<PAGE>
ANNUAL REPORT TO SHAREHOLDERS
CIGNA FUNDS GROUP
FOR THE YEAR ENDED DECEMBER 31, 1995
[ABOVE TEXT APPEARS AS A DIVIDED CIRCULAR GRAPHIC]
<PAGE>
CIGNA MONEY MARKET FUND (formerly CIGNA Annuity Money Market Fund)
Management's Discussion and Analysis (Unaudited)
The CIGNA Money Market Fund was in a transition year in 1995. As of April 18,
1995, Investors Life Insurance Company of North America, an affiliate of
InterContinental Life Corporation, on behalf of holders of its variable annuity
contracts redeemed all its shares in the CIGNA Money Market Fund. Immediately
following the redemption, Connecticut General Life Insurance Company ("CG
Life"), an affiliate of CIGNA Funds Group, invested $1,000,000. This meant that
the Money Market Fund had a relatively small investment portfolio for the
remainder of the year. During 1995, the Fund returned 5.33% while 3-Month U.S.
Treasury Bills, by comparison, showed a return of 5.74%.
1995 produced one of the best years in bond market history following one of the
worst in 1994. The groundwork for this years' rally was laid by the tightening
of monetary policy in 1994 and early 1995. The slowing of economic activity to
trend growth of 2.5%, receding of inflation expectations, purchases of
securities by foreign central banks during and after the U.S. dollar's spring
free fall and hopes for a balanced budget were some of the events that drove
Treasury Yields down more than 200 basis points.
Money market instruments such as top tier commercial paper, certificates of
deposit, and bankers acceptances did not appreciate such a wild ride during the
year. These securities track the Fed Funds rate, a key short term rate which
banks charge for overnight loans. The Fed Funds rate was increased 50 basis
points in February to equal 6.00%, only to be lowered in two 25 basis point
moves in July and December to close at it's starting level of 5.50%. Part of
our strategy in 1995 was to stay invested in the higher yielding money market
products with shorter maturities. This strategy did not work to our absolute
benefit since we gave up the gains recognized on lower yielding Treasury
securities with longer maturities.
As 1996 begins, there is a back drop of subdued growth and diminishing
inflationary expectations. Consequently, we believe the Federal Reserve has
room to ease monetary policy which would justify lower interest rates.
Therefore, we will remain bullish and look for signs to the contrary, such as
increasing inflationary pressures or a resurgence of economic activity. We will
also consider other portfolio adjustments as market conditions dictate.
[PERFORMANCE GRAPH APPEARS HERE]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/1/86 - 12/31/95
<TABLE>
<CAPTION>
- ---------------------------------
AVERAGE ANNUAL TOTAL RETURN
<S> <C> <C>
1 Year 5 Year 10 Year
5.33% 4.04% 5.71%
- ---------------------------------
<CAPTION>
CIGNA 3-Month
Point of Money Market U.S. Treasury Bills -
Measurement Fund Total Return*
- ----------- ------------ ----------------------
<S> <C> <C>
1/86 10000 10000
12/86 10653.089119738 10617
12/87 11334.950792783 11244.4647
12/88 12160.880262439 12004.59051372
12/89 13250.273373428 13041.787134105
12/90 14286.495352652 14072.0883177
12/91 15107.709130673 14881.233395968
12/92 15615.226899945 15418.445921562
12/93 15988.313285949 15891.792211354
12/94 16536.905412794 16562.425842673
12/95 17417.577911427 17513.109086042
</TABLE>
* Source: Salomon Brothers
CIGNA Money Market Fund's performance figures are historical and reflect
reinvestment of all dividends and capital gains distributions and changes in net
asset value. The Fund does not charge a sales load, but may be used with
variable annuities that contain other charges which would affect the ultimate
return to an investor. The Fund's investment return and principal value will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost. Past performance cannot guarantee comparable future
results. The Fund's performance has been compared with the total return
performance of three-month U.S. Treasury Bills. Treasury Bill performance does
not reflect brokerage charges or other investment expenses. The Fund's average
7-day annualized yield as of December 31, 1995 was 4.53%.
