<PAGE>
SEMIANNUAL REPORT TO SHAREHOLDERS
CIGNA FUNDS GROUP
FOR THE SIX MONTHS ENDED JUNE 30, 1998
[THE ABOVE TEXT APPEARS AS A DIVIDED CIRCLE GRAPHIC]
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES (Unaudited)
JUNE 30, 1998
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER - 80.1%
DOMESTIC - 70.2%
Abbott Laboratories,
5.48%, 7/9/98 $10,800 $ 10,787
Allied Signal, Inc.,
5.93%, 7/1/98 13,000 13,000
American Express Co.,
5.50%, 7/10/98 12,263 12,246
Barclays U.S. Funding Corp.,
5.55%, 7/22/98 10,000 9,968
Bellsouth Telecommunications, Inc.,
5.48%, 7/14/98 11,000 10,978
Campbell Soup Co.,
5.53%, 7/31/98 12,000 11,945
Dayton Power & Light Co.,
5.51%, 7/9/98 7,000 6,991
du Pont (E.I.) de nemours & Co.,
5.52%, 7/8/98 5,875 5,869
5.56%, 7/15/98 5,699 5,687
Emerson Electric Co.,
5.52%, 8/5/98 10,000 9,946
Ford Motor Credit Co.,
5.55%, 7/2/98 11,400 11,400
General Electric Capital Corp.,
5.53%, 7/16/98 12,300 12,272
Lubrizol Corp.,
5.54%, 7/6/98 7,550 7,544
Merck & Co.,
6.05%, 7/1/98 12,400 12,400
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES (Unaudited) (Continued)
JUNE 30, 1998
PRINCIPAL VALUE
(000) (000)
- -----------------------------------------------------------------------------
Morgan (J.P.) & Co.,
5.51%, 8/19/98 $ 5,000 $ 4,962
5.55%, 8/24/98 7,700 7,636
Motorola, Inc.,
5.50%, 7/23/98 7,236 7,212
National Rural Utilities Cooperative
Finance Corp., 5.50%, 8/6/98 6,780 6,743
New England Electric Systems,
5.52%, 7/28/98 12,000 11,950
OGE Energy Corp.,
6.10%, 7/7/98 5,798 5,792
Paccar Financial Corp.,
5.53%, 7/22/98 10,000 9,968
Pfizer, Inc.,
5.50%, 7/6/98 4,131 4,128
Pitney Bowes Credit Corp.,
5.47%, 7/1/98 4,500 4,500
PPG Industries, Inc.,
5.55%, 7/31/98 8,088 8,051
Sara Lee Corp.,
5.75%, 7/8/98 12,899 12,885
Teco Finance, Inc.,
5.51%, 8/11/98 9,200 9,142
Xerox Corp.,
5.55%, 7/24/98 7,700 7,673
-----------------
241,675
-----------------
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES (Unaudited) (Continued)
JUNE 30, 1998
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
FOREIGN - 9.9%
Bass Finance (C.I.) Ltd.,
5.52%, 7/17/98 $ 9,634 $ 9,610
B.B.V. Finance (Delaware), Inc.,
5.46%, 7/6/98 7,000 6,995
5.51%, 7/7/98 5,200 5,195
National Australia Funding (Delaware), Inc.,
5.50%, 7/20/98 3,742 3,731
5.49%, 8/4/98 8,600 8,555
-----------------
34,086
-----------------
TOTAL COMMERCIAL PAPER 275,761
-----------------
U.S. GOVERNMENT & AGENCIES - 20.1%
Federal Farm Credit Bank,
5.60%, 10/1/98 2,000 1,999
Federal Home Loan Banks,
5.80%, 9/18/98 2,500 2,500
5.685%, 10/2/98 1,000 1,000
5.481%, 3/10/99* 3,000 2,998
5.58%, 3/11/99 4,000 3,997
5.75%, 5/27/99 6,500 6,498
5.527%, 6/10/99 5,000 4,993
5.598%, 6/17/99* 6,000 5,999
Federal National Mortgage Association,
5.38%, 2/12/99 4,000 3,994
5.41%, 2/23/99 1,150 1,148
5.57%, 3/5/99 5,000 4,998
5.531%, 3/16/99* 5,000 4,998
5.631%, 4/28/99* 5,000 4,998
5.311%, 5/25/99* 5,500 5,488
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES (Unaudited) (Continued)
JUNE 30, 1998
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
Student Loan Marketing Association,
5.82%, 9/16/98 $ 5,500 $ 5,500
5.621%, 11/12/98* 3,000 3,000
5.562%, 4/1/99* 5,000 4,999
-----------------
TOTAL U.S. GOVERNMENT & AGENCIES 69,107
-----------------
TOTAL INVESTMENTS IN SECURITIES - 100.2% $ 344,868
(Total Cost - $344,868,369)
Liabilities, Less Cash and Other Assets - (0.2%) (809)
-----------------
NET ASSETS - 100.0%
(equivalent to $1.00 per share based
on 344,058,808 shares outstanding) $ 344,059
=================
* Variable Rate Notes. Rate is as of June 30, 1998.
