[GE LOGO OMITTED]
[GRAPHIC OMITTED]
GE
Investments
Funds, Inc.
ANNUAL REPORT
DECEMBER 31, 1999
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GE INVESTMENTS FUNDS, INC.
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UNDERSTANDING YOUR REPORT
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A LETTER FROM THE CHAIRMAN ............................................... 2
REVIEW OF PERFORMANCE AND SCHEDULE OF INVESTMENTS
Portfolio managers discuss your Funds and what they
have invested in and why
U.S. EQUITY FUND .................................................... 3
S&P 500 INDEX FUND .................................................. 7
PREMIER GROWTH EQUITY FUND .......................................... 14
VALUE EQUITY FUND ................................................... 17
INTERNATIONAL EQUITY FUND ........................................... 20
TOTAL RETURN FUND ................................................... 25
INCOME FUND ......................................................... 34
GLOBAL INCOME FUND .................................................. 41
MONEY MARKET FUND ................................................... 44
REAL ESTATE SECURITIES FUND ......................................... 46
NOTES TO PERFORMANCE AND NOTES TO SCHEDULES OF INVESTMENTS .......... 49
FINANCIAL STATEMENTS
Financial Highlights ................................................ 50
Notes to the Financial Highlights ................................... 55
Statements of Assets and Liabilities
Operations, and Changes in Net Assets ............................. 56
NOTES TO THE FINANCIAL STATEMENTS ........................................ 62
INDEPENDENT AUDITORS' REPORT ............................................. 66
GE INVESTMENTS FUNDS' INVESTMENT TEAM ......................INSIDE BACK COVER
This report is prepared for Policyholders of certain variable contracts and may
be distributed to others only if preceded or accompanied by the variable
contract's current prospectus and the current prospectus of the Funds available
for investments thereunder.
1
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A LETTER FROM THE CHAIRMAN
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Dear Shareholders,
We are pleased to provide you with the 1999 GE Investments Funds, Inc. Annual
Report.
1999 was a year of exceptionally strong performance across most global equity
markets, while the U.S. bond market suffered its second worst year since 1973.
The S&P 500 achieved an unprecedented fifth consecutive year of 20%+ returns,
finishing the year up 21.1%. The increase in the Russell 2000 small-cap stock
index roughly equaled the S&P 500 for the first time since 1993. International
equity markets as a whole significantly outperformed the S&P 500 for the first
time since 1994. European markets climbed a relatively modest 15.9%, while Japan
rose 61.5%, and emerging market stock indices increased a robust 66.4% from
1998's depressed levels. Although the large-cap U.S. equity market was up
strongly, individual stock performance remained very concentrated. The top
performing fifteen stocks accounted for 75% of the total S&P 500 gain and
technology stocks such as Microsoft, Cisco, Oracle, and Sun Microsystems
accounted for 90% of the S&P 500's total performance.
PERFORMANCE HIGHLIGHTS
Despite a volatile market that traded in a narrow range for most of the year, a
number of GE Investments equity funds outperformed their Lipper peer groups. The
Premier Growth Equity Fund outpaced its Lipper peers by 4% and also beat the S&P
500 Index by 15%. Both the U.S. Equity Fund and Value Equity Fund also posted
double-digit returns and exceeded their Lipper peer groups by 5% and 3%,
respectively. The International Equity Fund beat its benchmark index (MSCI EAFE)
by 3%.
MARKET OVERVIEW
The past several years have produced a very positive environment for financial
markets. Traditional long-term U.S. stock returns in the range of 10-12% have
been eclipsed by average returns of 17.5% in the 1980's and 18.3% in the 1990's.
The last five years in particular have reached new highs, averaging 28.6%. These
dramatic results have not only been recorded by stocks but also by long-term
government bonds which have returned 12.6% in the 1980's and 9.0% in the 90's
versus historic averages in the 6-7% range. Since the fall of the Iron Curtain,
we have experienced a disinflationary peacetime economy with low interest rates,
strong economic growth, excellent productivity gains and rising corporate
profits. This has led to unprecedented valuation levels on almost any
measurement basis -- dividend yields, price to book, price to sales, or price to
earnings ratios. Some argue that current technology innovations and the
increased services content of the economy should encourage us to view valuations
differently in this "New Era Economy", perhaps akin to the dramatic changes for
the industrial revolution affecting economic life at the dawn of the previous
century. We believe that our valuation methologies are still valid though levels
may be altered in this environment.
The Federal Reserve increased interest rates three times during 1999, as the
pace of economic activity rekindled fears of inflation. These actions reversed
the three rate cuts implemented in responds to 1998's global economic crisis,
and had a significant negative impact on bond values and on bond fund returns.
MARKET OUTLOOK
A number of positive factors should prevail in the months ahead. U.S. economic
growth seems likely to continue, albeit at a more moderate 2-3% annual rate. New
investment dollars should enter the market from 401(k) plans, mutual funds and
also as foreign pension plans increase their allocations to global equities,
including the U.S. Continued growth in the technology sector also seems likely.
While it remains uncertain how long the dot.com IPO frenzy can continue, the
Internet offers promising opportunities and productivity improvements for
business to business commerce. Finally, business merger and acquisition
activity, especially in Europe, is booming and company managements have followed
the U.S. lead in focusing on creating shareholder value.
On the cautionary side, valuations remain high and global capacity exceeds
demand. We believe that bottom-up analyst expectations of double-digit earnings
growth of 15% will probably not be realized and there will be continued high
volatility and narrow market breadth. We believe that S&P 500 earnings should
increase by about 6-8% which, together with dividends of slightly more than 1%,
should result in gains closer to historic levels.
The principal wild card capable of impacting this scenario is the pace of
economic activity around the globe and its effect on interest rates, coupled
with the narrow breadth of the U.S. equity market. The concentration of recent
years' appreciation in a relatively small number of stocks, predominately in the
technology sector, creates potential significant volatility, particularly if
these stocks go through a major correction.
Maintaining a well-diversified portfolio is even more important when markets are
volatile and the economic outlook uncertain. Equities have the potential to be a
top performing long-term asset class, although returns over the next few years
will probably not equal the levels they have achieved for the past five years.
Stock selection will continue to be a major factor in performance as we expect
small- and mid-cap stocks, which have been laggards in recent years, to catch up
with large-caps. Fixed income investments (whether taxable or tax-exempt)
deliver current income and can also provide moderate capital growth. The basic
rules of investing still apply -- know your investment objectives and work with
your financial advisor to consider which options fit your profile, and your
tolerance for risk, then spend as much effort investing your money as you spent
earning it. These rules held true in 1999 and we suggest that you consider them
in future investment plans.
Lastly, a comment on the Year 2000 issue. To date, we have not experienced any
significant disruptions to our financial or operating activities caused by
failure of these computerized systems resulting from Year 2000 issues. Still,
the impact of failures by companies, markets, or governments of countries in
which the Funds invest to address effectively the Year 2000 issue may be felt
well after January 1, 2000 and could negatively impact the Funds' performance.
In addition, the Funds could be adversely affected if the computer systems used
by GE Asset Management, its sub-advisers or external service providers do not
correctly process such date-related information.
Sincerely,
[SIGNATURE]
Michael J. Cosgrove
CHAIRMAN, GE INVESTMENTS FUNDS, INC.
MIKE COSGROVE IS THE PRESIDENT OF GE ASSET MANAGEMENT SERVICES A DIVISION OF GE
FINANCIAL ASSURANCE HOLDINGS, INC., AN INDIRECT WHOLLY-OWNED SUBSIDIARY OF
GENERAL ELECTRIC COMPANY AND GE INVESTMENT DISTRIBUTORS, INC., THE FUNDS'
DISTRIBUTOR. IN THIS ROLE, HE IS RESPONSIBLE FOR THE MARKETING, PRODUCT
DEVELOPMENT AND SALES OF THE FUNDS, AND IS ALSO A TRUSTEE OF THE GE PENSION
TRUST AND GE'S EMPLOYEE SAVINGS PROGRAM.
IN MIKE'S PREVIOUS POSITION AS CHIEF FINANCIAL OFFICER OF GE ASSET MANAGEMENT
AND ASSISTANT TREASURER-GE COMPANY, HE HAD FINANCIAL RESPONSIBILITY FOR ALL
ASSETS UNDER GE ASSET MANAGEMENT. MIKE JOINED GE IN 1970. AFTER COMPLETING THE
GE FINANCIAL MANAGEMENT PROGRAM, HE HELD A NUMBER OF MANAGERIAL POSITIONS IN
FINANCE AND SALES IN THE INTERNATIONAL OPERATION, INCLUDING SERVING AS VICE
PRESIDENT AND TREASURER AND LATER AS VICE PRESIDENT - COUNTERTRADE AND BARTER
FOR GE TRADING COMPANY.
MIKE GRADUATED FROM FORDHAM UNIVERSITY IN 1970 WITH A B.S. DEGREE IN ECONOMICS
AND RECEIVED HIS M.B.A. DEGREE FROM ST. JOHN'S UNIVERSITY IN 1973.
2
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U.S. EQUITY FUND
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Q&A
GENE BOLTON IS RESPONSIBLE FOR THE OVERALL MANAGEMENT OF GE ASSET MANAGEMENT'S
U.S. EQUITY OPERATION. GENE MANAGES INDIVIDUAL, INSTITUTIONAL AND MUTUAL FUND
PORTFOLIOS WITH TOTAL ASSETS OF OVER $64 BILLION. HIS RESPONSIBILITIES INCLUDE
OVERSEEING THE PORTFOLIO MANAGEMENT TEAMS OF THE U.S. EQUITY FUND. GENE JOINED
GE IN 1964. AFTER COMPLETING GE'S FINANCIAL MANAGEMENT PROGRAM HE HELD A NUMBER
OF FINANCIAL AND STRATEGIC PLANNING POSITIONS IN THE U.S. AND EUROPE. JOINING GE
ASSET MANAGEMENT IN 1984 AS CHIEF FINANCIAL OFFICER, HE MOVED TO EQUITIES AS A
PORTFOLIO MANAGER IN 1986 AND WAS NAMED TO HIS PRESENT POSITION IN 1991. GENE IS
A TRUSTEE OF THE GE PENSION TRUST AND GE'S EMPLOYEE SAVINGS PROGRAM, AS WELL AS
CHAIRMAN OF THE ASSET ALLOCATION COMMITTEE OF GE ASSET MANAGEMENT. HE ALSO
SERVES AS A TRUSTEE OF THE INVESTMENT MANAGEMENT WORKSHOP, SPONSORED BY THE
ASSOCIATION FOR INVESTMENT MANAGEMENT AND RESEARCH. GENE IS A GRADUATE OF
MUNDELEIN COLLEGE WITH A B.A. IN BUSINESS MANAGEMENT.
Q. HOW DID THE U.S. EQUITY FUND PERFORM COMPARED WITH ITS BENCHMARK AND LIPPER
PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The U.S. Equity Fund returned 19.61% for the one-year period ended December
31, 1999, slightly less than the S&P 500 Index return of 21.07%. For the
same period, the fund's Lipper peer group of 174 Growth and Income annuity
funds had an average return of 14.51%, ranking the fund in the 73rd
percentile among peer funds.
Q. WHY DID THE FUND UNDERPERFORM ITS BENCHMARK?
A. The stock market continued to be characterized by narrow leadership from a
small group of very large growth stocks. Despite the strong return of the
overall index, only 46% of S&P 500 stocks were up on the year while 54%
actually declined. Because many of these leadership stocks had very high
valuations throughout the year, we did not own a number of them as a result
of our valuation disciplines. We expect this valuation discrepancy to
correct itself at some point and the fund to make up for its modest
underperformance last year.
Q. DID THE SECTOR WEIGHTINGS OF THE FUND CHANGE?
A. In general, the sector weightings in the fund remain quite close to those
of the S&P 500 as a result of our style-neutral, broadly diversified
approach. The exception in 1999 was the Technology sector where we started
the year about 2 1/2% below the index weight and finished about 6%
underweighted. This was not the result of net selling on our part but
rather the addition of some very richly valued stocks to the index during
the year that we did not buy (e.g., Yahoo! and QUALCOMM).
Q. WHICH SECTORS/STOCKS HAVE PERFORMED WELL AND WHICH HAVE NOT?
A. During 1999, seven of nine sectors in the S&P 500 showed a positive return,
but only three managed to outperform the overall index. We did well in the
Consumer Cyclical sector thanks to continued outperformance by our cable
television holdings, NTL, AT&T Corp.-Liberty Media and Comcast, as well as
Interpublic Group and Catalina Marketing. We also outperformed in the
Financial sector, thanks to good stock selection as companies such as
Morgan Stanley Dean Witter, American Express and Goldman Sachs did well.
Our large overweight in Citigroup was also helpful. We also had good
performance in the Capital Goods sector, primarily because our valuation
discipline kept us out of Tyco.
Technology was the sector that provided us with the greatest investment
challenge. For the full year our technology holdings rose 80.3%, pretty
much in line with the S&P 500 Technology benchmark increase of 81.3% but,
as discussed above, we had a fairly significant underweight in the sector
by the end of the year. We did have a number of good technology stocks such
as Nortel, Analog Devices, Cisco, Applied Materials and EMC and we plan to
add to our technology exposure when the correction, which we believe is
inevitable, occurs in this sector.
Q. WHAT IS YOUR OUTLOOK FOR THE FUND AND HOW HAVE YOU POSITIONED THE FUND
GOING FORWARD?
A. We expect a high level of volatility in the stock market in 2000. We also
believe that the performance and valuation discrepancy between technology
stocks and the rest of the market cannot continue indefinitely. We plan to
continue our emphasis on bottom-up fundamental research with a strong
valuation discipline and believe the fund is well positioned for good
relative performance in 2000.
3
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U.S. EQUITY FUND
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COMPARISON OF CHANGES IN VALUE OF A $10,000 INVESTMENT
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[LINE GRAPH OMITTED]
U.S. Equity Fund S&P 500 Index
1/3/95 $10000 $10000
3/95 10940 10974
6/95 11973 12019
9/95 12873 12977
12/95 13558 13749
3/96 14353 14497
6/96 14888 15151
9/96 15218 15616
12/96 16502 16927
3/97 16854 17369
6/97 19598 20404
9/97 21255 21938
12/97 21805 22563
3/98 24394 25713
6/98 24989 26566
9/98 22447 23937
12/98 26910 29038
3/99 28396 30477
6/99 30710 32598
9/99 28766 30592
12/99 32187 35153
U.S. Equity Fund (ending value $32,187)
S&P 500 Index (ending value $35,153)
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AVERAGE ANNUAL TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 1999
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ONE THREE SINCE
YEAR YEAR COMMENCEMENT
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U.S. Equity Fund 19.61% 24.94% 26.37%
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S&P 500 Index 21.07% 27.59% 28.59%
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Lipper peer group average* 14.51% 18.76% N/A
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Commencement date 1/3/95
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INVESTMENT PROFILE
A fund designed for investors who seek long-term growth of capital by
investing primarily in equity securities of U.S. companies.
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TOP TEN LARGEST HOLDINGS
AT DECEMBER 31, 1999
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Citigroup Inc. ..................................... 3.30%
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Microsoft Corp. .................................... 2.76%
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Cisco Systems Inc. ................................. 2.75%
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Exxon Mobil Corp. .................................. 2.52%
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Intel Corp. ........................................ 2.16%
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Merck & Co. Inc. ................................... 2.15%
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First Data Corp. ................................... 1.81%
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Nortel Networks Corp. .............................. 1.58%
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SBC Communications Inc. ............................ 1.55%
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Bristol-Myers Squibb Co. ........................... 1.54%
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PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
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NET ASSETS OF $72,794 (IN THOUSANDS)
[PIE CHART OMITTED]
TECHNOLOGY 21.4%
FINANCIAL SERVICES 14.5%
CONSUMER 13.6%
HEALTHCARE 10.9%
UTILITIES 8.5%
CASH & OTHER 7.7%*
CAPITAL GOODS 7.5%
ENERGY 6.9%
RETAIL TRADE 5.9%
BASIC MATERIALS 1.6%
TRANSPORTATION 1.5%
+INCLUDES CASH EQUALIZED BY FUTURES OF 5.6%
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE GROWTH AND INCOME PEER GROUP CONSISTING OF 174
AND 98 UNDERLYING ANNUITY FUNDS, RESPECTIVELY.
See Notes to Performance.
Past performance is no guarantee of future results.
4
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SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
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U.S. EQUITY FUND
NUMBER
OF SHARES VALUE
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COMMON STOCK -- 92.3%
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BASIC MATERIALS -- 1.6%
Airgas Inc. ......................... 2,841 $ 26,990(a)
Barrick Gold Corp. .................. 9,814 173,585
Du Pont de Nemours (E.I.) & Co. ..... 2,066 136,098
Mead Corp. .......................... 2,630 114,241
Newmont Mining Corp. ................ 10,847 265,751
PPG Industries Inc. ................. 4,132 258,508
Rayonier Inc. ....................... 3,254 157,209
1,132,382
CAPITAL GOODS -- 7.5%
Boeing Co. .......................... 1,744 72,485
Deere & Co. ......................... 2,131 92,432
Dover Corp. ......................... 20,247 918,708(h)
Emerson Electric Co. ................ 10,950 628,256
General Dynamics Corp. .............. 2,376 125,334
Honeywell International Inc. ........ 16,146 931,422
Hubbell Inc. (Class B) .............. 12,388 337,573
Martin Marietta Materials Inc. ...... 6,890 282,490
Masco Corp. ......................... 4,752 120,582
Molex Inc. (Class A) ................ 11,466 518,837
Textron Inc. ........................ 9,297 712,964
United Technologies Corp. ........... 6,508 423,020
Waste Management Inc. ............... 15,805 271,648
5,435,751
CONSUMER - CYCLICAL -- 9.0%
AT&T Corp. - Liberty Media
Group (Class A) .................. 14,979 850,058(a,h)
Carnival Corp. ..................... 3,616 172,890
Catalina Marketing Corp. ........... 3,357 388,573(a)
Comcast Corp. (Class A) ............ 14,468 731,538
Ford Motor Co. ..................... 3,822 204,238
Gannett Inc. ....................... 8,656 706,005
Harman International Industries Inc. 930 52,196
Interpublic Group Cos. Inc. ........ 14,600 842,238
Knight-Ridder Inc. ................. 4,545 270,428
McDonald's Corp. ................... 15,082 607,993
NTL Inc. ........................... 7,322 913,419(a)
Time Warner Inc. ................... 3,801 275,335
Walt Disney Co. .................... 14,596 426,933
Xerox Corp. ........................ 5,165 117,181
6,559,025
CONSUMER - STABLE -- 4.6%
Anheuser Busch Cos. Inc. ........... 6,136 434,889
Avon Products Inc. ................. 4,824 159,192
Bestfoods .......................... 2,582 135,716
Colgate-Palmolive Co. .............. 1,322 85,930
General Mills Inc. ................. 4,649 166,202
Gillette Co. ....................... 1,550 63,840
Heinz (H.J.) Co. ................... 3,306 131,620
Pepsico Inc. ....................... 18,191 641,233
NUMBER
OF SHARES VALUE
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Philip Morris Cos. Inc. ............ 4,153 $ 96,298(h)
Procter & Gamble Co. ............... 6,611 724,318
Ralston Purina Co. ................. 16,269 453,498
Sara Lee Corp. ..................... 12,396 273,487
3,366,223
ENERGY -- 6.9%
Anadarko Petroleum Corp. ........... 3,047 103,979
Baker Hughes Inc. .................. 5,268 110,957
BP Amoco PLC ADR ................... 2,273 134,817
Burlington Resources Inc. .......... 5,216 172,454
Chevron Corp. ...................... 2,066 178,967
Conoco Inc. (Class B) .............. 8,057 200,418
Exxon Mobil Corp. .................. 22,747 1,832,595(h)
Halliburton Co. .................... 6,921 278,570
Nabors Industries Inc. ............. 2,583 79,911(a)
Royal Dutch Petroleum Co. ADR ...... 9,380 566,904
Schlumberger Ltd. .................. 11,291 635,119
Texaco Inc. ........................ 2,066 112,210
Transocean Sedco Forex Inc. ........ 2,186 73,639
Unocal Corp. ....................... 10,587 355,326
USX-Marathon Group ................. 7,252 179,034
5,014,900
FINANCIAL -- 10.7%
American Express Co. ............... 3,822 635,407(h)
Associates First Capital Corp.
(Class A) ........................ 13,326 365,632
Bank of America Corp. .............. 12,778 641,296
Bank of New York Inc. .............. 2,293 91,720
Chase Manhattan Corp. .............. 5,743 446,159
Chicago Title Corp. ................ 729 33,716
Citigroup Inc. ..................... 43,226 2,401,745(h)
Countrywide Credit Industries Inc. 1,808 45,652
Federal National Mortgage Assoc. ... 15,113 943,618
FleetBoston Financial Corp. ........ 9,074 315,889
Goldman Sachs Group Inc. ........... 2,376 223,789
Morgan Stanley Dean Witter & Co. ... 5,940 847,935
PNC Bank Corp. ..................... 3,087 137,372
State Street Corp. ................. 2,863 209,178(i)
United States Bancorp. ............. 6,791 161,711
Wells Fargo & Co. .................. 7,995 323,298
7,824,117
HEALTHCARE -- 10.9%
Abbott Laboratories ................ 14,203 515,746(h)
Allergan Inc. ...................... 2,067 102,833
American Home Products Corp. ....... 3,419 134,837
Amgen Inc. ......................... 7,230 434,252(a)
Bristol-Myers Squibb Co. ........... 17,427 1,118,595
Cardinal Health Inc. ............... 21,379 1,023,520
Dentsply International Inc. ........ 2,892 68,323
Eli Lilly & Co. .................... 3,616 240,464
Henry Schein Inc. .................. 5,320 70,822(a)
Johnson & Johnson .................. 8,894 828,254
Lincare Holdings Inc. .............. 5,630 195,291(a)
Merck & Co. Inc. ................... 23,284 1,561,483
Omnicare Inc. ...................... 2,169 26,028
Pfizer Inc. ........................ 5,785 187,651
Pharmacia & Upjohn Inc. ............ 7,593 341,685
Schering Plough Corp. .............. 8,884 374,794
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See Notes to Schedule of Investments and Notes to Financial Statements.
5
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U.S. EQUITY FUND
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NUMBER
OF SHARES VALUE
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Shire Pharmaceuticals Group PLC ADR . 1,343 $ 39,115(a)
Sybron International Corp. .......... 7,742 191,131(a)
Warner-Lambert Co. .................. 1,395 114,303
Watson Pharmaceuticals Inc. ......... 9,163 328,150(a)
7,897,277
INSURANCE -- 3.8%
American International Group Inc. ... 6,792 734,385
AXA Financial Inc. .................. 5,113 173,203
Berkshire Hathaway Inc. (Class B) ... 200 366,000(a)
Chubb Corp. ......................... 3,843 216,409
Hartford Financial Services Group Inc. 4,649 220,246
Lincoln National Corp. .............. 3,925 157,000
Loews Corp. ......................... 2,944 178,664
Marsh & McLennan Cos. Inc. .......... 2,768 264,863
Reliastar Financial Corp. ........... 3,616 141,702
St. Paul Cos. Inc. .................. 4,235 142,667
UnumProvident Corp. ................. 5,682 182,179
2,777,318
RETAIL TRADE -- 5.9%
Costco Wholesale Corp. .............. 2,479 226,209(a)
CVS Corp. ........................... 6,920 276,368
Dayton Hudson Corp. ................. 13,180 967,906
Federated Department Stores Inc. .... 6,921 349,943(a)
Home Depot Inc. ..................... 12,707 871,189
Lowes Cos. Inc. ..................... 8,368 499,988
Sears Roebuck & Co. ................. 1,033 31,442
Wal-Mart Stores Inc. ................ 15,288 1,056,783
4,279,828
TECHNOLOGY - ELECTRONICS & EQUIPMENT-- 14.0%
Analog Devices Inc. ................. 8,412 782,316(a)
Applied Materials Inc. .............. 7,407 938,374(a,h)
Cisco Systems Inc. .................. 18,697 2,002,916(a)
Dell Computer Corp. ................. 5,836 297,636(a)
EMC Corp. ........................... 10,175 1,111,619(a)
Hewlett Packard Co. ................. 1,240 141,283
Intel Corp. ......................... 19,121 1,573,897
International Business Machines ..... 4,907 529,956
Lucent Technologies Inc. ............ 7,231 540,969
Nortel Networks Corp. ............... 11,363 1,147,663
Pitney Bowes Inc. ................... 8,801 425,198
Sun Microsystems Inc. ............... 6,673 516,741(a)
Texas Instruments Inc. .............. 2,066 200,144
10,208,712
TECHNOLOGY - SOFTWARE & SERVICES-- 7.4%
Automatic Data Processing Inc. ...... 11,694 630,014
Computer Sciences Corp. ............. 2,595 245,552(a)
Equifax Inc. ........................ 25,670 604,849
First Data Corp. .................... 26,703 1,316,792
Microsoft Corp. ..................... 17,192 2,007,166(a)
Reuters Group PLC ADR ............... 724 58,508
Unisys Corp. ........................ 17,081 545,525(a)
5,408,406
NUMBER
OF SHARES VALUE
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TRANSPORTATION -- 1.5%
Burlington Northern Santa Fe Corp. .. 12,396 $ 300,603
Canadian Pacific Ltd. ............... 8,265 178,214
Continental Airlines Inc. (Class B) . 5,126 227,466 (a)
Delta Air Lines Inc. ................ 5,268 262,412
United Parcel Service Inc. (Class B) 1,680 115,920
1,084,615
UTILITIES -- 8.5%
Alltel Corp. ........................ 1,550 128,166
AT&T Corp. .......................... 7,851 398,438(h)
Bell Atlantic Corp. ................. 4,958 305,227(h)
CMS Energy Corp. .................... 6,198 193,300
Duke Energy Corp. ................... 8,171 409,571
Edison International ................ 15,857 415,255
El Paso Energy Corp. ................ 8,155 316,516
FPL Group Inc. ...................... 2,583 110,585
Global Crossing Ltd. ................ 6,715 335,750(a)
GTE Corp. ........................... 10,330 728,910
MCI WorldCom Inc. ................... 4,649 246,661(a)
New Century Energies Inc. ........... 7,335 222,801
SBC Communications Inc. ............. 23,098 1,126,027
Sprint Corp. ........................ 6,735 453,350
Texas Utilities Co. ................. 3,202 113,871
U.S. WEST Inc. ...................... 4,752 342,144
Vodafone AirTouch PLC ADR ........... 7,386 365,607
6,212,179
TOTAL INVESTMENTS IN SECURITIES
(COST $57,557,393) .............. 67,200,733
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SHORT-TERM INVESTMENTS -- 7.5%
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GEI Short Term Investment Fund
(COST $5,445,325) ..............5,445,325 5,445,325
OTHER ASSETS AND LIABILITIES,
NET 0.2% ......................... 148,348
-----------
NET ASSETS-- 100% $72,794,406
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OTHER INFORMATION
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The U.S. Equity Fund had the following long Futures Contracts open at December
31, 1999:
NUMBER
EXPIRATION OF UNDERLYING UNREALIZED
DESCRIPTION DATE CONTRACTS FACE VALUE GAIN
- --------------------------------------------------------------------------------
S&P 500 March 2000 11 $ 4,081,550 $ 88,430
- -----------------
See Notes to Schedule of Investments and Notes to Financial Statements.
6
<PAGE>
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
Q&A
JAMES B. MAY LEADS A TEAM OF PORTFOLIO MANAGERS AT STATE STREET GLOBAL ADVISORS,
THE SUB-ADVISER FOR THE S&P 500 INDEX FUND. SINCE 1994, JAMES HAS BEEN AN
INVESTMENT OFFICER AND PORTFOLIO MANAGER IN THE U.S. STRUCTURED PRODUCTS GROUP
AT STATE STREET BANK AND TRUST COMPANY WHICH HAS TOTAL ASSETS UNDER MANAGEMENT
EXCEEDING $587 BILLION. FROM 1991 TO 1993, JAMES SERVED AS AN INVESTMENT SUPPORT
ANALYST IN THE U.S. PASSIVE SERVICES GROUP AT STATE STREET. JAMES HOLDS A B.S.
IN FINANCE FROM BENTLEY COLLEGE AND AN M.B.A. FROM BOSTON COLLEGE.
Q. HOW DID THE S&P 500 INDEX FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER
PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The S&P 500 Index Fund had a return of 20.61% for the one-year period ended
December 31, 1999. The S&P 500 Index returned 21.07% and our Lipper peer
group of 35 S&P 500 Objective annuity funds returned an average of 20.48%
for the same period.
Q. WHY DID THE FUND UNDERPERFORM ITS BENCHMARK ?
A. The fund underperformed its benchmark primarily due to fund expenses. The
S&P 500 Index is an unmanaged index and does not reflect the actual cost of
investing in the instruments that constitute the index or expenses related
to managing a mutual fund. If these expenses were taken into account
(0.39%), the fund's performance would essentially track that of the S&P 500
Index.
Q. WHAT HAS YOUR INVESTMENT STRATEGY BEEN ?
A. We continue to utilize a full replication strategy to manage the S&P 500
Index Fund. With this strategy, all 500 constituents of the S&P 500 Index
are owned by the fund in the approximate capitalization weight of the
index. This methodology has provided consistent tracking with the S&P 500
Index.
Q. WHICH INVESTMENT STANDS OUT?
A. For the year 1999, the S&P 500 Index posted a return in excess of 20% for
the fifth consecutive year. That performance of the S&P 500 Index was
narrow, driven by the largest securities in the index. A handful of stocks
contributed, on a cap weighted basis, half of the index performance. Those
stocks included Microsoft, GE, Wal-Mart, Oracle, QUALCOMM and Nortel.
QUALCOMM was the best performer in the index, despite being added on July
22. From that date to December 31, 1999 QUALCOMM returned an amazing 350%.
Overall, the performance of the S&P 500 was dominated by technology. That
sector is the largest sector in the universe and continues to get larger as
securities perform well and new technology companies such as Yahoo! are
added.
Q. WHAT IS YOUR OUTLOOK FOR THE FUND AND HOW HAVE YOU POSITIONED THE FUND
GOING FORWARD?
A. Due to the passive investment style of the fund, it will remain fully
invested to the S&P 500 to provide as close tracking as possible to the S&P
500 Index.
7
<PAGE>
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
S&P 500 Index Fund S&P 500 Index
12/89 $10000 $10000
12/90 8977 9684
12/91 12063 12645
12/92 13074 13622
12/93 14956 14986
12/94 14944 15180
12/95 20345 20872
12/96 25332 25696
12/97 33015 34251
12/98 42339 44080
12/99 51065 53363
S&P 500 Index Fund (ending value $51,065)
S&P 500 Index (ending value $53,363)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE FIVE TEN
YEAR YEAR YEAR
- --------------------------------------------------------------------------------
S&P 500 Index Fund 20.61% 27.86% 17.71%
- --------------------------------------------------------------------------------
S&P 500 Index 21.07% 28.59% 18.23%
- --------------------------------------------------------------------------------
Lipper peer group average* 20.48% 28.07% 17.74%
- --------------------------------------------------------------------------------
Commencement date 4/15/85
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek growth of capital and accumulation of
income that corresponds to the investment return of the Standard & Poor's 500
Composite Stock Price Index by investing primarily in equity securities of
companies contained in the S&P 500 Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS
AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
Microsoft Corp. .................................... 4.79%
- --------------------------------------------------------------------------------
General Electric Co. ............................... 4.04%
- --------------------------------------------------------------------------------
Cisco Systems Inc. ................................. 2.79%
- --------------------------------------------------------------------------------
Wal-Mart Stores Inc. ............................... 2.45%
- --------------------------------------------------------------------------------
Exxon Mobil Corp. .................................. 2.22%
- --------------------------------------------------------------------------------
Intel Corp. ........................................ 2.18%
- --------------------------------------------------------------------------------
Lucent Technologies Inc. ........................... 1.86%
- --------------------------------------------------------------------------------
International Business Machines Corp. .............. 1.55%
- --------------------------------------------------------------------------------
Citigroup Inc. ..................................... 1.49%
- --------------------------------------------------------------------------------
America Online Inc. ................................ 1.34%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
[PIE CHART OMITTED]
NET ASSETS OF $652,144 (IN THOUSANDS)
TECHNOLOGY 28.9%
CONSUMER 13.4%
FINANCIAL SERVICES 12.8%
UTILITIES 10.0%
HEALTHCARE 9.3%
CAPITAL GOODS 8.0%
RETAIL TRADE 6.5%
ENERGY 5.4%
BASIC MATERIALS 3.0%
CASH & OTHER 2.0%*
TRANSPORTATION 0.7%
+INCLUDES CASH EQUALIZED BY FUTURES OF 2.1%
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE S&P 500 INDEX OBJECTIVE PEER GROUP CONSISTING OF
35, 18 AND 8 UNDERLYING ANNUITY FUNDS, RESPECTIVELY.
