<PAGE>
REPORT TO SHAREHOLDERS
CIGNA S&P 500 INDEX FUND
CIGNA INCOME FUND
JUNE 30, 1999
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1999 (Unaudited)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
COMMON STOCKS - 95.3%
Microsoft Corp.* 141,600 $ 12,771
General Electric Co. 90,800 10,260
International Business Machines Corp. 50,400 6,514
Wal-Mart Stores, Inc. 123,500 5,959
Cisco Systems, Inc.* 88,700 5,721
Lucent Technologies, Inc. 84,430 5,694
Intel Corp. 92,300 5,492
Exxon Corp. 67,400 5,198
A T & T Corp. 88,335 4,930
Merck & Co., Inc. 65,500 4,847
MCI Worldcom Inc. 51,680 4,448
Citigroup, Inc. 93,546 4,443
Coca-Cola Co. 68,500 4,281
American International Group, Inc. 33,930 3,972
Pfizer, Inc. 35,800 3,929
Bristol-Myers Squibb Co. 54,900 3,867
Johnson & Johnson 37,300 3,655
Royal Dutch Petroleum Co. 59,500 3,585
BankAmerica Corp. 48,016 3,549
America Online, Inc. 30,200 3,337
Procter & Gamble Co. 36,800 3,284
SBC Communications, Inc. 54,300 3,149
Bell Atlantic Corp. 43,114 2,819
Hewlett-Packard Co. 28,000 2,814
Philip Morris Companies, Inc. 67,000 2,693
Home Depot, Inc. 41,100 2,648
Dell Computer Corp.* 70,300 2,601
BellSouth Corp. 52,600 2,466
Time Warner, Inc. 33,100 2,433
Ameritech Corp. 30,400 2,234
Lilly (Eli) & Co. 30,500 2,185
Schering-Plough Corp. 40,800 2,162
Tyco International Ltd. 22,823 2,162
Mobil Corp. 21,700 2,148
du Pont (E.I.) de Nemours & Co. 31,300 2,138
American Home Products Corp. 36,600 2,105
Chase Manhattan Corp. 23,500 2,036
GTE Corp. 26,800 2,030
Wells Fargo & Co. 45,900 1,962
BancOne Corp. 32,802 1,954
Federal National Mortgage Association 28,400 1,942
Abbott Laboratories 42,100 1,916
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Ford Motor Co. 33,600 $ 1,896
Disney ( Walt) Co. 56,900 1,753
Chevron Corp. 18,100 1,723
American Express Company 12,600 1,640
Warner-Lambert Co. 23,600 1,637
Morgan Stanley, Dean Witter, Discover & Co. 15,800 1,620
Nortel Networks Corp. 18,280 1,587
Motorola, Inc. 16,700 1,582
PepsiCo, Inc. 40,700 1,575
Texas Instruments, Inc. 10,800 1,566
McDonald's Corp. 37,600 1,553
EMC Corp.* 28,100 1,546
Sun Microsystems, Inc.* 21,500 1,481
Oracle Systems Corp.* 39,725 1,475
Sprint Corp. 24,000 1,268
First Union Corp. 26,870 1,263
Gillette Co. 30,800 1,263
Medtronic, Inc. 16,200 1,262
MediaOne Group, Inc. 16,900 1,257
Schwab (Charles) Corp. 11,325 1,244
General Motors Corp. 18,200 1,201
Boeing Company 27,050 1,195
GAP, Inc. 23,550 1,186
Federal Home Loan Mortgage Corp. 19,300 1,119
Unilever NV 15,892 1,108
Compaq Computer Corp.* 46,597 1,104
Xerox Corp. 18,200 1,075
Schlumberger Ltd. 15,200 968
Minnesota Mining and Manufacturing Co. 11,100 965
Allied-Signal, Inc. 15,300 964
United Technologies Corp. 13,400 961
Anheuser-Busch Companies, Inc. 13,300 943
Texaco, Inc. 14,800 925
Waste Management, Inc. 16,895 908
Associates First Capital Corp., Class A 20,064 889
Amgen, Inc.* 14,200 864
Kimberly-Clark Corp. 15,000 855
Viacom, Inc., Class B* 19,400 854
CBS Corp. 19,600 851
U. S. WEST Inc. 13,994 822
Carnival Corp. 16,900 820
Computer Associates International, Inc. 14,900 820
Walgreen Co. 27,800 817
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
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CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1999 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Merrill Lynch & Co., Inc. 10,200 $ 815
Allstate Corp. 22,400 804
Enron Corp. 9,800 801
Pharmacia & Upjohn, Inc. 14,100 801
Colgate-Palmolive Co. 8,100 800
Dayton Hudson Corp. 12,200 793
Comcast Corp., Class A (Special) 20,600 792