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER - 15.3%
American Express Credit Corp.,
5.58%, 3/7/96 $ 39 $ 39
Ford Motor Credit Corp.,
5.69%, 2/16/96 40 40
General Electric Capital Corp.,
5.68%, 2/2/96 40 40
Minnesota Mining & Manufacturing Co.,
5.50%, 3/14/96 39 39
--------
TOTAL COMMERCIAL PAPER 158
--------
U.S. GOVERNMENT & AGENCIES - 38.5%
Federal Farm Credit Bank,
5.53%, 2/12/96 100 99
Federal Home Loan Banks,
6.04%, 2/22/96 100 100
Federal Home Loan Mortgage,
5.56%, 1/18/96 100 100
Federal National Mortgage Association,
5.53%, 2/9/96 100 99
--------
TOTAL U.S. GOVERNMENT & AGENCIES 398
--------
REPURCHASE AGREEMENTS - 45.4%
Repurchase Agreement with State Street Bank, entered into
12/26/95 at 5.40%, maturing 1/2/96 at $470,494 (collateralized by
a U.S. Treasury Bond, 7.25%, due 5/15/2016 with a face value
of $425,000 and a value of $477,417) 470 470
--------
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
VALUE
(000)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
TOTAL INVESTMENT IN SECURITIES - 99.2%
(Total Cost - $1,026,034) $ 1,026
Cash and Other Assets Less Liabilities - 0.8% 8
---------
NET ASSETS - 100.0%
(equivalent to $1.00 per share based on 1,034,143
shares outstanding) $ 1,034
=========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INCOME FUND (formerly CIGNA Annuity Income Fund)
Management's Discussion and Analysis (Unaudited)
The CIGNA Income Fund was in a transition year in 1995. As of April 18, 1995,
Investors Life Insurance Company of North America, an affiliate of
InterContinental Life Corporation, on behalf of holders of its variable annuity
contracts redeemed its shares of the CIGNA Income Fund. Immediately following
the redemption, Connecticut General Life Insurance Company ("CG Life"), an
affiliate of CIGNA Funds Group, invested $1,000,000 in the Income Fund.
Liquidation at adverse times in the market and difficulties managing a small
portfolio of odd-lot positions contributed to the Fund substantially trailing
the Index. During 1995, the Fund returned 16.21% while the Lehman Brothers
Government/Corporate Index, by comparison, showed a return of 19.24%.
1995 was a decent year for the economy, an excellent year for inflation, and a
banner year for bonds. Consensus forecasts of accelerating growth and inflation
were proved wrong, and the Federal Reserve (Fed) was able to reverse course and
ease interest rates twice before the end of the year--achieving what many
thought unachievable: a "soft landing" of the economy. The long Treasury rate
dropped nearly 200 basis points by year-end, as investors were increasingly
buoyed by modest growth, declining inflation expectations, an easing Fed and
seemingly serious talk about budget reduction.
At the same time, strong corporate cash flows and balance sheets, as well as
record stock market levels, limited the need for corporate new issuance -
resulting in strong demand and reduced supply. Corporate bonds outperformed
Treasuries by a margin of over 300 basis points.
We expect to migrate into corporate bonds as attractive opportunities appear;
additionally, we will pursue valued-added swaps and carefully manage duration
risk to maximize performance relative to the Index.
As we enter 1996, much of the good news we expect for bonds appears to be
factored into the market, which will continue to both react to news from
Washington, and to focus on economic releases to validate current market levels.
We expect economic growth and inflation to be modest, allowing the accommodative
bend of the Fed to continue. Any signs of accelerating growth or inflation
would swiftly change this positive scenario.