See Notes to Performance.
Past performance is no guarantee of future results.
8
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
S&P 500 INDEX FUND
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.0%
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 3.0%
Air Products & Chemicals Inc. ....... 11,632 $ 390,399(h)
Alcan Aluminum Ltd. ................. 11,877 489,184(h)
Alcoa Inc. .......................... 18,976 1,575,008
Allegheny Teledyne Inc. ............. 4,351 97,626
Avery Dennison Corp. ................ 5,755 419,396
Barrick Gold Corp. .................. 20,533 363,177
Bethlehem Steel Corp. ............... 4,966 41,590(a)
Boise Cascade Corp. ................. 2,823 114,332
Champion International Corp. ........ 5,225 323,623
Dow Chemical Co. .................... 11,420 1,525,997
Du Pont de Nemours (E.I.) & Co. ..... 54,413 3,584,456
Eastman Chemical Co. ................ 3,759 179,257
Ecolab Inc. ......................... 7,126 278,805
Engelhard Corp. ..................... 6,746 127,331
FMC Corp. ........................... 1,853 106,200(a)
Fort James Corp. .................... 11,784 322,587
Freeport McMoran Copper &
Gold Inc. (Class B) .............. 7,784 164,437
Georgia Pacific Corp. ............... 9,228 468,321
Goodrich (B.F.) Co. ................. 6,301 173,277
Great Lakes Chemical Corp. .......... 2,797 106,810
Hercules Inc. ....................... 4,928 137,368
Homestake Mining Co. ................ 14,489 113,195
Inco Ltd. ........................... 10,312 242,332
International Paper Co. ............. 21,497 1,213,237
Louisiana Pacific Corp. ............. 6,622 94,364
Mead Corp. .......................... 5,358 232,738
Millipore Corp. ..................... 2,145 82,851
Monsanto Co. ........................ 32,579 1,160,627
Newmont Mining Corp. ................ 8,228 201,586
Nucor Corp. ......................... 4,609 252,631
Pall Corp. .......................... 6,278 135,369
Phelps Dodge Corp. .................. 4,210 282,596
Placer Dome Inc. .................... 17,374 186,770
Potlatch Corp. ...................... 1,430 63,814
PPG Industries Inc. ................. 9,137 571,634
Praxair Inc. ........................ 7,935 399,230
Reynolds Metals Co. ................. 3,085 236,388
Rohm & Haas Co. ..................... 11,014 448,132
Sealed Air Corp. .................... 4,357 225,747(a)
Sigma-Aldrich Corp. ................. 5,591 168,079
Union Carbide Corp. ................. 6,901 460,642
USX-US Steel Group Inc. ............. 4,165 137,445
W.R. Grace & Co. .................... 2,987 41,445(a)
Westvaco Corp. ...................... 5,020 163,778
Weyerhaeuser Co. .................... 11,960 858,877
Willamette Industries Inc. .......... 5,750 267,016
Worthington Industries Inc. ......... 4,641 76,867
19,306,571
CAPITAL GOODS -- 8.0%
Allied Waste Industries Inc. ........ 8,300 73,144(a)
Armstrong World Industries Inc. ..... 1,615 53,901
Boeing Co. .......................... 48,716 2,024,759
Briggs & Stratton Corp. ............. 934 50,086
Caterpillar Inc. .................... 18,716 880,822
Centex Corp. ........................ 2,460 60,731
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Cooper Industries Inc. .............. 4,571 $ 184,840
Corning Inc. ........................ 12,613 1,626,289
Crane Co. ........................... 3,327 66,124
Cummins Engine Co. Inc. ............. 2,089 100,925
Danaher Corp. ....................... 7,400 357,050
Deere & Co. ......................... 12,420 538,717
Dover Corp. ......................... 10,758 488,144
Eaton Corp. ......................... 3,850 279,606
Emerson Electric Co. ................ 22,374 1,283,708
Fleetwood Enterprises Inc. .......... 1,230 25,369
Fluor Corp. ......................... 3,752 172,123
Foster Wheeler Corp. ................ 1,006 8,928
General Dynamics Corp. .............. 10,382 547,650
General Electric Co. ................170,265 26,348,509
Grainger (W.W.) Inc. ................ 5,182 247,764
Honeywell International Inc. ........ 41,116 2,371,881
Illinois Tool Works Inc. ............ 15,397 1,040,260
Ingersoll Rand Co. .................. 8,799 484,495
Johnson Controls Inc. ............... 4,241 241,207
Kaufman & Broad Home Corp. .......... 2,080 50,310
Lockheed Martin Corp. ............... 20,852 456,137
Masco Corp. ......................... 23,190 588,446
McDermott International Inc. ........ 2,919 26,453
Milacron Inc. ....................... 1,994 30,658
Minnesota Mining & Manufacturing Co. 20,640 2,020,140
Molex Inc. .......................... 8,000 453,500
Nacco Industries Inc. ............... 222 12,335
National Service Industries Inc. .... 1,676 49,442
Navistar International Corp. Inc. ... 3,295 156,101(a)
Northrop Grumman Corp. .............. 3,861 208,735
Owens Corning ....................... 2,076 40,093
PACCAR Inc. ......................... 3,760 166,615
Parker Hannifin Corp. ............... 6,115 313,776
Pulte Corp. ......................... 2,322 52,245
Raytheon Co. (Class B) .............. 17,624 468,137
Rockwell International Corp. ........ 9,768 467,643
Sempra Energy ....................... 11,661 202,610
Sherwin-Williams Co. ................ 9,263 194,523
Textron Inc. ........................ 7,668 588,040
Thermo Electron Corp. ............... 9,028 135,420(a)
Thomas & Betts Corp. ................ 3,093 98,589
Timken Co. .......................... 3,531 72,165
Tyco International Ltd. ............. 87,630 3,406,616
United Technologies Corp. ........... 24,786 1,611,090
Vulcan Materials Co. ................ 5,300 211,669
Waste Management Inc. ............... 31,412 539,894
52,178,414
CONSUMER - CYCLICAL -- 7.1%
American Greetings Corp. (Class A) .. 3,217 76,002(h)
Bed Bath & Beyond Inc. .............. 7,700 267,575(a)
Black & Decker Corp. ................ 4,207 219,816
Block H & R Inc. .................... 4,952 216,650
Brunswick Corp. ..................... 4,168 92,738
Carnival Corp. ...................... 32,300 1,544,344
CBS Corp. ........................... 39,597 2,531,733(a)
Cendant Corp. ....................... 36,446 968,097(a)
Clear Channel Communications Inc. ... 17,400 1,552,950(a)
Comcast Corp. (Class A) ............. 39,144 1,979,218
Cooper Tire & Rubber Co. ............ 3,023 47,045
Dana Corp. .......................... 8,441 252,702
Darden Restaurants Inc. ............. 6,386 115,746
Delphi Automotive Systems Corp. ..... 28,158 443,493
Deluxe Corp. ........................ 4,029 110,546
- -----------------
See Notes to Schedule of Investments and Notes to Financial Statements.
9
<PAGE>
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Donnelley (R.R.) & Sons Co. ........ 7,152 $ 177,459
Dow Jones & Co. Inc. ............... 4,542 308,856
Dun & Bradstreet Corp. ............. 8,042 237,239
Eastman Kodak Co. .................. 16,375 1,084,844
Ford Motor Co. ..................... 62,500 3,339,844
Fortune Brands Inc. ................ 8,541 282,387
Gannett Inc. ....................... 14,608 1,191,465
General Motors Corp. ............... 32,994 2,398,251
Genuine Parts Co. .................. 9,296 230,657
Goodyear Tire & Rubber Co. ......... 8,219 231,673
Harcourt General Inc. .............. 4,061 163,455
Harrahs Entertainment Inc. ......... 6,735 178,057(a)
Hasbro Inc. ........................ 10,296 196,268
Hilton Hotels Corp. ................ 20,188 194,310
Interpublic Group Cos. Inc. ........ 14,730 849,737
ITT Industries Inc. ................ 4,363 145,888
Jostens Inc. ....................... 1,176 28,592
Knight-Ridder Inc. ................. 4,600 273,700
Leggett & Platt Inc. ............... 9,700 207,944
Liz Claiborne Inc. ................. 3,065 115,321
Marriott International Inc. (Class A) 13,222 417,319
Mattel Inc. ........................ 21,751 285,482
Maytag Corp. ....................... 4,695 225,360
McDonald's Corp. ................... 69,934 2,819,214
McGraw Hill Cos. Inc. .............. 9,970 614,401
MediaOne Group Inc. ................ 31,726 2,436,953(a)
Meredith Corp. ..................... 2,998 124,979
Mirage Resorts Inc. ................ 9,600 147,000(a)
New York Times Co. (Class A) ....... 9,188 451,360
Newell Rubbermaid Inc. ............. 14,256 413,424
Nike Inc. (Class B) ................ 14,704 728,767
Omnicom Group Inc. ................. 9,200 920,000
Polaroid Corp. ..................... 2,478 46,617
Reebok International Ltd. .......... 1,930 15,802(a)
Russell Corp. ...................... 1,270 21,273
Seagram Ltd. ....................... 22,835 1,026,148
Service Corp. International ........ 12,618 87,537
Snap-On Inc. ....................... 2,909 77,270
Springs Industries Inc. ............ 700 27,956
The Stanley Works .................. 4,326 130,321
Time Warner Inc. ................... 66,976 4,851,574
Times Mirror Co. ................... 3,295 220,765
Tribune Co. ........................ 12,376 681,453
Tricon Global Restaurants Inc. ..... 8,011 309,425(a)
TRW Inc. ........................... 6,495 337,334
Tupperware Corp. ................... 3,128 52,981
VF Corp. ........................... 5,602 168,060
Viacom Inc. (Class B) .............. 36,464 2,203,793(a)
Walt Disney Co. .................... 106,537 3,116,208
Wendy's International Inc. ......... 6,031 124,389
Whirlpool Corp. .................... 3,609 234,811
Xerox Corp. ........................ 33,890 768,879
46,341,457
CONSUMER - STABLE -- 6.3%
Adolph Coors Co. ................... 1,865 97,913
Alberto-Culver Co. (Class B) ....... 3,133 80,871
Anheuser Busch Cos. Inc. ........... 23,954 1,697,740(h)
Archer-Daniels Midland Co. ......... 31,917 388,988
Avon Products Inc. ................. 12,464 411,312
Ball Corp. ......................... 1,154 45,439
Bemis Inc. ......................... 2,481 86,525
Bestfoods .......................... 14,690 772,143
Brown-Forman Corp. (Class B) ....... 3,329 190,585
Campbell Soup Co. .................. 22,676 877,278
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Clorox Co. ......................... 12,384 $ 623,844
Coca Cola Co. ...................... 128,051 7,458,971(h)
Coca Cola Enterprises Inc. ......... 21,700 436,712
Colgate-Palmolive Co. .............. 29,972 1,948,180
Conagra Inc. ....................... 26,168 590,415
Crown Cork & Seal Inc. ............. 5,614 125,613
General Mills Inc. ................. 16,122 576,361
Gillette Co. ....................... 55,566 2,288,625
Heinz (H.J.) Co. ................... 18,897 752,337
Hershey Foods Corp. ................ 7,392 351,120
International Flavours ............. 5,547 209,399
Kellogg Co. ........................ 21,190 652,917
Kimberly Clark Corp. ............... 28,236 1,842,399
Nabisco Group Holdings Corp. ....... 17,500 185,937
Owens-Illinois Inc. ................ 7,500 187,969(a)
Pactiv Corp. ....................... 7,548 80,198(a)
Pepsico Inc. ....................... 75,710 2,668,777
Philip Morris Cos. Inc. ............ 123,179 2,856,213
Procter & Gamble Co. ............... 68,188 7,470,848
Quaker Oats Co. .................... 6,828 448,087
Ralston Purina Co. ................. 16,558 461,554
Sara Lee Corp. ..................... 46,762 1,031,687
Supervalu Inc. ..................... 6,900 138,000
Sysco Corp. ........................ 16,972 671,455
Temple Inland Inc. ................. 2,726 179,746
Unilever N.V. ...................... 29,834 1,624,104
UST Inc. ........................... 8,579 216,084
Wrigley (W.M.) Junior Co. .......... 5,834 483,857
41,210,203
ENERGY -- 5.4%
Amerada Hess Corp. ................. 4,390 249,132(h)
Anadarko Petroleum Corp. ........... 6,300 214,988
Apache Corp. ....................... 5,700 210,544
Ashland Oil Inc. ................... 3,707 122,099
Atlantic Richfield Co. ............. 16,909 1,462,628(h)
Baker Hughes Inc. .................. 17,050 359,116
Burlington Resources Inc. .......... 10,941 361,737
Chevron Corp. ...................... 33,841 2,931,477
Conoco Inc. (Class B) .............. 32,505 808,562
Exxon Mobil Corp. .................. 179,312 14,445,823
Halliburton Co. .................... 22,860 920,115
Kerr-McGee Corp. ................... 4,201 260,462
Occidental Petroleum Corp. ......... 18,610 402,441
Phillips Petroleum Co. ............. 13,229 621,763
Rowan Cos. Inc. .................... 4,177 90,589(a)
Royal Dutch Petroleum Co. ADR ...... 111,216 6,721,617
Schlumberger Ltd. .................. 28,754 1,617,412
Sunoco Inc. ........................ 4,988 117,218
Texaco Inc. ........................ 28,396 1,542,258
Tosco Corp. ........................ 8,300 225,656
Transocean Sedco Forex Inc. ........ 10,767 362,706
Union Pacific Resources Group Inc. . 14,129 180,145
Unocal Corp. ....................... 12,438 417,450
USX-Marathon Group ................. 16,692 412,084
35,058,022
FINANCIAL -- 10.3%
American Express Co. ............... 23,274 3,869,302(h)
American General Corp. ............. 12,603 956,253(h)
AmSouth Bancorp. ................... 19,650 379,491
Associates First Capital Corp.
(Class A) ........................ 37,752 1,035,821
Bank of America Corp. .............. 88,340 4,433,564
- ------------------
See Notes to Schedule of Investments and Notes to Financial Statements.
10
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Bank of New York Inc. ............... 37,810 $ 1,512,400(h)
Bank One Corp. ...................... 60,027 1,924,616(h)
BB&T Corp. .......................... 17,600 481,800
Bear Stearns Cos. Inc. .............. 6,069 259,450
Capital One Financial Corp. ......... 10,100 486,694
Charles Schwab Corp. ................ 42,974 1,649,127
Chase Manhattan Corp. ............... 42,754 3,321,451
Citigroup Inc. ......................175,152 9,731,883
Comerica Inc. ....................... 7,856 366,777
Countrywide Credit Industries Inc. .. 5,300 133,825
Federal Home Loan Mortgage Corp. .... 36,365 1,711,428
Federal National Mortgage Assoc. .... 53,376 3,332,664
Fifth Third Bancorp ................. 16,156 1,185,446
First Union Corp. ................... 51,348 1,684,856
Firstar Corp. ....................... 50,746 1,072,009
FleetBoston Financial Corp. ......... 47,318 1,647,258
Franklin Resources Inc. ............. 13,600 436,050
Golden West Financial Corp. ......... 8,265 276,878
Household International Inc. ........ 24,311 905,585
Huntington Bancshares Inc. .......... 11,622 277,475
KeyCorp ............................. 22,728 502,857
Lehman Brothers Holdings Inc. ....... 6,300 533,531
MBIA Inc. ........................... 5,290 279,378
MBNA Corp. .......................... 41,974 1,143,792
Mellon Financial Corp. .............. 26,028 886,579
Merrill Lynch & Co. Inc. ............ 22,517 1,880,169
MGIC Investment Corp. ............... 5,859 352,639
Morgan (J.P.) & Co. Inc. ............ 9,064 1,147,729
Morgan Stanley Dean Witter & Co. .... 28,898 4,125,189
National City Corp. ................. 32,364 766,622
Northern Trust Corp. ................ 11,400 604,200
Old Kent Financial Corp. ............ 6,100 215,788
Paychex Inc. ........................ 13,150 526,000
PNC Bank Corp. ...................... 15,308 681,206
Providian Financial Corp. ........... 7,447 678,142
Regions Financial Corp. ............. 11,900 298,988
Republic of New York Corp. .......... 5,246 377,712
SLM Holding Corp. ................... 8,100 342,225
SouthTrust Corp. .................... 8,700 328,969
State Street Corp. .................. 8,500 621,031(i)
Summit Bancorp. ..................... 9,100 278,688
Suntrust Banks Inc. ................. 16,629 1,144,283
Synovus Financial Corp. ............. 14,050 279,244
T. Rowe Price Associates Inc. ....... 5,900 217,931
Union Planters Corp. ................ 7,500 295,781
United States Bancorp. .............. 37,027 881,705
Wachovia Corp. ...................... 10,566 718,488
Washington Mutual Inc. .............. 29,418 764,868
Wells Fargo & Co. ................... 85,118 3,441,959
67,387,796
HEALTHCARE -- 9.3%
Abbott Laboratories ................. 79,596 2,890,330
Aetna Inc. .......................... 7,952 443,821
Allergan Inc. ....................... 6,552 325,962
Alza Corp. .......................... 4,861 168,312(a,h)
American Home Products Corp. ........ 67,454 2,660,217(h)
Amgen Inc. .......................... 52,892 3,176,826(a)
Bard (C.R.) Inc. .................... 2,551 135,203
Bausch & Lomb Inc. .................. 3,128 214,073
Baxter International Inc. ........... 15,374 965,679
Becton Dickinson & Co. .............. 12,470 333,572
Biomet Inc. ......................... 6,207 248,280
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Boston Scientific Corp. ............. 21,288 $ 465,675(a)
Bristol-Myers Squibb Co. ............103,108 6,618,245(h)
Cardinal Health Inc. ................ 14,801 708,598
CIGNA Corp. ......................... 9,863 794,588
Columbia/HCA Healthcare Corp. ....... 29,223 856,599
Eli Lilly & Co. ..................... 56,816 3,778,264
Guidant Corp. ....................... 16,224 762,528
Healthsouth Corp. ................... 18,936 101,781(a)
Humana Inc. ......................... 6,827 55,896(a)
IMS Health Inc. ..................... 16,284 442,721
Johnson & Johnson ................... 72,283 6,731,354
Mallinckrodt Inc. ................... 3,404 108,290
Manor Care Inc. ..................... 6,037 96,592(a)
McKesson HBOC Inc. .................. 14,161 319,508
Medtronic Inc. ...................... 62,032 2,260,291
Merck & Co. Inc. ....................121,150 8,124,622
PE Corp. - PE Biosystems Group ...... 5,300 637,656
Pfizer Inc. .........................201,244 6,527,852
Pharmacia & Upjohn Inc. ............. 26,985 1,214,325
Quintiles Transnational Corp. ....... 5,700 106,519(a)
Schering Plough Corp. ............... 76,558 3,229,791(h)
St. Jude Medical Inc. ............... 4,123 126,525(a)
Tenet Healthcare Corp. .............. 16,497 387,679(a)
United Healthcare Corp. ............. 8,747 464,684
Warner-Lambert Co. .................. 44,447 3,641,876
Watson Pharmaceuticals Inc. ......... 4,600 164,738(a)
Wellpoint Health Networks
Inc. (Class A) ................... 3,500 230,781(a)
60,520,253
INSURANCE -- 2.5%
AFLAC Inc. .......................... 14,000 660,625
Allstate Corp. ...................... 42,076 1,009,824(h)
American International Group Inc. ... 80,226 8,674,463(h)
Aon Corp. ........................... 13,636 545,440
Chubb Corp. ......................... 9,297 523,537
Cincinnati Financial Corp. .......... 8,700 271,331
Conseco Inc. ........................ 17,384 310,739
Hartford Financial Services
Group Inc. ....................... 11,304 535,527
Jefferson-Pilot Corp. ............... 5,582 380,972
Lincoln National Corp. .............. 10,012 400,480
Loews Corp. ......................... 5,716 346,890
Marsh & McLennan Cos. Inc. .......... 13,654 1,306,517
Progressive Corp. ................... 3,700 270,563
Safeco Corp. ........................ 7,381 183,602
St. Paul Cos. Inc. .................. 11,780 396,839
Torchmark Corp. ..................... 7,300 212,156
UnumProvident Corp. ................. 12,289 394,016
16,423,521
RETAIL TRADE -- 6.5%
Albertsons Inc. ..................... 21,861 705,017(h)
Autozone Inc. ....................... 7,544 243,765(a)
Best Buy Co. Inc. ................... 10,500 526,969(a)
Circuit City Stores Inc. ............ 10,826 487,847
Consolidated Stores Corp. ........... 5,900 95,875(a)
Costco Wholesale Corp. .............. 11,533 1,052,386(a)
CVS Corp. ........................... 20,256 808,974
Dayton Hudson Corp. ................. 22,876 1,679,956
Dillards Inc. (Class A) ............. 6,095 123,043
Dollar General Corp. ................ 13,593 309,241
Federated Department Stores Inc. .... 10,604 536,165(a)
- -------------
See Notes to Schedule of Investments and Notes to Financial Statements.
11
<PAGE>
S&P 500 INDEX FUND
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Gap Inc. ........................... 44,718 $ 2,057,028
Great Atlantic & Pacific Tea Co. Inc. 1,470 40,976
Home Depot Inc. .................... 119,418 8,187,597
J.C. Penney Co. Inc. ............... 13,287 264,910
K Mart Corp. ....................... 24,831 249,862(a)
Kohl's Corp. ....................... 8,300 599,156(a)
Kroger Co. ......................... 43,830 827,291(a)
Limited Inc. ....................... 11,068 479,378
Longs Drug Stores Corp. ............ 1,582 40,835
Lowes Cos. Inc. .................... 19,864 1,186,874
May Department Stores Co. .......... 17,184 554,184
Nordstrom Inc. ..................... 7,692 201,434
Office Depot Inc. .................. 19,000 207,813(a)
Pep Boys Manny Moe & Jack .......... 1,608 14,673
Rite Aid Corp. ..................... 12,358 138,255
Safeway Inc. ....................... 26,400 938,850(a)
Sears Roebuck & Co. ................ 19,845 604,032
Staples Inc. ....................... 23,700 491,775(a)
Tandy Corp. ........................ 9,756 479,873
TJX Cos. Inc. ...................... 16,740 342,124
Toys 'R Us Inc. .................... 12,735 182,270(a)
Wal-Mart Stores Inc. ............... 231,024 15,969,534
Walgreen Co. ....................... 51,600 1,509,300
Winn Dixie Stores Inc. ............. 7,040 168,520
42,305,782
TECHNOLOGY - ELECTRONICS & EQUIPMENT-- 18.6%
3Com Corp. ......................... 17,654 829,738(a)
Adaptec Inc. ....................... 5,500 274,313(a)
ADC Telecommunications Inc. ........ 7,600 551,475(a)
Advanced Micro Devices Inc. ........ 7,337 212,314(a,h)
Analog Devices Inc. ................ 8,900 827,700(a)
Andrew Corp. ....................... 5,156 97,642(a)
Apple Computer ..................... 8,260 849,231(a)
Applied Materials Inc. ............. 19,600 2,483,075(a)
Cabletron Systems Inc. ............. 9,926 258,076(a)
Cisco Systems Inc. ................. 169,802 18,190,039(a)
Compaq Computer Corp. .............. 88,205 2,387,048
Comverse Technology Inc. ........... 3,700 535,575(a)
Dell Computer Corp. ................ 132,148 6,739,548(a,h)
EMC Corp. .......................... 52,657 5,752,777(a)
Gateway 2000 Inc. .................. 16,300 1,174,619(a)
General Instrument Corp. ........... 9,043 768,655(a)
Hewlett Packard Co. ................ 53,041 6,043,359
Ikon Office Solutions Inc. ......... 7,410 50,481
Intel Corp. ........................ 173,104 14,248,623
International Business Machines Corp. 93,430 10,090,440
KLA-Tencor Corp. ................... 4,800 534,600(a)
Lexmark International Group Inc.
(Class A) ....................... 6,600 597,300(a)
LSI Logic Corp. .................... 7,596 512,730(a)
Lucent Technologies Inc. ........... 162,318 12,143,415(h)
Micron Technology Inc. ............. 13,827 1,075,049(a)
Motorola Inc. ...................... 31,551 4,645,885
National Semiconductor Corp. ....... 9,183 393,147(a)
Network Appliance Inc. ............. 7,600 631,275(a)
Nortel Networks Corp. .............. 69,462 7,015,662
PerkinElmer, Inc. .................. 2,305 96,090
Pitney Bowes Inc. .................. 13,632 658,596
QUALCOMM Inc. ...................... 34,400 6,058,700
Scientific-Atlanta Inc. ............ 4,053 225,448
Seagate Technology ................. 10,790 502,409(a)
Silicon Graphics Inc. .............. 9,833 96,486(a)
Solectron Corp. .................... 15,100 1,436,388(a)
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Sun Microsystems Inc. .............. 81,280 $ 6,294,120(a)
Tektronix Inc. ..................... 2,838 110,327
Tellabs Inc. ....................... 20,952 1,344,857(a)
Teradyne Inc. ...................... 8,600 567,600(a)
Texas Instruments Inc. ............. 41,468 4,017,212
121,322,024
TECHNOLOGY - SOFTWARE & SERVICES -- 10.3%
Adobe Systems Inc. ................. 6,196 416,681(h)
America Online Inc. ................ 115,900 8,743,206(a)
Autodesk Inc. ...................... 3,512 118,530
Automatic Data Processing Inc. ..... 32,518 1,751,907
BMC Software Inc. .................. 12,700 1,015,206(a)
Ceridian Corp. ..................... 8,108 174,829(a)
Citrix Systems Inc. ................ 4,800 590,400(a)
Computer Associates
International Inc. .............. 28,081 1,963,915
Computer Sciences Corp. ............ 8,482 802,609(a)
Compuware Corp. .................... 18,300 681,675(a)
Electronic Data Systems Corp. ...... 24,700 1,653,356
Equifax Inc. ....................... 7,700 181,431
First Data Corp. ................... 21,481 1,059,282
Microsoft Corp. .................... 267,756 31,260,513(a,h)
Novell Inc. ........................ 17,666 705,536(a)
Oracle Systems Corp. ............... 73,858 8,276,712(a)
Parametric Technology Corp. ........ 13,806 373,625(a)
PeopleSoft Inc. .................... 12,400 264,275(a)
Shared Medical System Corp. ........ 1,053 53,637
Unisys Corp. ....................... 15,909 508,094(a)
Xilinx Inc. ........................ 16,800 763,875(a)
Yahoo! Inc. ........................ 13,700 5,927,819(a)
67,287,113
TRANSPORTATION -- 0.7%
AMR Corp. .......................... 7,714 516,838(a,h)
Burlington Northern Santa Fe Corp. . 24,149 585,613
CSX Corp. .......................... 11,538 362,005
Delta Air Lines Inc. ............... 6,782 337,828
FDX Corp. .......................... 15,560 636,987(a)
Kansas City Southern Industries Inc. 5,900 440,288
Norfolk Southern Corp. ............. 19,001 389,521
Ryder System Inc. .................. 2,831 69,183
Southwest Airlines Co. ............. 27,066 438,131
U.S. Airways Group Inc. ............ 3,807 122,062(a)
Union Pacific Corp. N.V. ........... 12,954 565,118
4,463,574
UTILITIES -- 10.0%
AES Corp. .......................... 10,800 807,300(a)
Alltel Corp. ....................... 16,394 1,355,579
Ameren Corp. ....................... 7,042 230,626
American Electric Power Inc. ....... 9,897 317,941(h)
AT&T Corp. ......................... 165,674 8,407,955
Bell Atlantic Corp. ................ 80,368 4,947,655
Bellsouth Corp. .................... 97,798 4,578,169(h)
Carolina Power & Light Co. ......... 8,760 266,633
Central & South West Corp. ......... 10,448 208,960
CenturyTel Inc. .................... 7,450 352,944
CINergy Corp. ...................... 7,953 191,866
CMS Energy Corp. ................... 6,000 187,125
Coastal Corp. ...................... 10,942 387,757
- ------------------
See Notes to Schedule of Investments and Notes to Financial Statements.
12
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Columbia Gas Systems Inc. .......... 3,984 $ 251,988
Consolidated Edison Inc. ........... 11,907 410,791
Consolidated Natural Gas Co. ....... 4,815 312,674
Constellation Energy Group ......... 7,503 217,587
Dominion Resources Inc. ............ 9,789 384,218
DTE Energy Co. ..................... 7,866 246,796
Duke Energy Corp. .................. 18,866 945,658
Eastern Enterprises ................ 1,502 86,271
Edison International ............... 17,842 467,237
El Paso Energy Corp. ............... 11,687 453,602
Enron Corp. ........................ 37,500 1,664,062
Entergy Corp. ...................... 13,147 338,535
FirstEnergy Corp. .................. 11,677 264,922
Florida Progress Corp. ............. 5,200 220,025
FPL Group Inc. ..................... 9,131 390,921
Global Crossing Ltd. ............... 39,413 1,970,650(a)
GPU Inc. ........................... 6,100 182,619
GTE Corp. .......................... 50,361 3,553,598
MCI WorldCom Inc. .................. 147,233 7,812,525(a)
New Century Energies Inc. .......... 6,400 194,400
Nextel Communications Inc. (Class A) 19,000 1,959,375(a)
Niagara Mohawk Holdings Inc. ....... 10,554 147,096(a)
Nicor Inc. ......................... 2,743 89,148
Northern States Power Co. .......... 7,960 155,220
ONEOK Inc. ......................... 1,307 32,838
Peco Energy Co. .................... 9,222 320,465
Peoples Energy Corp. ............... 1,721 57,654
PG&E Corp. ......................... 19,454 398,807
Pinnacle West Capital Corp. ........ 4,000 122,250
PP&L Resources Inc. ................ 8,422 192,653
Public Service Enterprise Group .... 11,359 395,435
Reliant Energy Inc. ................ 14,818 338,962
SBC Communications Inc. ............ 176,870 8,622,393
Southern Co. ....................... 34,858 819,163
Sprint Corp. ....................... 45,152 3,039,294
Sprint Corp. (PCS Group) ........... 22,463 2,302,457(a)
Texas Utilities Co. ................ 13,886 493,821
U.S. WEST Inc. ..................... 26,388 1,899,936
Unicom Corp. ....................... 11,619 389,236
Williams Cos. Inc. ................. 22,986 702,510
65,088,302
TOTAL INVESTMENTS IN SECURITIES
(COST $483,855,094) ............. 638,893,032
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 2.1%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund ..... 684,095 $ 684,095
Money Market Obligations Trust ....4,081,281 4,081,281
Short Term Investment Co. .........8,448,330 8,448,330
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
U.S. Government
United States Treasury Bill
5.265% 3/16/00 ..............$ 905,000 895,272(h)
TOTAL SHORT-TERM INVESTMENTS
(COST $14,108,978) ............ 14,108,978
OTHER ASSETS AND LIABILITIES,
NET (0.1)% .................... (857,601)
------------
NET ASSETS-- 100% ................ $652,144,409
============
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
The S&P 500 Index Fund had the following long Futures Contracts open at December
31, 1999:
NUMBER
EXPIRATION OF UNDERLYING UNREALIZED
DESCRIPTION DATE CONTRACTS FACE VALUE GAIN
- --------------------------------------------------------------------------------
S&P 500 March 2000 37 $ 13,728,850 $309,788
- -----------
See Notes to Schedule of Investments and Notes to Financial Statements.