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1998 (Unaudited)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
COMMON STOCKS - 98.9%
General Electric Co. 69,900 $ 6,361
Microsoft Corp.* 52,800 5,722
Coca-Cola Co. 52,900 4,523
Exxon Corp. 52,500 3,744
Merck & Co., Inc. 25,600 3,424
Pfizer, Inc. 28,000 3,043
Wal-Mart Stores, Inc. 48,200 2,928
Intel Corp. 36,400 2,698
Procter & Gamble Co. 28,800 2,623
Royal Dutch Petroleum Co. 46,000 2,521
Bristol-Myers Squibb Co. 21,300 2,448
Lucent Technologies, Inc. 28,100 2,338
International Business Machines Corp. 20,200 2,319
American International Group, Inc. 15,000 2,190
Bell Atlantic Corp. 47,014 2,145
Johnson & Johnson 28,800 2,124
Philip Morris Companies, Inc. 52,100 2,051
Cisco Systems, Inc.* 21,900 2,016
A T & T Corp. 34,800 1,988
du Pont (E.I.) de Nemours & Co. 24,200 1,806
SBC Communications, Inc. 39,400 1,576
NationsBank Corp. 20,506 1,569
Lilly (Eli) & Co. 23,700 1,566
Disney ( Walt) Co. 14,600 1,534
Ford Motor Co. 26,000 1,534
Travelers Group, Inc. 24,614 1,492
American Home Products Corp. 28,100 1,454
Citicorp 9,700 1,448
Schering-Plough Corp. 15,700 1,439
BellSouth Corp. 21,200 1,423
Chase Manhattan Corp. 18,300 1,382
Gillette Co. 24,100 1,366
Abbott Laboratories 33,100 1,353
Federal National Mortgage Association 22,200 1,349
Hewlett-Packard Co. 22,200 1,329
PepsiCo, Inc. 32,000 1,318
Home Depot, Inc. 15,750 1,308
Mobil Corp. 16,800 1,287
Dell Computer Corp.* 13,800 1,281
BankAmerica Corp. 14,600 1,262
Warner-Lambert Co. 17,600 1,221
First Union Corp. 20,770 1,210
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Morgan Stanley, Dean Witter, Discover & Co. 12,900 $ 1,179
Chevron Corp. 14,000 1,163
GTE Corp. 20,600 1,146
American Express Company 9,900 1,129
Time Warner, Inc. 12,700 1,085
Unilever NV 13,700 1,081
WorldCom, Inc.* 22,100 1,070
Ameritech Corp. 23,600 1,059
McDonald's Corp. 14,700 1,014
Compaq Computer Corp.* 35,397 1,004
Boeing Company 21,650 965
General Motors Corp. 14,300 955
MCI Communications Corp. 15,500 901
Amoco Corp. 20,600 857
Banc One Corp. 15,000 837
Allstate Corp. 9,000 824
Tyco International Ltd. 12,500 788
Chrysler Corp. 13,800 778
Schlumberger Ltd. 10,700 731
Airtouch Communications, Inc.* 12,300 719
Minnesota Mining and Manufacturing Co. 8,700 715
Monsanto Company 12,800 715
Xerox Corp. 7,000 711
Texaco, Inc. 11,600 692
Federal Home Loan Mortgage Corp. 14,600 687
Merrill Lynch & Co., Inc. 7,400 683
U. S. Bancorp, Inc. 15,890 683
Motorola, Inc. 12,800 673
Wells Fargo & Co. 1,800 664
Computer Associates International, Inc. 11,700 650
Sprint Corp. 9,200 649
Medtronic, Inc. 10,100 644
Northern Telecom Ltd. 11,200 636
Norwest Corp. 16,200 605
MediaOne Group, Inc. 13,100 576
Emerson Electric Co. 9,500 574
Associates First Capital Corp. 7,382 567
Sara Lee Corp. 10,000 559
Colgate-Palmolive Co. 6,300 554
First Chicago NBD Corp. 6,200 549
Kimberly-Clark Corp. 11,900 546
Atlantic Richfield Co. 6,900 539
Allied-Signal, Inc. 12,100 537
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1998 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
GAP, Inc. 8,400 $ 518
Campbell Soup Company 9,700 515
Sears, Roebuck & Company 8,400 513
Oracle Systems Corp.* 20,850 512
Fleet Financial Group, Inc. 6,100 509
U. S. WEST Inc. 10,795 507
Eastman Kodak Co. 6,900 504
Pharmacia & Upjohn, Inc. 10,900 503
National City Corp. 7,000 497
BankBoston Corp. 8,900 495
Bank of New York, Inc. 8,100 492
Anheuser-Busch Companies, Inc. 10,400 491
Texas Instruments, Inc. 8,400 490
CBS Corp. 15,400 489
EMC Corp.* 10,700 479
- -----------------------------------------------------------------
TOTAL 100-LARGEST STOCKS 130,920
- -----------------------------------------------------------------
Automatic Data Processing, Inc. 6,500 474
Dow Chemical Co. 4,800 464
Dayton Hudson Corp. 9,400 456
Duke Energy Co. 7,700 456
United Technologies Corp. 4,900 453
Lockheed Martin Corp. 4,200 445
Morgan (J.P.) & Co. 3,800 445
Viacom, Inc., Class B* 7,600 443
Heinz (H.J.) Co. 7,800 438
Walgreen Co. 10,600 438
Gannett Co., Inc. 6,100 433
Raytheon Co. 7,300 432
Lowes Companies, Inc. 10,600 430
Marsh & McLennan Companies, Inc. 7,000 423
Tele-Communications, Inc., Class A* 10,900 419
Caterpillar, Inc. 7,900 418
Southern Company 15,000 415
General Re Corp. 1,600 406
Columbia/HCA Healthcare Corp. 13,800 402
Mellon Bank Corp. 5,600 390
Penney (J.C.) Co., Inc. 5,400 390
American General Corp. 5,400 384
Cendant Corp. 18,285 382