[PERFORMANCE GRAPH APPEARS HERE]
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT (Unaudited)
1/1/86 - 12/31/95
<TABLE>
<CAPTION>
- ----------------------------------
AVERAGE ANNUAL TOTAL RETURN
<S> <C> <C>
1 Year 5 Year 10 Year
16.21% 10.02% 9.57%
- ----------------------------------
<CAPTION>
CIGNA Lehman Brothers
Point of Income Government/
Measurement Fund Corporate Index
- ----------- ------ ---------------
<S> <C> <C>
1/86 10000 10000
12/86 11743.465346535 11495.769230769
12/87 11821.089108911 11831.445692308
12/88 12751.683168317 12728.269275785
12/89 14574.158415842 14539.501993729
12/90 15470.297029703 15743.37275881
12/91 18246.03960396 18282.778784806
12/92 19537.02970297 19668.613416694
12/93 22147.227722772 21838.061476555
12/94 21457.227722772 21071.545518728
12/95 24936.03960396 25125.710876531
</TABLE>
CIGNA Income Fund's performance figures are historical and reflect reinvestment
of all dividends and capital gains distributions and changes in net asset value.
The Fund does not charge a sales load. The Fund's investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Past performance cannot
guarantee comparable future results. The Fund's performance was been compared
with the total return performance for the Lehman Brothers Government/Corporate
Bond Index. The index is a group of unmanaged securities widely regarded by
investors to be representative of the taxable U.S. government and corporate bond
market in general. Index results do not reflect brokerage charges or other
investment expenses. An investment cannot be made in the index.
<PAGE>
CIGNA INCOME FUND
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE
(000) (000)
- -----------------------------------------------------------------------------------------
<S> <C> <C>
BONDS AND NOTES - 92.3%
FOREIGN GOVERNMENTS - 9.0%
Israel (The State of)., 5.75%, 2000 $ 100 $ 100
----------
U.S. GOVERNMENT & AGENCIES - 83.3%
Federal Home Loan Banks, 7.37%, 2002 100 109
Federal Home Loan Mortgage Corp., 7.75%, 2001 100 110
Federal National Mortage Assoc., 7.4%, 2004 100 110
Student Loan Marketing Assoc., 6.6%, 1999 100 104
Tennessee Valley Authority, 6.375%, 2005 100 103
United States Treasury Notes,
5.875%, 1998 95 96
6.5%, 2005 270 288
----------
920
----------
Total Bonds and Notes
(Cost - $994,196) 1,020
----------
TOTAL INVESTMENT IN SECURITIES
(Cost - $994,196) 1,020
Cash and Other Assets, Less Liabilities - 7.7% 85
----------
NET ASSETS - 100.0%
(equivalent to $1.02 per share based on
1,086,956 shares outstanding) $ 1,105
==========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF ASSETS AND LIABILITIES (IN THOUSANDS)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MONEY
MARKET INCOME
---------- ----------
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost - $1,026,034 and
$994,196, respectively) $ 1,026 $ 1,020
Cash 4 66
Interest receivable 3 18
Investment for deferred compensation plan (Cost - $21,318
and $9,857, respectively) 21 11
Receivable from advisor 12 7
Other - 6
---------- ----------
Total assets 1,066 1,128
---------- ----------
LIABILITIES:
Payable for deferred compensation plan 21 11
Other accrued expenses 11 12
---------- ----------
Total liabilities 32 23
---------- ----------
NET ASSETS $ 1,034 $ 1,105
========== ==========
Shares outstanding 1,034 1,087
========== ==========
NET ASSET VALUE PER SHARE $ 1.00 $ 1.02
========== ==========
COMPONENTS OF NET ASSETS:
Capital paid in $ 1,034 $ 1,046
Distributions in excess of net investment income - (11)
Accumulated net realized gain on investments - 42
Unrealized appreciation of investments - 28
---------- ----------
NET ASSETS $ 1,034 $ 1,105
========== ==========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF OPERATIONS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
MONEY
MARKET INCOME
-------- -------
<S> <C> <C>
INVESTMENT INCOME:
Interest $ 338 $ 386
-------- -------
EXPENSES:
Investment advisory fees 27 26
Custodian fees and expenses 15 24
Administrative services 4 4
Auditing and legal fees 11 9
Trustees' fees 3 2
Transfer agent fees and expenses 3 3
Other 4 3
-------- -------
Total expenses 67 71
Less expenses waived by advisor (23) (21)
-------- -------
Net expenses 44 50
-------- -------
NET INVESTMENT INCOME 294 336
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain from securites transactions 4 140
Unrealized appreciation of investments - 415
-------- -------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 4 555
-------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 298 $ 891
======== =======
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
MONEY
MARKET INCOME
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income $ 294 $ 336
Net realized gain from securities transactions 4 140
Unrealized appreciation of investments - 415
------------- -------------
Net increase in net assets from operations 298 891
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (294) (713)
From net realized capital gains (4) (27)
------------- -------------