13
<PAGE>
PREMIER GROWTH EQUITY FUND
- --------------------------------------------------------------------------------
Q&A
DAVID CARLSON MANAGES INDIVIDUAL, INSTITUTIONAL AND MUTUAL FUND PORTFOLIOS WITH
TOTAL ASSETS OF OVER $6 BILLION. DAVE JOINED GE IN 1980 ON THE GE FINANCIAL
MANAGEMENT PROGRAM. IN 1982, HE JOINED GE ASSET MANAGEMENT AS A SECURITY ANALYST
RESPONSIBLE FOR SEVERAL CONSUMER INDUSTRIES. IN 1988, DAVE ASSUMED
RESPONSIBILITY FOR MANAGING ELFUN TRUSTS AND HAS MANAGED THE PREMIER GROWTH
EQUITY FUND SINCE IT'S INCEPTION. HE IS A TRUSTEE FOR THE GE CANADA PENSION
TRUST, A CHARTERED FINANCIAL ANALYST (CFA) AND A MEMBER OF THE NEW YORK SOCIETY
OF SECURITY ANALYSTS. DAVE IS A GRADUATE OF INDIANA UNIVERSITY WITH A B.S. IN
BUSINESS.
Q. HOW DID THE PREMIER GROWTH EQUITY FUND PERFORM COMPARED TO ITS BENCHMARK AND
LIPPER PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The Premier Growth Equity Fund returned 36.26% for the one-year period ended
December 31, 1999. This compares with a return of 21.07% for the S&P 500
Index, and an average return of 31.48% for our Lipper peer group of 179
Growth annuity funds for the same period.
Q. WHAT FACTORS CONTRIBUTED TO THE FUND'S STRONG PERFORMANCE?
A. The Technology sector was the best performing sector last year, and the
portfolio was modestly overweighted in tech stocks. We had several strong
performers in the technology sector, specifically, Applied Materials, a
manufacturer of semiconductor equipment, which gained 197%; EMC, a storage
equipment manufacturer, returned 157%; and Cisco Systems, a manufacturer of
networking equipment, which was up 131%.
Several media related stocks also had strong performance. These include cable
television/ programmer holdings such as NTL, Comcast, and AT&T Corp.-Liberty
Media, which gained 197%, 70% and 147%, respectively. Interpublic Group, a
leading advertising agency, returned 46%.
On the downside, healthcare stocks were weak performers with many declining
in price during the year. Even companies that met or exceeded expectations
for strong earnings growth, such as Merck, Cardinal Health, and Lincare had
negative returns for the year.
Q. HAVE YOU MADE ANY CHANGES IN THE FUND?
A. In maintaining our focus on high-quality growth companies trading at
reasonable valuations, we have recently added CVS, a national drug-store
retailer; Gillette, a global personal products manufacturer; and Dell
Computer to the portfolio. We have trimmed some of the technology holdings
for valuation reasons.
Q. WHAT IS YOUR OUTLOOK FOR THE FUND?
A. The fund continues to be concentrated -- currently with 34 names. We continue
to be overweighted in Technology, Consumer Cyclical and Healthcare. Cash is
approximately 3% of the fund. The strategy remains the same: Focus on high
quality industry leaders that can grow at a rate in the mid-teens or better.
If we can successfully identify and own premier companies, their
above-average growth potential will drive above-average stock performance
over the long term.
14
<PAGE>
PREMIER GROWTH EQUITY FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
PREMIER GROWTH EQUITY FUND S&P 500 INDEX
12/12/97 $10000 $10000
12/97 10346 10182
3/98 11712 11604
6/98 12193 11988
9/98 11395 10788
12/98 14125 13087
3/99 15399 13735
6/99 16968 14691
9/99 15924 13787
12/99 19247 15842
Premier Growth Equity Fund (ending value $19,247)
S&P 500 Index (ending value $15,842)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE SINCE
YEAR COMMENCEMENT
- --------------------------------------------------------------------------------
Premier Growth Equity Fund 36.26% 37.53%
- --------------------------------------------------------------------------------
S&P 500 Index 21.07% 24.73%
- --------------------------------------------------------------------------------
Lipper peer group average* 31.48% N/A
- --------------------------------------------------------------------------------
Commencement date 12/12/97
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek long-term growth of capital and
future income by investing primarily in a more concentrated portfolio of
equity securities of large- and medium-sized companies with average growth
histories and/or growth potential.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS
AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
AT&T Corp. - Liberty Media Group (Class A) ........ 4.69%
- --------------------------------------------------------------------------------
EMC Corp. ......................................... 4.40%
- --------------------------------------------------------------------------------
Home Depot Inc. ................................... 4.15%
- --------------------------------------------------------------------------------
Cisco Systems Inc. ................................ 4.10%
- --------------------------------------------------------------------------------
Applied Materials Inc. ............................ 4.09%
- --------------------------------------------------------------------------------
NTL Inc. .......................................... 4.02%
- --------------------------------------------------------------------------------
Microsoft Corp. ................................... 4.00%
- --------------------------------------------------------------------------------
Interpublic Group Cos. Inc. ....................... 3.95%
- --------------------------------------------------------------------------------
Molex Inc. (Class A) .............................. 3.92%
- --------------------------------------------------------------------------------
Catalina Marketing Corp. .......................... 3.85%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NET ASSETS OF $53,720 (IN THOUSANDS)
[PIE CHART OMITTED]
TECHNOLOGY 29.2%
CONSUMER 23.0%
HEALTHCARE 16.1%
CAPITAL GOODS 7.7%
CASH & OTHER 6.1%*
RETAIL TRADE 5.8%
UTILITIES 5.3%
ENERGY 3.5%
FINANCIAL SERVICES 3.3%
+INCLUDES CASH EQUALIZED BY FUTURES OF 2.8%
* LIPPER PERFORMANCE COMPARISON ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIOD INDICATED IN THE GROWTH PEER GROUP CONSISTING OF 179 UNDERLYING
ANNUITY FUNDS.
See Notes to Performance.
Past performance is no guarantee of future results.
15
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
PREMIER GROWTH EQUITY FUND
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCK -- 93.9%
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 7.7%
Dover Corp. ........................ 33,561 $ 1,522,831
Molex Inc. (Class A) ............... 46,553 2,106,523
Waste Management Inc. .............. 29,231 502,408
4,131,762
CONSUMER - CYCLICAL -- 22.4%
AT&T Corp. - Liberty Media
Group (Class A) ................ 44,387 2,518,962(a)
Carnival Corp. ..................... 28,148 1,345,826
Catalina Marketing Corp. ........... 17,863 2,067,642(a)
Comcast Corp. (Class A) ............ 35,726 1,806,396
Interpublic Group Cos. Inc. ........ 36,809 2,123,419
NTL Inc. ........................... 17,322 2,160,920(a)
12,023,165
CONSUMER - STABLE -- 0.6%
Gillette Co. ....................... 7,578 312,119
ENERGY-- 3.5%
Baker Hughes Inc. .................. 44,387 934,901
Schlumberger Ltd. .................. 15,157 852,581
Transocean Sedco Forex Inc. ........ 2,934 98,853
1,886,335
FINANCIAL -- 3.3%
Citigroup Inc. ..................... 32,479 1,804,614
Healthcare-- 16.1%
Cardinal Health Inc. ............... 35,726 1,710,382
Dentsply International Inc. ........ 23,818 562,700
Henry Schein Inc. .................. 43,305 576,498(a)
Johnson & Johnson .................. 13,533 1,260,261
Lincare Holdings Inc. .............. 46,553 1,614,807(a)
Merck & Co. Inc. ................... 20,570 1,379,476
Sybron International Corp. ......... 62,792 1,550,177(a)
8,654,301
RETAIL TRADE -- 5.8%
CVS Corp. .......................... 22,735 907,979
Home Depot Inc. .................... 32,478 2,226,773
3,134,752
TECHNOLOGY - ELECTRONICS & EQUIPMENT -- 12.4%
Applied Materials Inc. ............. 17,322 2,194,481(a)
Cisco Systems Inc. ................. 20,570 2,203,561(a,h)
Dell Computer Corp. ................ 10,826 552,126(a)
Intel Corp. ........................ 20,570 1,693,168
6,643,336
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - SOFTWARE & SERVICES-- 16.8%
Automatic Data Processing Inc. ..... 29,231 $ 1,574,820
EMC Corp. .......................... 21,652 2,365,481(a)
Equifax Inc. ....................... 42,222 994,856
First Data Corp. ................... 38,974 1,921,905
Microsoft Corp. .................... 18,405 2,148,784(a)
9,005,846
UTILITIES -- 5.3%
MCI WorldCom Inc. .................. 27,608 1,464,923(a)
Vodafone AirTouch PLC ADR .......... 28,419 1,406,741(h)
2,871,664
TOTAL INVESTMENTS IN SECURITIES
(COST $37,023,821) ............ 50,467,894
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 5.7%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund
(COST $3,048,801) .............3,048,801 3,048,801
OTHER ASSETS AND LIABILITIES,
NET 0.4% ...................... 203,026
-----------
NET ASSETS-- 100% ................. $53,719,721
===========
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
The Premier Growth Equity Fund had the following long Futures Contracts open at
December 31, 1999:
NUMBER
EXPIRATION OF UNDERLYING UNREALIZED
DESCRIPTION DATE CONTRACTS FACE VALUE GAIN
- --------------------------------------------------------------------------------
S&P 500 March 2000 4 $ 1,484,200 $6,738
- ------------
See Notes to Schedule of Investments and Notes to Financial Statements.
16
<PAGE>
VALUE EQUITY FUND
- --------------------------------------------------------------------------------
Q&A
JON D. BOSSE OF NWQ INVESTMENT MANAGEMENT COMPANY (NWQ), THE FUND'S SUB-ADVISER,
WHICH HAS TOTAL ASSETS UNDER MANAGEMENT EXCEEDING $6 BILLION, IS THE PORTFOLIO
MANAGER OF THE VALUE EQUITY FUND. PRIOR TO JOINING NWQ IN 1996, HE SPENT TEN
YEARS WITH ARCO INVESTMENT MANAGEMENT COMPANY WHERE HE WAS DIRECTOR OF EQUITY
RESEARCH AND MANAGED A VALUE-ORIENTED FUND. PREVIOUS TO THIS, HE SPENT FOUR
YEARS IN THE CORPORATE FINANCE DEPARTMENT OF ARCO. JON RECEIVED HIS B.A. (SUMMA
CUM LAUDE) IN ECONOMICS FROM WASHINGTON UNIVERSITY IN ST. LOUIS WHERE HE
RECEIVED THE JOHN M. OLIN AWARD FOR EXCELLENCE IN ECONOMICS AND HIS M.B.A. FROM
WHARTON BUSINESS SCHOOL, UNIVERSITY OF PENNSYLVANIA. JON IS ALSO A CHARTERED
FINANCIAL ANALYST (CFA) AND A MEMBER OF THE ASSOCIATION FOR INVESTMENT
MANAGEMENT AND RESEARCH AND THE LOS ANGELES SOCIETY OF FINANCIAL ANALYSTS.
Q. HOW DID THE VALUE EQUITY FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER
PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The Value Equity Fund posted a return of 17.26% for the one-year period
ending December 31, 1999. This compares with a 21.07% return for the S&P 500
Index. Our Lipper peer group of 174 Growth and Income annuity funds had an
average return of 14.51% for the same period.
Q. WHY DID THE FUND UNDERPERFORM ITS BENCHMARK?
A. The portfolio's underperformance relative to its benchmark can be attributed
to the fund's limited number of technology stocks - a sector to which we had
limited exposure due to valuation concerns. Excluding the Technology sector,
the index would have only appreciated 7.5% for the year. The Value Equity
Fund's performance can be attributed to several takeovers, favorable sector
concentration, and strong individual stock selection. Portfolio holdings
receiving takeover proposals include @Entertainment, Case, Cellular
Communications International, Cellular Communications Puerto Rico, First
Security, and MediaOne Group. Our best performing sectors for the year were
the cable television, media, and telecommunications industries which advanced
due to increasing growth rates, consolidation, and technological advances
(broadband, Internet). Factors limiting performance this year include rising
interest rates which had a negative impact on most of our financial stocks as
well as the underperformance of our tobacco holdings Philip Morris and Loews.
Performance was also negatively affected by the underperformance of several
core portfolio holdings including Waste Management, Aetna, Bank One, and
Hasbro.
Q. WHICH INVESTMENTS STAND OUT?
A. In addition to our takeover names listed, portfolio holdings that contributed
to performance this year include Alltel, AT&T Corp.-Liberty Media, Cox
Communications, NTL, and Telephone & Data Systems. Our best performing stock
this year was CoreComm, an alternative telephone company providing telephone
and Internet services in the U.S. Other successful investments include BJ
Services, MGIC Investment, Praxair, and UnionBanCal.
Q. HOW DO YOU PICK STOCKS?
A. Our investment philosophy is to identify undervalued companies with catalysts
present to improve profitability and unlock value. Catalysts may include new
management, industry consolidation, restructuring, and a positive turn in the
fundamentals. We are value-oriented and invest in attractive risk/reward
opportunities. We do not chase the market mania for Internet, technology, and
other growth stocks where we find risk/reward and valuation parameters
extremely unattractive.
Q. WHAT IS YOUR OUTLOOK FOR THE FUND AND HOW HAVE YOU POSITIONED THE FUND GOING
FORWARD?
A. For the last six months, the leadership of the stock market has been focused
almost exclusively on very high price to earnings stocks, primarily in the
Technology sector. We cannot say how long the current environment will
persist as some have called the Internet investment mania one of the greatest
"bubbles" of all time. We do know, however, that the disparity between growth
and value investment styles has reached unprecedented levels as investors'
attitudes towards a company's future potential has taken precedent over its
current profitability and valuation. Many non-technology sectors of the
market offer extremely attractive opportunities where expectations and
valuations are relatively low. We continue to find a number of attractive
investment opportunities without chasing the market. We are pleased that a
number of our recent purchases including Applied Power, Bowater, Delta
Airlines, Ingersoll Rand, and Smurfit-Stone Container have already
contributed to performance. At this time we are maintaining our positions in
the financial sector of the market, which we feel continues to offer
reasonable earnings growth opportunities, increasing industry-wide
consolidation, and attractive valuations.
17
<PAGE>
VALUE EQUITY FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
Value Equity Fund S&P 500 Index
5/1/97 $10000 $10000
6/97 11450 11086
9/97 13320 11920
12/97 13256 12259
3/98 15055 13971
6/98 14975 14434
9/98 12406 13006
12/98 14142 15777
3/99 15007 16559
6/99 17393 17711
9/99 15163 16621
12/99 16583 19099
Value Equity Fund (ending value $16,583)
S&P 500 Index (ending value $19,099)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE SINCE
YEAR COMMENCEMENT
- --------------------------------------------------------------------------------
Value Equity Fund 17.26% 20.85%
- --------------------------------------------------------------------------------
S&P 500 Index 21.07% 27.44%
- --------------------------------------------------------------------------------
Lipper peer group average* 14.51% N/A
- --------------------------------------------------------------------------------
Commencement date 5/1/97
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek long-term growth of capital and future
income by investing primarily in equity securities of mid-cap U.S. companies
that the portfolio manager believes are undervalued by the market and have
above-average growth potential.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS
AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
CoreComm Ltd. ...................................... 6.39%
- --------------------------------------------------------------------------------
AT&T Corp. - Liberty Media Group (Class A) ........ 5.60%
- --------------------------------------------------------------------------------
NTL Inc. ........................................... 5.34%
- --------------------------------------------------------------------------------
Telephone & Data Systems Inc. ...................... 3.90%
- --------------------------------------------------------------------------------
MediaOne Group Inc. ................................ 2.80%
- --------------------------------------------------------------------------------
Hartford Financial Services Group Inc. ............. 2.56%
- --------------------------------------------------------------------------------
Cox Communications Inc. ............................ 2.56%
- --------------------------------------------------------------------------------
Alltel Corp. ....................................... 2.50%
- --------------------------------------------------------------------------------
Ford Motor Co. ..................................... 2.32%
- --------------------------------------------------------------------------------
Heller Financial Inc. .............................. 2.24%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NET ASSETS OF $90,561 (IN THOUSANDS)
[PIE CHART OMITTED]
CONSUMER 22.7%
TELECOMMUNICATIONS 20.7%
FINANCIAL SERVICES 20.1%
CASH & OTHER 8.4%
ENERGY 6.4%
MATERIALS & PROCESSING 6.2%
CAPITAL GOODS 4.4%
HEALTHCARE 3.5%
MISCELLANEOUS 3.2%
TECHNOLOGY 2.5%
TRANSPORTATION 1.9%
* LIPPER PERFORMANCE COMPARISON ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIOD INDICATED IN THE GROWTH & INCOME PEER GROUP CONSISTING OF 174
UNDERLYING ANNUITY FUNDS.
See Notes to Performance.
Past performance is no guarantee of future results.
18
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
VALUE EQUITY FUND
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCK -- 91.6%
- --------------------------------------------------------------------------------
CAPITAL GOODS -- 4.4%
CNH Global N.V. .................... 68,300 $ 909,244
Ingersoll Rand Co. ................. 22,100 1,216,881
Waste Management Inc. .............. 43,000 739,063
York International Corp. ........... 40,000 1,097,500
3,962,688
CONSUMER - DISCRETIONARY -- 18.7%
AT&T Corp. - Liberty Media
Group (Class A) ............... 89,340 5,070,045(a)
Darden Restaurants Inc. ............ 30,000 543,750
Dillards Inc. (Class A) ............ 69,400 1,401,012
Ford Motor Co. ..................... 39,400 2,105,438
Hasbro Inc. ........................ 73,050 1,392,516
Lear Corp. ......................... 40,000 1,280,000(a)
Mandalay Resort Group .............. 36,000 724,500(a)
MediaOne Group Inc. ................ 33,000 2,534,812(a)
The E.W. Scripps Co. Inc. .......... 41,600 1,864,200
16,916,273
CONSUMER - STABLE -- 4.0%
Alberto-Culver Co. (Class B) ....... 57,000 1,239,750
Nabisco Group Holdings Corp. ....... 87,000 924,375
Philip Morris Cos. Inc. ............ 65,000 1,507,187
3,671,312
ENERGY -- 6.4%
BJ Services Co. .................... 48,000 2,007,000(a)
Noble Affiliates Inc. .............. 75,000 1,607,812
Ocean Energy Inc. .................. 89,050 690,138(a)
Tosco Corp. ........................ 55,000 1,495,312
5,800,262
FINANCIAL -- 11.6%
Bank of America Corp. .............. 38,031 1,908,681
Bank One Corp. ..................... 36,000 1,154,250
Chase Manhattan Corp. .............. 18,100 1,406,144
First Union Corp. .................. 42,300 1,387,969
Heller Financial Inc. .............. 101,300 2,032,331
Indymac Mortgage Holdings Inc. ..... 100,000 1,275,000
Waddell & Reed Financial Inc.
(Class A) ..................... 43,433 1,178,120
Waddell & Reed Financial Inc.
(Class B) ..................... 6,171 155,046
10,497,541
HEALTHCARE -- 3.5%
Aetna Inc. ......................... 31,000 1,730,188
Pharmacia & Upjohn Inc. ............ 32,000 1,440,000
3,170,188
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
INSURANCE -- 8.5%
Hartford Financial Services
Group Inc. ...................... 49,000 $ 2,321,375
MGIC Investment Corp. .............. 32,500 1,956,094
Torchmark Corp. .................... 53,200 1,546,125
UnumProvident Corp. ................ 57,704 1,850,134
7,673,728
MATERIALS & PROCESSING -- 6.2%
Applied Power Inc. (Class A) ....... 25,100 922,425
Bowater Inc. ....................... 23,000 1,249,188
IMC Global Inc. .................... 50,000 818,750
Praxair Inc. ....................... 37,000 1,861,562
Smurfit-Stone Container Corp. ...... 31,000 759,500(a)
5,611,425
MISCELLANEOUS -- 3.2%
Loews Corp. ........................ 27,900 1,693,181
Pactiv Corp. ....................... 116,000 1,232,500(a)
2,925,681
TECHNOLOGY - ELECTRONICS & EQUIPMENT -- 2.5%
Quantum Corp. - DLT & Storage Systems 85,200 1,288,650(a)
Quantum Corp. - Hard Disk Drive .... 138,900 963,619(a)
2,252,269
TELECOMMUNICATIONS -- 20.7%
Alltel Corp. ....................... 27,380 2,263,984
CoreComm Ltd. ...................... 97,500 5,789,062(a)
Cox Communications Inc. ............ 45,000 2,317,500(a)
NTL Inc. ........................... 38,750 4,834,063(a)
Telephone & Data Systems Inc. ...... 28,000 3,528,000
18,732,609
TRANSPORTATION -- 1.9%
Delta Air Lines Inc. ............... 34,000 1,693,625
TOTAL INVESTMENTS IN SECURITIES
(COST $68,723,185) .............. 82,907,601
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 6.3%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund
(COST $5,719,526) ..............5,719,526 5,719,526
OTHER ASSETS AND LIABILITIES,
NET 2.1% ....................... 1,933,926
-----------
NET ASSETS-- 100% ................. $90,561,053
===========
- ------------
See Notes to Schedule of Investments and Notes to Financial Statements.
19
<PAGE>
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
Q&A
RALPH LAYMAN IS RESPONSIBLE FOR THE INTERNATIONAL EQUITY OPERATION AT GE ASSET
MANAGEMENT. RALPH MANAGES INDIVIDUAL, INSTITUTIONAL AND MUTUAL FUND PORTFOLIOS
WITH TOTAL ASSETS UNDER MANAGEMENT EXCEEDING $16 BILLION. PRIOR TO JOINING GE
ASSET MANAGEMENT IN 1991, RALPH WAS EXECUTIVE VICE PRESIDENT, PARTNER AND
PORTFOLIO MANAGER OF INTERNATIONAL EQUITY OPERATIONS AT NORTHERN CAPITAL
MANAGEMENT. PREVIOUSLY, HE WAS A VICE PRESIDENT AND PORTFOLIO MANAGER AT
TEMPLETON INVESTMENT COUNSEL, INC. HE WAS INSTRUMENTAL IN FORMING TEMPLETON'S
EMERGING MARKETS FUND, THE FIRST LISTED EMERGING MARKETS EQUITY FUND IN THE U.S.
RALPH IS A TRUSTEE OF THE GE PENSION TRUST AND GE'S EMPLOYEE SAVINGS PROGRAM,
AND SERVES ON GE ASSET MANAGEMENT'S ASSET ALLOCATION COMMITTEE. HE IS A
CHARTERED FINANCIAL ANALYST (CFA), A CHARTER MEMBER OF THE INTERNATIONAL SOCIETY
OF SECURITY ANALYSTS AND A MEMBER OF THE NEW YORK SOCIETY OF SECURITY ANALYSTS.
RALPH IS A GRADUATE OF THE UNIVERSITY OF WISCONSIN WITH A B.S. IN ECONOMICS AND
A M.S. IN FINANCE.
Q. HOW DID THE INTERNATIONAL EQUITY FUND PERFORM COMPARED TO ITS BENCHMARK AND
LIPPER PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The International Equity Fund posted a 30.33% return for the one-year period
ended December 31, 1999. For the same period, the MSCI EAFE Index returned
26.96% and our Lipper peer group of 126 International annuity funds returned
an average of 42.88%.
Q. WHAT DROVE THE FUND'S PERFORMANCE?
A. Markets in 1999 were focused on telecoms and technology, and in fact over 70%
of the fund's performance can be attributed to telecom-related and technology
companies. The five holdings that had the greatest impact on the performance
of the fund were telecom operators Mannesmann (Germany), Sonera Oyj (Finland)
and Telefonica (Spain), consumer technology leader Sony (Japan), and telecom
equipment supplier Ericsson LM Telephone (Sweden). In addition, the emerging
markets performed particularly well, in most cases coming off a low base
following the Asian Crisis of 1997/98.
Q. WHAT CHANGES DID YOU MAKE IN THE FUND?
A. The fund ended 1998 with a 80% weighting in Europe. The underlying
environment had been very positive in the run up to the launch of the Euro on
January 1, 1999. However, valuations had become stretched and so we looked
for alternative areas in which to invest. Over 1999, we increased our
exposure to Japan by over 7% as we found companies which were introducing
restructuring programs and boosting margins, we increased the emerging
markets exposure from 8.9% to 12.2% as economies strengthened and interest
rates fell, and we added some mid sized technology companies in Canada.
Profits were taken in Europe where the weighting fell to 62%.
Q. WHAT IS YOUR OUTLOOK FOR THE FUND?
A. As Europe continues to merge and integrate, it is likely that we will
continue to see cost savings coming out of merger and acquisition activity
which will drive earnings and hence share prices higher. In 1999, we started
to see corporate activity in many sectors that have traditionally been viewed
as locally dependent, such as telecommunication operators and utilities. The
rate of merger announcements is likely to increase, especially as company
managements focus more on shareholder value than has traditionally been the
case and as these industries become pan-Europe. We anticipate more
consolidation to come in many European industries.
Corporate restructuring continues in Japan although at far too slow a pace.
Those companies which have made major changes in their businesses and have
taken shareholder-friendly policies have seen stronger earnings growth and
higher valuations in their share prices. However, there are many companies
that still do not understand the need for change, and the difference in share
price performance between such companies will widen.
Our investment discipline is to invest in companies whose share price
valuation is cheap relative to its long-term growth rate. Currently stocks
which fit our discipline are based mainly in Europe, although we are
selectively seeking Japanese companies that are creating shareholder value,
and we will increase our exposure there as they become investable.
20
<PAGE>
INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
International Equity Fund MSCI EAFE
5/1/95 $10000 $10000
6/95 10010 9707
9/95 10350 10112
12/95 10670 10522
3/96 11323 10826
6/96 11628 10997
9/96 11455 10983
12/96 11728 11158
3/97 12346 10983
6/97 13786 12408
9/97 13927 12320
12/97 12921 11356
3/98 15135 13026
6/98 15510 13164
9/98 12788 11293
12/98 15175 13626
3/99 15673 13816
6/99 16082 14167
9/99 16286 14789
12/99 19778 17301
International Equity Fund (ending value $19,778)
MSCI EAFE (ending value $17,301)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE THREE SINCE
YEAR YEAR COMMENCEMENT
- --------------------------------------------------------------------------------
International Equity Fund 30.33% 19.03% 15.72%
- --------------------------------------------------------------------------------
MSCI EAFE 26.96% 15.74% 12.45%
- --------------------------------------------------------------------------------
Lipper peer group average* 42.88% 18.95% N/A
- --------------------------------------------------------------------------------
Commencement date 5/1/95
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek long-term
growth of capital by investing primarily in
equity securities of companies located in
developed and developing countries, other than
the United States.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS
AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
Mannesmann AG ..................................... 3.46%
- --------------------------------------------------------------------------------
Ericsson LM Telephone (Series B) .................. 2.41%
- --------------------------------------------------------------------------------
Taiwan Semiconductor Manufacturing Co. ............ 2.32%
- --------------------------------------------------------------------------------
Sony Corp. ........................................ 2.26%
- --------------------------------------------------------------------------------
Telefonica S.A. ................................... 2.18%
- --------------------------------------------------------------------------------
Fujitsu Ltd. ...................................... 2.17%
- --------------------------------------------------------------------------------
AXA-UAP ........................................... 2.14%
- --------------------------------------------------------------------------------
ING Groep N.V. .................................... 2.05%
- --------------------------------------------------------------------------------
Canon Inc. ........................................ 2.04%
- --------------------------------------------------------------------------------
Total S.A. (Class B) .............................. 1.98%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NET ASSETS OF $52,540 (IN THOUSANDS)
[PIE CHART OMITTED]
EUROPE 62.3%
JAPAN 13.2%
OTHER 9.5%
PACIFIC RIM 8.3%
CASH & OTHER 6.7%
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE INTERNATIONAL PEER GROUP CONSISTING OF 126 AND 83
UNDERLYING ANNUITY FUNDS, RESPECTIVELY.
See Notes to Performance.
Past performance is no guarantee of future results.
21
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCK -- 93.0%
- --------------------------------------------------------------------------------
AUSTRALIA -- 1.9%
Brambles Industries Ltd. ............ 24,686 $ 682,661
Cable & Wireless Optus Ltd. ......... 88,713 296,442(a)
979,103
AUSTRIA -- 0.2%
VA Technologie AG ................... 1,881 124,111
BRAZIL -- 0.5%
Telecomunicacoes Brasileiras S.A. ADR 259 33,282
Uniao de Bancos Brasilieros S.A. GDR 8,424 253,773
287,055
CANADA -- 3.2%
ATI Technologies Inc. ............... 13,312 176,141(a)
Celestica Inc. ...................... 7,870 439,917(a)
CGI Group Inc. (Class A) ............ 9,226 394,670(a)
Nortel Networks Corp. ............... 6,648 671,448
1,682,176
DENMARK -- 0.7%
Novo-Nordisk AS (Series B) .......... 2,943 390,334
Finland -- 3.6%
MeritaNordbanken Oyj ................ 55,009 323,614(a)
Nokia Oyj (Series A) ................ 2,400 435,175
Pohjola Group Insurance Corp.
