<PAGE>
[A DOLLAR BILL GRAPHIC APPEARS IN THE BACKGROUND OF THIS COVER PAGE]
CIGNA FUNDS GROUP
CIGNA
MONEY
MARKET
FUND
Semiannual Report
June 30, 1999
[CIGNA TREE LOGO GRAPHIC APPEARS HERE]
CIGNA Financial Services
<PAGE>
CIGNA MONEY MARKET FUND
TRUSTEES
Hugh R. Beath
ADVISORY DIRECTOR, ADMEDIA CORPORATE ADVISORS, INC.
Richard H. Forde
SENIOR MANAGING DIRECTOR
CIGNA INVESTMENTS, INC.
Russell H. Jones
VICE PRESIDENT AND TREASURER, KAMAN CORPORATION
Thomas C. Jones
PRESIDENT, CIGNA INVESTMENT MANAGEMENT AND
CIGNA INVESTMENTS, INC.
Paul J. McDonald
SENIOR EXECUTIVE VICE PRESIDENT AND CHIEF FINANCIAL OFFICER
FRIENDLY ICE CREAM CORPORATION
OFFICERS
Richard H. Forde
CHAIRMAN OF THE BOARD AND PRESIDENT
Alfred A. Bingham III
VICE PRESIDENT AND TREASURER
Jeffrey S. Winer
VICE PRESIDENT AND SECRETARY
<PAGE>
DEAR SHAREHOLDERS:
We are pleased to provide this report for CIGNA Money Market Fund (the "Fund"),
covering the six months ended June 30, 1999.
MARKET REVIEW
In the first half of 1999, inflation and the Federal Reserve Board (the "Fed")
ruled. In Alan Greenspan's Humphrey Hawkins testimony in February, he gave
absolutely no hint that a shift in Fed sentiment had occurred. He did, however,
lay out the scenario for what the market is terming the "New Paradigm." In this
scenario, he explored the possibility that companies are now achieving
profitable growth by investing in productivity enhancing, cost-cutting
technology instead of higher prices. In other words, technology-driven
productivity gains have made all the difference in our current economic cycle.
However, the fear of higher rates did start to rattle the markets in the second
quarter. A series of strong economic indicators, lead by the Consumer Price
Index ("CPI"), home sales and purchasing managers reports, caused bond yields to
fluctuate around 6% and increased equity market volatility.
In late June, Greenspan cited the need for the Fed to be "modestly preemptive"
which essentially confirmed to the markets that the Federal Reserve Open Market
Committee would be raising the Fed funds rate to 5% at the June 30, meeting.
However, after the meeting, the Fed went back to a neutral bias. The end result
is a market more uncertain than ever over the future direction of Fed policy.
FUND ACTIVITY AND PERFORMANCE
On June 30, 1999, the portfolio composition was as follows: top-tier domestic
commercial paper, 47%; top tier foreign commercial paper, 4%; and U.S.
Government and agencies, 49%. The Fund is well diversified.
As of June 30, 1999, annualized 7-day yields for the Institutional and Retail
Service Classes were 4.69%, and 4.12%, respectively. As of that date, the Fund's
average portfolio maturity was 44 days.
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1
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OUTLOOK
We are almost 100 months into our current expansion, which makes this cycle the
longest peacetime expansion in history. The markets are close to being
overwhelmed with information under the new Fed practice of announcing policy
changes after every meeting. A more substantial tightening had been expected, so
the 25 basis point increase and an unchanged discount rate took many by
surprise.
Moderation seems to be the key. Economic indicators will be closely scrutinized
as they are reported. Every rock will be overturned looking for signs of
strength and inflation. If the Fed is comfortable being modestly preemptive, and
Fed policy is known to lag, then it is possible that one more tightening will
occur. However, the looming Y2K issue is expected to take the Fed out of play in
the fourth quarter, which leaves only the August and October meetings as likely
alternatives.
The Fund is structured to take advantage of the volatile interest rate
environment we expect to continue through year-end. The Fund has exposure in
both fixed and floating rate securities. We will look to selectively add to our
floating rate exposure as the opportunities arise. We will continue to focus on
the nuances of our current cycle for clues to future Fed action and adjust the
structure of the portfolio accordingly.