Electronics Data Systems Corp. 13,700 775
Bank of New York, Inc. 21,100 774
Dow Chemical Co. 6,100 774
Emerson Electric Co. 12,200 767
Applied Materials, Inc.* 10,300 761
Automatic Data Processing, Inc. 17,200 757
Atlantic Richfield Co. 8,900 744
Tellabs, Inc.* 10,800 730
Fleet Financial Group, Inc. 15,800 701
Sprint Corp. PCS Ser 1 12,150 694
Morgan (J.P.) & Co. 4,900 688
Monsanto Company 17,400 686
U. S. Bancorp, Inc. 20,190 686
MBNA Corp. 22,175 679
Safeway, Inc. 13,500 668
Raytheon Co. 9,400 662
Kroger Co.* 22,800 637
Household International, Inc. 13,378 634
Alcoa, Inc. 10,200 631
Clear Channel Communications, Inc.* 9,000 620
SunTrust Banks, Inc. 8,900 618
Eastman Kodak Co. 9,000 610
First Data Corp. 12,300 602
Caterpillar, Inc. 10,000 600
Seagram Company Ltd. 11,900 599
Albertson's, Inc. 11,588 598
Lowes Companies, Inc. 10,300 584
Washington Mutual, Inc. 16,440 582
Sara Lee Corp. 25,400 576
Campbell Soup Company 12,400 575
International Paper Co. 11,321 572
National City Corp. 8,700 570
Illinois Tool Works, Inc. 6,900 566
ALLTEL Corp. 7,800 558
Gannett Co., Inc. 7,800 557
Halliburton Co. 12,200 552
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Marsh & McLennan Companies, Inc. 7,300 $ 551
Duke Energy Co. 10,100 549
CVS Corp. 10,800 548
Mellon Bank Corp. 14,600 531
American General Corp. 7,000 528
Firstar Corp. 18,400 515
Southern Company 19,400 514
CIGNA Corp. 5,700 507
NIKE, Inc., Class B 8,000 507
Heinz (H.J.) Co. 10,100 506
Williams Companies, Inc. 11,900 506
Fifth Third Bancorp 7,400 493
Pitney-Bowes, Inc. 7,600 488
Cardinal Health, Inc. 7,550 484
PNC Bank Corp. 8,400 484
Costco Companies, Inc.* 6,000 480
Baxter International, Inc. 7,900 479
Boston Scientific Corp.* 10,900 479
Wachovia Corp. 5,600 479
Corning, Inc. 6,800 477
Sears, Roebuck & Company 10,600 472
Solectron Corp. 6,900 460
FDX Corp. 8,200 445
Cendant Corp. 21,285 436
Guidant Corp. 8,400 432
BankBoston Corp. 8,200 419
Lockheed Martin Corp. 11,000 410
Honeywell, Inc. 3,500 406
Avon Products, Inc. 7,300 405
KeyCorp 12,600 405
Staples, Inc. 13,050 404
Burlington Northern Santa Fe Corp. 13,000 403
Nextel Communications, Inc.* 8,000 402
Union Pacific Corp. 6,900 402
Omnicom Group, Inc. 5,000 400
Bestfoods, Inc. 7,900 391
Best Buy Co., Inc.* 5,700 385
State Street Corp. 4,500 384
Hartford Financial Services Group 6,500 379
May Department Stores Co. 9,250 378
Weyerhaeuser Co. 5,500 378
Kellogg Co. 11,300 373
Providian Corp. 3,950 369
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1999 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Newell Rubbermaid, Inc. 7,810 $ 363
ConAgra, Inc. 13,600 362
Columbia/HCA Healthcare Corp. 15,800 360
Aetna, Inc. 4,000 358
Phillips Petroleum Co. 7,100 357
AFLAC, Inc. 7,400 354
Coca-Cola Enterprises, Inc. 11,800 351
Textron, Inc. 4,200 346
Penney (J.C.) Co., Inc. 7,100 345
PG & E Corp. 10,600 345
Clorox Co. 3,200 342
BMC Software, Inc. 6,300 340
Kohls Corp. 4,400 340
General Mills, Inc. 4,200 338
Interpublic Group of Companies, Inc. 3,900 338
Rockwell International Corp. 5,300 322
Texas Utilities Co. 7,800 322
Compuware Corp. 10,100 321
BB and T Corp. 8,700 319
Norfolk Southern Corp. 10,500 316
Chubb Corp. 4,500 313
AES Corp. 5,300 308
Mattel, Inc. 11,600 307
Computer Sciences Corp.* 4,400 304
Baker Hughes, Inc. 9,040 303
Federated Department Stores, Inc.* 5,700 302
Capital One Financial Corp. 5,400 301
Northern Trust Corp. 3,100 301
United Healthcare Corp. 4,800 301
Ingersol-Rand Co. 4,600 297
TJX Companies, Inc. 8,900 296
Consolidated Edison Co. of N.Y., Inc. 6,500 294