(Series B) ....................... 2,340 141,432
Sampo Insurance Co. Ltd. (Series A) . 11,692 408,694
Sonera Oyj .......................... 8,434 578,152
1,887,067
FRANCE -- 17.7%
Aerospatiale Matra (Regd.) .......... 10,286 225,779(a)
Alstom .............................. 17,474 582,640(a)
Aventis S.A. (Class A) .............. 9,384 545,436
AXA-UAP ............................. 8,051 1,122,448
Banque Nationale de Paris ........... 1,749 161,386(a)
Cap Gemini S.A. ..................... 4,079 1,035,463
Carrefour S.A. ...................... 3,697 681,896
Coflexip S.A. ADR ................... 6,082 231,116
Lagardere S.C.A. .................... 18,646 1,014,284
Lyonnaise Des Eaux S.A. ............. 2,112 338,489
Michelin CGDE (Regd.) (Class B) ..... 10,839 425,828
Rhodia S.A. ......................... 5,114 115,602
Schneider S.A. ...................... 9,401 738,194
Societe Generale .................... 618 143,807
STMicroelectronics N.V. ............. 4,079 627,852
Total S.A. (Class B) ................ 7,791 1,039,894
Vivendi ............................. 3,044 274,900
9,305,014
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
GERMANY -- 11.0%
Bayerische Vereinsbank AG ........... 4,419 $ 301,810
DaimlerChrysler AG .................. 3,348 260,365
Deutsche Bank AG .................... 7,523 635,440(a)
Fresenius Medical Care AG ........... 6,155 526,400
Mannesmann AG ....................... 7,534 1,817,655
Metallgesellschaft AG ............... 20,894 418,847
Muenchener Rueckversicherungs-
Gesellschaft AG (Regd.) .......... 2,270 575,787
Preussag AG ......................... 15,358 855,539
Veba AG ............................. 7,959 386,844
5,778,687
GREECE -- 0.6%
Hellenic Telecommunication
Organization S.A. ADR ............ 8,989 107,306
Hellenic Telecommunication
Organization S.A. GDR ............ 8,220 194,651
301,957
HONG KONG -- 1.5%
Giordano International Ltd. .........186,000 191,419
Hutchison Whampoa Ltd. .............. 5,000 72,683
Johnson Electric Holdings Ltd. ...... 81,300 521,885
785,987
IRELAND -- 1.2%
Bank of Ireland ..................... 36,924 293,843
CRH PLC ............................. 16,679 360,394
654,237
ISRAEL -- 3.2%
Comverse Technology Inc. ............ 4,280 619,530(a)
ECI Telecommunications Ltd. ......... 18,758 593,222
Teva Pharmaceutical Industries
Ltd. ADR ......................... 6,857 491,561
1,704,313
ITALY -- 1.8%
Banca Intesa S.p.A. ................. 71,149 288,838
Saipem .............................. 75,333 272,433
Telecom Italia Mobile S.p.A. ........ 10,544 117,792
Telecom Italia S.p.A ................ 62 378(e)
Telecom Italia S.p.A ................ 18,117 255,502
934,943
JAPAN -- 13.2%
Asahi Bank Ltd. ..................... 16,520 101,866
Asahi Chemical Industry Co. Ltd. .... 22,000 113,047
Canon Inc. .......................... 27,000 1,072,918
Fujitsu Ltd. ........................ 25,000 1,140,256
Kao Corp. ........................... 11,234 320,516
Mazda Motor Corp. ................... 75,000 334,002
Minebea Co. Ltd. .................... 42,000 720,623
Mitsukoshi Ltd. ..................... 9,272 32,670(a)
NAMCO Ltd. .......................... 2,100 136,067
Promise Co. Ltd. .................... 2,800 142,508
Shin-Etsu Chemical Co. .............. 13,000 559,851
- -----------
See Notes to Schedule of Investments and Notes to Financial Statements.
22
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Sony Corp. ......................... 4,000 $1,186,258
Sumitomo Electric Industries ....... 19,000 219,624
The Fuji Bank Ltd. ................. 12,000 116,629
The Tokyo Electric Power Co. Inc. .. 2,900 77,772
Toshiba Corp. ...................... 89,000 679,456
6,954,063
MEXICO -- 2.5%
Desc S.A. de C.V. (Series B) ....... 44,594 36,711
Desc S.A. de C.V. ADR (Class C) .... 6,704 112,292
Grupo Carso S.A. de C.V. ADR ....... 21,301 210,347(a)
Grupo Financiero Banamex Accival
S.A. de C.V. (Class B) .......... 130,114 521,829(a)
Grupo Televisa S.A. GDR ............ 6,137 418,850(a)
1,300,029
NETHERLANDS -- 5.3%
IHC Caland N.V. .................... 8,192 299,143
ING Groep N.V. ..................... 17,837 1,077,008
Ispat International N.V. (Regd.)
(Class A) ....................... 8,697 140,239
Koninklijke Ahold N.V. ............. 5,058 149,747
Philips Electronics N.V. ........... 6,611 899,044
Vendex KBB N.V. .................... 7,487 199,109
2,764,290
PANAMA -- 0.1%
Panamerican Beverages Inc. (Class A) 2,804 57,657
POLAND -- 0.5%
Telekomunikacja Polska S.A.
GDR (Series A) .................. 38,115 238,219(b)
PORTUGAL -- 0.3%
Banco Comercial Portugues (Regd.) .. 21,019 116,666
Jeronimo Martins, SGPS, S.A. ....... 1,616 41,348
158,014
SINGAPORE -- 0.1%
Chartered Semiconductor
Manufacturing Ltd. ADR .......... 1,033 75,409(a)
SOUTH KOREA-- 2.3%
Kookmin Bank GDR ................... 10,960 155,084(b)
Korea Telecom Corp. ADR ............ 7,918 591,871
Pohang Iron & Steel Co. Ltd. ADR ... 12,543 439,005
1,185,960
SPAIN -- 2.6%
Repsol S.A. ........................ 8,742 202,720
Telefonica S.A. .................... 45,935 1,147,561(a)
1,350,281
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
SWEDEN -- 4.4%
Autoliv Inc. SDR ................... 15,805 $ 462,504
Ericsson LM Telephone (Series B) ... 19,702 1,266,541
Investor AB (Series B) ............. 4,900 69,103(a)
Invik & Co. AB ..................... 1,056 125,345
Kinnevik AB (Series B) ............. 2,028 62,921
NetCom Systems AB (Series B) ....... 4,443 312,247(a)
2,298,661
SWITZERLAND -- 1.9%
ABB Ltd. ........................... 3,892 476,067(a)
Credit Suisse Group ................ 1,699 337,709
Novartis AG (Regd.) ................ 122 179,134
Zurich Allied AG ................... 8 4,562
997,472
TAIWAN -- 2.5%
Synnex Technology International
Corp. GDR ....................... 4,688 120,130(b)
Taiwan Semiconductor
Manufacturing Co. ............... 229,342 1,220,332
1,340,462
UNITED KINGDOM -- 10.2%
Airtours PLC ....................... 53,367 324,988
British Aerospace PLC .............. 57,734 379,559
Cable & Wireless Communication PLC . 46,821 669,408(a)
Cable & Wireless PLC ............... 11,265 193,245
Commercial Union PLC ............... 29,314 473,036
Corus Group PLC .................... 184,368 479,473
FKI PLC ............................ 60,475 236,887
Granada Group PLC .................. 67,581 682,272
Invensys PLC ....................... 147,233 778,427
Nycomed Amersham PLC ............... 47,181 297,225
Railtrack Group PLC ................ 8,130 136,577
Reed International PLC ............. 32,968 247,627
Royal & Sun Alliance Insurance
Group PLC ....................... 27,417 205,494
Saatchi & Saatchi PLC .............. 14,563 87,273
Somerfield PLC ..................... 106,633 155,450
5,346,941
TOTAL COMMON STOCK
(COST $35,549,441) ................. 48,882,442
- --------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.3%
- --------------------------------------------------------------------------------
Henkel KGaA
(COST $ 150,584) ...................1,985 130,911
- --------------------------------------------------------------------------------
WARRANTS -- 0.0%
- --------------------------------------------------------------------------------
Muenchener Rueckversicherungs-
Gesellschaft AG (Regd.) 06/03/02
(Cost $0) .......................... 48 2,553(a)
TOTAL INVESTMENTS IN SECURITIES
(COST $35,700,025) ................. 49,015,906
- ----------
See Notes to Schedule of Investments and Notes to Financial Statements.
23
<PAGE>
INTERNATIONAL EQUITY FUND DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 6.6%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund
(COST $3,452,465) ............. 3,452,465 $ 3,452,465
OTHER ASSETS AND LIABILITIES,
NET 0.1% ...................... 72,053
-----------
NET ASSETS-- 100% ................ $52,540,424
===========
- --------------------------------------------------------------------------------
OTHER INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
The International Equity Fund invested in the following sectors at December 31,
1999:
SECTOR PERCENTAGE (BASED ON TOTAL NET ASSETS)
- -----------------------------------------------------------------
Capital Equipment 30.01%
Services 23.54%
Finance 15.29%
Consumer Goods 11.33%
Multi Industry 5.43%
Materials 4.45%
Energy 3.25%
Cash and Other 6.70%
-------
100.00%
=======
- ---------
See Notes to Schedule of Investments and Notes to Financial Statements.
24
<PAGE>
TOTAL RETURN FUND
- --------------------------------------------------------------------------------
Q&A
DAVID CARLSON, RALPH LAYMAN AND ROBERT MACDOUGALL SHARE PORTFOLIO MANAGEMENT
RESPONSIBILITY FOR THE TOTAL RETURN FUND. DAVE CARLSON MANAGES THE DOMESTIC
EQUITY PORTION, RALPH LAYMAN MANAGES THE INTERNATIONAL EQUITY PORTION AND BOB
MACDOUGALL MANAGES THE FIXED INCOME PORTION OF THE FUND. PLEASE REFER TO PAGE 20
FOR RALPH'S BIOGRAPHICAL DETAILS, PAGE 14 FOR DAVE'S BIOGRAPHICAL DETAILS, AND
PAGE 34 FOR BOB'S BIOGRAPHICAL DETAILS.
Q. HOW DID THE TOTAL RETURN FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER
PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The Total Return Fund had a return of 13.25% for the one-year period ended
December 31, 1999. The fund allocates investments among several asset classes
and therefore the results of the fund should be compared to several
benchmarks: S&P 500 Index returned 21.07%; the MSCI EAFE Index returned
26.96% and the Lehman Brothers Aggregate Bond Index returned -0.83%. For the
same period, our Lipper peer group of 84 Flexible annuity funds had an
average return of 12.07%.
Q. WHAT FACTORS LED TO THE OUTPERFORMANCE OF THE FUND?
A. Asset allocation played a key role. The international equities market as a
whole significantly outperformed the S&P 500, and international equities
amounted to 16.6% of the total fund. This portion had a return in excess of
30% compared with approximately 20% for the U.S. portion. Fixed income was
the laggard as interest rates rose throughout the year. Our weighting in
international stocks sets us apart from many other balanced funds, which
concentrate on the U.S. financial markets. Please read the commentary of the
U.S. Equity Fund, the International Equity Fund and the Income Fund for a
more detailed description of each individual asset class last year.
Q. WHAT ARE THE CURRENT WEIGHTINGS OF THE VARIOUS ASSET CLASSES AND HOW HAVE
THEY CHANGED THROUGHOUT THE YEAR?
A. The weightings remain at approximately 44% U.S. equities, 17% international
equities, 33% fixed income and 6% cash. The target weightings, as set by GE
Asset Management's Asset Allocation Committee, have been unchanged all year.
However, with stocks significantly outperforming bonds, valuation models show
bonds becoming increasingly more attractive. It is possible we may increase
the fixed income weighting in the coming months, but at this time the same
targets remain in place.
Q. WHAT IS YOUR OUTLOOK FOR THE FUND IN THE COMING YEAR?
A. The returns for this fund will continue to reflect a blend of the returns of
the individual asset classes. The U.S. stock market looks expensive to us
when compared to historical valuation levels. We believe that international
stocks look attractive relative to the valuation levels of the U.S. market.
We do not see a significant increase in the inflation rate, so bonds at
present levels look increasingly attractive. In sum, stocks may take a
breather after their extraordinary run the last few years, and bonds should
do better this year than they did last year.
25
<PAGE>
TOTAL RETURN FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
Total Return Fund S&P 500 Index LB Aggregate
12/89 $10000 $10000 $10000
12/90 9962 9684 10895
12/91 12687 12645 12638
12/92 13636 13622 13573
12/93 15484 14986 14896
12/94 15876 15180 14462
12/95 20332 20872 17133
12/96 22487 25696 17752
12/97 26531 34251 19472
12/98 31068 44080 21161
12/99 35184 53363 20985
Total Return Fund (ending value $35,184)
S&P 500 Index (ending value $53,363)
LB Aggregate (ending value $20,985)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE FIVE TEN
YEAR YEAR YEAR
- --------------------------------------------------------------------------------
Total Return Fund 13.25% 17.25% 13.41%
- --------------------------------------------------------------------------------
S&P 500 Index 21.07% 28.59% 18.23%
- --------------------------------------------------------------------------------
LB Aggregate (0.83)% 7.73% 7.69%
- --------------------------------------------------------------------------------
Lipper peer group average* 12.07% 17.11% 12.94%
- --------------------------------------------------------------------------------
Commencement date 7/1/85
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek the highest total
return, composed of current income and capital
appreciation, as is consistent with prudent investment
risk by investing in both equity and debt securities.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS
AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
Citigroup Inc. ..................................... 2.37%
- --------------------------------------------------------------------------------
NTL Inc. ........................................... 1.99%
- --------------------------------------------------------------------------------
AT&T Corp. - Liberty Media Group (Class A) ......... 1.93%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. 7.00% TBA ..... 1.85%
- --------------------------------------------------------------------------------
U.S. Treasury Notes 5.875% 11/30/01 ............ 1.85%
- --------------------------------------------------------------------------------
First Data Corp. ................................... 1.71%
- --------------------------------------------------------------------------------
SPDR Trust ......................................... 1.49%
- --------------------------------------------------------------------------------
U.S. Treasury Notes 5.25% 5/31/01 .............. 1.42%
- --------------------------------------------------------------------------------
U.S. Treasury Bonds 8.125% 8/15/19 ............. 1.38%
- --------------------------------------------------------------------------------
Dover Corp. ........................................ 1.33%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NET ASSETS OF $109,913 (IN THOUSANDS)
[PIE CHART OMITTED]
DOMESTIC EQUITY 43.7%
BONDS AND NOTES 33.3%
FOREIGN EQUITY 16.6%
CASH & OTHER 6.4%
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE FLEXIBLE PEER GROUP CONSISTING OF 84, 57 AND 43
UNDERLYING ANNUITY FUNDS, RESPECTIVELY.
See Notes to Performance.
Past performance is no guarantee of future results.
26
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
TOTAL RETURN FUND
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
DOMESTIC EQUITY -- 43.6%
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 0.1%
Airgas Inc. ........................ 7,890 $ 74,955(a)
CAPITAL GOODS-- 4.6%
Alleghany Corp. .................... 307 56,949
Dover Corp. ........................ 32,316 1,466,338
Emerson Electric Co. ............... 2,968 170,289
Honeywell International Inc. ....... 18,432 1,063,296
Hubbell Inc. (Class B) ............. 10,902 297,080(h)
Molex Inc. (Class A) ............... 24,670 1,116,317
Textron Inc. ....................... 2,449 187,808
United Technologies Corp. .......... 3,025 196,625
Waste Management Inc. .............. 28,690 493,109
5,047,811
CONSUMER - CYCLICAL -- 8.6%
AT&T Corp. - Liberty Media Group
(Class A) ....................... 37,297 2,116,605(a)
Carnival Corp. ..................... 10,040 480,037
Catalina Marketing Corp. ........... 9,321 1,078,906(a)
Comcast Corp. (Class A) ............ 25,819 1,305,473
Gannett Inc. ....................... 5,136 418,905
Harman International Industries Inc. 2,588 145,251
Interpublic Group Cos. Inc. ........ 14,916 860,467
NTL Inc. ........................... 17,528 2,186,618(a)
Time Warner Inc. ................... 5,394 390,728
Walt Disney Co. .................... 13,848 405,054
9,388,044
CONSUMER - STABLE -- 1.5%
Anheuser Busch Cos. Inc. ........... 3,271 231,832(h)
Avon Products Inc. ................. 9,382 309,606
Colgate-Palmolive Co. .............. 3,672 238,680
Gillette Co. ....................... 4,304 177,271
Pepsico Inc. ....................... 12,652 445,983
Philip Morris Cos. Inc. ............ 11,533 267,422
1,670,794
ENERGY -- 2.7%
Anadarko Petroleum Corp. ........... 8,458 288,629
Baker Hughes Inc. .................. 14,627 308,081
Exxon Mobil Corp. .................. 4,791 385,975
Nabors Industries Inc. ............. 7,170 221,822(a)
Royal Dutch Petroleum Co. ADR ...... 11,706 707,482
Schlumberger Ltd. .................. 13,599 764,944
Transocean Sedco Forex Inc. ........ 2,633 88,691
Unocal Corp. ....................... 5,021 168,517
2,934,141
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIAL -- 4.9%
American Express Co. ............... 2,872 $ 477,470
Citigroup Inc. ..................... 46,948 2,608,548
Countrywide Credit Industries Inc. . 5,016 126,654
Federal National Mortgage Assoc. ... 18,770 1,171,952
State Street Corp. ................. 7,953 581,066(i)
Wells Fargo & Co. .................. 11,187 452,374
5,418,064
HEALTHCARE -- 7.3%
Abbott Laboratories ................ 23,664 859,299
American Home Products Corp. ....... 9,496 374,498
Bristol-Myers Squibb Co. ........... 12,911 828,725
Cardinal Health Inc. ............... 28,931 1,385,072
Dentsply International Inc. ........ 8,033 189,780
Henry Schein Inc. .................. 14,775 196,692(a)
Johnson & Johnson .................. 11,792 1,098,130(h)
Lincare Holdings Inc. .............. 15,619 541,784(a,h)
Merck & Co. Inc. ................... 15,777 1,058,045
Omnicare Inc. ...................... 6,025 72,300
Pfizer Inc. ........................ 16,071 521,303
Sybron International Corp. ......... 21,504 530,880(a)
Watson Pharmaceuticals Inc. ........ 9,894 354,329(a)
8,010,837
INSURANCE -- 2.2%
American International Group Inc. .. 8,507 919,819
Berkshire Hathaway Inc. (Class B) .. 226 413,580(a)
Chicago Title Corp. ................ 2,150 99,438
Loews Corp. ........................ 4,447 269,877
Marsh & McLennan Cos. Inc. ......... 7,689 735,741
2,438,455
MISCELLANEOUS -- 1.5%
SPDR Trust ......................... 11,162 1,639,419
RETAIL TRADE-- 1.1%
CVS Corp. .......................... 4,867 194,376
Home Depot Inc. .................... 15,063 1,032,757
1,227,133
TECHNOLOGY - ELECTRONICS & EQUIPMENT-- 3.0%
Analog Devices Inc. ................ 1,141 106,113(a)
Applied Materials Inc. ............. 4,877 617,855(a)
Cisco Systems Inc. ................. 10,328 1,106,387(a)
Dell Computer Corp. ................ 2,996 152,796(a)
Intel Corp. ........................ 14,056 1,156,984
Pitney Bowes Inc. .................. 3,861 186,535
3,326,670
TECHNOLOGY - SOFTWARE & SERVICES -- 5.1%
Automatic Data Processing Inc. ..... 19,853 1,069,580
EMC Corp. .......................... 6,025 658,231(a)
- ----------
See Notes to Schedule of Investments and Notes to Financial Statements.
27
<PAGE>
TOTAL RETURN FUND
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Equifax Inc. ........................ 35,861 $ 844,975
First Data Corp. .................... 38,143 1,880,927
Microsoft Corp. ..................... 8,467 988,554(a)
Reuters Group PLC ADR ............... 2,024 163,565
5,605,832
UTILITIES -- 1.0%
MCI WorldCom Inc. ................... 12,908 684,904(a)
SBC Communications Inc. ............. 6,197 302,104
Sprint Corp. ........................ 2,282 153,607
1,140,615
TOTAL DOMESTIC EQUITY
(COST $33,410,796) ............... 47,922,770
- --------------------------------------------------------------------------------
FOREIGN EQUITY -- 16.6%
- --------------------------------------------------------------------------------
BASIC MATERIALS -- 0.7%
Corus Group PLC ..................... 63,279 164,565
Ispat International N.V. (Regd.)
(Class A) ........................ 2,517 40,587
Metallgesellschaft AG ............... 6,467 129,639
Pohang Iron & Steel Co. Ltd. ADR .... 6,807 238,245
Shin-Etsu Chemical Co. .............. 4,000 172,262
745,298
CAPITAL GOODS -- 2.6%
ABB AG .............................. 1,140 139,381(a)
Alstom .............................. 6,892 229,802(a)
Asahi Chemical Industry Co. Ltd. .... 8,000 41,108
ATI Technologies Inc. ............... 4,569 60,456(a)
British Aerospace PLC ............... 19,815 130,269
Celestica Inc. ...................... 2,580 144,207(a)
CRH PLC ............................. 5,731 123,833
Desc S.A. de C.V. (Series B) ........ 12,655 10,418
Desc S.A. de C.V. ADR (Class C) ..... 2,017 33,785
FKI PLC ............................. 20,801 81,480
Grupo Carso S.A. de C.V. ADR (Class C) 7,141 70,517(a)
Invensys PLC ........................ 54,242 286,779
Kao Corp. ........................... 1,592 45,421
Lyonnaise Des Eaux S.A. ............. 668 107,060
Mannesmann AG ....................... 2,747 662,742
Minebea Co. Ltd. .................... 16,000 274,523
Preussag AG ......................... 5,668 315,744
Rhodia S.A. ......................... 1,755 39,672
VA Technologie AG ................... 637 42,030
2,839,227
CONSUMER - CYCLICAL -- 2.4%
Airtours PLC ........................ 22,895 139,423
Autoliv Inc. SDR .................... 6,264 183,304
Canon Inc. .......................... 10,000 397,377
DaimlerChrysler AG .................. 1,152 89,588
Granada Group PLC ................... 25,146 253,865
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Grupo Televisa S.A. GDR ............. 2,072 $ 141,414(a)
Johnson Electric Holdings ........... 27,500 176,529
Kinnevik AB (Series B) .............. 582 18,057
Mazda Motor Corp. ................... 26,000 115,787
Michelin CGDE (Regd.) (Class B) ..... 4,315 169,522
NAMCO Ltd. .......................... 700 45,356
Philips Electronics N.V. ............ 2,455 333,861
Reed International PLC .............. 10,627 79,821
Saatchi & Saatchi PLC ............... 4,388 26,296
Sony Corp. .......................... 1,500 444,847
2,615,047
CONSUMER - STABLE -- 0.0%
Panamerican Beverages Inc. (Class A) 855 17,581
DIVERSIFIED-- 0.4%
Hutchison Whampoa Ltd. .............. 2,000 29,073
Lagardere S.C.A. .................... 7,085 385,402
414,475
ENERGY -- 0.8%
Coflexip S.A. ADR ................... 2,066 78,508
Repsol S.A. ......................... 2,715 62,959
Saipem .............................. 25,888 93,621
Total S.A. (Class B) ................ 2,830 377,731
Veba AG ............................. 3,218 156,410
Vivendi ............................. 1,044 94,282
863,511
FINANCIAL -- 1.6%
Asahi Bank Ltd. ..................... 6,008 37,047
Banca Intesa S.p.A. ................. 24,456 99,282
Banco Comercial Portugues (Regd.) ... 7,007 38,892
Bank of Ireland ..................... 13,224 105,237
Banque Nationale de Paris ........... 600 55,364
Bayerische Vereinsbank AG ........... 1,520 103,814
Credit Suisse AG .................... 584 116,081
Deutsche Bank AG .................... 2,582 218,092(a)
Grupo Financiero Banamex Accival S.A.
de C.V. (Class B) ................ 44,709 179,308(a)
ING Groep N.V. ...................... 6,523 393,862
Investor AB (Series B) .............. 1,392 19,631
Invik & Co. AB ...................... 317 37,627
MeritaNordbanken Oyj ................ 18,729 110,181(a)
Promise Co. Ltd. .................... 900 45,806
Societe Generale .................... 214 49,797
The Fuji Bank Ltd. .................. 5,000 48,596
Uniao de Bancos Brasilieros S.A. GDR 2,839 85,525
1,744,142
HEALTHCARE -- 0.9%
Aventis S.A. (Class A) .............. 3,588 208,549
Fresenius Medical Care AG ........... 2,375 203,120
- ---------
See Notes to Schedule of Investments and Notes to Financial Statements.
28
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
Novartis AG (Regd.) ............. 42 $ 61,669
Novo-Nordisk AS (Series B) ...... 1,241 164,596
Nycomed Amersham PLC ............ 15,988 100,719
Shire Pharmaceuticals Group PLC ADR 3,730 108,636(a)
Teva Pharmaceutical Industries
Ltd. ADR ..................... 2,356 168,896
1,016,185
INSURANCE -- 0.9%
AXA-UAP ......................... 2,940 409,887
Commercial Union PLC ............ 9,591 154,769
Muenchener Rueckversicherungs-
Gesellschaft AG (Regd.) ...... 780 197,847
Pohjola Group Insurance Corp. (Series B) 724 43,759
Royal & Sun Alliance Insurance
Group PLC .................... 9,429 70,670
Sampo Insurance Co. Ltd. (Series A) 4,018 140,449
1,017,381
RETAIL TRADE -- 0.5%
Carrefour S.A. .................. 1,389 256,195
Giordano International Ltd. ..... 54,000 55,573
Jeronimo Martins, SGPS, S.A. .... 459 11,744
Koninklijke Ahold N.V. .......... 1,737 51,436
Mitsukoshi Ltd. ................. 1,582 5,574(a)
Somerfield PLC .................. 36,635 53,407
Vendex KBB N.V. ................. 2,421 64,387
498,316
TECHNOLOGY - ELECTRONICS & EQUIPMENT-- 3.4%
Brambles Industries Ltd. ........ 9,085 251,234
Cable & Wireless Communication PLC 16,089 230,027(a)
Cable & Wireless Optus Ltd. ..... 32,016 106,984(a)
Chartered Semiconductor
Manufacturing Ltd. ADR ....... 355 25,915(a)
Comverse Technology Inc. ........ 1,790 259,102(a)
ECI Telecommunications Ltd. ..... 6,446 203,855
Ericsson LM Telephone (Series B) 7,321 470,630
Fujitsu Ltd. .................... 10,000 456,103
NetCom Systems AB (Series B) .... 1,337 93,962(a)
Nokia Oyj (Series A) ............ 826 149,773
Nortel Networks Corp. ........... 2,284 230,684
Schneider S.A. .................. 3,478 273,103
STMicroelectronics N.V. ......... 1,399 215,338
Sumitomo Electric Industries .... 7,000 80,914
Taiwan Semiconductor
Manufacturing Co. ............ 78,083 415,481
Toshiba Corp. ................... 33,000 251,933
3,715,038
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
TECHNOLOGY - SOFTWARE & SERVICES-- 0.5%
Cap Gemini S.A. ................. 1,512 $ 383,824
CGI Group Inc. (Class A) ........ 3,095 132,398
516,222
TELECOMMUNICATIONS -- 0.2%
Cable & Wireless PLC ............ 3,866 66,319
Sonera Oyj ...................... 2,895 198,453
264,772
TRANSPORTATION -- 0.1%
IHC Caland N.V. ................. 2,820 102,977
Railtrack Group PLC ............. 2,598 43,644
146,621
UTILITIES -- 1.6%
Hellenic Telecommunication
Organization S.A. ADR ........ 2,522 30,107
Hellenic Telecommunication
Organization S.A. ............ 2,760 65,357
Korea Telecom Corp. ADR ......... 1,476 110,331
Telecom Italia Mobile S.p.A. .... 2,903 32,431
Telecom Italia S.p.A ............ 6,676 94,151
Telecomunicacoes Brasileiras S.A. ADR 89 11,436
Telefonica S.A. ................. 16,990 424,449(a)
The Tokyo Electric Power Co. Inc. 1,000 26,818
Vodafone AirTouch PLC ADR ....... 20,520 1,015,740
1,810,820
TOTAL FOREIGN EQUITY
(COST $13,024,013) ........... 18,224,636
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
BONDS AND NOTES -- 33.3%
- --------------------------------------------------------------------------------
U.S. TREASURIES -- 7.6%
U.S. Treasury Bonds
8.125% 08/15/19 ............ $1,335,000 1,521,272(h)
5.25% 02/15/29 ............ 45,000 37,209(h)
6.125% 08/15/29 ............ 1,038,000 989,505(h)
2,547,986
U.S. Treasury Notes
5.25% 05/31/01 ............ 1,586,000 1,565,683(h)
5.875% 11/30/01 ............ 2,050,000 2,036,860(h)
5.875% 11/15/04 ............ 325,000 318,653(h)
7.00% 07/15/06 ............ 664,000 680,082(h)
6.00% 08/15/09 ............ 760,000 736,250(h)
5,337,528
- -------------
See Notes to Schedule of Investments and Notes to Financial Statements.
29
<PAGE>
TOTAL RETURN FUND
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
U.S. Treasury STRIPS
6.83% 08/15/11 .............$ 568,000 $ 258,724(d,h)
6.84% 02/15/12 .............. 505,000 222,114(d,h)
480,838
TOTAL U.S. TREASURIES
(COST $8,633,086) .............. 8,366,352
FEDERAL AGENCIES-- 4.2%
Federal Home Loan Bank
5.625% 03/19/01 .............. 230,000 227,521
5.875% 08/15/01 .............. 735,000 728,341
5.25% 04/25/02 .............. 260,000 252,158
1,208,020
Federal Home Loan Mortgage Corp.
5.75% 04/15/08 .............. 65,000 59,830
5.125% 10/15/08 .............. 270,000 236,587
6.22% 03/18/08 .............. 215,000 198,540
6.625% 09/15/09 .............. 690,000 670,376
1,165,333
Federal National Mortgage Assoc.
5.75% 04/15/03 .............. 250,000 242,812
5.125% 02/13/04 .............. 803,000 754,948
5.78% 05/05/04 .............. 230,000 219,579
6.99% 07/09/07 .............. 80,000 77,350
5.64% 12/10/08 .............. 255,000 228,319
6.04% 02/25/09 .............. 385,000 352,514
6.16% 08/07/28 .............. 360,000 315,281
2,190,803
Small Business Administration
6.55% 10/01/17 .............. 23,041 21,968
6.55% 12/01/17 .............. 40,314 38,399
60,367
TOTAL FEDERAL AGENCIES
(COST $4,849,602) .............. 4,624,523
AGENCY MORTGAGE BACKED-- 11.5%
Federal Home Loan Mortgage Corp.
7.50% 11/01/09 .............. 143,361 144,660
7.50% 06/01/10 .............. 94,202 95,055
8.00% 08/01/24 .............. 6,930 7,010
8.00% 10/01/25 .............. 6,576 6,648
9.00% 10/01/25 .............. 13,945 14,503
8.00% 11/01/26 .............. 9,128 9,228
8.00% 05/01/27 .............. 90,130 91,003
8.00% 02/01/28 .............. 10,024 10,133
6.50% 06/01/29 - 08/01/29 ...1,541,280 1,453,135
6.00% TBA ................... 500,000 457,655(c)
6.50% TBA ...................1,208,000 1,138,915(c)
7.00% TBA ...................2,105,600 2,037,821(c)
7.50% TBA ................... 270,000 267,216(c)
5,732,982
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Federal National Mortgage Assoc.
9.00% 06/01/09 .............$ 154,139 $ 161,556
7.50% 12/01/09 ............... 385,615 388,025
7.00% 08/01/13 ............... 25,747 25,461
7.50% 02/01/14 ............... 149,645 150,580
9.00% 04/01/16 ............... 81,114 85,372
8.00% 12/01/17 ............... 62,460 63,475
9.00% 12/01/17 ............... 56,099 58,483
7.50% 12/01/18 ............... 38,400 38,218
9.00% 12/01/22 ............... 64,635 67,433
7.50% 12/01/23 ............... 325,579 323,544
7.00% 08/01/25 - 12/01/25 .... 389,985 378,407
7.00% 08/01/27 - 11/01/27 .... 396,144 383,385
7.00% 07/01/28 ............... 476,140 460,365
6.50% 01/01/29 - 03/01/29 .... 427,667 402,940
6.00% 10/01/29 ............... 558,804 511,126
6.50% TBA .................... 326,328 315,052(c)
7.50% TBA .................... 950,000 939,313(c)
4,752,735
Government National Mortgage Assoc.
