators in certain jurisdictions.
The effect of the substitution will be to replace SIF shares with IGIF shares.
After the proposed substitution, the name of IGIF will be changed to the Select
Investment Grade Income Fund. The substitution is planned to be effective on or
about July 1, 2000.
------------------------------------------------------
F-50
<PAGE>
Allmerica Investment Trust
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders of Allmerica Investment Trust
In our opinion, the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments (except for Moody's and S&P Ratings), 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 Select Emerging Markets Fund, Select Aggressive Growth Fund, Select Capital
Appreciation Fund, Select Value Opportunity Fund, Select International Equity
Fund, Select Growth Fund, Select Strategic Growth Fund, Select Growth & Income
Fund, Select Income Fund and Money Market Fund (ten of the funds constituting
the Allmerica Investment Trust, hereafter referred to as the "Trust") at Decem-
ber 31, 1999, the results of each of their operations, the changes in each of
their net assets and the financial highlights for the periods indicated, in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and signifi-
cant estimates made by management, and evaluating the overall financial state-
ment presentation. We believe that our audits, which included confirmation of
securities at December 31, 1999 by correspondence with the custodian and bro-
kers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2000
- --------------------------------------------
F-51
<PAGE>
Allmerica Investment Trust
REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------
The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an invest-
or's shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is not insured or guaranteed by the Fed-
eral Deposit Insurance Corporation or any other government agency. Although the
Portfolio seeks to preserve the value of your investment at a stable net asset
value of $1.00 per share, it is possible to lose money by investing in the
Portfolio.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Portfolios and are not autho-
rized for distribution to prospective investors in the flexible premium vari-
able life insurance or annuity products of Allmerica Financial Life Insurance
and Annuity Company or First Allmerica Financial Life Insurance Company unless
accompanied or preceded by effective prospectuses for the flexible premium
variable insurance or annuity products of Allmerica Financial Life Insurance
and Annuity Company or First Allmerica Financial Life Insurance Company,
Allmerica Investment Trust, Variable Insurance Products Fund, Variable Insur-
ance Products Fund II, and T. Rowe Price International Stock Portfolio, which
include important information related to charges and expenses.
CLIENT NOTICES
- --------------------------------------------------------------------------------
This report includes financial statements for Allmerica Investment Trust. It
does not include financial statements for the separate accounts that correspond
to the insurance and/or annuity products included in this report.
If you would like to request additional copies of this report, please contact
either your Allmerica Financial representative or call 1-800-366-1492.
------------------------------------------------------
F-52
<PAGE>
Allmerica Select SPL
Allmerica Select products are offered through Allmerica Financial Life Insurance
and Annuity Company. Our parent company, First Allmerica Financial, is the
nation's fifth oldest life insurance company. Founded in 1844, First Allmerica
Financial has been serving the financial needs of its policyholders for more
than 150 years.
Allmerica Select brings together the experience and financial strength of
Allmerica Financial Life with the talent of some of the world's leading money
managers. It's a powerful combination that can help achieve your financial
goals.
Allmerica Select Variable Products are issued by First Allmerica Financial
Life Insurance Company and Allmerica Financial Life Insurance and Annuity
Company and are distributed by Allmerica Investments, Inc. Allmerica Select
is a division of the issuing companies. To be preceded or accompanied by the
current Allmerica Select Product prospectus. Read it carefully before
investing.
[LOGO]
[LOGO OF ALLMERICA FINANCIAL]
ALLMERICA INVESTMENTS, INC.
440 Lincoln Street, Worcester, Massachusetts 01653