Enron Corp. 7,000 378
Wachovia Corp. 4,400 372
SunTrust Banks, Inc. 4,500 366
Washington Mutual, Inc. 8,300 361
Bestfoods, Inc. 6,200 360
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Illinois Tool Works, Inc. 5,400 $ 360
Waste Management, Inc. 10,200 357
MBNA Corp. 10,750 355
Amgen, Inc.* 5,400 353
Fifth Third Bancorp 5,600 353
Sun Microsystems, Inc.* 8,100 352
PNC Bank Corp. 6,400 344
Household International, Inc. 6,900 343
KeyCorp 9,400 335
Burlington Northern Santa Fe Corp. 3,400 334
Kellogg Co. 8,800 330
May Department Stores Co. 5,000 327
ConAgra, Inc. 10,300 326
AMR Corp.* 3,900 325
HBO & Co. 9,200 324
Baxter International, Inc. 6,000 323
Comcast Corp., Class A (Special) 7,900 321
First Data Corp. 9,600 320
CVS Corp. 8,200 319
CIGNA Corp. 4,600 317
Williams Companies, Inc. 9,100 307
Seagram Company Ltd. 7,400 303
NIKE, Inc., Class B 6,200 302
Boston Scientific Corp.* 4,200 301
Clear Channel Communications, Inc.* 2,700 295
Franklin Resource, Inc. 5,400 292
Costco Companies, Inc.* 4,600 290
Chubb Corp. 3,600 289
Hartford Financial Services Group 2,500 286
International Paper Co. 6,600 284
Pitney-Bowes, Inc. 5,900 284
Deere & Co. 5,300 280
Tellabs, Inc.* 3,900 279
Albertson's, Inc. 5,300 275
Phillips Petroleum Co. 5,600 270
Ralston Purina Co. 2,300 269
Mattel, Inc. 6,300 267
PPG Industries, Inc. 3,800 264
United Healthcare Corp. 4,100 260
PG & E Corp. 8,200 259
Aon Corp. 3,600 253
Textron, Inc. 3,500 251
Halliburton Co. 5,600 250
Texas Utilities Co. 6,000 250
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1998 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
FPL Group, Inc. 3,900 $ 246
Wrigley (Wm.) Jr. Company 2,500 245
Bankers Trust New York Corp. 2,100 244
State Street Corp. 3,500 243
Federated Department Stores, Inc.* 4,500 242
Norfolk Southern Corp. 8,100 241
SunAmerica, Inc. 4,200 241
Aluminum Co. of America 3,600 237
Aetna, Inc. 3,100 236
Archer-Daniels-Midland Co. 12,190 236
Kroger Co.* 5,500 236
Service Corporation International 5,500 236
TJX Companies, Inc. 9,700 234
Union Pacific Corp. 5,300 234
3Com Corp.* 7,600 233
Applied Materials, Inc.* 7,900 233
General Mills, Inc. 3,400 232
Edison International 7,800 231
Consolidated Edison Co. of N.Y., Inc. 5,000 230
HealthSouth Corp.* 8,600 230
Guidant Corp. 3,200 228
Honeywell, Inc. 2,700 226
Progressive Corp. Ohio 1,600 226
Cardinal Health, Inc. 2,400 225
Comerica, Inc. 3,350 222
Cognizant Corp. 3,500 221
Goodyear Tire & Rubber Co. 3,400 219
Loews Corp. 2,500 218
- -----------------------------------------------------------------
TOTAL 200-LARGEST STOCKS 162,496
- -----------------------------------------------------------------
Masco Corp. 3,600 218
Avon Products, Inc. 2,800 217
Pioneer Hi-Bred International, Inc. 5,200 215
CSX Corp. 4,700 214
Hershey Foods Corp. 3,100 214
Occidental Petroleum Corp. 7,900 213
USX-Marathon Group 6,200 213
Computer Sciences Corp.* 3,300 211
St. Paul Companies, Inc. 5,028 211
Clorox Co. 2,200 210
Fort James Corp. 4,700 209
Delta Air Lines, Inc. 1,600 207
Rite Aid Corp. 5,500 207
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Tenet Healthcare Corp. 6,600 $ 206
Ascend Communications, Inc. 4,100 203
BB and T Corp. 3,000 203
Becton, Dickinson and Co. 2,600 202
Kmart Corp. 10,500 202
Rockwell International Corp. 4,200 202
FDX Corp. 3,200 201
Lincoln National Corp. 2,200 201
Air Products & Chemicals, Inc. 5,000 200
Weyerhaeuser Co. 4,300 199
Houston Industries, Inc. 6,322 195
Lehman Brothers Holdings, Inc. 2,500 194
Conseco, Inc. 4,000 187
Schwab (Charles) Corp. 5,750 187
ALLTEL Corp. 4,000 186
American Electric Power Co., Inc. 4,100 186
Unocal Corp. 5,200 186
Omnicom Group, Inc. 3,700 185
Sysco Corp. 7,200 185
Beneficial Corp. 1,200 184
Northern Trust Corp. 2,400 183
SLM Holding Corp. 3,700 181
Summit Bancorp. 3,800 181
Tribune Co. 2,600 179
Marriott International, Inc. 5,500 178
Interpublic Group of Companies, Inc. 2,900 176
Capital One Financial Corp. 1,400 174
Corning, Inc. 5,000 174
US Airways Group, Inc.* 2,200 174
Public Service Enterprises Group, Inc. 5,000 172
Dominion Resources, Inc. 4,200 171
McGraw-Hill, Inc. 2,100 171
Ahmanson (H. F.) & Co. 2,400 170
Newell Company 3,400 169
Dresser Industries, Inc. 3,800 167
Gateway 2000, Inc. 3,300 167
UNUM Corp. 3,000 167
New York Times Co., Class A 2,100 166
Quaker Oats Co. 3,000 165
Unicom Corp. 4,700 165
Burlington Resources, Inc. 3,810 164
Dover Corp. 4,800 164