Total distributions to shareholders (298) (740)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,193 1,029
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 298 296
------------- -------------
1,491 1,325
Cost of shares redeemed (Note 6) (17,130) (15,581)
------------- -------------
Net decrease from Fund share transactions (15,639) (14,256)
------------- -------------
NET DECREASE IN NET ASSETS (15,639) (14,105)
NET ASSETS:
Beginning of period 16,673 15,210
------------- -------------
End of period (including overdistributed net investment
income of $0 and $11,002, respectively) $ 1,034 $ 1,105
============= =============
TRANSACTIONS IN CAPITAL STOCK:
Shares sold 1,193 1,118
Shares issued in reinvestment of dividends and distributions 298 316
------------- -------------
1,491 1,434
Shares redeemed (17,130) (16,887)
------------- -------------
Net decrease (15,639) (15,453)
============= =============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF CHANGES IN NET ASSETS (IN THOUSANDS)
FOR THE YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
MONEY
MARKET INCOME
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income $ 614 $ 1,103
Net realized loss from securities transactions - (124)
Unrealized depreciation of investments - (1,584)
------------- ------------
Net increase (decrease) in net assets from operations 614 (605)
------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (614) (1,103)
------------- ------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 844 462
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 614 1,103
------------- ------------
1,458 1,565
Cost of shares redeemed (5,293) (4,557)
------------- ------------
Net decrease from Fund share transactions (3,835) (2,992)
------------- ------------
NET DECREASE IN NET ASSETS (3,835) (4,700)
NET ASSETS:
Beginning of period 20,508 19,910
------------- ------------
End of period (including overdistributed net investment
income of $0 and $0, respectively) $ 16,673 $ 15,210
============= ============
TRANSACTIONS IN CAPITAL STOCK:
Shares sold 844 488
Shares issued in reinvestment of dividends and distributions 614 1,154
------------- ------------
1,458 1,642
Shares redeemed (5,293) (4,779)
Net decrease ------------- ------------
(3,835) (3,137)
============= ============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP Notes to Financial Statements
1. SIGNIFICANT ACCOUNTING POLICIES. CIGNA Money Market Fund and CIGNA Income
Fund , known as CIGNA Annuity Money Market Fund and CIGNA Annuity Income Fund,
respectively, prior to February 15, 1996, are separate series of CIGNA Funds
Group, known as CIGNA Annuity Funds prior to February 15, 1996, a Massachusetts
business trust (the "Trust"). The funds are referred to collectively as "CIGNA
Funds Group" or the "Funds." The Trust is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company. The objective of the Money Market Fund is to provide as
high a level of current income as is consistent with the preservation of capital
and liquidity and the maintenance of a stable $1.00 per share net asset value by
investing in short-term money market instruments. The objective of the Income
Fund is to provide as high a level of current income as possible consistent with
reasonable concern for safety of principal by investing primarily in investment
grade corporate debt securities and U.S. Government securities. The preparation
of financial statements in accordance with generally accepted accounting
principles requires management to make estimates and assumptions that affect the
reported amounts and disclosures in the financial statements. Actual results
could differ from those estimates. The following is a summary of significant
accounting policies consistently followed by the Funds in the preparation of
financial statements.
A. SECURITY VALUATION -- Debt securities traded in the over the counter market,
including listed securities whose primary markets are believed to be over the
counter, are valued on the basis of valuations furnished by a pricing service,
which determines valuations for normal, institutional-size trading units of such
securities using market information, transactions for comparable securities and
various relationships between securities which are generally recognized by
institutional traders. Except for the Money Market Fund, short-term
investments with remaining maturities of up to and including 60 days are valued
at amortized cost, which approximates market. Short-term investments that
mature in more than 60 days are valued at current market quotations. The
investments in the Money Market Fund are valued at amortized cost, which the
Board of Trustees has determined constitutes fair value. Other securities and
assets of the Funds are appraised at fair value as determined in good faith by,
or under the authority of, the Board of Trustees.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME -- Security transactions
are accounted for on the trade date (date the order to buy or sell is executed).