AMR Corp.* 4,300 293
Lincoln National Corp. 5,600 293
Aon Corp. 7,050 291
McGraw-Hill, Inc. 5,400 291
Progressive Corp. Ohio 2,000 290
Southwest Airlines Co. 9,325 290
PPG Industries, Inc. 4,900 289
Tribune Co. 3,300 288
Wrigley (Wm.) Jr. Company 3,200 288
Delphi Automotive Systems Corp. 15,421 286
Franklin Resource, Inc. 7,000 284
Frontier Corp. 4,800 283
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Sysco Corp. 9,300 $ 277
USX-Marathon Group 8,500 277
CSX Corp. 6,100 276
Unisys Corp.* 7,100 276
IMS Health Inc. 8,800 275
Micron Technology, Inc. 6,800 274
FPL Group, Inc. 5,000 273
Masco Corp. 9,400 271
Limited, Inc. 5,900 268
3Com Corp.* 10,000 267
Conseco, Inc. 8,757 267
Ralston Purina Co. 8,700 265
Unocal Corp. 6,700 265
Tandy Corp. 5,400 264
Deere & Co. 6,600 262
Edison International 9,800 262
Pioneer Hi-Bred International, Inc. 6,700 261
Circuit City Stores, Inc. 2,800 260
Novell, Inc.* 9,800 260
Comerica, Inc. 4,350 259
Air Products & Chemicals, Inc. 6,400 258
Marriott International, Inc. 6,900 258
Public Service Enterprises Group, Inc. 6,300 258
Archer-Daniels-Midland Co. 16,499 255
Transamerica Corp. 3,400 255
Gateway 2000, Inc. 4,300 254
Goodyear Tire & Rubber Co. 4,300 253
Loews Corp. 3,200 253
Quaker Oats Co. 3,800 252
Mercantile Bancorp. 4,400 251
Rohm & Haas Co. 5,854 251
McKesson HBOC, Inc. 7,673 246
General Dynamics Corp. 3,500 240
Hershey Foods Corp. 4,000 238
Coastal Corp. 5,900 236
Dominion Resources, Inc. 5,400 234
Regions Financial Corp. 6,100 234
Office Depot, Inc. 10,500 232
Delta Air Lines, Inc. 4,000 231
Fort James Corp. 6,100 231
Unicom Corp. 6,000 231
Georgia-Pacific Corp. 4,800 227
Tricon Global Restaurants 4,190 227
Kmart Corp. 13,700 225
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1999 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
PECO Energy Co. 5,300 $ 222
Reliant Energy, Inc. 7,922 219
Dover Corp. 6,200 217
Danaher Corp. 3,700 215
Paychex, Inc. 6,750 215
Praxair, Inc. 4,400 215
Burlington Resources, Inc. 4,910 212
Dana Corp. 4,601 212
Entergy Corp. 6,800 212
SLM Holding Corp. 4,600 211
St. Paul Companies, Inc. 6,528 208
UNUM Corp. 3,800 208
Becton, Dickinson and Co. 6,900 207
Huntington Bancshares, Inc. 5,910 207
First Energy Corp. 6,600 205
Republic New York Corp. 3,000 205
Apple Computer, Inc. 4,400 204
Occidental Petroleum Corp. 9,600 203
Barrick Gold Corp. 10,400 202
Alcan Aluminum Ltd. 6,300 201
Summit Bancorp. 4,800 201
Allergan, Inc. 1,800 200
American Electric Power Co., Inc. 5,300 199
Lehman Brothers Holdings, Inc. 3,200 199
Kansas City Southern Industries, Inc. 3,100 198
General Instrument Corp. 4,600 196
Jefferson-Pilot Corp. 2,950 195
Fortune Brands, Inc. 4,700 194
Avery Dennison Corp. 3,200 193
Browning-Ferris Industries, Inc. 4,400 189
Dollar General Corp. 6,468 188
Paine Webber Group, Inc. 4,000 187
Eaton Corp. 2,000 184
MBIA, Inc. 2,800 181
TRW, Inc. 3,300 181
Carolina Power & Light Co. 4,200 180
LSI Logic Corp.* 3,900 180
New York Times Co., Class A 4,900 180
Union Carbide Corp. 3,700 180
Rite Aid Corp. 7,200 177
Southtrust Corp. 4,600 177
RJR Nabisco Holding Corp. 9,000 176
Genuine Parts Co. 5,000 175
HealthSouth Corp.* 11,700 175
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Maytag Corp. 2,500 $ 174
Cincinnati Financial Corp. 4,600 173
Union Planters Corp. 3,800 170
SAFECO Corp. 3,800 168
Johnson Controls, Inc. 2,400 166
Consolidated Natural Gas Co. 2,700 164
Dun & Bradstreet Corp. 4,600 163
PE-Corp., Biosystems Group 1,400 161
Wellpoint Health Networks 1,900 161
DTE Energy Co. 4,000 160