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1998 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Winn-Dixie Stores, Inc. 3,200 $ 164
AMP, Inc. 4,700 162
Limited, Inc. 4,900 162
Coastal Corp. 2,300 161
Praxair, Inc. 3,400 159
MBIA, Inc. 2,100 157
Parametric Technology Corp.* 5,800 157
Providian Corp. 2,000 157
Bay Networks, Inc.* 4,800 155
Northrop Grumman Corp. 1,500 155
Union Carbide Corp. 2,900 155
Barrick Gold Corp. 8,000 154
Ingersol-Rand Co. 3,500 154
Unisys Corp.* 5,400 153
Entergy Corp. 5,300 152
First Energy Corp. 4,900 151
Hilton Hotels Corp. 5,300 151
Transamerica Corp. 1,300 150
Owens-Illinois, Inc.* 3,300 148
Nextlevel System, Inc.* 5,900 147
Merchantile Bancorp. 2,900 146
PacifiCorp 6,400 145
Republic New York Corp. 2,300 145
American Stores Co. 5,900 143
Cooper Industries, Inc. 2,600 143
Sempra Energy Corp. 5,156 143
Bear Stearns & Companies, Inc. 2,500 142
Fortune Brands, Inc. 3,700 142
TRW, Inc. 2,600 142
Southwest Airlines Co. 4,750 141
Toys 'R' Us, Inc.* 6,000 141
PECO Energy Co. 4,800 140
Carolina Power & Light Co. 3,200 139
Cincinnati Financial Corp. 3,600 138
Donnelley (R.R.) & Sons Co. 3,000 137
Huntington Bancshares, Inc. 4,100 137
MGIC Investment Corp. 2,400 137
Tenneco, Inc. 3,600 137
Torchmark Corp. 3,000 137
Browning-Ferris Industries, Inc. 3,900 136
SAFECO Corp. 3,000 136
Alcan Aluminum Ltd. 4,900 135
Rohm & Haas Co. 1,300 135
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Avery Dennison Corp. 2,500 $ 134
Dun & Bradstreet Corp. 3,700 134
- -----------------------------------------------------------------
TOTAL 300-LARGEST STOCKS 179,516
- -----------------------------------------------------------------
Synovus Corp. 5,650 134
VF Corp. 2,600 134
Genuine Parts Co. 3,800 131
Jefferson-Pilot Corp. 2,250 130
Crown Cork & Seal Co., Inc. 2,700 128
Golden West Financial Corp. 1,200 128
General Dynamics Corp. 2,700 126
DTE Energy Co. 3,100 125
Baker Hughes, Inc. 3,600 124
Central & Southwest Corp. 4,600 124
Consolidated Natural Gas Co. 2,100 124
Green Tree Financial Corp. 2,900 124
Nordstrom, Inc. 1,600 124
Seagate Technology, Inc.* 5,200 124
Dana Corp. 2,300 123
Sherwin-Williams Co. 3,700 123
Black & Decker Corp. 2,000 122
Cinergy Corp. 3,400 119
Times Mirror Co., Class A 1,900 119
Georgia-Pacific Corp. 2,000 118
Countrywide Credit Industries, Inc. 2,300 117
Eaton Corp. 1,500 117
Frontier Corp. 3,700 117
Tandy Corp. 2,200 117
Equifax, Inc. 3,200 116
Thermo Electron Corp.* 3,400 116
Ameren Corp. 2,900 115
Micron Technology, Inc. 4,600 114
Dow Jones & Co., Inc. 2,000 112
Humana, Inc.* 3,600 112
Hasbro, Inc. 2,800 110
Whirlpool Corp. 1,600 110
Amerada Hess Corp. 2,000 109
UST, Inc. 4,000 108
Sealed Air Corp. 2,813 107
Eastman Chemical Co. 1,700 106
Rubbermaid, Inc. 3,200 106
Autozone, Inc. 3,300 105
Grainger (W.W.), Inc. 2,100 105
Tricon Global Restaurants 3,290 104
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1998 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Champion International Corp. 2,100 $ 103
Johnson Controls, Inc. 1,800 103
GPU, Inc. 2,700 102
Western Atlas, Inc.* 1,200 102
Columbia Energy Group. 1,800 100
International Flavors & Fragrances, Inc. 2,300 100
Baltimore Gas & Electric Co. 3,200 99
Maytag Corp. 2,000 99
Circuit City Stores, Inc. 2,100 98
Allegheny Teledyne, Inc. 4,200 96
Brown-Forman Corporation, Class B 1,500 96
Novell, Inc.* 7,500 96
Dillard, Inc., Class A 2,300 95
Union Pacific Resources Group, Inc. 5,400 95
Ceridian Corp.* 1,600 94
Knight-Ridder, Inc. 1,700 94
Block (H & R), Inc. 2,200 93
ITT Industries, Inc. 2,500 93
Sonat, Inc. 2,400 93
Fluor Corp. 1,800 92
Northern States Power Co. 3,200 92
Parker-Hannifin Corp. 2,350 90
Harcourt General, Inc. 1,500 89
PACCAR, Inc. 1,700 89
Anadarko Petroleum Corp. 1,300 87
Ecolab, Inc. 2,800 87
General Instrument Corp. 3,200 87
Nucor Corp. 1,900 87
Laidlaw, Inc. 7,000 85
Reynolds Metals Co. 1,500 84
Apple Computer, Inc. 2,900 83
Ashland, Inc. 1,600 83
Consolidated Stores Corp. 2,300 83
ALZA Corp.* 1,900 82
American Greetings Corp., Class A 1,600 82
Hercules, Inc. 2,000 82
PP & L Resources, Inc. 3,600 82
Mirage Resorts, Inc.* 3,800 81
Newmont Mining Corp. 3,400 80
Biomet, Inc. 2,400 79
Goodrich (B.F.) Co. 1,600 79
Stanley Works (The) 1,900 79
Sun Company, Inc. 2,000 78
Case Corp. 1,600 77
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Sigma-Aldrich Corp. 2,200 $ 77
Willamette Industries, Inc. 2,400 77
Harris Corp. 1,700 76