Interest income is recorded on the accrual basis. Securities gains and losses
are determined on the basis of identified cost. The cost for Federal income tax
purposes is substantially the same.
C. FEDERAL TAXES -- For Federal income tax purposes, each Fund in the Trust is
taxed as a separate entity. It is each Fund's policy to continue to comply with
the requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income and capital gains to its
shareholders. Therefore, no Federal income or excise taxes on realized income
or net capital gains have been accrued.
D. DIVIDENDS -- For the Money Market Fund, dividends from net investment income
and net realized gains are declared daily and reinvested monthly. Prior to
April 19, 1995, dividends from net investment income were reinvested daily. For
the Income Fund, dividends from net investment income and net capital gains, to
the extent such gains would otherwise be taxable to the Fund, are declared and
distributed annually. Prior to April 19, 1995, dividends from net investment
income of the Income Fund were distributed daily.
Dividends and distributions are recorded by the Funds on the ex-dividend date.
The timing and characterization of certain income and capital gains
distributions are determined in accordance with federal tax regulations which
may differ from generally accepted accounting principles. To the extent that
such differences are permanent, a re-class to paid in capital may be required.
2. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES. Investment
advisory fees were paid or accrued to CIGNA Investments, Inc. ("CII"), certain
officers and directors of which are affiliated with the Funds. Such advisory
fees are based on an annual rate of 0.5% applied to the average daily net assets
of each Fund. CII has voluntarily agreed to reimburse each Fund for any amount
by which its expenses (including the advisory fee but
<PAGE>
CIGNA Funds Group Notes to Financial Statements (Continued)
excluding interest, taxes, amortized organization expenses, transaction costs
incurred in acquiring and disposing of portfolio securities, and extraordinary
expenses) exceed 1% of average daily net assets of any Fund.
Each Fund reimburses CII for a portion of the compensation and related expenses
of the Trust's Treasurer and Secretary and certain persons who assist in
carrying out the responsibilities of those offices. For the year ended December
31, 1995, the Money Market Fund and Income Fund paid $3,810 and $3,954,
respectively.
CII is an indirect, wholly-owned subsidiary of CIGNA Corporation.
3. TRUSTEES' FEES. Trustees' fees represent remuneration paid or accrued to
trustees who are not employees of CIGNA Corporation or any of their affiliates.
Trustees may elect to defer all or a portion of their fees which are invested in
mutual fund shares in accordance with a deferred compensation plan.
4. PURCHASES AND SALES OF SECURITIES. Purchases and sales of securities,
excluding short-term obligations, for the year ended December 31, 1995 were as
follows (shown in thousands):
<TABLE>
<CAPTION>
FUND PURCHASES SALES
---------------------------- -------------- -------------
<S> <C> <C>
Money Market Fund $ - $ -
Income Fund 2,189 16,101
</TABLE>
Purchases and sales of U.S. Government obligations for the Income Fund of
$1,990,023 and $8,274,342, respectively, are included in the above aggregate
purchases and sales.
5. AGGREGATE GROSS UNREALIZED APPRECIATION. The Income Fund had aggregate gross
and net unrealized appreciation for Federal income tax purposes as follows
(shown in thousands):
<TABLE>
<CAPTION>
UNREALIZED UNREALIZED NET UNREALIZED
FUND APPRECIATION DEPRECIATION APPRECIATION
-------------------------------- -------------- -------------- --------------
<S> <C> <C> <C>
Money Market Fund $ - $ - $ -
Income Fund 26 - 26
</TABLE>
As of December 31, 1995, the Money Market and Income Funds' cost of securities
for Federal income tax purposes was $1,026,034 and $994,196, respectively.
6. CAPITAL STOCK. Each Fund is a separate series of the Trust which offers an
unlimited number of shares of beneficial interest, without par value.