Tenet Healthcare Corp. 8,600 160
Seagate Technology, Inc.* 6,200 159
Ecolab, Inc. 3,600 157
Golden West Financial Corp. 1,600 157
KLA Tencor Corp.* 2,400 156
Whirlpool Corp. 2,100 155
PacifiCorp 8,300 153
Bear Stearns & Companies, Inc. 3,255 152
Black & Decker Corp. 2,400 152
GPU, Inc. 3,600 152
Provident Cos. Inc. 3,800 152
UST, Inc. 5,200 152
Cooper Industries, Inc. 2,900 151
Hasbro, Inc. 5,400 151
Sempra Energy Corp. 6,655 151
Toys 'R' Us, Inc.* 7,300 151
Winn-Dixie Stores, Inc. 4,100 151
Amerada Hess Corp. 2,500 149
Century Tel Enterprises, Inc. 3,750 149
Sealed Air Corp. 2,296 149
Adobe Systems, Inc. 1,800 148
Synovus Corp. 7,450 148
Ameren Corp. 3,800 146
Equifax, Inc. 4,100 146
MGIC Investment Corp. 3,000 146
Service Corporation International 7,600 146
Columbia Energy Group. 2,300 144
Willamette Industries, Inc. 3,100 143
ALZA Corp.* 2,800 142
Cinergy Corp. 4,400 141
Donnelley (R.R.) & Sons Co. 3,800 141
Owens-Illinois, Inc.* 4,300 141
VF Corp. 3,300 141
Block (H & R), Inc. 2,800 140
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1999 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Grainger (W.W.), Inc. 2,600 $ 140
Parker-Hannifin Corp. 3,050 140
Vulcan Materials Co. 2,900 140
Central & Southwest Corp. 5,900 138
CMS Energy Corp. 3,300 138
Dow Jones & Co., Inc. 2,600 138
Nordstrom, Inc. 4,100 137
Countrywide Credit Industries, Inc. 3,100 133
Sherwin-Williams Co. 4,800 133
Torchmark Corp. 3,900 133
Ceridian Corp.* 4,000 131
Times Mirror Co., Class A 2,200 130
Champion International Corp. 2,700 129
International Flavors & Fragrances, Inc. 2,900 129
PP & L Resources, Inc. 4,200 129
Autozone, Inc. 4,200 127
Northrop Grumman Corp. 1,900 126
Brown-Forman Corporation, Class B 1,900 124
New Century Energies, Inc. 3,200 124
Biomet, Inc. 3,100 123
Allegheny Teledyne, Inc. 5,400 122
Bausch & Lomb, Inc. 1,600 122
Anadarko Petroleum Corp. 3,300 121
Apache Corp. 3,100 121
Constellation Energy Group 4,100 121
Kerr-McGee Corp. 2,407 121
Knight-Ridder, Inc. 2,200 121
Mead Corp. 2,900 121
PACCAR, Inc. 2,200 117
National Semiconductor Corp.* 4,600 116
AmSouth Bancorp. 4,950 115
Eastman Chemical Co. 2,200 114
Nucor Corp. 2,400 114
Union Pacific Resources Group, Inc. 7,000 114
Network Appliance, Inc.* 2,000 112
Peoplesoft, Inc. 6,500 112
Tenneco, Inc. 4,700 112
Hercules, Inc. 2,800 110
Florida Progress Corp. 2,600 107
Placer Dome, Inc. 9,000 106
Reynolds Metals Co. 1,800 106
Dillard, Inc., Class A 3,000 105
Parametric Technology Corp.* 7,600 105
Harcourt General, Inc. 2,000 103
Sonat, Inc. 3,100 103
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Hilton Hotels Corp. 7,200 $ 102
Northern States Power Co. 4,200 102
Temple-Inland, Inc. 1,500 102
Phelps Dodge Corp. 1,600 99
Wendy's International, Inc. 3,500 99
Crown Cork & Seal Co., Inc. 3,400 97
Case Corp. 2,000 96
Sigma-Aldrich Corp. 2,800 96
Navistar International Corp.* 1,900 95
Nalco Chemical Co. 1,800 93
ITT Industries, Inc. 2,400 92
Engelhard Corp. 4,000 91
Newmont Mining Corp. 4,600 91
Watson Pharmaceuticals, Inc.* 2,600 91
Goodrich (B.F.) Co. 2,100 89
Thermo Electron Corp.* 4,400 88
US Airways Group, Inc.* 2,000 87
Deluxe Corp. 2,200 86
Harris Corp. 2,200 86
Darden Restaurants, Inc. 3,900 85
Fluor Corp. 2,100 85
Silicon Graphics, Inc.* 5,200 85
SuperValu, Inc. 3,300 85
Ashland, Inc. 2,100 84
Mirage Resorts, Inc.* 5,000 84
Niagara Mohawk Power Co. 5,200 84
Freeport McMoRan Copper & Gold, Inc., Class B 4,600 83
Inco Ltd. 4,600 83
St. Jude Medical, Inc. 2,300 82
Consolidated Stores Corp. 3,000 81
Raychem Corp. 2,200 81
Westvaco Corp. 2,800 81