DSC Communications Corp.* 2,500 75
Phelps Dodge Corp. 1,300 74
Union Camp Corp. 1,500 74
Liz Claiborne, Inc. 1,400 73
United States Surgical Corp. 1,600 73
Mead Corp. 2,200 70
Morton International, Inc. 2,800 70
Echlin, Inc. 1,400 69
LSI Logic Corp.* 3,000 69
Perkin-Elmer Corp. 1,100 68
Apache Corp. 2,100 66
St. Jude Medical, Inc. 1,800 66
Wendy's International, Inc. 2,800 66
Allergan, Inc. 1,400 65
- -----------------------------------------------------------------
TOTAL 400-LARGEST STOCKS 189,401
- -----------------------------------------------------------------
Temple-Inland, Inc. 1,200 65
Engelhard Corp. 3,100 63
Mercantile Stores Co., Inc. 800 63
Placer Dome, Inc. 5,400 63
USX-U.S. Steel Group 1,900 63
Westvaco Corp. 2,200 62
Armstrong World Industries, Inc. 900 61
Deluxe Corp. 1,700 61
Bausch & Lomb, Inc. 1,200 60
Adobe Systems, Inc. 1,400 59
Freeport McMoRan Copper & Gold, Inc.,
Class B 3,900 59
Thomas & Betts Corp. 1,200 59
Kerr-McGee Corp. 1,000 58
SuperValu, Inc. 1,300 58
Giant Foods, Inc., Class A 1,300 56
Pall Corp. 2,700 55
Venator Group, Inc. 2,900 55
Manor Care, Inc. 1,400 54
Niagara Mohawk Power Co. 3,600 54
Advanced Micro Devices, Inc.* 3,100 53
KLA Tencor Corp.* 1,900 53
Raychem Corp. 1,800 53
Brunswick Corp. 2,100 52
Meredith Corp. 1,100 52
Great Lakes Chemical Corp. 1,300 51
Harrah's Entertainment, Inc.* 2,200 51
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1998 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Oryx Energy Co. 2,300 $ 51
Pennzoil Co. 1,000 51
Ryder System, Inc. 1,600 51
Fruit of the Loom, Inc., Class A* 1,500 50
Centex Corp. 1,300 49
Crane Co. 1,000 49
Darden Restaurants, Inc. 3,100 49
Inco Ltd. 3,600 49
Nalco Chemical Co. 1,400 49
Owens-Corning Fiberglas Corp. 1,200 49
FMC Corp.* 700 48
Silicon Graphics, Inc.* 4,000 48
Homestake Mining Co. 4,500 47
Mallinckrodt Group, Inc. 1,600 47
Snap-On, Inc. 1,300 47
Bard (C. R.), Inc. 1,200 46
Cabletron Systems, Inc.* 3,400 46
National Semiconductor Corp.* 3,500 46
National Service Industries, Inc. 900 46
Bemis Company, Inc. 1,100 45
McDermott International, Inc. 1,300 45
Louisiana-Pacific Corp. 2,400 44
Shared Medical Systems Corp. 600 44
Navistar International Corp.* 1,500 43
Scientific Atlanta, Inc. 1,700 43
Ikon Office Solutions, Inc. 2,900 42
Cummins Engine Co., Inc. 800 41
King World Productions, Inc.* 1,600 41
NICOR, Inc. 1,000 40
Timken Co. 1,300 40
Autodesk, Inc. 1,000 39
Boise Cascade Corp. 1,200 39
Rowan Companies, Inc.* 1,900 37
Tektronix, Inc. 1,050 37
Tupperware Corp. 1,300 37
Aeroquip-Vickers, Inc. 600 35
Alberto-Culver Co., Class B 1,200 35
Bethlehem Steel Corp.* 2,800 35
Cooper Tire & Rubber Co. 1,700 35
Polaroid Corp. 1,000 35
Andrew Corp.* 1,900 34
Reebok International Ltd. 1,200 33
Stone Container Corp. 2,100 33
Fleetwood Enterprises, Inc. 800 32
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
General Signal Corp. 900 $ 32
Worthington Industries, Inc. 2,100 32
Peoples Energy Corp. 800 31
EG & G, Inc. 1,000 30
Battle Mountain Gold Co. 4,900 29
Ball Corp. 700 28
Harnischfeger Industries, Inc. 1,000 28
Inland Steel Industries, Inc. 1,000 28
ONEOK, Inc. 700 28
Coors (Adolph) Co., Class B 800 27
Cyprus Amax Minerals Co. 2,000 27
Grace (W.R.) & Co. 1,600 27
Pep Boys-Manny, Moe & Jack 1,400 27
Pulte Corp. 900 27
Great Atlantic & Pacific Tea Co., Inc. 800 26
NACCO Industries, Inc., Class A 200 26
Kaufman & Broad Home Corp. 800 25
Millipore Corp. 900 25
Moore Corporation Ltd. 1,900 25
Potlatch Corp. 600 25
Helmerich & Payne, Inc. 1,100 24
Russell Corp. 800 24
Longs Drug Stores Corp. 800 23
Asarco, Inc. 900 20
Briggs & Stratton Corp. 500 19
Cincinnati Milacron, Inc. 800 19
Foster Wheeler Corp. 900 19
Jostens, Inc. 800 19
Springs Industries, Inc., Class A 400 18
Corn Products International, Inc. 500 17
Eastern Enterprises 400 17
Data General Corp.* 1,100 16
Armco, Inc. 2,300 15
Laidlaw Environmental Services 2,240 8
Harland (J.H.) Co. 400 7
Agribands International, Inc. 190 6
ChoicePoint, Inc.* 110 6
CommScope, Inc.* 333 5
Octel Corp. 275 5
Abercombie & Fitch Co. 65 3
General Semiconductor, Inc.* 250 2
Allergan Specialty 45 1
Crescendo Pharmaceuticals, Inc. 45 1
TOTAL COMMON STOCKS - 98.9%
(Cost $170,012,720) 193,623
----------
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1998 (Unaudited)
(Continued)
MARKET
PRINCIPAL VALUE
(000) (000)
- -----------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 1.2%
COMMERCIAL PAPER - 1.1%
GTE Northwest, Inc.