Sincerely,
/s/ Richard H. Forde
Richard H. Forde
CHAIRMAN OF THE BOARD AND PRESIDENT
CIGNA MONEY MARKET FUND
_
2
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES (UNAUDITED)
JUNE 30, 1999
--------------------
MARKET
PRINCIPAL VALUE
(000) (000)
- ----------------------------------------------------------------
COMMERCIAL PAPER - 51.4%
DOMESTIC - 47.2%
American Express Credit Corp.,
5.35%, 7/1/99 $ 5,750 $5,750
Bell Atlantic Financial Services,
5.21%, 7/14/99 4,584 4,575
Campbell Soup Co.,
5.17%, 7/16/99 4,270 4,261
Ford Motor Credit Co.,
5.40%, 7/2/99 6,000 5,999
Gannett Co., Inc., 4.90%, 7/7/99 6,000 5,995
General Electric Capital Corp.,
5.20%, 7/6/99 5,700 5,696
Gillette Co., 5.70%, 7/1/99 6,200 6,200
Monsanto Co., 5.02%, 7/7/99 5,000 4,996
Navistar Financial Corp., Owner Trust,
5.0025%, 9/9/99 4,184 4,184
Pfizer, Inc., 4.85%, 7/6/99 7,180 7,175
Rio Tinto America, Inc.,
5.0%, 7/6/99 800 799
Sara Lee Corp.,
4.80%, 7/1/99 7,000 7,000
Teco Finance, Inc.,
4.83%, 7/23/99 2,075 2,069
The Southern Co., 4.88%, 7/8/99 8,124 8,116
Warner Lambert Co.,
5.25%, 7/9/99 5,800 5,793
---------
78,608
---------
FOREIGN - 4.2%
Diageo Capital PLC,
5.25%, 7/9/99 4,635 4,630
Shell Finance PLC,
5.30%, 7/9/99 2,400 2,397
---------
7,027
---------
Total Commercial Paper 85,635
---------
The notes to financial statements are an integral part of these statements.
_
3
<PAGE>
CIGNA MONEY MARKET FUND
INVESTMENTS IN SECURITIES (UNAUDITED) CONTINUED
JUNE 30, 1999
----------------------
MARKET
PRINCIPAL VALUE
(000) (000)
- ------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES - 48.6%
Federal Farm Credit Banks,
4.86125%, 3/23/00* $ 4,000 $ 3,999
Federal Home Loan Banks,
5.329%, 8/12/99* 5,000 5,000
5.0%, 12/29/99 4,000 4,000
4.90%, 1/14/00 5,450 5,450
5.339%, 3/24/00* 5,000 5,000
5.04%, 3/29/00 5,250 5,250
5.07%, 4/7/00 5,000 5,003
5.08%, 4/10/00 4,500 4,502
5.299%, 6/9/00* 5,000 4,999
Federal National Mortage Assoc.,
6.03%, 7/2/99 6,200 6,200
5.349%, 4/12/00* 7,000 6,997
Student Loan Marketing Assoc.,
5.539%, 12/2/99* 5,000 5,000
5.539%, 12/16/99* 5,000 5,000
5.539%, 1/12/00* 5,500 5,499
5.539%, 1/20/00* 5,000 5,000
5.479%, 3/8/00* 4,200 4,205
-----------
Total U.S. Government & Agencies 81,104
-----------
Total Investments in Securities - 100.0%
(Total Cost - $166,739,410) 166,739
Liabilities, Less Cash and Other Assets - 0% (21)
-----------
Net Assets - 100.0% $166,718
===========
*Variable rate security. Rate is as of June 30, 1999.
The notes to financial statements are an integral part of these statements.
_
4
<PAGE>
CIGNA MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
(UNAUDITED)
JUNE 30, 1999
----------------
(IN THOUSANDS)
- ---------------------------------------------------------------------
ASSETS:
Investments in securities at value
(Cost - $166,739,410) $ 166,739
Cash on deposit with custodian 22
Interest receivable 799
Receivable from adviser 13
Investment for trustees' deferred compensation plan 24
-----------------
TOTAL ASSETS 167,597
-----------------
LIABILITIES:
Dividends Payable 701
Registration fees payable 57
Accrued advisory fees payable 41
Payable for trustees' deferred compensation plan 24
Accrued audit and legal fees payable 6
Other accrued expenses
(including $38,741 due to affiliates) 50
-----------------
Total liabilities 879
-----------------
Net Assets (Equivalent to $1.00 per share
based on 164,128,319 shares of
Institutional Class and 2,590,175 shares
of Retail Service Class) $ 166,718
=================
COMPONENTS OF NET ASSETS:
Paid in capital $ 166,718
Undistributed net investment income -
Accumulated net realized gain on investments -
Unrealized appreciation of investments -
-----------------
Net Assets $ 166,718
=================
The notes to financial statements are an integral part of these statements.