7.00% 03/15/12 ............... 505,502 500,286
9.00% 11/15/16 ............... 118,519 125,036
9.00% 01/15/17 - 11/15/17 .... 104,664 110,296
9.00% 12/15/21 ............... 12,850 13,517
6.50% 04/15/24 ............... 155,722 147,790
7.50% 01/15/28 ............... 85,769 84,884
6.50% 04/15/28 ............... 370,152 347,361
8.00% TBA .................... 885,000 893,850(c)
2,223,020
TOTAL AGENCY MORTGAGE BACKED
(COST $13,015,822) .............. 12,708,737
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.3%
Federal Home Loan Mortgage Corp.
5.75% 06/15/23 ............... 60,000 56,719(g)
Federal National Mortgage Assoc.
6.65% 08/25/07 ............... 70,000 67,637
6.00% 03/25/19 ............... 139,200 125,409
8.00% 10/25/20 ............... 20,956 21,100
214,146
TOTAL AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $287,924) ................. 270,865
- ---------
See Notes to Schedule of Investments and Notes to Financial Statements.
30
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
ASSET BACKED -- 0.5%
Chase Credit Card Master Trust
6.00% 08/15/05 ................ 8,000 7,778
Citibank Credit Card Master Trust I
5.75% 01/15/03 ................ 8,000 7,922
5.50% 02/15/06 ................ 53,000 50,019
Discover Card Master Trust I
5.75% 10/16/03 ................ 39,000 38,427
5.30% 08/15/04 ................ 32,000 30,930
5.60% 05/16/06 ................ 83,000 78,850
First USA Credit Card Master Trust
5.28% 09/18/06 ................ 84,000 78,960
Ford Credit Auto Loan Master Trust
5.50% 02/15/03 ................ 19,000 18,730
Ford Credit Auto Owner Trust
5.90% 06/15/02 ................ 37,000 36,676
Green Tree Financial Corp.
6.90% 04/15/18 ................ 21,083 20,957
6.97% 04/01/31 ................ 44,000 43,670
MBNA Master Credit Card Trust
6.60% 04/16/07 ................ 30,000 29,494
Peco Energy Transport Trust
5.80% 03/01/07 ................ 27,000 25,625
6.05% 03/01/09 ................ 27,000 25,329
West Penn Funding LLC
6.81% 09/25/08 ................ 33,000 32,773
TOTAL ASSET BACKED
(COST $545,024) .................. 526,140
CORPORATE NOTES -- 7.5%
Abbey National PLC
7.95% 10/26/29 ................ 50,000 49,799
6.70% 06/29/49 ................105,000 94,690
Aetna Services Inc.
6.97% 08/15/36 ................100,000 97,968
Airtouch Communications Inc.
7.00% 10/01/03 ................212,000 211,799
Allstate Corp.
7.20% 12/01/09 ................ 65,000 63,192
Amerada Hess Corp.
7.875% 10/01/29 ................100,000 97,530
American Airlines Inc.
6.855% 04/15/09 ................100,000 98,246
Armstrong World Industries Inc.
7.45% 05/15/29 ................100,000 88,762
Associates Corporation of North America
6.375% 10/15/02 ................100,000 98,344
AT&T Capital Corp.
6.60% 05/15/05 ................ 40,000 38,467
AT&T Corp.
6.50% 03/15/29 ................ 60,000 51,401
Bank One Corp.
6.40% 08/01/02 ................ 70,000 68,814
Bellsouth Telecomm Inc.
6.375% 06/01/28 ................ 50,000 42,108
Boston University
7.625% 07/15/97 ................ 80,000 74,938
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Brascan Ltd.
7.375% 10/01/02 .............$ 15,000 $ 14,705
Bristol-Myers Squibb Co.
6.875% 08/01/97 ................ 75,000 67,015
Chrysler Financial Corp.
6.95% 03/25/02 ................250,000 249,912
CIT Group Inc.
7.125% 10/15/04 ................ 35,000 34,701
Coastal Corp.
6.375% 02/01/09 ................ 75,000 68,318
Columbia University Trustees New York
6.83% 12/15/20 ................ 25,000 23,467
Conseco Inc.
6.40% 06/15/01 ................ 50,000 48,483
Corporacion Andina De Fomento
6.75% 03/15/05 ................130,000 123,405
Crown Cork & Seal Inc.
8.00% 04/15/23 ................ 50,000 46,010
CSX Corp.
6.25% 10/15/08 ................100,000 90,489
DaimlerChrysler AG
7.20% 09/01/09 ................ 55,000 54,023
Delphi Automotive Systems Corp.
6.125% 05/01/04 ................ 20,000 18,919
Du Pont de Nemours (E.I.) & Co.
6.75% 10/15/04 ................ 30,000 29,607
6.875% 10/15/09 ................ 30,000 29,057
Duke Capital Corp.
7.25% 10/01/04 ................165,000 161,462
Duke Energy Corp.
5.375% 01/01/09 ................200,000 172,986
Electronic Data Systems Corp.
6.85% 10/15/04 ................ 50,000 49,305
7.45% 10/15/29 ................ 15,000 14,538
FDX Corp.
7.85% 01/30/15 ................ 22,470 22,013
Federated Department Stores Inc.
6.125% 09/01/01 ................ 35,000 34,396
Ford Motor Co.
7.45% 07/16/31 ................150,000 144,306
Ford Motor Credit Co.
6.70% 07/16/04 ................150,000 146,812
5.80% 01/12/09 ................ 45,000 39,882
7.375% 10/28/09 ................105,000 103,661
FPL Group Capital Inc.
7.375% 06/01/09 ................505,000 496,117
General Motors Acceptance Corp.
5.75% 11/10/03 ................ 20,000 19,043
6.15% 04/05/07 ................ 55,000 51,249
Georgia-Pacific Corp.
9.95% 06/15/02 ................ 25,000 26,373
Goldman Sachs Group L.P.
6.65% 05/15/09 ................200,000 186,160
Heritage Media Corp.
8.75% 02/15/06 ................ 40,000 41,100
Household Finance Corp.
6.125% 07/15/02 ................ 15,000 14,599
Hydro-Quebec
8.25% 04/15/26 ................125,000 130,250
Korea Development Bank
6.625% 11/21/03 ................ 20,000 19,202
- -----------------
See Notes to Schedule of Investments and Notes to Financial Statements.
31
<PAGE>
TOTAL RETURN FUND
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Kroger Co.
7.375% 03/01/05 ...............$140,000 $ 137,561
LCI International Inc.
7.25% 06/15/07 ............... 25,000 24,037
Lehman Brothers Holdings Inc.
7.50% 08/01/26 ............... 45,000 45,122
Liberty Property Ltd. Partnership
7.50% 01/15/18 ............... 30,000 25,445
Lockheed Martin Corp.
7.95% 12/01/05 ............... 80,000 78,847
8.20% 12/01/09 ............... 50,000 49,750
8.50% 12/01/29 ............... 35,000 35,572
Manor Care Inc.
7.50% 06/15/06 ............... 20,000 17,586
MCI Communications Corp.
6.125% 04/15/02 ............... 125,000 122,972
MCI WorldCom Inc.
6.40% 08/15/05 ............... 35,000 33,524
8.875% 01/15/06 ............... 35,000 36,735
Merrill Lynch & Co. Inc.
5.71% 01/15/02 ............... 100,000 97,642
7.00% 01/15/07 ............... 250,000 243,480
Morgan Stanley Dean Witter & Co.
7.125% 01/15/03 ............... 100,000 99,921
5.625% 01/20/04 ............... 50,000 47,096
National Rural Utilities Cooperative
6.046% 04/15/03 ............... 25,000 24,180
5.50% 01/15/05 ............... 40,000 37,240
NationsBank Corp.
7.50% 09/15/06 ............... 224,000 224,461
New Jersey Economic Development Authority
7.425% 02/15/29 ............... 25,000 24,373
Newell Co.
6.35% 07/15/08 ............... 40,000 37,039
News America Inc.
7.625% 11/30/28 ............... 60,000 55,604
Noram Energy Corp.
6.375% 11/01/03 ............... 30,000 28,877
Norfolk Southern Corp.
7.90% 05/15/97 ............... 55,000 52,054
Northrop-Grumman Corp.
8.625% 10/15/04 ............... 30,000 30,997
Occidental Petroleum Corp.
7.375% 11/15/08 ............... 30,000 29,211
Ontario Province of Canada
7.375% 01/27/03 ............... 100,000 101,040
Paramount Communications Inc.
7.50% 01/15/02 ............... 75,000 75,163
Philip Morris Cos. Inc.
7.25% 09/15/01 ............... 25,000 24,825
7.65% 07/01/08 ............... 125,000 119,168
Phillips Petroleum Co.
9.375% 02/15/11 ............... 150,000 169,824
Pitney Bowes Credit Corp.
9.25% 06/15/08 ............... 150,000 166,767
Procter & Gamble Co.
6.875% 09/15/09 ............... 55,000 53,727
9.36% 01/01/21 ............... 55,000 63,476
Quebec Province of Canada
7.50% 09/15/29 ............... 100,000 96,937
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Raytheon Co.
6.75% 08/15/07 ...............$100,000 $ 93,293
RJR Nabisco Inc.
6.125% 02/01/33 ............... 30,000 28,636
Rohm & Haas Co.
7.85% 07/15/29 ............... 35,000 35,103
Safeway Inc.
7.50% 09/15/09 ............... 100,000 98,041
Sprint Capital Corp.
5.70% 11/15/03 ............... 25,000 23,721
6.875% 11/15/28 ............... 160,000 142,194
Stop & Shop Cos. Inc.
9.75% 02/01/02 ............... 20,000 21,000
Suntrust Banks Inc.
6.00% 01/15/28 ............... 25,000 22,824
Tele-Communications Inc.
9.80% 02/01/12 ............... 30,000 35,050
7.875% 08/01/13 ............... 35,000 35,540
Teleglobe Inc.
7.20% 07/20/09 ............... 50,000 46,966
Textron Inc.
6.375% 07/15/04 ............... 85,000 81,967
Tosco Corp.
7.625% 05/15/06 ............... 20,000 19,756
Tribune Co.
6.875% 11/01/06 ............... 200,000 190,922
Turner Broadcasting Systems Inc.
8.375% 07/01/13 ............... 35,000 36,249
Tyco International Group S.A.
6.25% 06/15/03 ............... 20,000 19,202
7.00% 06/15/28 ............... 130,000 112,497
U.S. West Capital Funding Inc.
6.125% 07/15/02 ............... 15,000 14,636
6.875% 07/15/28 ............... 20,000 17,495
Union Carbide Corp.
6.79% 06/01/25 ............... 50,000 48,140
Union Oil Co. of California
7.35% 06/15/09 ............... 100,000 97,290
United Illuminating Co.
6.25% 12/15/02 ............... 10,000 9,642
United Parcel Service Inc.
8.375% 04/01/30 ............... 45,000 48,060
US Airways Pass Through Trust
8.36% 07/20/20 ............... 70,000 68,326
US West Communications Inc.
5.625% 11/15/08 ............... 100,000 87,486
USA Networks Inc.
6.75% 11/15/05 ............... 55,000 51,622
USA Waste Services Inc.
6.125% 07/15/01 ............... 115,000 109,451
USX Marathon Group
9.80% 07/01/01 ............... 25,000 25,856
Wal-Mart Stores Inc.
6.875% 08/10/09 ............... 125,000 121,711
Walt Disney Co.
5.62% 12/01/08 ............... 40,000 35,352
Westinghouse Electric Corp.
8.875% 06/01/01 ............... 15,000 15,339
Williams Cos. Inc.
6.125% 02/15/02 ............... 50,000 48,854
TOTAL CORPORATE NOTES
(COST $8,684,399) ............... 8,300,097
- -------------
See Notes to Schedule of Investments and Notes to Financial Statements.
32
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
NON-AGENCY MORTGAGE BACKED SECURITIES -- 1.6%
Chase Commercial Mortgage Securities Corp.
6.39% 11/18/08 .............. $146,000 $ 135,963
Commercial Mortgage Acceptance Corp.
6.49% 05/15/08 .............. 72,000 67,433
Credit Suisse First Boston Mortgage Securities Corp.
6.30% 11/15/08 .............. 163,000 150,418
DLJ Mortgage Acceptance Corp.
6.24% 11/12/31 .............. 325,000 298,797
First Union Lehman Brothers - Bank of America
6.28% 06/18/07 .............. 118,348 114,132
GMAC Commercial Mortgage Securities Inc.
6.42% 08/15/08 .............. 107,000 99,711
10.07% 08/15/23 .............. 878,028 34,023(d)
Lehman Large Loan
6.79% 06/12/04 .............. 26,577 26,278
Merrill Lynch Mortgage Investors Inc.
6.39% 02/15/30 .............. 160,000 150,000
Mid-State Trust
7.54% 07/01/35 .............. 12,284 11,562(d)
Morgan Stanley Capital I
6.52% 01/15/08 .............. 21,000 19,858
6.54% 05/15/08 .............. 135,000 127,638
6.21% 09/15/08 .............. 159,000 146,727
9.74% 04/15/23 .............. 427,839 17,114(d)
6.01% 11/15/30 .............. 49,166 46,738
6.48% 11/15/30 .............. 88,000 82,693
Mortgage Capital Funding Inc.
6.423% 05/18/08 .............. 150,000 139,359
Nationslink Funding Corp.
6.001% 11/20/07 .............. 28,000 26,635
6.476% 07/20/08 .............. 89,000 83,632
TOTAL NON-AGENCY MORTGAGE BACKED SECURITIES
(COST $1,921,269) .............. 1,778,711
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.1%
Salomon Brothers Mortgage Securities Inc.
7.00% 07/25/24 .............. 82,247 71,218
(COST $81,078)
TOTAL BONDS AND NOTES
(COST $38,018,204) ............. 36,646,643
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.1%
- --------------------------------------------------------------------------------
DOMESTIC PREFERRED -- 0.0%
TCI Communications Inc., 10.00% ... 1,200 $ 30,975
INTERNATIONAL PREFERRED-- 0.1%
Henkel KGaA ....................... 680 44,870
TOTAL PREFERRED STOCK
(COST $84,238) ................. 75,845
- --------------------------------------------------------------------------------
WARRANTS -- 0.0%
- --------------------------------------------------------------------------------
Muenchener Rueckversicherungs-
Gesellschaft AG (Regd.), 06/03/02
(Cost $ 0) ..................... 11 585(a)
TOTAL INVESTMENTS IN SECURITIES
(COST $84,537,251) ............. 102,870,479
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 11.3%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund
(COST $12,473,104) ............12,473,104 12,473,104
OTHER ASSETS AND LIABILITIES,
NET (4.9)% .................... (5,430,289)
------------
NET ASSETS -- 100% ............... $109,913,294
============
- ------------
See Notes to Schedule of Investments and Notes to Financial Statements.
33
<PAGE>
INCOME FUND
- --------------------------------------------------------------------------------
Q&A
ROBERT MACDOUGALL LEADS THE FIXED INCOME TEAM AT GE ASSET MANAGEMENT. BOB
MANAGES INDIVIDUAL, INSTITUTIONAL AND MUTUAL FUND PORTFOLIOS WITH TOTAL ASSETS
EXCEEDING $29 BILLION. HIS RESPONSIBILITIES INCLUDE MANAGING THE INCOME FUND AND
MONEY MARKET FUND. BOB JOINED GE ASSET MANAGEMENT IN 1986 AS MUTUAL FUND
PORTFOLIO MANAGER, BECAME SENIOR VICE PRESIDENT - TAXABLE FIXED INCOME IN 1992
AND WAS NAMED TO HIS PRESENT POSITION, RESPONSIBLE FOR BOTH TAXABLE AND
TAX-EXEMPT FIXED INCOME OPERATIONS, IN 1997. PREVIOUSLY HE WAS WITH GE'S
CORPORATE TREASURY OPERATION, MANAGING THE COMPANY'S $2 BILLION PORTFOLIO OF
MARKETABLE SECURITIES AND SUPPORTING THE TREASURER IN DEBT MANAGEMENT AND
CAPITAL STRUCTURE PLANNING. PRIOR TO THAT, BOB HAS HELD VARIOUS FINANCIAL
MANAGEMENT POSITIONS SINCE JOINING GE IN 1973. BOB IS A TRUSTEE OF THE GE
PENSION TRUST AND GE'S EMPLOYEE SAVINGS PROGRAM. HE HOLDS BACHELOR'S AND
MASTER'S DEGREES IN BUSINESS ADMINISTRATION FROM THE UNIVERSITY OF
MASSACHUSETTS.
Q. DESCRIBE WHAT HAPPENED IN THE FIXED INCOME MARKETS DURING 1999.
A. The U.S. bond market suffered its second worst year since 1973. Yields on
30-year Treasuries rose from 5.1% to 6.5%. Intermediate maturity bonds fared
even worse as yields rose 1.8%. The end result was price depreciation that
more than offset interest income producing a -0.83% total return for the
Lehman Brothers Aggregate Bond Index.
The global economic crisis, which prompted the Federal Reserve to ease
monetary policy 75 basis points in 1998, subsided in 1999. The pace of
economic activity remained robust and rekindled fears of inflation. Low
unemployment and rising real estate and stock market wealth buoyed consumer
confidence and, in turn, consumer spending. Concerned that tight labor
markets would lead to inflationary increases in wages, the Federal Reserve
took back all of the 1998 easing in three 25 basis point steps between June
and November. Many observers believe further tightening would have occurred
had it not been for the uncertainty over how the century date change might
affect financial markets.
In terms of sectors, mortgage backed securities performed the best, returning
1.86%, due primarily to their shorter average duration and higher yield.
Corporates lost 1.96% while U.S. Treasuries and agencies declined 2.23%.
Q. HOW DID THE INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER PEER
GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The Income Fund had a return of -1.43% for the one-year period ended December
31, 1999. For the same period, the Lehman Brothers Aggregate Bond Index
returned -0.83% and our Lipper peer group of 19 Intermediate Investment Grade
Debt annuity funds posted an average return of -0.60%.
Q. WHAT WERE THE KEY DRIVERS OF FUND PERFORMANCE?
A. The back-up in interest rates in the early part of the year cost us some
relative performance until we adjusted downward our interest rate sensitivity
(duration). On the plus side, our overweight in mortgage backed securities
and good security selection in the corporate sector impacted returns
favorably.
Q. WHAT IS YOUR OUTLOOK FOR THE BOND MARKET?
A. Until we see a slowdown in the pace of economic activity, the market is at
risk to more Federal Reserve tightening and higher rates. Meanwhile global
competition and increasing productivity should keep a lid on inflation. Once
fears of an overheating economy subside, bond yields will look very
attractive.
34
<PAGE>
INCOME FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
Income Fund LB Aggregate
1/3/95 $10000 $10000
3/95 10453 10504
6/95 11016 11144
9/95 11210 11363
12/95 11683 11847
3/96 11445 11636
6/96 11463 11702
9/96 11674 11918
12/96 12024 12275
3/97 11953 12207
6/97 12378 12657
9/97 12770 13079
12/97 13106 13464
3/98 13312 13672
6/98 13626 13991
9/98 14102 14583
12/98 14148 14632
3/99 14056 14558
6/99 13884 14429
9/99 13964 14528
12/99 13946 14511
Income Fund (ending value $13,946)
LB Aggregate (ending value $14,511)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE THREE SINCE
YEAR YEAR COMMENCEMENT
- --------------------------------------------------------------------------------
Income Fund (1.43)% 5.07% 6.89%
- --------------------------------------------------------------------------------
LB Aggregate (0.83)% 5.73% 7.73%
- --------------------------------------------------------------------------------
Lipper peer group average* (0.60)% 5.15% N/A
- --------------------------------------------------------------------------------
Commencement date 1/3/95
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek to maximize
income consistent with prudent investment
management and preservation of capital by
investing primarily in income-bearing debt
securities and instruments.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NET ASSETS OF $68,434 (IN THOUSANDS)
[PIE CHART OMITTED]
MORTGAGE BACKED 36.9%
CORPORATE NOTES 22.0%
U.S. TREASURIES 18.4%
FEDERAL AGENCIES 12.1%
CASH & OTHER 10.6%
- --------------------------------------------------------------------------------
QUALITY RATINGS
AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
MOODY'S / S&P PERCENTAGE OF
RATINGS NET ASSETS
- --------------------------------------------------------------------------------
Aaa / AAA 72.68%
- --------------------------------------------------------------------------------
Aa / AA 4.13%
- --------------------------------------------------------------------------------
A / A 9.72%
- --------------------------------------------------------------------------------
Baa / BBB 6.96%
- --------------------------------------------------------------------------------
Ba / BB 0.33%
- --------------------------------------------------------------------------------
Other 6.18%
- --------------------------------------------------------------------------------
+ MOODY'S INVESTORS SERVICES, INC./STANDARD & POOR'S ARE NATIONALLY RECOGNIZED
STATISSTICAL RATING ORGANIZATIONS.
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE INTERMEDIATE U.S. BOND PEER GROUP CONSISTING OF
19 AND 14 UNDERLYING ANNUITY FUNDS, RESPECTIVELY.
See Notes to Performance.
Past performance is no guarantee of future results.
35
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
INCOME FUND
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
BONDS AND NOTES -- 93.6%
- --------------------------------------------------------------------------------
U.S. TREASURIES -- 18.4%
U.S. Treasury Bonds
8.125% 08/15/19 ........... $ 2,547,000 $ 2,902,383(h)
5.25% 02/15/29 ........... 65,000 53,746(h)
6.125% 08/15/29 ........... 1,625,000 1,549,080(h)
4,505,209
U.S. Treasury Notes
5.25% 05/31/01 ........... 2,139,000 2,111,600(h)
5.875% 11/30/01 ........... 1,870,000 1,858,013(h)
5.875% 11/15/04 ........... 1,505,000 1,475,607(h)
7.00% 07/15/06 ........... 478,000 489,577(h)
6.00% 08/15/09 ........... 1,270,000 1,230,313(h)
7,165,110
U.S. Treasury STRIPS
6.83% 08/15/11 ........... 375,000 170,813(d,h)
6.84% 02/15/12 ........... 560,000 246,305(d,h)
6.85% 02/15/19 ........... 1,750,000 478,012(d,h)
895,130
TOTAL U.S. TREASURIES
(COST $13,066,295) .......... 12,565,449
FEDERAL AGENCIES-- 12.1%
Federal Farm Credit Bank
9.15% 02/14/05 ........... 100,000 109,328
8.60% 05/30/06 ........... 400,000 405,748
515,076
Federal Home Loan Bank
5.625% 03/19/01 ........... 390,000 385,796
5.875% 08/15/01 ........... 1,475,000 1,461,636
5.25% 04/25/02 ........... 440,000 426,730
2,274,162
Federal Home Loan Mortgage Corp.
6.22% 03/18/08 ........... 395,000 364,759
5.75% 04/15/08 ........... 290,000 266,937
5.125% 10/15/08 ........... 425,000 372,406
6.625% 09/15/09 ........... 930,000 903,551
8.25% 06/01/26 ........... 60,000 65,785
1,973,438
Federal National Mortgage Assoc.
5.75% 04/15/03 ........... 70,000 67,988
5.125% 02/13/04 ........... 940,000 883,750
5.78% 05/05/04 ........... 375,000 358,009
6.99% 07/09/07 ........... 50,000 48,344
5.64% 12/10/08 ........... 485,000 434,254
6.04% 02/25/09 ........... 905,000 828,636
6.16% 08/07/28 ........... 630,000 551,741
3,172,722
Small Business Administration
6.125% 01/01/18 ........... 255,711 237,611
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Tennessee Valley Authority
6.125% 07/15/03 ........... $133,000 $ 129,114
TOTAL FEDERAL AGENCIES
(COST $8,755,636) ........... 8,302,123
AGENCY MORTGAGE BACKED-- 31.9%
Federal Home Loan Mortgage Corp.
8.00% 04/01/00 ........... 5,870 5,883
6.75% 10/01/08 ........... 52,510 51,750(b)
8.00% 09/01/09 ........... 94,049 94,531
7.50% 11/01/09 ........... 71,681 72,330
7.50% 06/01/10 ........... 28,260 28,516
8.50% 07/01/10 ........... 99,700 101,626
7.50% 09/01/12 ........... 152,736 153,881
9.00% 02/01/17 ........... 27,938 28,924
8.00% 04/01/17 ........... 99,674 101,212
8.00% 08/01/24 ........... 28,553 28,883
8.00% 10/01/25 ........... 14,718 14,878
8.00% 11/01/26 ........... 19,625 19,839
8.00% 05/01/27 ........... 1,377,573 1,390,908
8.00% 02/01/28 ........... 22,053 22,294
6.50% 02/01/29 - 08/01/29 2,102,079 1,981,861
6.00% TBA ................ 800,000 732,248(c)
6.50% TBA ................ 1,242,000 1,170,970(c)
7.00% TBA ................ 3,923,760 3,797,454(c)
7.50% TBA ................ 300,000 296,907(c)
10,094,895
Federal National Mortgage Assoc.
7.50% 07/01/02 ........... 16,575 16,585
6.50% 01/01/04 ........... 940 930
7.50% 12/01/09 ........... 605,945 609,732
7.00% 08/01/13 ........... 65,172 64,448
7.50% 02/01/14 ........... 374,112 376,450
9.00% 04/01/16 ........... 93,281 98,178
8.00% 12/01/17 ........... 155,744 158,275
9.00% 12/01/17 ........... 119,211 124,278
7.50% 12/01/18 ........... 81,231 80,845
7.835% 07/01/19 ........... 93,122 92,809
9.00% 12/01/22 ........... 136,453 142,359
7.50% 12/01/23 ........... 341,857 339,721
7.00% 10/01/27 - 11/01/27 913,401 883,972
7.00% 07/01/28 ........... 179,153 173,217
6.50% 01/01/29 - 03/01/29 895,305 843,539
6.00% 10/01/29 ........... 728,440 666,290
6.50% TBA ................ 1,038,261 995,352(c)
7.50% TBA ................ 900,000 889,875(c)
6,556,855
Government National Mortgage Assoc.
7.00% 03/15/12 ........... 421,761 417,409
9.00% 11/15/16 ........... 359,987 379,783
9.00% 01/15/17 - 11/15/17 258,758 272,698
8.50% 10/15/17 ........... 262,637 272,166
9.00% 12/15/21 ........... 25,700 27,033
6.125% 11/20/22 ........... 42,114 42,607
6.375% 02/20/23 ........... 115,017 116,660
6.50% 02/15/24 - 03/15/24 408,199 387,021
6.125% 12/20/24 ........... 56,919 57,817
- -------------
See Notes to Schedule of Investments and Notes to Financial Statements.
36
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
6.375% 02/20/26 ............ $ 20,412 $ 20,718
6.50% 04/15/28 ............ 851,672 799,235
7.00% 04/15/28 - 10/15/28 . 1,601,937 1,546,863
8.00% TBA ................. 803,000 811,030(c)
5,151,040
TOTAL AGENCY MORTGAGE BACKED
(COST $22,382,185) ........... 21,802,790
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.7%
Federal Home Loan Mortgage Corp.
5.85% 02/15/08 ............ 110,000 107,800
6.50% 07/15/08 ............ 50,000 47,609
6.50% 02/15/21 ............ 48,474 47,445
7.00% 02/15/21 ............ 50,000 49,953
5.75% 06/15/23 ............ 129,000 121,945
374,752
Federal National Mortgage Assoc.
7.623% 12/17/04 ............ 10,851 10,905
6.00% 03/25/19 ............ 361,920 326,065
7.00% 06/18/20 ............ 2,609 2,601(b)
9.00% 05/25/22 ............ 5,712 1,623(g)
8.50% 07/25/22 ............ 9,170 2,522(g)
343,716
Federal National Mortgage Assoc. REMIC
6.00% 06/25/01 ............ 23,830 23,480
6.171% 05/25/14 ............ 288,094 278,101
6.00% 03/25/19 ............ 85,420 84,538
7.00% 09/25/20 ............ 12,475 12,315
8.00% 10/25/20 ............ 51,437 51,790
6.24% 12/25/22 ............ 5,648 4,080(d,f)
454,304
TOTAL AGENCY COLLATERALIZED
MORTGAGE OBLIGATIONS
(COST $1,225,956) ............ 1,172,772
ASSET BACKED -- 1.8%
Advanta Mortgage Loan Trust Corp.
6.30% 07/25/25 ............ 2,823 2,767
Chase Credit Card Master Trust
6.00% 08/15/05 ............ 40,000 38,887
Citibank Credit Card Master Trust I
5.75% 01/15/03 ............ 18,000 17,826
5.50% 02/15/06 ............ 114,000 107,587
Discover Card Master Trust I
5.75% 10/16/03 ............ 84,000 82,766
5.30% 08/15/04 ............ 69,000 66,693
5.60% 05/16/06 ............ 319,000 303,050
First USA Credit Card Master Trust
5.28% 09/18/06 ............ 181,000 170,140
Ford Credit Auto Loan Master Trust
5.50% 02/15/03 ............ 45,000 44,361
Ford Credit Auto Owner Trust
5.90% 06/15/02 ............ 28,000 27,755
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Green Tree Financial Corp.
6.90% 04/15/18 ............ $ 56,220 $ 55,886
6.97% 04/01/31 ............ 81,000 80,393
MBNA Master Credit Card Trust
6.60% 04/16/07 ............ 107,000 105,194
Peco Energy Transport Trust
5.80% 03/01/07 ............ 56,000 53,147
6.05% 03/01/09 ............ 56,000 52,535
West Penn Funding LLC Transition Bonds
6.81% 09/25/08 ............ 59,000 58,594
TOTAL ASSET BACKED
(COST $1,315,292) ............ 1,267,581
CORPORATE NOTES -- 22.0%
Abbey National PLC
7.95% 10/26/29 ............ 95,000 94,617
6.70% 06/29/49 ............ 15,000 13,527
7.35% 10/29/49 ............ 131,000 124,674
Aetna Services Inc.
6.97% 08/15/36 ............ 135,000 132,257
Allstate Corp.
7.20% 12/01/09 ............ 80,000 77,775
Amerada Hess Corp.
7.875% 10/01/29 ............ 125,000 121,913
American Airlines Inc.
6.855% 04/15/09 ............ 80,000 78,597
Arizona Public Service Co.
6.25% 01/15/05 ............ 65,000 61,000
Armstrong World Industries Inc.
7.45% 05/15/29 ............ 100,000 88,762
Associates Corporation of North America
6.375% 10/15/02 ............ 300,000 295,032
5.75% 11/01/03 ............ 55,000 52,460
AT&T Capital Corp.
6.60% 05/15/05 ............ 65,000 62,509
AT&T Corp.
6.50% 03/15/29 ............ 115,000 98,519
Atlantic City Electric Co.
6.19% 01/17/06 ............ 160,000 150,290
Bank One Corp.
6.40% 08/01/02 ............ 130,000 127,798
BCI US Funding Trust I
9.39% 12/29/49 ............ 100,000 92,000(b,d)
Beckman Instruments Inc.
7.10% 03/04/03 ............ 40,000 38,281
Bell Telephone Co. - Pennsylvania
8.35% 12/15/30 ............ 243,000 263,164
Bellsouth Telecomm Inc.
6.375% 06/01/28 ............ 75,000 63,161
Boston University
7.625% 07/15/97 ............ 100,000 93,672
Brascan Ltd.
7.375% 10/01/02 ............ 30,000 29,410
Bristol-Myers Squibb Co.
6.875% 08/01/97 ............ 75,000 67,016
CIT Group Inc.
7.125% 10/15/04 ............ 115,000 114,019
- --------------
See Notes to Schedule of Investments and Notes to Financial Statements.
37
<PAGE>
INCOME FUND
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Cleveland Electric Co. Toledo Edison
7.19% 07/01/00 ............. $ 5,000 $ 4,994
Coastal Corp.