6.0%, 7/1/98 $ 2,235 $ 2,235
U.S. GOVERNMENT AND AGENCIES - 0.1%
U. S. Treasury Bills,
5.03%, 10/29/98** 103 101
----------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $2,336,273) 2,336
----------
TOTAL INVESTMENT IN SECURITIES - 100.1%
(Total Cost $172,348,993) 195,959
Liabilities, Less Cash and Other Assets - (0.1%) (284)
----------
NET ASSETS - 100.0% $ 195,675
==========
(equivalent to $12.87 per share based on 15,208,989
shares outstanding)
* Non-income producing securities.
** Pledged as initial margin for Stock Index Futures Contracts. At June 30,
1998, the Fund was long 9 S&P 500 Futures Contracts expiring in September
1998. Unrealized gain amounted to $26,438.
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INCOME FUND
INVESTMENTS IN SECURITIES
JUNE 30, 1998 (UNAUDITED)
MARKET
PRINCIPAL VALUE
(000) (000)
- --------------------------------------------------------------------------------
BONDS AND NOTES - 92.2%
FOREIGN GOVERNMENTS - 7.9%
Israel (The State of), 5.75%, 2000 $ 100 $ 100
--------------
U.S. GOVERNMENT & AGENCIES - 84.3%
Federal Home Loan Banks, 7.37%, 2002 100 106
Federal Home Loan Mortgage Corp., 7.75%, 2001 100 106
Federal National Mortgage Assoc., 7.4%, 2004 100 108
Student Loan Marketing Assoc., 6.6%, 1999 100 101
Tennessee Valley Authority, 6.375%, 2005 100 103
United States Treasury Bonds,
8.125%, 2019 35 45
6.5%, 2026 145 161
United States Treasury Notes,
5.875%, 1998 20 20
6.5%, 2005 300 317
--------------
1,067
--------------
Total Bonds and Notes
(Cost - $1,146,526) 1,167
--------------
SHORT-TERM OBLIGATIONS - 3.9%
COMMERCIAL PAPER - 3.9%
(Cost - $50,000)
American Express Corp., 5.5%, 7/13/98 50 50
--------------
TOTAL INVESTMENTS IN SECURITIES
(Total Cost - $1,196,526) 1,217
Cash and Other Assets, Less Liabilities - 3.9% 50
--------------
NET ASSETS - 100.0%
(equivalent to $1.01 per share based on
1,253,012 shares outstanding) $ 1,267
==============
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
(IN THOUSANDS)
MONEY S&P 500
MARKET INDEX INCOME
------------- ------------- -----------
<S> <C> <C> <C>
ASSETS:
Investments in securities at value (Cost - $344,868,369,
$172,348,993, and $1,196,526, respectively) $ 344,868 $ 195,959 $ 1,217
Cash 8 4 43
Receivable for Fund shares sold - 35,000 -
Interest and dividends receivable 711 163 19
Investment for Trustees' deferred compensation plan (Cost - $11,711,
$984 and $5,788, respectively) 18 1 9
Receivable from advisor - 13 2
Other - - -
------------- ------------- -----------
Total assets 345,605 231,140 1,290
------------- ------------- -----------
LIABILITIES:
Payable for investments purchased - 35,337 -
Dividends payable 1,385 - -
Payable for Trustees' deferred compensation plan 18 1 9
Other accrued expenses 143 127 14
------------- ------------- -----------
Total liabilities 1,546 35,465 23
------------- ------------- -----------
NET ASSETS $ 344,059 $ 195,675 $ 1,267
============= ============= ===========
Shares outstanding 344,059 15,209 1,253
============= ============= ===========
NET ASSET VALUE PER SHARE $ 1.00 $ 12.87 $ 1.01
============= ============= ===========
COMPONENTS OF NET ASSETS:
Paid in capital $ 344,059 $ 170,735 $ 1,208
Undistributed net investment income - 842 25
Accumulated net realized gain on investments - 461 8
Unrealized appreciation of investments - 23,637 26
------------- ------------- -----------
NET ASSETS $ 344,059 $ 195,675 $ 1,267
============= ============= ===========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF OPERATIONS
FOR THE PERIODS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
(IN THOUSANDS)
MONEY S&P 500
MARKET INDEX INCOME
------------ -------------- ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest $ 7,132 $ 86 $ 38
Dividends (net of foreign taxes withheld of $0, $7,294,
and $0, respectively) - 979 -
------------ -------------- ------------
7,132 1,065 38
EXPENSES:
Investment advisory fees 442 166 3
Custodian fees and expenses 60 104 10
Administrative services 46 39 6
Shareholder reports - - -
Auditing and legal fees 9 2 7
Registration fees 5 6 -
Trustees' fees 1 1 1
Transfer agent fees and expenses 1 - 1
Other 18 5 1
------------ -------------- ------------
Total expenses 582 323 29
Less expenses waived by advisor (21) (90) (23)
------------ -------------- ------------
Net expenses 561 233 6
------------ -------------- ------------
NET INVESTMENT INCOME 6,571 832 32
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain from securities transactions - 41 8
Net realized gain from futures contracts - 301 -
Net unrealized gain from futures contracts - 15 -
Unrealized appreciation of investments - 18,489 5
------------ -------------- ------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS - 18,846 13
------------ -------------- ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 6,571 $ 19,678 $ 45
============ ============== ============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIODS ENDED JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
(IN THOUSANDS)
MONEY S&P 500
MARKET INDEX INCOME
--------------- --------------- ------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income $ 6,571 $ 832 $ 32
Net realized gain from securities transactions - 41 8
Net realized gain from futures contracts - 301 -
Unrealized gain from futures contracts - 15 -
Unrealized appreciation of investments - 18,489 5
--------------- --------------- ------------
Net increase in net assets from operations 6,571 19,678 45
--------------- --------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (6,571) - -
From net realized capital gains - - -
--------------- --------------- ------------
Total distributions to shareholders (6,571) - -
--------------- --------------- ------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,261,718 70,152 -
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 5,875 - -
--------------- --------------- ------------
1,267,593 70,152 -
Cost of shares redeemed (1,094,599) - -
--------------- --------------- ------------
Net increase from Fund share transactions 172,994 70,152 -
--------------- --------------- ------------
NET INCREASE IN NET ASSETS 172,994 89,830 45
NET ASSETS:
Beginning of period 171,065 105,845 1,222
--------------- --------------- ------------
End of period (including undistributed net investment
income of $0, $842,289 and $25,151, respectively) $ 344,059 $ 195,675 $ 1,267