_
5
<PAGE>
CIGNA MONEY MARKET FUND
STATEMENT OF OPERATIONS
(UNAUDITED)
FOR THE SIX
MONTHS ENDED
JUNE 30, 1999
(IN THOUSANDS)
- -------------------------------------------------------------------
INVESTMENT INCOME
Income:
Interest $ 4,896
-------------------
Expenses:
Investment advisory fees 339
Custodian fees 59
Administrative services 51
Registration fees 34
Fund reports 16
Auditing and legal fees 11
Trustees' fees 3
Other 4
-------------------
Total expenses 517
Less expenses waived by investment adviser (79)
-------------------
Net expenses 438
-------------------
Net Investment Income 4,458
-------------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain from investments 1
Unrealized appreciation of investments -
-------------------
Net realized and unrealized gain on
investments 1
-------------------
Net increase in net assets resulting
from operations $ 4,459
===================
The notes to financial statements are an integral part of these statements.
_
6
<PAGE>
CIGNA MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
(UNAUDITED)
FOR THE SIX YEAR ENDED
MONTHS ENDED DECEMBER, 31
JUNE 30, 1999 1998
------------------------------
(IN THOUSANDS)
- -----------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 4,458 $ 12,800
Net realized gain from investments 1 8
Unrealized appreciation on investments - -
------------- -------------
Net increase in net assets from operations 4,459 12,808
------------- -------------
Distributions to Shareholders:
From net investment income - Institutional Class (4,442) (12,800)
From net investment income - Retail Service Class (16) -
From net realized capital gains - Institutional
Class (1) (8)
------------- -------------
Total distributions to shareholders (4,459) (12,808)
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from shares sold - Institutional
Class 964,075 2,314,708
Value of distributions reinvested - Institutional
Class 4,649 12,599
Cost of shares redeemed - Institutional Class (1,034,215) (2,268,753)
------------- -------------
(65,491) 58,554
------------- -------------
Net proceeds from shares sold - Retail Service Class 4,412 -
Value of distributions reinvested - Retail Service
Class 7 -
Cost of shares redeemed - Retail Service Class (1,829) -
------------- -------------
2,590 -
------------- -------------
Net increase (decrease) from fund share
transactions (62,901) 58,554
------------- -------------
Net increase (decrease) in Net Assets (62,901) 58,554
NET ASSETS:
Beginning of period 229,619 171,065
------------- -------------
End of period $ 166,718 $ 229,619
============= =============
</TABLE>
The notes to financial statements are an integral part of these statements.
_
7
<PAGE>
CIGNA MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES. CIGNA Money Market Fund (the "Fund") is a
separate series of CIGNA Funds Group, a Massachusetts business trust (the
"Trust"). The Trust offers two classes of shares: Institutional Class and Retail
Service Class. Institutional Class Shares have a separate transfer agent charge
and no distribution fee or sub accounting fee. The Retail Service Class Shares
have a distribution fee of 0.10% annually, a shareholder servicing fee of 0.25%
annually, and a sub accounting fee of 0.125% annually. 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 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 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 Fund in the preparation of its financial
statements.
A. SECURITY VALUATION - The Fund's investments are valued at amortized cost,
which the Board of Trustees has determined constitutes fair value and which at
June 30, 1999 approximates cost for Federal income tax purposes.
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, which includes accretion of discount, is recorded on the
accrual basis. Securities gains and losses are recognized on the specific cost
identification basis.
_
8
<PAGE>
C. FEDERAL TAXES - For Federal income tax purposes, the Fund is taxed as a
separate entity. Its policy is 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 - Dividends from net investment income and net realized gains are
declared and reinvested daily. Dividends and distributions are recorded by the
Fund 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 reclassification 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 Fund. Such advisory fees
are based on an annual rate of 0.35% applied to the average daily net assets of
the Fund. CII has voluntarily agreed to reimburse the 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% of
average daily net assets for the Institutional Class, and 1.00% for the Retail
Class, until April 30, 2000 and thereafter to the extent described in the Fund's
then current prospectus.
The 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 period ended June
30, 1999, the Fund paid or accrued $50,862.
_
9
<PAGE>
CIGNA MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONTINUED
With respect to Retail Service Class shares, the Fund has adopted a 12b-1 plan
which requires the payment of a distribution fee of 0.10% of average daily net
assets and a service fee of 0.25% payable to CIGNA Financial Services, Inc.
("CFS"), the Fund's distributor.
CII and CFS are indirect, wholly-owned subsidiaries of CIGNA Corporation.
__
10
<PAGE>
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.
4. CAPITAL STOCK. The Fund is a separate series of the Trust which offers an
unlimited number of shares of beneficial interest, without par value. Affiliates
of CIGNA Corporation were the sole shareholders of the Fund.