6.375% 02/01/09 ............. 80,000 72,872
Columbia University Trustees New York
6.83% 12/15/20 ............. 5,000 4,693
Conseco Inc.
6.40% 06/15/01 ............. 149,000 144,481
8.70% 11/15/26 ............. 52,000 46,414
Continental Cablevision Inc.
8.50% 09/15/01 ............. 160,000 163,050
Corporacion Andina De Fomento
6.75% 03/15/05 ............. 130,000 123,405
Crown Cork & Seal Co. Inc.
8.00% 04/15/23 ............. 75,000 69,015
CSX Corp.
6.25% 10/15/08 ............. 175,000 158,356
DaimlerChrysler AG
7.20% 09/01/09 ............. 100,000 98,224
Delphi Automotive Systems Corp.
6.125% 05/01/04 ............. 75,000 70,947
Dresdner Funding Trust I
8.151% 06/30/31 ............. 150,000 140,722(b)
Du Pont de Nemours (E.I.) & Co.
6.75% 10/15/04 ............. 55,000 54,279
6.875% 10/15/09 ............. 55,000 53,271
Duke Capital Corp.
7.25% 10/1/04 .............. 180,000 176,141
Duke Energy Corp.
5.375% 01/01/09 ............. 80,000 69,194
Electronic Data Systems Corp.
6.85% 10/15/04 ............. 75,000 73,957
7.45% 10/15/29 ............. 100,000 96,918
EOP Operating LP
6.50% 01/15/04 ............. 30,000 28,610
FDX Corp.
7.85% 01/30/15 ............. 61,793 60,535
Federated Department Stores Inc.
6.125% 09/01/01 ............. 80,000 78,618
Ford Motor Credit Co.
6.70% 07/16/04 ............. 100,000 97,875
5.80% 01/12/09 ............. 80,000 70,901
7.375% 10/28/09 ............. 180,000 177,705
7.45% 07/16/31 ............. 100,000 96,204
Fortune Brands Inc.
7.125% 11/01/04 ............. 100,000 99,300(b)
FPL Group Capital Inc.
7.375% 06/01/09 ............. 450,000 442,084
General Motors Acceptance Corp.
5.75% 11/10/03 ............. 50,000 47,608
6.15% 04/05/07 ............. 80,000 74,544
Georgia-Pacific Group
9.95% 06/15/02 ............. 50,000 52,746
Goldman Sachs Group L.P.
6.65% 05/15/09 ............. 100,000 93,080
Goodrich (BF) Co.
6.45% 04/15/08 ............. 75,000 68,709
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Guangdong International Trust & Investment Corp.
8.75% 10/24/16 .............$ 10,000 $ 500(a,b,j)
HCR Manor Care Inc.
7.50% 06/15/06 ............. 50,000 43,965
Heritage Media Corp.
8.75% 02/15/06 ............. 95,000 97,613
Household Finance Corp.
6.125% 07/15/02 ............. 30,000 29,198
Hydro-Quebec
8.05% 07/07/24 ............. 260,000 274,596
Israel Electric Corp. Ltd.
7.125% 07/15/05 ............. 40,000 38,288(b)
J.P. Morgan & Co.
6.00% 01/15/09 ............. 55,000 49,218
Korea Development Bank
6.625% 11/21/03 ............. 5,000 4,801
Kroger Co.
6.34% 06/01/01 ............. 149,000 147,485
7.375% 03/01/05 ............. 150,000 147,387
LCI International Inc.
7.25% 06/15/07 ............. 78,000 74,995
Lehman Brothers Holdings Inc.
8.50% 08/01/15 ............. 160,000 163,384
7.50% 08/01/26 ............. 100,000 100,270
LG&E Capital Corp.
5.75% 11/01/01 ............. 95,000 92,911(b)
Liberty Property Ltd. Partnership
7.50% 01/15/18 ............. 65,000 55,130
Lockheed Martin Corp.
7.95% 12/01/05 ............. 175,000 172,478
8.20% 12/01/09 ............. 80,000 79,600
8.50% 12/01/29 ............. 55,000 55,898
Lumbermens Mutual Casualty
8.30% 12/01/37 ............. 40,000 34,216(b)
MBNA Corp.
6.306% 04/22/03 ............. 100,000 96,422
MCI Communications Corp.
6.125% 04/15/02 ............. 225,000 221,350
MCI WorldCom Inc.
6.40% 08/15/05 ............. 75,000 71,837
8.875% 01/15/06 ............. 100,000 104,957
Merita Bank Ltd.
7.15% 12/29/49 ............. 250,000 241,590(b)
Merrill Lynch & Co.
5.71% 01/15/02 ............. 145,000 141,581
Monsanto Co.
5.75% 12/01/05 ............. 75,000 69,031
Morgan Stanley Dean Witter & Co.
7.125% 01/15/03 ............. 165,000 164,870
5.625% 01/20/04 ............. 55,000 51,806
Nabisco Inc.
6.125% 02/01/33 ............. 75,000 71,590
Natexis AMBS Co. LLC
8.44% 12/29/49 ............. 65,000 61,256(b)
National Rural Utilities Cooperative
6.046% 04/15/03 ............. 100,000 96,720
5.50% 01/15/05 ............. 45,000 41,895
National Westminster Bank PLC
7.75% 04/29/49 ............. 185,000 177,768
- --------------
See Notes to Schedule of Investments and Notes to Financial Statements.
38
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
New Jersey Economic Development Authority
7.425% 02/15/29 ............ $ 10,000 $ 9,749
Newell Co.
6.35% 07/15/08 ............ 55,000 50,929
News America Holdings Inc.
7.625% 11/30/28 ............ 105,000 97,307
8.15% 10/17/36 ............ 279,000 266,668
Noram Energy Corp.
6.375% 11/01/03 ............ 65,000 62,566
Norfolk Southern Corp.
7.90% 05/15/97 ............ 92,000 87,072
North Atlantic Energy Corp.
9.05% 06/01/02 ............ 9,000 9,122
Northrop-Grumman Corp.
8.625% 10/15/04 ............ 65,000 67,160
Occidental Petroleum Corp.
7.375% 11/15/08 ............ 90,000 87,634
Ontario Province of Canada
7.375% 01/27/03 ............ 135,000 136,404
Pepsi Bottling Holdings Inc.
5.375% 02/17/04 ............ 110,000 103,104(b)
5.625% 02/17/09 ............ 60,000 52,870(b)
Philip Morris Cos. Inc.
7.25% 09/15/01 ............ 60,000 59,581
Phillips Petroleum Co.
9.375% 02/15/11 ............ 185,000 209,450
Pitney Bowes Credit Corp.
9.25% 06/15/08 ............ 200,000 222,356
Principal Financial Group
8.20% 08/15/09 ............ 75,000 76,313(b)
Procter & Gamble Co.
6.875% 09/15/09 ............ 100,000 97,685
9.36% 01/01/21 ............ 105,000 121,183
Quebec Province of Canada
5.67% 02/27/26 ............ 500,000 496,645
7.50% 09/15/29 ............ 100,000 96,937
Raytheon Co.
6.75% 08/15/07 ............ 85,000 79,299
Rohm & Haas Co.
6.95% 07/15/04 ............ 55,000 54,030(b)
7.85% 07/15/29 ............ 100,000 100,293
Royal & Sun Alliance Insurance Group PLC
8.95% 10/15/29 ............ 110,000 112,332(b)
Safeway Inc.
7.50% 09/15/09 ............ 80,000 78,433
Sprint Capital Corp.
5.70% 11/15/03 ............ 60,000 56,931
6.875% 11/15/28 ............ 75,000 66,653
Stop & Shop Cos. Inc.
9.75% 02/01/02 ............ 40,000 42,000
SunAmerica Inc.
5.60% 07/31/97 ............ 295,000 202,869
Suntrust Bank Inc.
6.00% 01/15/28 ............ 60,000 54,778
Tele-Communications Inc.
9.80% 02/01/12 ............ 65,000 75,942
7.875% 08/01/13 ............ 70,000 71,079
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Teleglobe Canada Inc.
7.20% 07/20/09 ............ $ 75,000 $ 70,449
Texas Utilities Co.
5.94% 10/15/01 ............ 225,000 221,179
Textron Inc.
6.375% 07/15/04 ............ 130,000 125,362
Time Warner Inc.
10.15% 05/01/12 ............ 224,000 262,432
Time Warner Pass-Through Asset Trust
6.10% 12/30/01 ............ 95,000 93,116(b)
Tosco Corp.
7.625% 05/15/06 ............ 45,000 44,450
TRW Inc.
6.625% 06/01/04 ............ 100,000 96,273
Turner Broadcasting Systems Inc.
8.375% 07/01/13 ............ 80,000 82,855
TXU Eastern Funding Co.
6.45% 05/15/05 ............ 160,000 151,346
6.75% 05/15/09 ............ 80,000 73,339
Tyco International Group S.A.
6.25% 06/15/03 ............ 5,000 4,801
7.00% 06/15/28 ............ 95,000 82,209
Union Carbide Corp.
6.79% 06/01/25 ............ 95,000 91,465
Union Oil Co.
7.35% 06/15/09 ............ 60,000 58,374
United Illuminating Co.
6.25% 12/15/02 ............ 25,000 24,106
United Parcel Service Inc.
8.375% 04/01/30 ............ 95,000 101,460
US Airways Pass Through Trust
8.36% 07/20/20 ............ 80,000 78,087
US West Capital Funding Inc.
6.875% 08/15/01 ............ 125,000 123,856(b)
6.125% 07/15/02 ............ 30,000 29,272
6.875% 07/15/28 ............ 40,000 34,990
US West Communications Inc.
5.625% 11/15/08 ............ 90,000 78,737
USA Networks Inc.
6.75% 11/15/05 ............ 70,000 65,701
USA Waste Services Inc.
6.125% 07/15/01 ............ 75,000 71,381
USX Marathon Group
9.80% 07/01/01 ............ 60,000 62,053
Viacom Inc.
7.75% 06/01/05 ............ 218,000 219,424
Wal-Mart Stores Inc.
6.875% 08/10/09 ............ 135,000 131,448
Walt Disney Co.
5.62% 12/01/08 ............ 75,000 66,285
Westinghouse Electric Corp.
8.875% 06/01/01 ............ 35,000 35,790
Williams Cos. Inc.
6.125% 02/15/02 ............ 120,000 117,251
Yale University
7.375% 04/15/96 ............ 215,000 203,517
TOTAL CORPORATE NOTES
(COST $15,853,382) ........... 15,030,893
- ------------
See Notes to Schedule of Investments and Notes to Financial Statements.
39
<PAGE>
INCOME FUND
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
NON-AGENCY MORTGAGE BACKED SECURITIES -- 5.0%
Chase Commercial Mortgage Securities Corp.
6.39% 11/18/08 .............$ 148,000 $ 137,825
Commercial Mortgage Acceptance Corp.
6.49% 05/15/08 ............. 110,000 103,022
Credit Suisse First Boston Mortgage Securities Corp.
6.30% 11/15/08 ............. 108,000 99,664
DLJ Commercial Mortgage Corp.
6.24% 11/12/31 ............. 801,000 736,419
First Union Lehman Brothers - Bank of America
6.56% 11/18/08 ............. 378,000 355,792
GMAC Commercial Mortgage Security Inc.
6.42% 08/15/08 ............. 65,000 60,572
10.07% 08/15/23 ............. 1,874,442 72,634(d)
GS Mortgage Securities Corp.
6.86% 07/13/30 ............. 219,000 216,605
Lehman Large Loan
6.79% 06/12/04 ............. 9,492 9,385
Merrill Lynch Mortgage Investors Inc.
6.39% 02/15/30 ............. 100,000 93,750
Mid-State Trust
7.54% 07/01/35 ............. 6,142 5,781
Morgan Stanley Capital I
6.86% 05/15/06 ............. 208,413 205,677(b)
6.52% 01/15/08 ............. 21,000 19,858
6.21% 09/15/08 ............. 98,000 90,436
9.82% 10/15/18 ............. 1,436,029 68,436(b,d)
9.74% 04/15/23 ............. 920,548 36,822(d)
6.01% 11/15/30 ............. 122,451 116,404
6.48% 11/15/30 ............. 170,000 159,747
Nationslink Funding Corp.
6.001% 11/20/07 ............. 70,000 66,588
Sawgrass Finance REMIC Trust
6.45% 01/20/06 ............. 272,000 271,490
Vornado Finance Corp.
6.36% 12/01/00 ............. 521,000 519,371(b)
TOTAL NON-AGENCY MORTGAGE BACKED SECURITIES
(COST $3,582,189) ............. 3,446,278
NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.7%
Salomon Brothers Mortgage Securities Inc.
7.00% 07/25/24 ............. 520,579 447,229
(COST $509,990)
TOTAL BONDS AND NOTES
(COST $66,690,925) ............ 64,035,115
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.2%
- --------------------------------------------------------------------------------
CORPORATE PREFERRED -- 0.2%
AT&T CORP.
10.00% ......................... 2,400 $ 61,950
Centaur Funding Corp.
(Series B), 9.08% ............. 105 106,072(b)
TOTAL PREFERRED STOCK
(COST $170,250) ................. 168,022
TOTAL INVESTMENTS IN SECURITIES
(COST $66,861,175) .............. 64,203,137
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 17.9%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund ....7,777,196 7,777,196
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
FEDERAL AGENCIES -- 6.6%
Federal Home Loan Mortgage Corp.
5.79% 01/11/00 ............$ 3,500,000 3,494,565(d)
International Bank for
Reconstruction & Development
5.76% 01/12/00 ............ 1,000,000 998,278(d)
TOTAL SHORT-TERM INVESTMENTS
(COST $12,270,039) ........... 12,270,039
OTHER ASSETS AND LIABILITIES,
NET (11.7)% .................. (8,039,615)
-----------
NET ASSETS -- 100% .............. $68,433,561
===========
- --------------
See Notes to Schedule of Investments and Notes to Financial Statements.
40
<PAGE>
GLOBAL INCOME FUND
- --------------------------------------------------------------------------------
Q&A
WILLIAM R. WRIGHT, PORTFOLIO MANAGER OF THE GLOBAL INCOME FUND, JOINED GE ASSET
MANAGEMENT IN 1993 AND ASSUMED RESPONSIBILITY FOR GE ASSET MANAGEMENT LIMITED
(GEAML), FORMERLY GE INVESTMENTS (US) LIMITED, AT ITS INCEPTION IN 1995. GEAML
HAS TOTAL ASSETS UNDER MANAGEMENT EXCEEDING $746 MILLION. BILL IS ALSO A VICE
PRESIDENT OF GE ASSET MANAGEMENT. PRIOR TO JOINING GE ASSET MANAGEMENT, BILL
WORKED FOR CONTINENTAL ASSET MANAGEMENT CORP. WHERE HE WAS A PORTFOLIO MANAGER
OF ITS U.K. SUBSIDIARY. AFTER SERVING AS A LANGUAGE SPECIALIST IN THE U.S. ARMY
SECURITY AGENCY, HE BEGAN HIS CAREER IN 1979 WITH COOPERS & LYBRAND, AND JOINED
BANKERS TRUST COMPANY IN 1980. BILL RECEIVED HIS B.A. IN POLITICAL SCIENCE/ASIAN
STUDIES FROM WITTENBERG UNIVERSITY AND AN MBA IN FINANCE FROM NEW YORK
UNIVERSITY. HE IS A MEMBER OF THE ASSOCIATION FOR INVESTMENT MANAGEMENT AND
RESEARCH AND THE NEW YORK SOCIETY OF SECURITY ANALYSTS.
Q. HOW DID THE GLOBAL INCOME FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER
PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The Global Income Fund had a return of -7.49% for the one-year period ended
December 31, 1999. The JP Morgan Global Bond Index returned -5.08% and our
Lipper peer group of 35 Global Income annuity funds had an average return of
0.21% for the same period.
Q. WHY DID THE FUND UNDERPERFORM ITS BENCHMARK?
A. The fund's underperformance during 1999 stems principally from the decision
to significantly underweight the Japanese bond market and currency. This
decision was taken due to the very low yield available on Japanese bonds, the
prospects for economic recovery and higher inflation, and the burgeoning
national debt load. It was also expected that Japanese investors would
greatly increase their purchase of non-Japanese securities in order to
increase their returns. At the same time, we expected the economies of the
U.S. and Europe to grow slowly with little inflationary pressure to cause
interest rates to rise. Unfortunately, the outcome was exactly the opposite -
the Japanese bond market was the only developed market to have a positive
return for the year in local currency terms, and the yen appreciated sharply
versus the dollar.
Q. HOW DID THE Y2K PROBLEM AFFECT THE FUND?
A. In general, the millennium bug did not affect the fund. Market fears
concerning the ability of corporations to service their debt did lead to
lower liquidity and wider yield spreads. However, the fund's assets were
primarily invested in government securities. Those corporate bonds that were
held were of high credit quality. While the fund's corporate holdings did
underperform slightly, the impact on the overall fund performance was
negligible.
Q. WHY DID THE WEIGHTING OF THE FUND CHANGE?
A. As discussed above, the initial strategy for the fund was to significantly
underweight the Japanese bond market and currency. The fund began the year
with a position in Japanese bonds about 50% smaller than that of its
benchmark, and the currency weight was about 75% smaller. Conversely, the
European bond markets were given larger weights due to their higher yield and
brighter expected returns. As it became apparent that this strategy was
wrong, the weight in Europe was reduced sharply, and that in Japan was
increased.
Q. WHAT IS YOUR OUTLOOK FOR THE FUND AND HOW HAVE YOU POSITIONED THE FUND GOING
FORWARD?
A. Our central expectation is for interest rates in most major markets to
continue rising over the next year as central banks act to reduce
inflationary pressures, and therefore we are maintaining
shorter-than-benchmark duration. In this environment, we expect Europe to
outperform the U.S., and, therefore, are overweighting European bonds. Japan
is still a major question mark. While the economy is looking stronger, the
sustainability of the recovery is still uncertain. The weighting of Japanese
bonds is below that of the benchmark, and the duration of these holdings is
being maintained just about equal to the benchmark, but we are keeping a
close eye on developments in the Japanese economy which might signal a turn
either way.
41
<PAGE>
GLOBAL INCOME FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
Global Income Fund JPM Global Bond Salomon World Bond
5/1/97 $10000 $10000 $10,000
6/97 10190 10352 10,392
9/97 10320 10427 10,524
12/97 10341 10509 10,543
3/98 10540 10613 10,624
6/98 10729 10853 10,835
9/98 11517 11767 11,736
12/98 11720 12118 12,152
3/99 11219 11646 11,685
6/99 10874 11247 11,283
9/99 11018 11689 11,792
12/99 10841 11503 11,634
Global Income Fund (ending value $10,841)
Salomon World Bond (ending value $11,634)
JPM Global Bond (ending value $11,503)
- --------------------------------------------------------------------------------
ANNUAL AVERAGE TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE SINCE
YEAR COMMENCEMENT
- --------------------------------------------------------------------------------
Global Income Fund (7.49)% 3.07%
- --------------------------------------------------------------------------------
Salomon World Bond (4.26)% 5.84%
- --------------------------------------------------------------------------------
JPM Global Bond (5.08)% 5.39%
- --------------------------------------------------------------------------------
Lipper peer group average* 0.21% N/A
- --------------------------------------------------------------------------------
Commencement date 5/1/97
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek high return,
emphasizing current income and to a lesser extent,
capital appreciation by investing primarily in
foreign and domestic income-bearing debt
securities.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CURRENCY EXPOSURE
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
[PIE CHART OMITTED]
EURO 35.8%
U.S. DOLLARS 34.4%
JAPANESE YEN 17.0%
BRITISH POUND 7.0%
CANADIAN DOLLARS 2.6%
GREEK DRACHMA 2.4%
AUSTRALIAN DOLLARS 0.8%
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NET ASSETS OF $9,175 (IN THOUSANDS)
[PIE CHART OMITTED]
EUROPE 47.4%
UNITED STATES 32.6%
JAPAN 8.9%
CASH & OTHERS 6.9%
CANADA 3.5%
PACIFIC RIM 0.7%
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE GLOBAL INCOME PEER GROUP CONSISTING OF 35
UNDERLYING ANNUITY FUNDS.
See Notes to Performance.
Past performance is no guarantee of future results.
42
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
GLOBAL INCOME FUND
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
BONDS AND NOTES -- 93.1%
- --------------------------------------------------------------------------------
AUSTRALIA -- 0.7%
Queensland Treasury Corp.
8.00% 08/14/01 ........AUD 61,000 $ 41,028
6.00% 07/14/09 ........AUD 47,000 28,274
69,302
AUSTRIA -- 1.8%
Republic of Austria
6.25% 10/16/03 ........JPY 10,000,000 118,220
4.00% 07/15/09 ........EUR 49,000 44,095
162,315
CANADA -- 3.5%
Government of Canada
5.50% 09/01/02 ........CAD 30,000 20,482
5.00% 09/01/04 ........CAD 110,000 72,546
7.00% 12/01/06 ........CAD 70,000 50,428
6.00% 06/01/08 ........CAD 120,000 81,718
1.90% 03/23/09 ........JPY 10,000,000 99,306
324,480
FRANCE -- 6.9%
Government of France
4.50% 07/12/03 ........EUR 95,000 95,340
5.50% 10/25/07 ........EUR 255,000 258,672
Reseau Ferre De France
5.25% 04/14/10 ........EUR 285,000 277,563
631,575
GERMANY -- 16.7%
Allgemeine Hypobank AG
3.25% 08/20/01 ........EUR 225,000 222,574
Bayerische Vereinsbank
4.50% 06/24/02 ........EUR 209,629 211,486
Depfa Pfandbreifbank
4.75% 01/28/02 ........EUR 98,000 99,253
Federal Republic of Germany
4.50% 05/19/03 ........EUR 100,000 100,332
6.875% 05/12/05 ........EUR 50,000 54,719
6.00% 01/04/07 ........EUR 220,000 231,944
6.00% 07/04/07 ........EUR 135,000 142,180
3.75% 01/04/09 ........EUR 50,000 44,817
4.50% 07/04/09 ........EUR 50,000 47,245
6.50% 07/04/27 ........EUR 50,000 53,803
Hypothekenbank AG
4.25% 07/16/02 ........EUR 90,000 89,755
Treuhandanstalt
6.00% 11/12/03 ........EUR 220,000 230,865
1,528,973
GREECE -- 2.2%
Hellenic Republic
7.60% 01/22/02 ........GRD 65,100,000 201,226
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
ITALY -- 8.6%
Republic of Italy
4.50% 07/01/01 ........EUR 130,000 $ 132,396
4.75% 05/01/03 ........EUR 100,000 100,755
3.75% 06/08/05 ........JPY 14,000,000 156,292
6.75% 02/01/07 ........EUR 285,000 310,062
6.50% 11/01/27 ........EUR 82,000 86,279
785,784
JAPAN -- 8.9%
Government of Japan
1.90% 03/20/08 ....... JPY 16,000,000 159,311
1.80% 09/21/09 ....... JPY 48,000,000 475,025
International Bank for
Reconstruction & Development
4.50% 03/20/03 ....... JPY 16,900,000 187,005
821,341
SPAIN -- 4.6%
Government of Spain
10.00% 02/28/05 ....... EUR 105,000 128,868
Kingdom of Spain
4.50% 07/30/04 ........EUR 240,000 237,421
3.10% 09/20/06 ........JPY 5,000,000 54,661
420,950
UNITED KINGDOM -- 6.6%
European Investment Bank
7.625% 12/07/06 ........GBP 99,000 169,517
7.625% 12/07/07 ........GBP 60,000 103,901
Treasury
7.00% 11/06/01 ........GBP 45,000 73,343
7.00% 06/07/02 ........GBP 25,000 40,847
6.50% 12/07/03 ........GBP 24,000 39,097
8.50% 12/07/05 ........GBP 16,000 29,011
8.00% 06/07/21 ........GBP 65,000 150,110
605,826
UNITED STATES -- 32.6%
KFW International Finance
1.00% 12/20/04 ........JPY 30,000,000 294,289
U.S. Treasury Bond
5.25% 02/15/29 ........USD 400,000 330,748
U.S. Treasury Notes
5.50% 08/31/01 ........USD 740,000 731,556
6.50% 08/15/05 ........USD 700,000 700,000
5.50% 02/15/08 ........USD 1,000,000 936,560
2,993,153
TOTAL INVESTMENTS IN SECURITIES
(COST $9,096,081) ....... 8,544,925
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 4.2%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund
(COST $386,711) ......... 386,711 386,711
OTHER ASSETS AND LIABILITIES,
NET 2.7% ................ 243,543
----------
NET ASSETS-- 100% .......... $9,175,179
==========
- --------------
See Notes to Schedule of Investments and Notes to Financial Statements.
43
<PAGE>
MONEY MARKET FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
Money Market Fund 90-Day T-Bill
12/89 $10000 $10000
12/90 10714 10774
12/91 11281 11371
12/92 11622 11770
12/93 11895 12131
12/94 12339 12660
12/95 13067 13377
12/96 13774 14066
12/97 14519 14797
12/98 15282 15520
12/99 16047 16270
Money Market Fund (ending value $16,047)
90-Day T-Bill (ending value $16,270)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE FIVE TEN
YEAR YEAR YEAR
- --------------------------------------------------------------------------------
Money Market Fund 5.00% 5.40% 4.84%
- --------------------------------------------------------------------------------
90-Day T-Bill 4.83% 5.14% 4.99%
- --------------------------------------------------------------------------------
Lipper peer group average* 4.75% 5.13% 4.87%
- --------------------------------------------------------------------------------
Commencement date 7/1/85
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND YIELD AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
FUND IBC MONEY FUND
---- --------------
7 day current 5.67%+ 5.13%
7 day effective 5.83% 5.26%
CURRENT YIELD REPRESENTS INCOME EARNED ON AN INVESTMENT IN THE MONEY MARKET FUND
FOR A SEVEN DAY PERIOD AND THEN ANNUALIZED.
EFFECTIVE YIELD IS CALCULATED SIMILARLY BUT IS SLIGHTLY HIGHER BECAUSE IT
REFLECTS THE COMPOUNDING EFFECT OF EARNINGS ON REINVESTED DIVIDENDS.
AN INVESTMENT IN THE MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE
FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH
THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT
IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND.
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek a high level of current income
consistent with the preservation of capital and maintenance of
liquidity by investing primarily in short-term U.S.
dollar-denominated money market instruments.
- --------------------------------------------------------------------------------
- ----------
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE MONEY MARKET PEER GROUP CONSISTING OF 101, 77 AND
57 UNDERLYING ANNUITY FUNDS, RESPECTIVELY.
+ THE SEVEN DAY CURRENT YIELD, RATHER THAN THE TOTAL RETURN, MORE CLOSELY
REFLECTS THE CURRENT EARNINGS OF THE MONEY MARKET FUND AT DECEMBER 31, 1999.
Q&A
ROBERT MACDOUGALL LEADS A TEAM OF MANAGERS FOR THE MONEY MARKET FUND (PLEASE
REFER TO PAGE 34 FOR BOB'S BIOGRAPHICAL DETAILS AND AN ANALYSIS ON THE FIXED
INCOME MARKETS.)
Q. HOW DID THE MONEY MARKET FUND PERFORM COMPARED TO ITS BENCHMARK AND LIPPER
PEER GROUP FOR THE ONE-YEAR PERIOD ENDED DECEMBER 31, 1999?
A. The Money Market Fund posted a return of 5.00% for the one-year period ended
December 31, 1999. For the same period, the 90-day U.S. Treasury Bill
returned 4.83% and our Lipper peer group of 101 Money Market annuity funds
posted an average return of 4.75%.
Q. WHAT WAS THE KEY DRIVER OF FUND PERFORMANCE?
A. By actively managing our maturity structure, we were able to capitalize on
the higher rates caused by the Federal Reserve tightenings.
See Notes to Performance. Past performance is no guarantee of future results.
44
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
MONEY MARKET FUND
NET ASSETS OF $473,538 (IN THOUSANDS)
[PIE CHART OMITTED]
COMMERICAL PAPER 49.9%
CERTIFICATES OF DEPOSIT & OTHER 26.3%
U.S. GOVERNMENTS 23.8%
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 99.2%
- --------------------------------------------------------------------------------
U.S. GOVERNMENTS -- 23.8%
U.S. AGENCIES (D)
Federal Agricultural Mortgage Corp.
5.87% 01/18/00 ...........$ 2,500,000 $ 2,493,424
Federal Home Loan Bank
5.55% 02/01/00 ........... 15,000,000 14,929,217
5.61% 02/09/00 ........... 10,000,000 9,940,850
5.54% 02/16/00 ........... 16,000,000 15,887,875
5.64% 02/23/00 ........... 16,000,000 15,868,913
5.75% 04/12/00 ........... 12,200,000 12,006,945
68,633,800
Federal Home Loan Mortgage Corp.
5.32% 01/27/00 ........... 2,300,000 2,291,396
Federal National Mortgage Assoc.
5.34% 01/20/00 ........... 4,000,000 3,989,018
5.55% 02/03/00 ........... 9,000,000 8,954,790
5.68% 02/07/00 ........... 5,000,000 4,971,351
5.75% 04/10/00 ........... 12,100,000 11,912,114
5.62% 04/17/00 ........... 480,000 472,177
30,299,450
U.S. TREASURIES
U.S. Treasury Notes
6.25% 5/31/00 ............ 3,950,000 3,963,424
5.875% 6/30/00 ............ 5,200,000 5,208,338
9,171,762
TOTAL U.S. GOVERNMENTS
(COST $112,889,832) ......... 112,889,832
COMMERCIAL PAPER -- 49.9%
Abbey National PLC
5.80% 02/29/00 ........... 16,000,000 15,847,911
Associates Corp. of North America
6.42% 01/21/00 ........... 17,300,000 17,238,297
Bank of America
6.04% 01/07/00 ........... 17,260,000 17,242,625
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------
Bank of Nova Scotia
5.91% 03/15/00 ........... $17,500,000 $ 17,287,404
Citibank Capital Market Assets LLC
6.10% 01/21/00 ........... 17,160,000 17,101,847
Credit Suisse
5.93% 01/10/00 ........... 17,000,000 16,974,797
First Union Corp.
6.002% 01/31/00 ........... 17,260,000 17,173,671
Goldman Sachs Group LP
6.55% 01/28/00 ........... 17,500,000 17,414,031
Halifax Building Society
5.78% 02/22/00 ........... 16,000,000 15,866,418
Merrill Lynch & Co. Inc.
5.85% 02/4/00 ............ 16,500,000 16,408,837
Morgan (J.P.) & Co. Inc.
5.97% 01/14/00 ........... 16,540,000 16,504,343
Morgan Stanley Group Inc.
5.92% 01/12/00 ........... 17,000,000 16,969,249
Toronto Dominion Holdings
6.36% 01/18/00 ........... 17,280,000 17,228,102
UBS Finance Delaware Inc.
5.93% 03/30/00 ........... 17,300,000 17,046,377
TOTAL COMMERCIAL PAPER
(COST $236,303,909) ......... 236,303,909
YANKEE CERTIFICATES OF DEPOSIT-- 15.8%
Bank of Montreal
6.31% 01/13/00 ........... 16,500,000 16,500,000
Bayerische Hypotheken Bank
6.09% 01/28/00 ........... 17,500,000 17,500,000
Deutsche Bank AG
6.08% 01/14/00 ........... 17,000,000 17,000,000
Dresdner Bank AG
5.81% 02/28/00 ........... 8,750,000 8,668,095
Societe General North America Inc.