=============== =============== ============
TRANSACTIONS IN CAPITAL STOCK:
Shares sold 1,261,718 5,539 -
Shares issued in reinvestment of dividends and distributions 5,875 - -
--------------- --------------- ------------
1,267,593 5,539 -
Shares redeemed (1,094,599) - -
--------------- --------------- ------------
Net increase in shares outstanding 172,994 5,539 -
=============== =============== ============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIODS ENDED DECEMBER 31, 1997*
<TABLE>
<CAPTION>
(IN THOUSANDS)
MONEY S&P 500
MARKET INDEX INCOME
--------------- --------------- ------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income $ 6,624 $ 520 $ 63
Net realized gain from securities transactions 16 30 3
Net realized gain from futures contracts - 97 -
Unrealized gain from futures contracts - 11 -
Unrealized appreciation of investments - 5,122 35
--------------- --------------- ------------
Net increase in net assets from operations 6,640 5,780 101
--------------- --------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (6,624) (510) (61)
From net realized capital gains (16) (8) (3)
--------------- --------------- ------------
Total distributions to shareholders (6,640) (518) (64)
--------------- --------------- ------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 1,108,538 100,065 -
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 6,482 518 64
--------------- --------------- ------------
1,115,020 100,583 64
Cost of shares redeemed (1,064,460) - -
--------------- --------------- ------------
Net increase from Fund share transactions 50,560 100,583 64
--------------- --------------- ------------
NET INCREASE IN NET ASSETS 50,560 105,845 101
NET ASSETS:
Beginning of period 120,505 - 1,121
--------------- --------------- ------------
End of period (including undistributed net investment
income of $0 and $10,089 and overdistributed net
investment income of $6,744, respectively) $ 171,065 $ 105,845 $ 1,222
=============== =============== ============
TRANSACTIONS IN CAPITAL STOCK:
Shares sold 1,108,538 9,621 -
Shares issued in reinvestment of dividends and distributions 6,482 49 66
--------------- --------------- ------------
1,115,020 9,670 66
Shares redeemed (1,064,460) - -
--------------- --------------- ------------
Net increase in shares outstanding 50,560 9,670 66
=============== =============== ============
</TABLE>
* From January 1, 1997, except for S&P 500 Index Fund which commenced operations
on July 1, 1997.
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP Notes to Financial Statements (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES. CIGNA Money Market Fund, CIGNA S&P 500 Index
Fund and CIGNA Income Fund are separate series of CIGNA Funds Group, 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 S&P 500 Index Fund is to achieve long-term growth of capital by investing
principally in common stocks of companies in the Standard & Poor's 500 Composite
Stock Price Index ("S&P 500"), an index emphasizing large-capitalization stocks.
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 - Equity securities, including warrants, that are listed
on a national securities exchange or part of the NASDAQ National Market System
are valued at the last sale price or, if there has been no sale that day, at the
last bid price. 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.
The S&P 500 Index Fund may purchase Standard & Poor's 500 futures contracts with
the objective of earning returns on its short-term investments equivalent to
returns on the Standard & Poor's 500 Composite Stock Price Index. As a result,
the purchase of futures contracts simulates a fully invested position in the
underlying index while maintaining liquidity. Upon entering into a futures
contract, the Fund is required to pledge to the broker an amount of cash and/or
securities equal to the initial margin requirements. During the period a futures
contract is open, changes in the value of a contract are recognized as
unrealized gains or losses by "marking to market" on a daily basis to reflect
the market value of the contract at the end of each day's trading. Daily
variation margin payments are received or made, depending on whether there were
unrealized gains or losses. When a contract is closed, the Fund records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Futures
contracts include the risk that a change in the value of the contract may not
correlate with the value of the underlying securities.
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.
<PAGE>
CIGNA FUNDS GROUP Notes to Financial Statements (Unaudited) (Continued)
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. For the S&P
500 Index Fund and 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.
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 annual rates of 0.35%, 0.25% and 0.50% applied
to the average daily net assets of the Money Market Fund, S&P 500 Index Fund and
Income Fund, respectively. CII has voluntarily agreed to reimburse each Fund for
any amount by which its expenses (including the advisory fee but excluding
interest, taxes, amortized organization expenses, transaction costs incurred in
acquiring and disposing of portfolio securities, and extraordinary expenses)
exceed 0.45%, 0.35% and 1.00% of average daily net assets of the Money Market
Fund, S&P 500 Index Fund and Income Fund, respectively.
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 six months ended
June 30, 1998, the Money Market Fund, S&P 500 Index Fund and Income Fund paid or
accrued $45,761, $38,727 and $6,079, 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 its 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.
<PAGE>
CIGNA FUNDS GROUP Notes to Financial Statements (Unaudited) (Continued)
4. PURCHASES AND SALES OF SECURITIES. Purchases and sales of securities,
excluding short-term obligations, for the six months ended June 30, 1998 were as
follows (shown in thousands):
FUND PURCHASES SALES
- -------------------------------------- ------------------- ------------------
Money Market Fund $ - $ -
S&P 500 Index Fund 71,946 464
Income Fund 492,509 497,954
There were $492,509 of purchases and $497,954 of sales of U.S. Government
obligations for the Income Fund as of June 30, 1998. There were $719,914 of
purchases of U.S. Government obligations for the S&P 500 Index Fund in 1998.