Stanley Works (The) 2,500 80
Sunoco, Inc. 2,600 78
Harrah's Entertainment, Inc.* 3,500 77
Scientific Atlanta, Inc. 2,100 76
Thomas & Betts Corp. 1,600 76
Brunswick Corp. 2,700 75
HCR Manor Care, Inc. 3,100 75
Pall Corp. 3,400 75
Great Lakes Chemical Corp. 1,600 74
Mallinckrodt Group, Inc. 2,000 73
Advanced Micro Devices, Inc.* 4,000 72
Bard (C. R.), Inc. 1,500 72
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1999 (Unaudited)
(Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Louisiana-Pacific Corp. 3,000 $ 71
King World Productions, Inc.* 2,000 70
Boise Cascade Corp. 1,600 69
Cummins Engine Co., Inc. 1,200 69
Laidlaw, Inc. 9,200 68
USX-U.S. Steel Group 2,500 67
Liz Claiborne, Inc. 1,800 66
Armstrong World Industries, Inc. 1,100 64
FMC Corp.* 900 61
American Greetings Corp., Class A 2,000 60
Bemis Company, Inc. 1,500 60
Cabletron Systems, Inc.* 4,600 60
Centex Corp. 1,600 60
Crane Co. 1,900 60
Humana, Inc.* 4,600 60
Snap-On, Inc. 1,600 58
Ikon Office Solutions, Inc. 3,800 57
Homestake Mining Co. 6,600 54
Meredith Corp. 1,500 52
Owens-Corning Fiberglas Corp. 1,500 52
Ryder System, Inc. 2,000 52
Cooper Tire & Rubber Co. 2,100 50
Coors (Adolph) Co., Class B 1,000 50
Millipore Corp. 1,200 49
NICOR, Inc. 1,300 49
Shared Medical Systems Corp. 700 46
Andrew Corp.* 2,400 45
McDermott International, Inc. 1,600 45
EG & G, Inc. 1,200 43
National Service Industries, Inc. 1,200 43
Worthington Industries, Inc. 2,600 43
Rowan Companies, Inc.* 2,300 42
Tektronix, Inc. 1,350 41
Tupperware Corp. 1,600 41
Alberto-Culver Co., Class B 1,500 40
Pep Boys-Manny, Moe & Jack 1,800 39
Sealed Air Corp. New 617 39
Autodesk, Inc. 1,300 38
Ball Corp. 900 38
Cyprus Amax Minerals Co. 2,500 38
Longs Drug Stores Corp. 1,100 38
Peoples Energy Corp. 1,000 38
Grace (W.R.) & Co. 2,000 37
Great Atlantic & Pacific Tea Co., Inc. 1,100 37
MARKET
NUMBER OF VALUE
SHARES (000)
- -----------------------------------------------------------------
Briggs & Stratton Corp. 600 $ 35
Potlatch Corp. 800 35
Nielsen Media Inc. 1,166 34
Helmerich & Payne, Inc. 1,400 33
Polaroid Corp. 1,200 33
Timken Co. 1,700 33
Reebok International Ltd. 1,600 30
ONEOK, Inc. 900 29
Bethlehem Steel Corp.* 3,600 28
Pulte Corp. 1,200 28
Kaufman & Broad Home Corp. 1,100 27
Fleetwood Enterprises, Inc. 1,000 26
Eastern Enterprises 600 24
Ryerson Tull, Inc. 1,000 23
Springs Industries, Inc., Class A 500 22
Waddell & Reed Financial, Inc. Class B 832 22
Asarco, Inc. 1,100 21
Jostens, Inc. 1,000 21
Data General Corp.* 1,400 20
Milacron, Inc. 1,100 20
Fruit of the Loom LTD. 2,000 19
Russell Corp. 1,000 19
Battle Mountain Gold Co. 6,400 16
Foster Wheeler Corp. 1,100 16
Corn Products International, Inc. 500 15
NACCO Industries, Inc., Class A 200 15
R.H. Donnelley Corp. 740 14
PE-Corp., Celera Genomics Group* 700 11
CommScope, Inc.* 333 10
Safety Kleen Corp. 560 10
Agribands International, Inc. 190 8
Harland (J.H.) Co. 400 8
ChoicePoint, Inc.* 110 7
Abercombie & Fitch Co. 130 6
Waddell & Reed Financial, Inc. Class A 193 5
Octel Corp. 275 3
General Semiconductor, Inc.* 250 2
Allergan Specialty, Inc., Class A 45 1
Crescendo Pharmaceuticals, Inc. 45 1
Momentum Business Application Class A 130 1
----------
TOTAL COMMON STOCKS - 95.3%
(Cost $236,079,967) 311,953
----------
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA S&P 500 INDEX FUND INVESTMENTS IN SECURITIES June 30, 1999 (Unaudited)
(Continued)
MARKET
PRINCIPAL VALUE
(000) (000)
- -----------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 4.2%
COMMERCIAL PAPER - 4.0%
American Express Credit Corp.