5.81% 02/25/00 ........... 15,150,000 15,015,523
TOTAL YANKEE CERTIFICATES OF DEPOSIT
(COST $74,683,618) .......... 74,683,618
TIME DEPOSITS-- 9.7%
Republic National Bank New York New York
5.25% 01/03/00 ........... 23,000,000 23,000,000
Royal Bank of Canada
4.75% 01/03/00 ........... 22,760,000 22,760,000
State Street Cayman Islands
4.50% 01/03/00 ........... 238,198 238,198
TOTAL TIME DEPOSITS
(COST $45,998,198) .......... 45,998,198
TOTAL SHORT-TERM INVESTMENTS
(COST $469,875,557) ......... 469,875,557
OTHER ASSETS AND LIABILITIES,
NET 0.8% .................... 3,662,644
------------
NET ASSETS-- 100% .............. $473,538,201
============
- -------------
See Notes to Schedule of Investments and Notes to Financial Statements.
45
<PAGE>
REAL ESTATE SECURITIES FUND
- --------------------------------------------------------------------------------
Q&A
DAVID A. SHAPIRO, OF SENECA CAPITAL MANAGEMENT (SENECA), THE FUND'S SUB-ADVISER,
WITH TOTAL ASSETS UNDER MANAGEMENT OF OVER $10 BILLION, IS THE PORTFOLIO MANAGER
OF THE REAL ESTATE SECURITIES FUND. DAVID JOINED SENECA IN 1995. IN 1992 DAVID
BECAME A PRINCIPAL OF ASSET HOLDINGS GROUP (HE HAS REMAINED A PRINCIPAL OF ASSET
HOLDINGS GROUP). FROM 1982 TO 1992, HE WAS A MANAGING DIRECTOR OF THE ADCO
GROUP, A REAL ESTATE DEVELOPMENT AND FINANCE COMPANY. DAVID RECEIVED A B.A. FROM
COLUMBIA UNIVERSITY AND A J.D. FROM THE UNIVERSITY OF ARIZONA.
Q. HOW DID THE REAL ESTATE SECURITIES FUND PERFORM COMPARED TO ITS BENCHMARK AND
LIPPER PEER GROUP FOR THE ONE-YEAR ENDED DECEMBER 31, 1999?
A. The Real Estate Fund had a return of -0.22% for the one-year period ended
December 31, 1999. The Wilshire Real Estate Securities Index returned -3.19%
and our Lipper peer group of 17 Real Estate annuity funds returned an average
of -2.81% for the same period.
Q. WHY DID THE FUND OUTPERFORM ITS BENCHMARK?
A. The fund continued to outperform its benchmark by concentrating its holdings
in high quality companies with an emphasis on the Apartments and
Office/Industrial sectors. The fund continued to have core holdings in
Spieker Properties, Equity Office Properties and Equity Residential
Properties.
Q. WHAT HAS YOUR INVESTMENT STRATEGY BEEN?
A. Our strategy continues to be to own the preeminent companies. Good management
teams and strong balance sheets are the characteristics we emphasize when
selecting companies for the portfolio.
Q. WHAT DOMESTIC EVENTS HAD A MAJOR IMPACT ON THE FINANCIAL MARKETS?
A. The strong U.S. economy over the past four quarters has produced job growth.
Strong job growth produces demand for real estate particularly office and
industrial real estate. Our philosophy has been to emphasize real estate
investment in those parts of the country with strong job growth (i.e., the
Southeast, Southwest and West) and constrained infrastructure development
(i.e., city centers - Boston, New York City, San Francisco, Los Angeles).
Q. WHAT IS YOUR OUTLOOK FOR THE FUND AND HOW HAVE YOU POSITIONED THE FUND GOING
FORWARD?
A. With short term interest rates likely to rise, we are focusing our attention
on companies with limited exposure to variable interest rates as well as
companies with the ability to recycle assets (i.e. sell or redevelop) with a
view to stock repurchases on a leverage neutral basis.
46
<PAGE>
REAL ESTATE SECURITIES FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMPARISON OF CHANGES IN
VALUE OF A $10,000 INVESTMENT
- --------------------------------------------------------------------------------
[LINE GRAPH OMITTED]
Real Estate Securities Fund Wilshire RES Index
5/1/95 $10000 $10000
6/95 10570 10511
9/95 11060 11009
12/95 11700 11404
3/96 12102 11886
6/96 12515 12450
9/96 13384 13185
12/96 15941 15609
3/97 16607 15896
6/97 17308 16626
9/97 19160 18727
12/97 19048 18699
3/98 18948 18558
6/98 18013 17707
9/98 16181 15589
12/98 15679 15441
3/99 15206 14906
6/99 17059 16488
9/99 15558 14914
12/99 15645 14948
Real Estate Securities Fund (ending value $15,645)
Wilshire RES Index (ending value $14,948)
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR THE PERIODS ENDED DECEMBER 31, 1999
- --------------------------------------------------------------------------------
ONE THREE SINCE
YEAR YEAR COMMENCEMENT
- --------------------------------------------------------------------------------
Real Estate Securities Fund (0.22)% (0.62)% 10.06%
- --------------------------------------------------------------------------------
Wilshire RES (3.19)% (1.43)% 8.99%
- --------------------------------------------------------------------------------
Lipper peer group average* (2.81)% (1.07)% N/A
- --------------------------------------------------------------------------------
Commencement date 5/1/95
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT PROFILE
A fund designed for investors who seek to maximize total returns through
current income and capital appreciation by investing primarily in equity and
debt securities of U.S. issuers that are principally engaged in or related
to the real estate industry.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
TOP TEN LARGEST HOLDINGS
AT DECEMBER 31, 1999
- --------------------------------------------------------------------------------
Essex Property Trust Inc. .......................... 6.06%
- --------------------------------------------------------------------------------
Spieker Properties Inc. ............................ 5.75%
- --------------------------------------------------------------------------------
Equity Residential Properties Trust ................ 5.26%
- --------------------------------------------------------------------------------
Equity Office Properties Trust ..................... 5.19%
- --------------------------------------------------------------------------------
Archstone Communities Trust ........................ 4.68%
- --------------------------------------------------------------------------------
Cornerstone Properties Inc. ........................ 4.51%
- --------------------------------------------------------------------------------
Manufactured Home Communities Inc. ................. 4.27%
- --------------------------------------------------------------------------------
Avalon Bay Communities Inc. ........................ 4.07%
- --------------------------------------------------------------------------------
Northstar Financial ................................ 3.64%
- --------------------------------------------------------------------------------
Simon Property Group Inc. .......................... 3.57%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION
AS OF DECEMBER 31, 1999
- --------------------------------------------------------------------------------
NET ASSETS OF $41,842 (IN THOUSANDS)
[PIE CHART OMITTED]
OFFICE/INDUSTRIAL 32.5%
APARTMENTS 20.1%
REGIONAL MALLS/SHOPPING CENTER 13.1%
DIVERSIFIED 5.9%
CASH & OTHER 12.6%
MANUFACTURED HOME 7.2%
FINANCIAL SERVICES 5.8%
HOTEL 2.8%
* LIPPER PERFORMANCE COMPARISONS ARE BASED ON AVERAGE ANNUAL TOTAL RETURNS FOR
THE PERIODS INDICATED IN THE REAL ESTATE PEER GROUP CONSISTING OF 17 AND 7
UNDERLYING ANNUITY FUNDS, RESPECTIVELY.
See Notes to Performance.
Past performance is no guarantee of future results.
47
<PAGE>
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
REAL ESTATE SECURITIES FUND
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
COMMON STOCK -- 87.4%
- --------------------------------------------------------------------------------
APARTMENTS -- 20.1%
Archstone Communities Trust ......... 95,597 $ 1,959,738
Avalon Bay Communities Inc. ......... 49,660 1,703,959
Equity Residential Properties Trust . 51,600 2,202,675
Essex Property Trust Inc. ........... 74,550 2,534,700
8,401,072
DIVERSIFIED -- 5.9%
Northstar Capital Investment Corp. ..105,000 1,522,500(a,b)
Pacific Gulf Properties Inc. ........ 47,380 959,445
2,481,945
FINANCIAL -- 5.8%
Chicago Title Corp. ................. 600 27,750
Countrywide Credit Industries Inc. .. 44,400 1,121,100
Federal Home Loan Mortgage Corp. .... 15,500 729,469
Starwood Financial Inc. ............. 31,510 533,700
2,412,019
HOTEL -- 2.8%
Starwood Hotels & Resorts ........... 49,200 1,156,200
Manufactured Home -- 7.2%
Chateau Communities Inc. ............ 46,500 1,206,094
Manufactured Home Communities Inc. .. 73,500 1,786,969
2,993,063
OFFICE/INDUSTRIAL -- 32.5%
Arden Realty Inc. ................... 31,000 621,938
Bedford Property Investors Inc. ..... 68,500 1,168,781
Cornerstone Properties Inc. .........129,000 1,886,625
Duke Realty Investments Inc. ........ 70,000 1,365,000
Equity Office Properties Trust ...... 88,200 2,171,925
First Industrial Realty Trust Inc. .. 47,600 1,306,025
Mack-Cali Realty Corp. .............. 51,600 1,344,825
Prentiss Properties Trust ........... 64,000 1,344,000
Spieker Properties Inc. ............. 66,000 2,404,875
13,613,994
REGIONAL MALLS -- 10.8%
General Growth Properties Inc. ...... 10,000 280,000
Macerich Co. ........................ 63,500 1,321,594
Simon Property Group Inc. ........... 65,200 1,495,525
Urban Shopping Centers Inc. ......... 52,900 1,434,912
4,532,031
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------------
SHOPPING CENTER -- 2.3%
Developers Diversified Realty Corp. . 74,300 $ 956,613
TOTAL COMMON STOCK
(COST $40,795,793) ............... 36,546,937
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 4.5%
- --------------------------------------------------------------------------------
Glenborough Realty Trust Inc. ....... 88,050 1,227,197
Reckson Associates Realty Corp. ..... 33,500 665,812
TOTAL PREFERRED STOCK
(COST $2,626,996) ................ 1,893,009
TOTAL INVESTMENTS IN SECURITIES
(COST $43,422,789) ............... 38,439,946
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 7.2%
- --------------------------------------------------------------------------------
GEI Short Term Investment Fund
(COST $3,027,091) ..............3,027,091 3,027,091
OTHER ASSETS AND LIABILITIES,
NET 0.9% ....................... 375,047
-----------
NET ASSETS-- 100% ................. $41,842,084
===========
- ----------
See Notes to Schedule of Investments and Notes to Financial Statements.
48
<PAGE>
NOTES TO PERFORMANCE DECEMBER 31, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
Information on the preceding performance pages is unaudited.
Total returns take into account changes in share price and assume reinvestment
of dividends and capital gains, if any. Investment returns and net asset value
on an investment will fluctuate and you may have a gain or loss when you sell
your shares. Periods less than one year are not annualized.
The performance data related to the shares of the U.S. Equity Fund and the
Income Fund, for the periods through December 12, 1997, reflect the prior
performance and expense ratios of the Variable Investment Trust GE U.S. Equity
Portfolio and GE Fixed Income Portfolio, the assets of which were transferred to
corresponding GE Investments Funds, Inc. pursuant to an exemptive order granted
by the Securities and Exchange Commission permitting a substitution of funds
that occurred on December 12, 1997.
Certain fees and fund expenses have been waived and/or borne by the funds' prior
investment advisers. GE Asset Management currently waives certain fees for the
Money Market Fund and Premier Growth Equity Fund. Had these fees and expenses
not been waived, the returns (and/or yields) would have been lower.
The Standard & Poor's ("S&P") 500 Composite Price Index of stocks (S&P 500
Index), 90 Day U.S. Treasury Index (90-Day T-Bill), Lehman Brothers Aggregate
Bond Index (LB Aggregate), Morgan Stanley Capital International EAFE Index (MSCI
EAFE), Wilshire Real Estate Securities Index (Wilshire RES), and Salomon
Brothers World Government Bond Index (Salomon World Bond) are unmanaged indices
and do not reflect the actual cost of investing in the instruments that comprise
each index. The S&P 500 Index is a composite of the prices of 500 widely held
stocks recognized by investors to be representative of the stock market in
general. The 90-Day T-Bill is the average return on three month U.S. Treasury
Bills. The LB Aggregate is a composite index of short-, medium-, and long-term
bond performance and is widely recognized as a barometer of the bond market in
general. MSCI EAFE is a composite of 967 stocks of companies from 20 countries
representing stock markets of Europe, Australasia, New Zealand and the Far East.
The Wilshire RES is a market capitalization-weighted index comprised of publicly
traded real estate investment trusts (REITs), real estate operating companies
(REOCs) and partnerships. The Salomon World Bond is an unhedged index comprised
of government bonds from several countries including the U.S. The IBC Money Fund
Report yields represent the average yields of 951 taxable money market funds.
The results shown for the foregoing indices assume the reinvestment of net
dividends or interest.
The Global Income Fund changed its benchmark index during the fiscal year-end
December 31, 1999 from the JP Morgan Global Government Bond Index (JPMGlobal
Bond), which is an unhedged index comprised of government bonds from several
countries including the U.S. The Salomon Brothers World Government Bond Index
("Salomon World Bond Index") has replaced the JP Morgan Government Bond Index
("JPM Global Bond index") as the benchmark index for the Global Income Fund.
With the establishment of the Euro, the JPMGlobal Bond Index was modified to
become more significantly weighted in emerging markets and, as a result, is less
suitable as a benchmark for the Global Income Fund as the Fund is not managed
with such a significant weighting to emerging markets. The Salomon World Bond
Index, with a less significant weighting to emerging markets, is a more
appropriate benchmark.
The peer universe of the underlying annuity funds used in our peer ranking
calculation is based on the average returns of Lipper peer categories, as shown.
Lipper is an independent mutual fund rating service.
The views expressed in this document reflect our judgment as of the publication
date and are subject to change at any time without notice. The securities cited
may not represent future holdings and should not be considered as a
recommendation to purchase or sell a particular security. See the prospectus for
descriptions of investment objectives, policies, risks and permissible
investments.
Standard & Poor's, S&P, and S&P 500 are trademarks of The McGraw-Hill Companies
Inc. and have been licensed for use. The S&P 500 Index Fund is not sponsored,
endorsed, sold or promoted by Standard & Poor's, and Standard & Poor's makes no
representation or warranty, express or implied, to the investors of the fund or
any member of the public regarding the advisability of investing in the
securities generally or in this fund particularly or the ability of the S&P 500
Index Fund to track general stock market performance.
NOTES TO SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
(a) Non-income producing security.
(b) Pursuant to Rule 144A under the Securities Act of 1933, these securities may
be resold in transactions exempt from registration, normally to qualified
institutional buyers. At December 31, 1999, these securities amounted to
$513,433, $2,370,311 and $1,522,500 or 0.98%, 3.46% and 3.64% of net assets
for the International Equity, Income and Real Estate Securities Funds,
respectively.
(c) Settlement is on a delayed delivery or when-issued basis with final maturity
to be announced (TBA) in the future.
(d) Coupon amount represents effective yield.
(e) Non-convertible saving shares with no voting rights.
(f) Principal only securities represent the right to receive the monthly
principal payments on an underlying pool of mortgages. No payments of
interest on the pool are passed through to the "principal only" holder.
(g) Interest only securities represent the right to receive the monthly interest
payments on an underlying pool of mortgages. Payments of principal on the
pool reduce the value of the interest only holding.
(h) At December 31, 1999, all or a portion of this security was pledged to cover
collateral requirements for futures, options or TBAs.
(i) State Street Corp. is the parent company of State Street Bank & Trust Co.,
the fund's custodian.
(j) At December 31, 1999, the security is in default. GE Asset Management has
determined that the security is illiquid as it may be difficult to resell
within seven days in the ordinary course of business at approximately the
price it is valued. The cost of the security was $10,306 and represents
0.00% of net assets of the Income Fund.
ABBREVIATIONS:
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
Regd. -- Registered
REMIC -- Real Estate Mortgage Investment Conduit
SDR -- Special Drawing Rights
STRIPS -- Separate Trading of Registered Interest and Principal
of Securities
CURRENCY TERMS:
AUD -- Australian Dollar
CAD -- Canadian Dollar
EUR -- European Currency Unit (ECU)
GBP -- Pound Sterling
GRD -- Greek Drachma
JPY -- Japanese Yen
USD -- United States Dollar
49
<PAGE>
FINANCIAL HIGHLIGHTS
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE PERIOD(S) INDICATED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. EQUITY FUND
12/31/99 12/31/98 12/31/97(C) 12/31/96 12/31/95(H)
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 1/3/95
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .................. $33.50 $27.88 $21.11 $19.27 $15.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .............................. 0.22 0.28 0.24 0.34 0.46
Net realized and unrealized
gains (losses) on investments ................... 6.30 6.23 6.54 3.90 4.87
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ........ 6.52 6.51 6.78 4.24 5.33
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income .............................. 0.22 0.28 0.00 0.35 0.47
Net realized gains ................................. 1.90 0.61 0.01 2.05 0.59
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ................................... 2.12 0.89 0.01 2.40 1.06
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ........................ $37.90 $33.50 $27.88 $21.11 $19.27
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ...................................... 19.61% 23.41% 32.13% 21.72% 35.58%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ...........$72,794 $31,160 $23,917 $18,027 $9,071
Ratios to average net assets:
Net investment income* .......................... 0.86% 0.95% 0.94% 1.80% 2.10%
Net expenses* ................................... 0.61% 0.69% 0.80% 0.80% 0.80%
Gross expenses* ................................. 0.61% 0.69% 0.86% 0.88% 1.03%
Portfolio turnover rate ............................ 35% 41% 33% 35% 71%
- ------------------------------------------------------------------------------------------------------------------------------------
S&P 500 INDEX FUND
12/31/99 12/31/98 12/31/97(B, C) 12/30/96 12/31/95
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 4/15/85
Net asset value, beginning of period .................. $23.71 $19.23 $15.14 $20.99 $15.72
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .............................. 0.20 0.21 0.23 0.78 0.27
Net realized and unrealized
gains (losses) on investments ................... 4.68 5.20 4.36 4.36 5.41
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ........ 4.88 5.41 4.59 5.14 5.68
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income .............................. 0.21 0.21 0.23 0.77 0.27
Net realized gains ................................. 0.28 0.72 0.27 10.22 0.14
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ................................... 0.49 0.93 0.50 10.99 0.41
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ........................ $28.10 $23.71 $19.23 $15.14 $20.99
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ...................................... 20.61% 28.24% 30.33% 24.51% 36.14%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..........$652,144 $326,961 $164,294 $35,522 $66,017
Ratios to average net assets:
Net investment income*. ........................ 1.00% 1.20% 1.70% 1.91% 1.98%
Expenses* ...................................... 0.39% 0.45% 0.46% 0.48% 0.66%
Portfolio turnover rate ........................... 3% 13% 6% 63% 15%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- -----------
SEE NOTES TO FINANCIAL HIGHLIGHTS AND NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
FINANCIAL HIGHLIGHTS
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE PERIOD(S) INDICATED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PREMIER GROWTH EQUITY FUND
12/31/99 12/31/98 12/31/97(D)
- ---------------------------------------------------------------------------------------
INCEPTION DATE -- -- 12/12/97
<S> <C> <C> <C>
Net asset value, beginning of period ............. $67.22 $51.48 $49.79
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ......................... 0.08 0.25 0.03
Net realized and unrealized
gains on investments ....................... 24.18 18.43 1.69
- ---------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ... 24.26 18.68 1.72
LESS DISTRIBUTIONS FROM:
Net investment income ......................... 0.08 0.24 0.03
Net realized gains ............................ 2.75 2.70 0.00
- ---------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS .............................. 2.83 2.94 0.03
- ---------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ................... $88.65 $67.22 $51.48
- ---------------------------------------------------------------------------------------
TOTAL RETURN (A) ................................. 36.26% 36.53% 3.46%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ...... $53,720 $19,879 $16,237
Ratios to average net assets:
Net investment income* ..................... 0.18% 0.41% 1.04%
Net Expenses* .............................. 0.68% 0.82% 0.69%
Gross Expenses* ............................ 0.72% 0.82% 0.69%
Portfolio turnover rate .......................... 27% 34% 3%
- ---------------------------------------------------------------------------------------
VALUE EQUITY FUND
12/31/99 12/31/98 12/31/97(G)
- ----------------------------------------------------------------------------------------
INCEPTION DATE -- -- 5/1/97
Net asset value, beginning of period ............. $13.57 $13.11 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ......................... 0.12 0.07 0.02
Net realized and unrealized
gains (losses) on investments .............. 2.21 0.79 3.23
- ----------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ... 2.33 0.86 3.25
- ----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income ......................... 0.12 0.07 0.02
Net realized gains ............................ 0.00 0.33 0.12
- ----------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS .............................. 0.12 0.40 0.14
- ----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ................... $15.78 $13.57 $13.11
- ----------------------------------------------------------------------------------------
TOTAL RETURN (A) ................................. 17.26% 6.69% 32.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ...... $90,561 $53,643 $30,856
Ratios to average net assets:
Net investment income* ..................... 0.94% 0.59% 0.38%
Expenses* .................................. 0.71% 0.75% 0.69%
Portfolio turnover rate ....................... 30% 14% 18%
- ----------------------------------------------------------------------------------------
</TABLE>
- ----------------
SEE NOTES TO FINANCIAL HIGHLIGHTS AND NOTES TO FINANCIAL STATEMENTS.
51
<PAGE>
FINANCIAL HIGHLIGHTS
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE PERIOD(S) INDICATED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY FUND
12/31/99 12/31/98 12/31/97(C) 12/30/96 12/31/95(F)
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 5/1/95
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .................. $11.89 $10.68 $10.83 $10.47 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............................. 0.06 0.08 0.02 0.03 0.20
Net realized and unrealized
gains on investments ............................ 3.50 1.77 1.10 1.01 0.47
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ........ 3.56 1.85 1.12 1.04 0.67
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income .............................. 0.04 0.07 0.08 0.03 0.20
Net realized gains ................................. 0.94 0.57 1.19 0.65 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ................................... 0.98 0.64 1.27 0.68 0.20
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ........................ $14.47 $11.89 $10.68 $10.83 $10.47
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ...................................... 30.33% 17.45% 10.17% 9.91% 6.70%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ...........$52,540 $36,952 $31,931 $17,644 $15,348
Ratios to average net assets:
Net investment income* .......................... 0.51% 0.65% 0.14% 0.23% 0.44%
Net expenses* ................................... 1.08% 1.15% 1.34% 1.50% 1.54%
Gross expenses* ................................. 1.08% 1.15% 1.43% 1.56% 2.17%
Portfolio turnover rate ............................ 51% 60% 166% 150% 58%
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN FUND
12/31/99 12/31/98 12/31/97(C) 12/30/96 12/31/95
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 7/1/85
Net asset value, beginning of period ................. $14.66 $13.21 $12.73 $15.93 $13.40
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.34 0.34 0.34 1.02 0.41
Net realized and unrealized
gains (losses) on investments .................. 1.59 1.90 1.95 0.67 3.34
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ....... 1.93 2.24 2.29 1.69 3.75
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income ............................. 0.33 0.34 0.34 1.02 0.42
Net realized gains ................................ 0.40 0.45 1.47 3.87 0.80
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS .................................. 0.73 0.79 1.81 4.89 1.22
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ....................... $15.86 $14.66 $13.21 $12.73 $15.93
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ..................................... 13.25% 17.10% 17.99% 10.60% 28.07%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..........$109,913 $72,632 $50,007 $27,814 $70,507
Ratios to average net assets:
Net investment income* ......................... 2.50% 2.69% 2.56% 2.73% 3.42%
Expenses* ...................................... 0.56% 0.63% 0.65% 0.60% 0.65%
Portfolio turnover rate ........................... 105% 124% 135% 144% 106%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------
SEE NOTES TO FINANCIAL HIGHLIGHTS AND NOTES TO FINANCIAL STATEMENTS.
52
<PAGE>
FINANCIAL HIGHLIGHTS
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE PERIOD(S) INDICATED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME FUND
12/31/99 12/31/98 12/31/97(C) 12/31/96 12/31/95(H)
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 1/3/95
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ................. $12.34 $12.11 $11.84 $12.53 $12.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.64 0.62 0.76 0.76 0.82
Net realized and unrealized
gains (losses) on investments .................. (0.81) 0.34 0.27 (0.43) 1.13
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ....... (0.17) 0.96 1.03 0.33 1.95
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income ............................. 0.64 0.62 0.76 0.76 0.84
Net realized gains ................................ 0.02 0.11 0.00 0.26 0.58
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS .................................. 0.66 0.73 0.76 1.02 1.42
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ....................... $11.51 $12.34 $12.11 $11.84 $12.53
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ..................................... (1.43)% 7.95% 9.00% 2.92% 16.83%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......... $68,434 $59,077 $45,555 $5,388 $3,271
Ratios to average net assets:
Net investment income* ......................... 5.74% 5.54% 5.11% 6.37% 6.52%
Net expenses* .................................. 0.57% 0.64% 0.59% 0.75% 0.75%
Gross expenses* ................................ 0.57% 0.64% 0.77% 1.03% 1.15%
Portfolio turnover rate ........................... 230% 217% 356% 222% 253%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL INCOME FUND
12/31/99 12/31/98 12/31/97(C,G)
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- 5/1/97
<S> <C> <C> <C>
Net asset value, beginning of period ................. $10.53 $9.85 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.45 0.44 0.35
Net realized and unrealized
gains (losses) on investments .................. (1.24) 0.87 (0.01)
- ---------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ....... (0.79) 1.31 0.34
- ---------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income ............................. 0.14 0.61 0.45
Net realized gains ................................ 0.01 0.02 0.04
- ---------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS .................................. 0.15 0.63 0.49
- ---------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ....................... $9.59 $10.53 $9.85
- ---------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ..................................... (7.49)% 13.33% 3.41%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......... $9,175 $9,739 $5,851
Ratios to average net assets:
Net investment income* ......................... 4.20% 4.73% 5.54%
Expenses* ...................................... 0.74% 0.82% 0.84%
Portfolio turnover rate ........................... 130% 64% 119%
</TABLE>
- -------------
SEE NOTES TO FINANCIAL HIGHLIGHTS AND NOTES TO FINANCIAL STATEMENTS.
53
<PAGE>
FINANCIAL HIGHLIGHTS
SELECTED DATA BASED ON A SHARE OUTSTANDING THROUGHOUT THE PERIOD(S) INDICATED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET FUND
12/31/99 12/31/98 12/31/97(C, E) 12/30/96 12/31/95
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 7/1/85
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .................. $1.00 $1.00 $1.00 $1.00 $0.98
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income .............................. 0.05 0.05 0.05 0.05 0.06
Net realized and unrealized
gains (losses) on investments ................... 0.00 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ........ 0.05 0.05 0.05 0.05 0.06
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income .............................. 0.05 0.05 0.05 0.05 0.04
Net realized gains ................................. 0.00 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ................................... 0.05 0.05 0.05 0.05 0.04
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ........................ $1.00 $1.00 $1.00 $1.00 $1.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ...................................... 5.00% 5.26% 5.41% 5.41% 5.90%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) ..........$473,538 $239,547 $144,815 $113,263 $63,083
Ratios to average net assets:
Net investment income* ......................... 4.96% 5.14% 5.17% 5.29% 5.74%
Net expenses* .................................. 0.30% 0.37% 0.32% 0.15% 0.23%
Gross expenses* ................................ 0.49% 0.59% 0.48% 0.55% 0.63%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
REAL ESTATE SECURITIES FUND
12/31/99 12/31/98 12/31/97(C) 12/30/96 12/31/95(F)
- ------------------------------------------------------------------------------------------------------------------------------------
INCEPTION DATE -- -- -- -- 5/1/95
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ................. $11.59 $15.28 $14.11 $11.05 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.77 0.73 0.74 0.64 0.46
Net realized and unrealized
gains (losses) on investments .................. (0.82) (3.46) 2.01 3.36 1.23
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME (LOSS) FROM INVESTMENT OPERATIONS ....... (0.05) (2.73) 2.75 4.00 1.69
- ------------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS FROM:
Net investment income ............................. 0.64 0.50 0.53 0.65 0.46
Net realized gains ................................ 0.03 0.46 1.05 0.29 0.18
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS .................................. 0.67 0.96 1.58 0.94 0.64
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD ....................... $10.87 $11.59 $15.28 $14.11 $11.05
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (A) ..................................... (0.22)% (17.68)% 19.49% 36.24% 17.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) .......... $41,842 $47,756 $48,887 $24,533 $13,429
Ratios to average net assets:
Net investment income* ......................... 6.21% 5.43% 4.83% 5.90% 6.85%
Net expenses* .................................. 0.94% 0.99% 0.95% 1.07% 1.31%
Gross expenses* ................................ 0.94% 0.99% 0.95% 1.07% 1.61%
Portfolio turnover rate ........................... 16% 29% 58% 30% 54%
</TABLE>
- -----------
SEE NOTES TO FINANCIAL HIGHLIGHTS AND NOTES TO FINANCIAL STATEMENTS.
54
<PAGE>
NOTES TO FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
(a) Total returns are historical and assume changes in share price and
reinvestment of dividends and capital gains. Had the adviser not waived a
portion of expenses on certain funds, the total returns of those funds for
these periods would have been lower. Periods less than one year are not
annualized.
(b) As of May 1, 1997, the fund's name was changed to S&P 500 Index Fund from
Common Stock Index Portfolio.
(c) GE Asset Management assumed management responsibilities for the Funds
effective May 1, 1997. See Note 4 in the Notes to Financial Statements for
further information.
(d) Information is for the period December 12, 1997, commencement of investment
operations, through December 31, 1997.
(e) Effective May 5, 1997, the fund's investment policy was changed to maintain
a constant net asset value in accordance with Rule 2a-7 under the Investment
Company Act of 1940, governing money market funds.To effect this change, the
Fund declared a stock split in the ratio of 10.41 to 1. Per share
information prior to January 1, 1997 has been restated to reflect the 10.41
to 1 stock split. The Fund's investment objective, however, remains to seek
a high level of current income consistent with high liquidity and safety of
principal.
(f) Information is for the period May 1, 1995, commencement of investment
operations, through December 31, 1995.
(g) Information is for the period May 1, 1997, commencement of investment
operations, through December 31, 1997.
(h) Information is for the period January 3, 1995, commencement of investment
operations, through December 31, 1995.
* Annualized for periods less than one year.
- --------------
See Notes to Financial Statements.