5. AGGREGATE GROSS UNREALIZED APPRECIATION/DEPRECIATION. The Funds had aggregate
gross and net unrealized appreciation and depreciation 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 $ - $ - $ -
S&P 500 Index Fund 26,957 3,346 23,611
Income Fund 26 5 21
</TABLE>
As of June 30, 1998, the Money Market, S&P 500 Index and Income Funds' cost of
securities for Federal income tax purposes was $344,868,369, $170,012,720, and
$1,196,526, 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. At June
30, 1998, affiliates of CIGNA Corporation were the only shareholders of the
Funds.
<PAGE>
CIGNA FUNDS GROUP Notes to Financial Statements (Unaudited)(Continued)
7. FINANCIAL HIGHLIGHTS. The following per share data is computed on the basis
of a share outstanding throughout the period:
<TABLE>
<CAPTION>
NET
REALIZED
NET & NET NET
ASSET UNREALIZED DIVIDENDS ASSET ASSETS AT
VALUE, NET GAIN (LOSS) TOTAL FROM FROM NET DISTRIBUTIONS VALUE, END OF
PERIOD BEGINNING INVESTMENT ON INVESTMENT INVESTMENT FROM REALIZED TOTAL END TOTAL PERIOD
ENDED OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS OF PERIOD RETURN (000)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET FUND
1993 g $1.00 $.0237 - $.0237 $.0237 - $.0237 $1.00 2.39 % $ 20,508
1994 g 1.00 .0337 - .0337 .0337 - .0337 1.00 3.43 16,673
1995 h 1.00 .0516 $.0003 .0519 .0516 $.0003 .0519 1.00 5.33 1,034
1996 1.00 .0479 .0001 .0480 .0479 .0001 .0480 1.00 4.91 120,505
1997 1.00 .0513 .0001 .0514 .0513 .0001 .0514 1.00 5.27 171,065
6/30/98 i 1.00 .0256 .0000 .0256 .0256 .0000 .0256 1.00 5.23 344,059
S&P 500 INDEX FUND
1997 * $10.00 $.07 $.95 $1.02 $.07 $.00 $.07 $10.95 10.23 % $105,845
6/30/98 i 10.95 .05 1.87 1.92 .00 .00 .00 12.87 17.53 195,675
INCOME FUND
1993 g $1.02 $.06 $.07 $.13 $.06 $.08 $.14 $1.01 13.36 % $ 19,910
1994 g 1.01 .06 (.09) (.03) .06 - .06 .92 -3.12 15,210
1995 h 0.92 .06 .09 .15 .05 - .05 1.02 16.21 1,105
1996 g 1.02 .05 (.05) - .05 .03 .08 .94 1.36 1,121
1997 g 0.94 .05 .04 .09 .05 - .05 .98 9.10 1,222
6/30/98 i 0.98 .03 - .03 - - .03 1.01 3.71 1,267
</TABLE>
RATIO OF
RATIO OF NET
EXPENSES INVESTMENT
TO INCOME PORTFOLIO
AVERAGE TO AVERAGE TURNOVER
NET ASSETS NET ASSETS RATE
- --------------------------------------------------------------------------------
MONEY MARKET FUND
1993 g 1.00 %a 2.39 %b -
1994 g 1.00 a 3.32 b -
1995 h 0.80 a 5.38 b -
1996 0.45 a 4.95 b -
1997 0.44 a 5.14 b -
6/30/98 i 0.22 a 2.56 b -
S&P 500 INDEX FUND
1997 * 0.18 %c 0.79 %d 4 %
6/30/98 i 0.17 c 0.62 %d - %
INCOME FUND
1993 g 1.00 %e 6.06 %f 116 %
1994 g 1.00 e 6.37 f 8
1995 h 0.95 e 6.50 f 45
1996 g 1.00 e 5.33 f -
1997 g 1.00 e 5.42 f 7
6/30/98 i 0.50 e 2.56 f 42
* From commencement of operations, July 1, 1997.
a. Ratios of expenses to average net assets prior to the reduction of
advisory fee were 0.23%, 0.51%, 0.69%, 1.21%, 1.11% and 1.02%,
respectively, for the six months ended June 30, 1998 and the years ended
December 31, 1997, 1996, 1995, 1994 and 1993.
b. Ratios of net investment income to average net assets prior to the
reduction of advisory fee were 2.55%, 5.07%, 4.71%, 4.91%, 3.22% and
2.37%, respectively, for the six months ended June 30, 1998 and the years
ended December 31, 1997, 1996, 1995, 1994 and 1993.
c. Ratio of expenses to average net assets prior to the reduction of
advisory fee was 0.24% and 0.36%, respectively, for the six months ended
June 30, 1998 and the period ended December 31, 1997.
d. Ratio of net investment income to average net assets prior to the
reduction of advisory fee was 0.55% and 0.61%, respectively, for the six
months ended June 30, 1998 and the period ended December 31, 1997.
e. Ratios of expenses to average net assets prior to the reduction of
advisory fee were 2.33%, 5.31%, 5.62%, and 1.37%, respectively, for the
six months ended e. June 30, 1998 and the years ended December 31, 1997,
1996, and 1995.
f. Ratios of net investment income to average net assets prior to the
reduction of advisory fee were .73%, 1.11%, 0.72%, and 6.08%,
respectively, for the six months ended June 30, 1998 and the years ended
December 31, 1997, 1996 and 1995.
g. 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.
h. Per share amounts have been calculated using the average shares method,
which more appropriately presents the per share data for the period since
the use of the undistributed income method did not accord with the
results of operations.