5.06%, 7/9/99 $ 2,396 $ 2,396
Exxon Asset Management Corp.
5.66%, 7/1/99 3,236 3,236
General Electric Capital Corp.
4.99%, 7/6/99 3,372 3,372
General Motors Acceptance Corp.
5.03%, 7/7/99 3,886 3,886
----------
12,890
----------
U.S. GOVERNMENT AND AGENCIES - 0.2%
U. S. Treasury Bills,
4.23%, 7/22/99** 106 106
4.515%, 8/26/99** 613 609
4.53%, 9/2/99** 101 100
----------
815
----------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $13,704,632) 13,705
----------
TOTAL INVESTMENT IN SECURITIES - 99.5%
(Total Cost $249,784,599) 325,658
Cash and Other Assets Less Liabilities - 0.5% 1,553
----------
NET ASSETS - 100.0% $327,211
==========
* Non-income producing securities.
** This security or a portion thereof is pleged as
collateral for Stock Index Futures Contracts.
At June 30, 1999, the Fund was long 41 S&P 500 Futures
Contracts expiring in September 1999. Unrealized gain
amounted to $611,925. Underlying face value was $13,458,353, and
underlying market value was $14,070,278.
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA INCOME FUND
INVESTMENTS IN SECURITIES (UNAUDITED)
JUNE 30, 1999
MARKET
PRINCIPAL VALUE
(000) (000)
- -----------------------------------------------------------------------------
BONDS AND NOTES - 95.5%
FOREIGN GOVERNMENTS - 7.7%
Israel (The State of), 5.75%, 2000 $ 100 $ 100
--------------
U.S. GOVERNMENT & AGENCIES - 87.8%
Federal Home Loan Banks,
7.37%, 2002 100 104
Federal Home Loan Mortgage Corp., 7.75%, 2001 100 104
Federal National Mortgage Assoc.,
5.89%, 2002 30 30
5.625%, 2004 25 24
7.4%, 2004 100 105
Student Loan Marketing Assoc., 6.6%, 1999 100 101
Tennessee Valley Authority, 6.375%, 2005 100 100
United States Treasury Bonds,
Stripped-Principal Only, Zero Coupon, 2008 65 38
8.125%, 2019 35 42
6.5%, 2026 245 255
United States Treasury Notes,
6.5%, 2005 225 232
--------------
1,135
--------------
Total Bonds and Notes
(Cost - $1,261,386) 1,235
--------------
TOTAL INVESTMENTS IN SECURITIES
(Total Cost - $1,261,386) 1,235
Cash and Other Assets, Less Liabilities - 4.5% 58
NET ASSETS - 100.0% $ 1,293
==============
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
(IN THOUSANDS)
S&P 500
INDEX INCOME
------------- ------------
<S> <C> <C>
ASSETS:
Investments in securities at value (Cost - $249,784,599
and $1,261,386, respectively) $ 325,658 $1,235
Cash 1 52
Receivable for Investments sold 1,707 -
Interest and dividends receivable 282 18
Investment for Trustees' deferred compensation plan 3 12
Receivable from adviser 7 3
Other 252 -
------------- ------------
Total assets 327,910 1,320
------------- ------------
LIABILITIES:
Payable for investments purchased 515 -
Registration fees payable 48 -
Audit fee payable 11 2
Payable for Trustees' deferred compensation plan 3 12
Other accrued expenses (including $33,487 and
$6,828 payable to affiliates, respectively) 122 13
------------- ------------
Total liabilities 699 27
------------- ------------
NET ASSETS $ 327,211 $1,293
============= ============
Shares outstanding 21,072 1,322
============= ============
NET ASSET VALUE PER SHARE $ 15.53 $ 0.98
============= ============
COMPONENTS OF NET ASSETS:
Paid in capital $ 245,046 $1,282
Undistributed net investment income 1,774 34
Accumulated net realized gain on investments and futures 3,906 3
Unrealized appreciation (depreciation) of investments and futures 76,485 (26)
------------- ------------
NET ASSETS $ 327,211 $1,293
============= ============
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
CIGNA FUNDS GROUP
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
(IN THOUSANDS)
S&P 500
INDEX INCOME
-------------- ------------
<S> <C> <C>
INVESTMENT INCOME:
Interest $ 353 $ 39
Dividends (net of foreign taxes withheld of $30,218,
and $0, respectively) 1,954 -
-------------- ------------
2,307 39
EXPENSES:
Investment advisory fees 378 3
Custodian fees and expenses 80 10
Administrative services 51 9
Registration fees 1 -
Auditing and legal fees 15 2
Trustees' fees 4 -
Shareholder reports - -
Transfer agent fees and expenses - 1
Other 7 -
-------------- ------------
Total expenses 536 25
Less expenses waived by adviser (5) (19)
-------------- ------------
Net expenses 531 6
-------------- ------------
NET INVESTMENT INCOME 1,776 33
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain from securites transactions 1,662 5
Net realized gain from futures contracts 1,360 -
Net unrealized gain from futures contracts 612 -
Unrealized appreciation (depreciation) of investments 30,173 (76)
-------------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 33,807 (71)
-------------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $ 35,583 $ (38)
============== ============
</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 SIX MONTHS ENDED JUNE 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
(IN THOUSANDS)
S&P 500
INDEX INCOME
--------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 1,776 $ 33
Net realized gain from securities transactions 1,662 5
Net realized gain from futures contracts 1,360 -