As of April 18, 1995, Investors Life Insurance Company of North America, an
affiliate of InterContinental Life Corporation, on behalf of holders of its
variable annuity contracts redeemed all of the outstanding shares of the CIGNA
Funds Group. The proceeds of the redemption were $15,717,142 and $14,509,838 for
the Money Market Fund and the Income Fund, respectively. The amounts redeemed
from the CIGNA Funds Group were used to acquire shares of certain PCM Funds,
managed by Putnam Investments. Immediately following the redemption, Connecticut
General Life Insurance Company ("CG Life"), an affiliate of CIGNA Funds Group,
invested $1,000,000 in each of the Money Market Fund and the Income Fund. At
December 31, 1995, CG Life is the sole shareholder of the Funds.
<PAGE>
CIGNA Funds Group Notes to Financial Statements (Continued)
7. FINANCIAL HIGHLIGHTS. The following selected per share data is computed on
the basis of a share outstanding throughout the period:
<TABLE>
<CAPTION>
Net
Realized
Net & Net
Asset Unrealized Dividends Assets
Value, Net Gain (Loss) Total from from Net Distributions Value,
Period Beginning Investment on Investments Investment From Realized Total End
Ended of Period Income Investments Operation Income Capital Gains Distributions of Period
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Money Market Fund
1991 $1.00 $.0561 - $.0561 $.0561 - $.0561 $1.00
1992 1.00 .0334 - .0334 .0334 - .0334 1.00
1993e 1.00 .0237 - .0237 .0237 - .0237 1.00
1994e 1.00 .0337 - .0337 .0337 - .0337 1.00
1995f 1.00 .0516 - .0516 .0516 $.0003 .0516 1.00
Income Fund
1991 $0.95 $.08 $.09 $.17 $.08 - $.08 $1.04
1992 1.04 .07 (.01) .06 .07 .01 .08 1.02
1993e 1.02 .06 .07 .13 .06 .08 .14 1.01
1994e 1.01 .06 (.09) (.03) .06 - .06 0.92
1995f .92 .06 .09 .15 .05 - .05 1.02
<CAPTION>
Ratio of
Net Ratio of Net
Assets at Expenses Investment
End of to Income Portfolio
Total Period Average to Average Turnover
Return (000) Net Assets Net Assets Rate
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Money Market Fund
1991 5.75% $32,555 0.81% 5.66% -
1992 3.36 25,808 0.84 3.35 -
1993 e 2.39 20,508 1.00a 2.39 b -
1994 e 3.43 16,673 1.00a 3.32 b -
1995 f 5.33 1,034 0.80a 5.38 b -
Income Fund
1991 17.94 % $22,716 0.84 % 7.81 % 62 %
1992 7.08 20,588 0.90 7.29 23
1993 e 13.36 19,910 1.00 c 6.06 d 116
1994 e -3.12 15,210 1.00 c 6.37 d 8
1995 f 16.21 1,105 0.95 c 6.50 d 45
</TABLE>
a. Ratios of expenses to average net assets prior to the reduction of advisory
fee were 1.21%, 1.11% and 1.02%, respectively, for 1995, 1994 and 1993.
b. Ratios of net investment income to average net assets prior to the reduction
of advisory fee were 4.91%, 3.22% and 2.37%, respectively, for 1995, 1994 and
1993.
c. Ratios of expenses to average net assets prior to the reduction of advisory
fee were 1.37%, 1.15% and 1.01%, respectively, in 1995, 1994 and 1993.
d. Ratios of net investment income to average net assets prior to the reduction
of advisory fee were 6.08%, 6.22% and 6.06%, respectively, in 1995, 1994 and
1993.
e. Net investment income per share has been calculated in accordance with SEC
requirements, except that end of year accumulated/undistributed net
investment income has not been adjusted to reflect current year permanent
differences between financial and tax accounting.
f. Per share amounts have been calculated using the average shares method, which
more appropriately presents the the per share data for the period since the
use of the undistributed income method did not accord with the results of
operations.
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of CIGNA Funds Group
In our opinion, the accompanying statements of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of each of the two funds constituting
the CIGNA Funds Group, formerly CIGNA Annuity Funds, ("the Funds") at December
31, 1995, the results of their operations for the year then ended, the changes
in their net assets and the financial highlights for each of the years
indicated, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1995 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
February 15, 1996