Transactions in capital stock were as follows:
[THE FOLLOWING TABLE EXPANDS ACROSS THE BOTTOM HALF OF PP.10-11 IN THE PRINTED
REPORT]
<TABLE>
<CAPTION>
(UNAUDITED)
FOR THE SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
(000) (000)
------------------------------------------------------------------------
SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------- ----------------- ----------------- ----------------- ------------------
<S> <C> <C> <C> <C>
Amount sold - Institutional Class 964,075 $ 964,075 2,314,708 $ 2,314,708
Amount issued to shareholders
in reinvestment of dividends
and distributions - Institutional Class 4,649 4,649 12,599 12,599
----------------- ----------------- ----------------- -----------------
968,724 968,724 2,327,307 2,327,307
Amount redeemed - Institutional Class (1,034,215) (1,034,215) (2,268,753) (2,268,753)
----------------- ----------------- ----------------- -----------------
Net increase - Institutional Class (65,491) $ (65,491) 58,554 $ 58,554
================= ================= ================= =================
Amount sold - Retail Service Class 4,412 $ 4,412
Amount issued to shareholders
in reinvestment of dividends
and distributions - Retail Service Class 7 7
----------------- -----------------
4,419 4,419
Amount redeemed - Retail Service Class (1,829) (1,829)
----------------- -----------------
Net increase - Retail Service Class 2,590 $ 2,590
================= =================
</TABLE>
__
11
<PAGE>
CIGNA MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) CONTINUED
5. FINANCIAL HIGHLIGHTS. The following selected per share data, ratios and
supplemental data is computed on the basis of a share outstanding throughout the
period:
<TABLE>
<CAPTION>
RETAIL SERVICE CLASS INSTITUTIONAL CLASS
- ---------------------------------------------------------- ----------------------------------------------------------------------
(UNAUDITED)
(UNAUDITED) SIX MONTHS
APRIL 29, 1999+ ENDED FOR THE YEAR ENDED DECEMBER 31,
TO JUNE 30, 1999 JUNE 30, 1999 1998 1997 1996 1995 1994
- ---------------------------------------------------------- ----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.01 0.02 0.05 0.05 0.05 0.05 0.03
Net realized and unrealized gain on
securities ------ ------ ------ ------ ------ ------ ------
- - - - - - -
------ ------ ------ ------ ------ ------ ------
Total from investment operations 0.01 0.02 0.05 0.05 0.05 0.05 0.03
------ ------ ------ ------ ------ ------ -----
LESS DISTRIBUTIONS:
Dividends from net investment income (0.01) (0.02) (0.05) (0.05) (0.05) (0.05) (0.03)
Distributions from capital gains - - - - - - -
------ ------ ------ ------ ------ ------ ------
Total distributions (0.01) (0.02) (0.05) (0.05) (0.05) (0.05) (0.03)
------ ------ ------ ------ ------ ------ ------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ======= =======
Total return * 0.70% 2.30% 5.18% 5.27% 4.91% 5.33% 3.43%
Ratios and supplemental data:
Net assets, end of period (000 omitted) $ 2,590 $ 164,128 $ 229,619 $ 171,065 $ 120,505 $ 1,034 $ 16,673
Ratio of operating expenses to average net
assets ** 0.93%++ 0.45% + 0.45% 0.44% 0.45% 0.80% 1.00%
Ratio of net investment income to average
net assets *** 4.05%++ 4.60% + 5.06% 5.14% 4.95% 5.38% 3.32%
</TABLE>
* Total return would have been lower if certain expenses had not been
reimbursed by the Adviser.
** Ratio of expenses to average net assets prior to reimbursement of
expenses for the Retail Service Class was 1.00% (annualized) for the
1999 period. Ratios of expenses to average net assets prior to
reimbursement of expenses for the Institutional Class were 0.52%
(annualized) for the six months ended June 30, 1999, and 0.47%,
0.51%, 0.69%, 1.21% and 1.11% respectively, for the 1998, 1997, 1996,
1995 and 1994 periods.
*** Ratio of net investment income to average net assets prior to
reimbursement of expenses for the Retail Service Class was 3.98%
(annualized) for the 1999 period. Ratios of net investment income to
average net assets prior to reimbursement of expenses for the
Institutional Class were 4.53% (annualized) for the six months ended
June 30, 1999 and 5.03%, 5.07%, 4.71%, 4.91% and 3.22%, respectively,
for the 1998, 1997, 1996, 1995 and 1994 periods.
+ Commencement of operations.
++ Annualized.
__ __
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