Unrealized gain from futures contracts 612 -
Unrealized appreciation (depreciation) of investments 30,173 (76)
--------------- ------------
Net increase in net assets from operations 35,583 (38)
--------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - -
From net realized capital gains - -
--------------- ------------
Total distributions to shareholders - -
--------------- ------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 363 -
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions - -
--------------- ------------
363 -
Cost of shares redeemed - -
--------------- ------------
Net increase from Fund share transactions 363 -
--------------- ------------
NET INCREASE IN NET ASSETS 35,946 (38)
NET ASSETS:
Beginning of period 291,265 1,331
--------------- ------------
End of period (including undistributed net investment
income of $1,774,097 and $34,427, respectively) $ 327,211 $1,293
=============== ============
TRANSACTIONS IN CAPITAL STOCK:
Shares sold 25 -
Shares issued in reinvestment of dividends and distributions - -
--------------- ------------
25 -
Shares redeemed - -
--------------- ------------
Net increase in shares outstanding 25 -
=============== ============
</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 PERIOD ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
(IN THOUSANDS)
S&P 500
INDEX INCOME
--------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 2,194 $ 65
Net realized gain from securities transactions 542 10
Net realized gain from futures contracts 1,718 -
Unrealized gain from futures contracts 738 -
Unrealized appreciation of investments 39,830 34
--------------- ------------
Net increase in net assets from operations 45,022 109
--------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (2,809) (66)
From net realized capital gains (893) (3)
--------------- ------------
Total distributions to shareholders (3,702) (69)
--------------- ------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 140,398 -
Net asset value of shares issued to shareholders
in reinvestment of dividends and distributions 3,702 69
--------------- ------------
144,100 69
Cost of shares redeemed - -
--------------- ------------
Net increase from Fund share transactions 144,100 69
--------------- ------------
NET INCREASE IN NET ASSETS 185,420 109
NET ASSETS:
Beginning of period 105,845 1,222
--------------- ------------
End of period (including (overdistributed) undistributed net
investment income of $(1,554) and $1,524, respectively) $ 291,265 $1,331
=============== ============
TRANSACTIONS IN CAPITAL STOCK:
Shares sold 11,107 -
Shares issued in reinvestment of dividends and distributions 270 69
--------------- ------------
11,377 69
Shares redeemed - -
--------------- ------------
Net increase in shares outstanding 11,377 69
=============== ============
</TABLE>
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 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 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 their 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. 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. 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.
FUTURES CONTRACTS - 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).
Dividend income is recorded on the ex-date, and 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 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 each 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 are 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 0.25% and 0.50% applied to the average daily
net assets of the 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 0.35% and 1.00% of
average daily net assets of the 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, 1999, the S&P 500 Index Fund and Income Fund paid or accrued $50,624
and $9,400 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, 1999 were as
follows (shown in thousands):
FUND PURCHASES SALES
- ------------------------------------- ------------------- -------------------
S&P 500 Index Fund $ 7,398 $ 5,411
Income Fund 213 180
There were $212,680 of purchases and $180,516 of sales of U.S. Government
obligations for the Income Fund in 1999. There were $27,536 of purchases of U.S.
Government obligations for the S&P 500 Index Fund in 1999.
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>
NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
FUND APPRECIATION DEPRECIATION (DEPRECIATION)
- ------------------------------------- ------------------- ------------------- ---------------------
<S> <C> <C> <C>
S&P 500 Index Fund $ 82,525 $ 6,652 $ 75,873
Income Fund 3 29 (26)
</TABLE>
As of June 30, 1999, the S&P 500 Index and Income Funds' cost of securities for
Federal income tax purposes was $236,079,967, and $1,261,386, 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, 1999, affiliates of Ace, Limited were the only shareholders of the S&P 500
Index Fund, and an affiliate of CIGNA Corporation was the only shareholder of
the Income Fund.
<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>
- ------------------------------------------------------------------------------------------------------------
(UNAUDITED)
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 1999 1998 1997*
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CIGNA S&P 500 INDEX FUND
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.84 $ 10.95 $ 10.00
INCOME FROM INVESTMENT OPERATIONS
Net investment income + 0.08 0.13 0.07
Net realized and unrealized gain on securities 1.61 2.97 0.95
----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS 1.69 3.10 1.02
----- ----- -----
LESS DISTRIBUTIONS:
Dividends from net investment income - (0.16) (0.07)
Distributions from capital gains - (0.05) -
----- ----- -----
TOTAL DISTRIBUTIONS - (0.21) (0.07)
----- ----- -----
NET ASSET VALUE, END OF PERIOD $ 15.53 $ 13.84 $ 10.95
======= ======= =======
TOTAL RETURN 1 ** 12.21% 28.28% 10.23%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted) $ 327,211 $ 291,265 $ 105,845
Ratio of operating expenses to average net assets 2 0.35% ++ 0.35% 0.18% **
Ratio of net investment income to average net assets 3 1.17% ++ 1.27% 0.79% **
Portfolio turnover 2% 3% 4%
</TABLE>
* For the period from July 1, 1997 (commencement of operations) through December
31, 1997.
** Not annualized.
1. Total return would have been lower if certain expenses had not been
reimbursed by the Adviser. Total investment return based on per share net asset
value reflects the effects of changes in net asset value on the performance of
the Fund during each period, and assumes distributions were reinvested at net
asset value.
2. Ratio of expenses to average net assets prior to the reduction
of advisory fee was .35% (annualized), 0.43% and 0.36%, respectively, for the
six months ended June 30, 1999, the period ended December 31, 1998, and the six
months ended December 31, 1997.
3. Ratio of net investment income to average net assets prior to the reduction
of advisory fee was 1.17% (annualized), 1.18% and 0.61%, respectively, for the
six months ended June 30, 1999, the year ended December 31, 1998, and the six
months ended December 31, 1997.
+ 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.
++ Annualized.
<PAGE>
CIGNA FUNDS GROUP Notes to Financial Statements (Unaudited) (Continued)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 1999 1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
CIGNA INCOME FUND
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.01 $ 0.98 $ 0.94 $ 1.02 $ 0.92 $ 1.01
INCOME FROM INVESTMENT OPERATIONS
Net investment income + 0.03 0.05 0.05 0.05 0.06 0.06
Net realized and unrealized gain on
securities (0.06) 0.03 0.04 (0.05) 0.09 (0.09)
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS (0.03) 0.08 0.09 - 0.15 (0.03)
------ ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Dividends from net investment income - (0.05) (0.05) (0.05) (0.05) (0.06)
Distributions from capital gains - - - (0.03) - -
------ ------ ------ ------ ------ ------
TOTAL DISTRIBUTIONS - (0.05) (0.05) (0.08) (0.05) (0.06)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD $ 0.98 $ 1.01 $ 0.98 $ 0.94 $ 1.02 $ 0.92
======= ======= ======== ======== ======== =======
TOTAL RETURN 1 ** -3.14% 9.26% 9.10% 1.36% 16.21% -3.12%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted) $1,293 $ 1,331 $ 1,222 $ 1,121 $ 1,105 15,210
Ratio of operating expenses to average net
assets 4 1.00% ++ 1.00% 1.00% 1.00% 0.95% 1.00%
Ratio of net investment income to average
net assets 5 5.06% ++ 5.06% 5.42% 5.33% 6.50% 6.37%
Portfolio turnover 14% 54% 7% 0% 45% 8%
</TABLE>
4. Ratios of expenses to average net assets prior to the reduction of advisory
fee were 3.91% (annualized), 4.44%, 5.31%, 5.62%, 1.37% and 1.15%, respectively,
for the six months ended June 30, 1999 and for the years ended December 31,
1998, 1997, 1996, 1995 and 1994.
5. Ratios of net investment income to average net assets prior to the reduction
of advisory fee were 1.15% (annualized), 1.65%, 1.11%, 0.72%, 6.08% and 6.22%,
respectively, for the six months ended June 30, 1999 and for the years ended
December 31, 1998, 1997, 1996, 1995 and 1994.
+ 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.
++ Annualized.
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
CIGNA FUNDS GROUP
<S> <C> <C>
TRUSTEES Thomas C. Jones OFFICERS
Hugh R. Beath PRESIDENT, CIGNA INVESTMENT Richard H. Forde
ADVISORY DIRECTOR, MANAGEMENT AND CIGNA CHAIRMAN OF THE BOARD
ADMEDIA CORPORATE ADVISORS, INC. INVESTMENTS, INC. AND PRESIDENT
Paul J. McDonald
Richard H. Forde SENIOR EXECUTIVE VICE PRESIDENT
SENIOR MANAGING DIRECTOR, AND CHIEF FINANCIAL OFFICER, Alfred A. Bingham III
CIGNA INVESTMENTS, INC. FRIENDLY ICE CREAM CORPORATION VICE PRESIDENT AND TREASURER
Russell H. Jones
VICE PRESIDENT AND TREASURER, Jeffrey S. Winer
KAMAN CORPORATION VICE PRESIDENT AND SECRETARY
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poors 500," and
"500" are trademarks of the Standard & Poor's Corporation (S&P) and have been
licensed for use by CIGNA S&P 500 Index Fund. The Fund is not sponsored,
endorsed, sold or promoted by S&P, and S&P makes no representation regarding the
advisability of investing in the Fund.