55
<PAGE>
STATEMENTS OF ASSETS
AND LIABILITIES DECEMBER 31, 1999
<TABLE>
<CAPTION>
PREMIER
U.S. S&P 500 GROWTH VALUE
EQUITY INDEX EQUITY EQUITY
FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Investments in securities, at market
(cost $57,557,393; $483,855,094; $37,023,821;
$68,723,185; $35,700,025; $84,537,251; $66,861,175;
$9,096,081; $0; and $43,422,789, respectively) ........... $ 67,200,733 $ 638,893,032 $ 50,467,894 $ 82,907,601
Short-term investments (at amortized cost) .................. 5,445,325 14,108,978 3,048,801 5,719,526
Cash ........................................................ 340 -- -- --
Foreign currency (cost $0; $0; $0; $0; $112,608; $59,587;
$0; $71,190; $0; and $0, respectively) ................... -- -- -- --
Receivable for investments sold ............................. -- 56,193 -- 1,978,466
Income receivables .......................................... 74,917 624,696 45,173 122,377
Receivable for fund shares sold ............................. 99,115 313,359 202,922 16,731
Variation margin receivable ................................. 9,350 31,450 3,400 --
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS ............................................. 72,829,780 654,027,708 53,768,190 90,744,701
- ---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Distributions payable to shareholders ....................... 1,288 -- -- --
Payable for investments purchased ........................... -- 1,684,487 -- 112,946
Payable for fund shares redeemed ............................ -- -- 24,042 20,497
Payable to GE Asset Management .............................. 34,086 198,812 24,427 50,205
- ---------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES ........................................ 35,374 1,883,299 48,469 183,648
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS ..................................................... $72,794,406 $652,144,409 $53,719,721 $90,561,053
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Capital paid in ............................................. $62,394,295 $493,204,039 $39,590,030 $79,247,212
Undistributed (distributions in exess of) net investment income 2,796 90,656 2,702 2,391
Accumulated net realized gain (loss) ........................ 665,539 3,501,988 676,178 (2,872,966)
Net unrealized appreciation / (depreciation) on:
Investments .............................................. 9,643,340 155,037,938 13,444,073 14,184,416
Futures .................................................. 88,430 309,788 6,738 --
Foreign currency related transactions .................... 6 -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS ..................................................... $72,794,406 $652,144,409 $53,719,721 $90,561,053
- ---------------------------------------------------------------------------------------------------------------------------------
Shares outstanding ($.01 par value) ............................ 1,920,446 23,209,698 606,001 5,737,281
Net asset value, offering and redemption price per share ....... $ 37.90 $ 28.10 $ 88.65 $ 15.78
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL TOTAL
EQUITY RETURN INCOME
FUND FUND FUND
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at market
(cost $57,557,393; $483,855,094; $37,023,821;
$68,723,185; $35,700,025; $84,537,251; $66,861,175;
$9,096,081; $0; and $43,422,789, respectively) ............ $49,015,906 $ 102,870,479 $ 64,203,137
Short-term investments (at amortized cost) ................... 3,452,465 12,473,104 12,270,039
Cash ......................................................... 212 73 --
Foreign currency (cost $0; $0; $0; $0; $112,608; $59,587;
$0; $71,190; $0; and $0, respectively) .................... 113,558 60,140 --
Receivable for investments sold .............................. -- 1,129,192 2,020,660
Income receivables ........................................... 77,143 566,091 844,688
Receivable for fund shares sold .............................. 25,029 142,618 4,303
Variation margin receivable .................................. -- -- --
- --------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS .............................................. 52,684,313 117,241,697 79,342,827
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Distributions payable to shareholders ........................ -- -- --
Payable for investments purchased ............................ -- 7,279,412 10,865,167
Payable for fund shares redeemed ............................. 11,181 -- 4,351
Payable to GE Asset Management ............................... 132,708 48,991 39,748
- --------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES ......................................... 143,889 7,328,403 10,909,266
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS ...................................................... $52,540,424 $109,913,294 $68,433,561
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Capital paid in .............................................. $38,822,214 $91,430,675 $72,477,118
Undistributed (distributions in exess of) net investment income (24,723) (5,126) 43,086
Accumulated net realized gain (loss) ......................... 428,559 154,784 (1,428,605)
Net unrealized appreciation / (depreciation) on:
Investments ............................................... 13,315,881 18,333,228 (2,658,038)
Futures ................................................... -- -- --
Foreign currency related transactions ..................... (1,507) (267) --
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS ...................................................... $52,540,424 $109,913,294 $68,433,561
- --------------------------------------------------------------------------------------------------------------------------
Shares outstanding ($.01 par value) ............................. 3,631,342 6,930,615 5,945,213
Net asset value, offering and redemption price per share ........ $ 14.47 $ 15.86 $ 11.51
</TABLE>
<TABLE>
<CAPTION>
GLOBAL MONEY REAL ESTATE
INCOME MARKET SECURITIES
FUND FUND FUND
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at market
(cost $57,557,393; $483,855,094; $37,023,821;
$68,723,185; $35,700,025; $84,537,251; $66,861,175;
$9,096,081; $0; and $43,422,789, respectively) ............ $ 8,544,925 $ -- $ 38,439,946
Short-term investments (at amortized cost) ................... 386,711 469,875,557 3,027,091
Cash ......................................................... -- -- --
Foreign currency (cost $0; $0; $0; $0; $112,608; $59,587;
$0; $71,190; $0; and $0, respectively) .................... 70,796 -- --
Receivable for investments sold .............................. -- -- --
Income receivables ........................................... 178,550 561,236 421,228
Receivable for fund shares sold .............................. -- 3,566,154 --
Variation margin receivable .................................. -- -- --
- -----------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS .............................................. 9,180,982 474,002,947 41,888,265
- -----------------------------------------------------------------------------------------------------------------------
LIABILITIES
Distributions payable to shareholders ........................ -- 356,932 --
Payable for investments purchased ............................ -- -- --
Payable for fund shares redeemed ............................. -- 1,750 14,985
Payable to GE Asset Management ............................... 5,803 106,064 31,196
- -----------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES ......................................... 5,803 464,746 46,181
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS ...................................................... $9,175,179 $473,538,201 $41,842,084
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Capital paid in .............................................. $9,932,548 $473,538,201 $50,388,732
Undistributed (distributions in exess of) net investment income (111,477) -- 713,466
Accumulated net realized gain (loss) ......................... (90,958) -- (4,277,271)
Net unrealized appreciation / (depreciation) on:
Investments ............................................... (551,156) -- (4,982,843)
Futures ................................................... -- -- --
Foreign currency related transactions ..................... (3,778) -- --
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS ...................................................... $9,175,179 $473,538,201 $41,842,084
- -----------------------------------------------------------------------------------------------------------------------
Shares outstanding ($.01 par value) ............................. 957,061 473,537,218 3,849,188
Net asset value, offering and redemption price per share ........ $ 9.59 $ 1.00 $ 10.87
</TABLE>
- -------------
See Notes to Financial Statements.
56 & 57
<PAGE>
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
PREMIER
U.S. S&P 500 GROWTH VALUE
EQUITY INDEX EQUITY EQUITY
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME:
<S> <C> <C> <C> <C>
Dividends ....................................................$ 512,745 $ 5,907,711 $ 115,275 $ 919,326
Interest ..................................................... 156,297 629,921 117,646 251,894
Less: Foreign taxes withheld ................................. (3,328) (55,941) (275) --
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME .................................................... 665,714 6,481,691 232,646 1,171,220
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Advisory and administration fees ............................. 250,028 1,630,617 177,402 462,822
Transfer agent ............................................... 8,001 8,001 8,001 8,001
Trustees' fees ............................................... 1,537 16,060 964 2,628
Custody and accounting expenses .............................. 5,806 60,738 3,633 9,940
Professional fees ............................................ 10,921 114,212 6,839 18,699
Other expenses ............................................... 683 8,818 427 1,168
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES BEFORE WAIVER .................................... 276,976 1,838,446 197,266 503,258
Less: Expenses waived or borne by
the adviser ............................................... -- -- (12,631) --
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses ................................................. 276,976 1,838,446 184,635 503,258
- ----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ........................................... 388,738 4,643,245 48,011 667,962
- ----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
REALIZED GAIN (LOSS) ON:
Investments ............................................... 3,555,106 5,864,673 1,720,761 78,589
Futures ................................................... 346,276 1,486,877 130,879 --
Written options ........................................... -- -- -- --
Foreign currency related transactions ..................... (119) 16 -- --
INCREASE (DECREASE) IN UNREALIZED APPRECIATION/
DEPRECIATION ON:
Investments ............................................... 4,365,645 80,229,381 8,589,146 8,765,537
Futures ................................................... 54,842 (147,412) 6,738 --
Written options ........................................... -- -- -- --
Foreign currency related transactions ..................... (20) -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments ....... 8,321,730 87,433,535 10,447,524 8,844,126
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .$8,710,468 $ 92,076,780 $ 10,495,535 $ 9,512,088
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL TOTAL
EQUITY RETURN INCOME
FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
INCOME:
<S> <C> <C> <C>
Dividends ....................................................$ 663,721 $ 568,284 $ 26,311
Interest ..................................................... 82,423 2,182,399 3,957,636
Less: Foreign taxes withheld ................................. (95,234) (33,260) --
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME .................................................... 650,910 2,717,423 3,983,947
- ----------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Advisory and administration fees ............................. 410,693 444,269 315,505
Transfer agent ............................................... 8,001 8,001 8,001
Trustees' fees ............................................... 1,905 3,595 3,066
Custody and accounting expenses .............................. 7,193 13,583 11,555
Professional fees ............................................ 13,560 25,579 21,791
Other expenses ............................................... 847 2,418 1,361
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES BEFORE WAIVER .................................... 442,199 497,445 361,279
Less: Expenses waived or borne by
the adviser ............................................... -- -- --
- ----------------------------------------------------------------------------------------------------------------------------
Net expenses ................................................. 442,199 497,445 361,279
- ----------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ........................................... 208,711 2,219,978 3,622,668
- ----------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
REALIZED GAIN (LOSS) ON:
Investments ............................................... 3,294,930 2,365,333 (1,468,742)
Futures ................................................... -- -- --
Written options ........................................... -- 26,123 54,289
Foreign currency related transactions ..................... (98,238) (43,099) --
INCREASE (DECREASE) IN UNREALIZED APPRECIATION/
DEPRECIATION ON:
Investments ............................................... 8,684,451 7,062,245 (3,073,038)
Futures ................................................... -- -- --
Written options ........................................... -- (330) (763)
Foreign currency related transactions ..................... (6,088) (1,077) --
- ----------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments ....... 11,875,055 9,409,195 (4,488,254)
- ----------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .$ 12,083,766 $ 11,629,173 $ (865,586)
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL MONEY REAL ESTATE
INCOME MARKET SECURITIES
FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
INCOME:
Dividends ..................................................... $ -- $ -- $ 3,026,536
Interest ...................................................... 512,600 17,515,167 163,351
Less: Foreign taxes withheld .................................. (6,722) -- --
- ------------------------------------------------------------------------------------------------------------------------
TOTAL INCOME ..................................................... 505,878 17,515,167 3,189,887
- ------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Advisory and administration fees .............................. 61,389 1,455,389 379,342
Transfer agent ................................................ 8,001 8,001 8,001
Trustees' fees ................................................ 511 12,297 2,435
Custody and accounting expenses ............................... 1,934 46,440 9,175
Professional fees ............................................. 3,646 87,443 17,305
Other expenses ................................................ 226 7,143 1,080
- ------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES BEFORE WAIVER ..................................... 75,707 1,616,713 417,338
Less: Expenses waived or borne by
the adviser ................................................ -- (622,499) --
- ------------------------------------------------------------------------------------------------------------------------
Net expenses .................................................. 75,707 994,214 417,338
- ------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ............................................ 430,171 16,520,953 2,772,549
- ------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
REALIZED GAIN (LOSS) ON:
Investments ................................................ (280,963) 802 (4,590,447)
Futures .................................................... -- -- --
Written options ............................................ -- -- --
Foreign currency related transactions ...................... (137,048) -- --
INCREASE (DECREASE) IN UNREALIZED APPRECIATION/
DEPRECIATION ON:
Investments ................................................ (964,261) -- 1,644,238
Futures .................................................... -- -- --
Written options ............................................ -- -- --
Foreign currency related transactions ...................... 13,172 -- --
- ------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments ........ (1,369,100) 802 (2,946,209)
- ------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ..$ (938,929) $ 16,521,755 $ (173,660)
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
- ---------
See Notes to Financial Statements.
58 & 59
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
PREMIER
U.S. S&P 500 GROWTH
EQUITY INDEX EQUITY
FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31, December 31, December 31,
1999 1998 1999 1998 1999 1998
- -------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
<S> <C> <C> <C> <C> <C> <C>
Net investment income .........$ 388,738 $ 251,995 $ 4,643,245 $ 2,791,335 $ 48,011 $ 70,190
Net realized gain (loss) on
investments, futures, written
options, and foreign currency
related transactions ........ 3,901,263 720,210 7,351,566 11,920,795 1,851,640 1,153,279
Net increase (decrease) in
unrealized appreciation/
depreciation ................ 4,420,467 4,761,858 80,081,969 44,705,175 8,595,884 4,313,223
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
from operations ........... 8,710,468 5,734,063 92,076,780 59,417,305 10,495,535 5,536,692
Distributions to shareholders from:
Net investment income ......... (386,970) (250,555) (4,651,139) (2,699,390) (45,451) (68,908)
Net realized gains ............ (3,387,932) (546,305) (6,315,161) (9,401,821) (1,563,524) (760,447)
- -------------------------------------------------------------------------------------------------------------------
Total distributions ............. (3,774,902) (796,860) (10,966,300) (12,101,211 (1,608,975) (829,355)
Increase (decrease) in net assets
from operations and
distributions ................. 4,935,566 4,937,203 81,110,480 47,316,094 8,886,560 4,707,337
- -------------------------------------------------------------------------------------------------------------------
Share transactions:
Proceeds from sale of shares .. 69,442,665 16,925,055 256,122,069 130,960,266 57,605,631 8,647,997
Value of distributions
reinvested .................. 3,774,914 808,489 10,966,268 12,101,211 1,608,975 839,275
Cost of shares redeemed .......(36,518,796) (15,427,494) (23,015,645) (27,710,415) (34,260,818) (10,552,145)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from
share transactions .......... 36,698,783 2,306,050 244,072,692 115,351,062 24,953,788 (1,064,873)
- -------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets .................... 41,634,349 7,243,253 325,183,172 162,667,156 33,840,348 3,642,464
NET ASSETS
Beginning of period ............. 31,160,057 23,916,804 326,961,237 164,294,081 19,879,373 16,236,909
- -------------------------------------------------------------------------------------------------------------------
End of period ...................$72,794,406 $31,160,057 $652,144,409 $326,961,237 $53,719,721 $19,879,373
- -------------------------------------------------------------------------------------------------------------------
Undistributed (distributions in excess of)
net investment income,
end of period ...................$ 2,796 $ 1,146 $ 90,656 $ 98,534 $ 2,702 $ 142
- -------------------------------------------------------------------------------------------------------------------
CHANGES IN PORTFOLIO SHARES:
Shares sold by subscription .... 1,887,297 532,917 9,903,580 6,047,885 724,088 140,302
Issued for distributions
reinvested ..................... 102,246 24,815 399,355 521,604 18,918 13,063
Shares redeemed ..................(999,235) (485,538) (884,811) (1,321,302) (432,720) (173,026)
- -------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in fund shares ................. 990,308 72,194 9,418,124 5,248,187 310,286 (19,661)
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
VALUE INTERNATIONAL TOTAL
EQUITY EQUITY RETURN
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31, December 31, December 31,
1999 1998 1999 1998 1999 1998
- ---------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
<S> <C> <C> <C> <C> <C> <C>
Net investment income ........ $ 667,962 $ 266,967 $ 208,711 $ 231,035 $ 2,219,978 $ 1,590,250
Net realized gain (loss) on
investments, futures, written
options, and foreign currency
related transactions ....... 78,589 (1,750,273) 3,196,692 2,197,939 2,348,357 2,471,228
Net increase (decrease) in
unrealized appreciation/
depreciation ............... 8,765,537 3,907,480 8,678,363 3,294,109 7,060,838 5,485,019
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
from operations .......... 9,512,088 2,424,174 12,083,766 5,723,083 11,629,173 9,546,497
Distributions to shareholders from:
Net investment income ........ (671,000) (268,273) (115,235) (171,596) (2,180,949) (1,584,895)
Net realized gains ........... -- (1,266,070) (3,101,702) (1,790,431) (2,611,543) (2,103,414)
- ---------------------------------------------------------------------------------------------------------------------
Total distributions ............ (671,000) (1,534,343) (3,216,937) (1,962,027) (4,792,492) (3,688,309)
Increase (decrease) in net assets
from operations and
distributions ................ 8,841,088 889,831 8,866,829 3,761,056 6,836,681 5,858,188
- ---------------------------------------------------------------------------------------------------------------------
Share transactions:
Proceeds from sale of shares . 45,973,145 31,179,749 127,926,320 19,148,022 29,111,710 14,948,135
Value of distributions
reinvested ................. 671,028 1,534,344 3,216,971 1,962,027 4,792,547 3,688,309
Cost of shares redeemed ...... (18,566,825) (10,816,957) (124,421,937) (19,849,462) (3,459,594) (1,869,877)
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from
share transactions ......... 28,077,348 21,897,136 6,721,354 1,260,587 30,444,663 16,766,567
- ---------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets ................... 36,918,436 22,786,967 15,588,183 5,021,643 37,281,344 22,624,755
NET ASSETS
Beginning of period ............ 53,642,617 30,855,650 36,952,241 31,930,598 72,631,950 50,007,195
- ---------------------------------------------------------------------------------------------------------------------
End of period .................. $90,561,053 $53,642,617 $52,540,424 $36,952,241 $109,913,294 $72,631,950
- ---------------------------------------------------------------------------------------------------------------------
Undistributed (distributions in excess of)
net investment income,
end of period ................. $ 2,391 $ 5,407 $ (24,723) $ (19,961) $ (5,126) $ (1,056)
- ---------------------------------------------------------------------------------------------------------------------
CHANGES IN PORTFOLIO SHARES:
Shares sold by subscription .. 2,935,544 2,271,852 9,842,144 1,623,481 1,891,840 1,045,168
Issued for distributions
reinvested ................. 43,944 117,215 232,777 168,414 308,798 256,667
Shares redeemed .............. (1,195,638) (789,260) (9,552,582) (1,673,171) (225,801) (132,272)
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in fund shares ............. 1,783,850 1,599,807 522,339 118,724 1,974,837 1,169,563
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GLOBAL MONEY
INCOME INCOME MARKET
FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31, December 31, December 31,
1999 1998 1999 1998 1999 1998
- ---------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
<S> <C> <C> <C> <C> <C> <C>
Net investment income ......... $3,622,668 $ 2,792,312 $ 430,171 $ 363,926 $ 16,520,953 $ 10,312,511
Net realized gain (loss) on
investments, futures, written
options, and foreign currency
related transactions ........ (1,414,453) 600,594 (418,011) 161,603 802 2,034
Net increase (decrease) in
unrealized appreciation/
depreciation ................ (3,073,801) 418,790 (951,089) 470,056 -- --
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
from operations ........... (865,586) 3,811,696 (938,929) 995,585 16,521,755 10,314,545
Distributions to shareholders from:
Net investment income ......... (3,580,000) (2,792,417) (135,500) (513,299) (16,522,500) (10,312,511)
Net realized gains ............ (95,615) (486,762) (10,406) (45,764) -- --
- ---------------------------------------------------------------------------------------------------------------------
Total distributions ............. (3,675,615) (3,279,179) (145,906) (559,063) (16,522,500) (10,312,511)
Increase (decrease) in net assets
from operations and
distributions ................. (4,541,201) 532,517 (1,084,835) 436,522 (745) 2,034
- ---------------------------------------------------------------------------------------------------------------------
Share transactions:
Proceeds from sale of shares .. 17,529,047 31,877,838 13,298,990 4,092,914 1,453,542,485 1,128,113,014
Value of distributions
reinvested .................. 3,675,610 3,397,795 145,917 846,310 16,284,251 10,332,839
Cost of shares redeemed ....... (7,306,440) (22,284,896)(12,923,621) (1,488,358) (1,235,834,659) (1,043,716,505)
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease) from
share transactions .......... 13,898,217 12,990,737 521,286 3,450,866 233,992,077 94,729,348
- ---------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in
net assets .................... 9,357,016 13,523,254 (563,549) 3,887,388 233,991,332 94,731,382
NET ASSETS
Beginning of period ............. 59,076,545 45,553,291 9,738,728 5,851,340 239,546,869 144,815,487
- ---------------------------------------------------------------------------------------------------------------------
End of period ...................$68,433,561 $59,076,545 $9,175,179 $9,738,728 $ 473,538,201 $ 239,546,869
- ---------------------------------------------------------------------------------------------------------------------
Undistributed (distributions in excess of)
net investment income,
end of period .................. $ 43,086 $ 418 $ (111,477) $ (79,096) $ -- $ --
- ---------------------------------------------------------------------------------------------------------------------
CHANGES IN PORTFOLIO SHARES:
Shares sold by subscription ... 1,438,618 2,490,175 1,323,083 386,376 1,453,542,485 1,128,113,014
Issued for distributions
reinvested .................. 319,619 276,612 15,216 82,508 16,284,251 10,332,839
Shares redeemed ............... (600,378) (1,740,167) (1,306,508) (137,734) (1,235,834,659) (1,043,716,505)
- ---------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in fund shares .............. 1,157,859 1,026,620 31,791 331,150 233,992,077 94,729,348
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
REAL ESTATE
SECURITIES
FUND
- --------------------------------------------------------------
Year Ended Year Ended
December 31, December 31,
1999 1998
- --------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income ......... $2,772,549 $2,865,319
Net realized gain (loss) on
investments, futures, written
options, and foreign currency
related transactions ........ (4,590,447) 1,997,722
Net increase (decrease) in
unrealized appreciation/
depreciation ................ 1,644,238 (15,269,814)
- ------------------------------------------------------------
Net increase (decrease)
from operations ........... (173,660)(10,406,773)
Distributions to shareholders from:
Net investment income ......... (2,301,797) (1,919,406)
Net realized gains ............ (123,947) (1,766,106)
- ------------------------------------------------------------
Total distributions ............. (2,425,744) (3,685,512)
Increase (decrease) in net assets
from operations and
distributions ................. (2,599,404)(14,092,285)
- ------------------------------------------------------------
Share transactions:
Proceeds from sale of shares .. 20,186,725 10,749,483
Value of distributions
reinvested .................. 2,425,738 8,751,903
Cost of shares redeemed .......(25,926,947) (6,539,651)
- ------------------------------------------------------------
Net increase (decrease) from
share transactions .......... (3,314,484) 12,961,735
- ------------------------------------------------------------
Total increase (decrease) in
net assets .................... (5,913,888) (1,130,550)
NET ASSETS
Beginning of period ............. 47,755,972 48,886,522
- ------------------------------------------------------------
End of period ...................$41,842,084 $47,755,972
- ------------------------------------------------------------
Undistributed (distributions in excess of)
net investment income,
end of period ..................$ 713,466 $ 738,047
- ------------------------------------------------------------
CHANGES IN PORTFOLIO SHARES:
Shares sold by subscription ... 1,607,251 752,372
Issued for distributions
reinvested .................. 231,243 656,571
Shares redeemed ............... (2,108,849) (489,779)
- ------------------------------------------------------------
Net increase (decrease)
in fund shares .............. (270,355) 919,164
- ------------------------------------------------------------
- --------------
See Notes to Financial Statements.
60 & 61
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NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION OF THE FUNDS
GE Investments Funds, Inc. (the "Company") was incorporated under the laws of
the Commonwealth of Virginia on May 14, 1984 and is registered under the
Investment Company Act of 1940, as amended, (the "1940 Act") as an open-end,
management investment company. The Company is comprised of eleven investment
portfolios (each a "Fund" and collectively the "Funds"), although only the
following ten are currently being offered, as follows: U.S. Equity Fund, S&P 500
Index Fund, Premier Growth Equity Fund, Value Equity Fund, International Equity
Fund, Total Return Fund, Income Fund, Global Income Fund, Money Market Fund and
Real Estate Securities Fund.
Effective May 1, 1997, the Common Stock Index Portfolio changed its name to S&P
500 Index Fund. On May 5, 1997, the Money Market Fund's investment policy was
changed to maintain a constant net asset value in accordance with Rule 2a-7
under the 1940 Act, as amended, governing money market funds. To effect this
change the Money Market Fund declared a stock split in the ratio of 10.41 to 1.
As a result of the stock split, the Money Market Fund began maintaining a
constant net asset value per share of $1.00. The financial highlights of the
Money Market Fund have been restated to reflect this stock split.
Shares of the Company are offered only to insurance company separate accounts
that fund certain variable life insurance contracts and variable annuity
contracts. These insurance companies may include insurance companies affiliated
with GE Asset Management Incorporated ("GE Asset Management") (formerly, GE
Investment Management Incorporated), the investment adviser and administrator of
each Fund.
As of December 31, 1999, GE Life and Annuity Assurance Company ("GE Life") and
General Electric Capital Assurance Company, each an affiliated insurance
company, controlled the Funds by ownership, through separate accounts, of
virtually all of the Funds' shares of beneficial interest.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions at
the date of the financial statements. Actual results may differ from those
estimates.
The following summarizes the significant accounting policies of the Company:
SECURITY VALUATION AND TRANSACTIONS
Securities for which exchange (or NASDAQ) quotations are readily available are
valued at the last sale price, or if no sales occurred on that day, at the last
quoted bid price. Certain fixed income securities are valued by a dealer or by a
pricing service based upon a matrix system, which considers market transactions
as well as dealer supplied valuations. Short-term investments maturing within 60
days are valued at amortized cost or original cost plus accrued interest, both
of which approximate current value. Fund positions that cannot be valued as set
forth above are valued at fair value determined in good faith under procedures
approved by the Board of Directors of the Funds.
In accordance with Rule 2a-7 under the 1940 Act, the Money Market Fund values
its securities initially at cost and thereafter securities are assumed to have a
constant amortization to maturity of any discount or premium. Amortized cost
approximates fair value.
Security transactions are accounted for as of trade date. Realized gains and
losses on investments sold are recorded on the basis of specific identified cost
for both financial statement and federal tax purposes.
REPURCHASE AGREEMENTS
Each of the Funds may enter into repurchase agreements. The Funds' custodian
takes possession of the collateral pledged for investments in repurchase
agreements on behalf of the Funds. The Funds value the underlying collateral
daily on a mark-to-market basis to determine that the value, including accrued
interest, is at least equal to 102% of the repurchase price. In the event the
seller defaults and the value of the security declines, or if the seller enters
an insolvency proceeding, realization of the collateral by the Funds may be
delayed or limited.
FOREIGN CURRENCY
Accounting records of the Funds are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in a foreign currency
are translated daily to U.S. dollars at the prevailing rates of exchange.
Purchases and sales of securities, income receipts and expense payments
denominated in foreign currencies are translated into U.S. dollars at the
prevailing exchange rate on the respective dates of the transactions.
The Funds do not isolate the portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in their market prices. Such fluctuations are included in the net
realized and unrealized gain or loss from investments.
Net realized gains or losses on foreign currency transactions represent net
gains or losses on sales and maturities of foreign currency contracts,
disposition of foreign currencies, the difference between the amount of net
investment income and withholding taxes accrued and the U.S. dollar amount
actually received and paid, and gains or losses between the trade and settlement
date on purchases and sales of securities. Net unrealized foreign exchange gains
and losses arising from changes in the value of other assets and liabilities as
a result of changes in foreign exchange rates are included as increases or
decreases in unrealized appreciation/depreciation on foreign currency related
transactions.
FINANCIAL FUTURES CONTRACTS AND OPTIONS
Each of the Funds, other than the Money Market Fund, may invest in financial
futures contracts and purchase and write options, subject to certain
limitations. The Funds may invest in futures and options contracts to manage
their exposure to the stock and bond markets and fluctuations in currency
values. Buying futures, writing puts and buying calls tend to increase a Fund's
exposure to the underlying instrument. Selling futures, buying puts and writing
calls tend to decrease a Fund's exposure to the underlying instrument, or hedge
other fund investments. A Fund will not
62
<PAGE>
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
enter into a transaction involving futures and options on futures for
speculative purposes. The Fund's risks in using these contracts include changes
in the value of the underlying instruments, non-performance of the
counterparties under the contracts' terms and changes in the liquidity of
secondary market for the contracts. Futures contracts are valued at the
settlement price established each day by the board of trade or exchange on which
they principally trade. Options are valued at the last sale price, or if no
sales occurred on that day, at the last quoted bid price.
Upon entering into a financial futures contract, the Funds are required to
pledge to the broker an amount of cash and/or other assets equal to a certain
percentage of the contract amount, known as initial margin deposit. Subsequent
payments, known as variation margins, are made or received by the Funds each
day, depending on the daily fluctuation in the fair value of the underlying
security. The Funds record an unrealized gain or loss equal to the daily
variation margin. Should market conditions move unexpectedly, the Fund may not
achieve the anticipated benefits of the financial futures contracts and may
incur a loss. The Funds recognize a realized gain or loss on the expiration or
closing of a futures contract.
When a Fund writes an option, the amount of the premium received is recorded as
a liability and is subsequently adjusted to the current fair value of the option
written. Premiums received from writing options that expire unexercised are
treated by the Funds on the expiration date as realized gains from investments.
The difference between the premium and the amount paid on effecting a closing
purchase transaction, including brokerage commissions, is also treated as a
realized gain, or if the premium is less than the amount paid for the closing
purchase, as a realized loss. When an option is exercised, the proceeds from the
sale of the underlying security or the cost basis of the securities purchased is
adjusted by the original premium received or paid.
WHEN-ISSUED SECURITIES AND FORWARD COMMITMENTS
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. These transactions are arrangements in which the Funds purchase and sell
securities with payment and delivery scheduled a month or more after entering
into the transaction. The price of the underlying securities and the date when
these securities will be delivered and paid for are fixed at the time the
transaction is negotiated. Losses may arise due to changes in the market value
of the underlying securities or if the counterparty does not perform under the
contract. In connection with such purchases, the Funds maintain cash or liquid
assets in an amount equal to purchase commitments for such underlying securities
until settlement date and for sales commitments the Funds maintain equivalent
deliverable securities as "cover" for the transaction. Unsettled commitments are
valued at current market value of the underlying security. Daily fluctuations in
the value of such contracts are recorded as unrealized gains or losses. The
Funds will not enter into such agreements for the purpose of investment
leverage.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
Certain Funds may enter into forward foreign currency exchange contracts to
facilitate transactions in foreign denominated securities and to manage the
Fund's currency exposure. Forward foreign currency exchange contracts are valued
at the mean between the bid and the offered forward rates as last quoted by a
recognized dealer. The aggregate principal amounts of the contracts are not
recorded in the Fund's financial statements. Such amounts, if any, appear under
the caption forward foreign currency contracts in the Schedule of Investments.
Fluctuations in the value of the contracts are recorded in the Statement of
Assets and Liabilities as an asset (or liability) and in the Statement of
Operations as unrealized appreciation (depreciation) until the contracts are
closed, when they are recorded as realized foreign currency related transactions
gains or losses. The Fund's risks in using these contracts include changes in
the value of foreign currency or the possibility that the counterparties do not
perform under the contracts' terms. Certain Funds may utilize forward currency
exchange contracts for speculative purposes. When a Fund enters into a forward
foreign currency exchange contract, it is required to segregate cash or liquid
securities with its custodian in an amount equal to the value of the Fund's
total assets committed to the consummation of the forward contract. If the value
of the segregated securities declines, additional cash or securities is
segregated so that the value of the account will equal the amount of the Fund's
commitment with respect to the contract.
INVESTMENTS IN FOREIGN MARKETS
Investments in foreign markets may involve special risks and considerations not
typically associated with investing in the United States. These risks include
revaluation of currencies, high rates of inflation, repatriation of income and
capital, and adverse political and economic developments. Moreover, securities
issued in these markets may be less liquid, subject to government ownership
controls, tariffs and taxes, subject to delays in settlements, and their prices
may be more volatile.
INCOME TAXES
The Funds intend to comply with all sections of the Internal Revenue Code
applicable to regulated investment companies including the distribution of
substantially all of their taxable net investment income and net realized
capital gains to their shareholders. Therefore, no provision for federal income
tax has been made. Each Fund is treated as a separate taxpayer for federal
income tax purposes.
As of December 31, 1999, the following Funds have capital loss carryovers as
indicated below. The capital loss carryover is available to offset future
realized capital gains to the extent provided in the Internal Revenue Code and
regulations thereunder. To the extent that these carryover losses are used to
offset future capital gains, it is probable that the gains so offset will not be
distributed to shareholders because they would be taxable as ordinary income.
FUND AMOUNT EXPIRES
- -------------------------------------------------------------
Value Equity Fund $ 107,183 2007
Income Fund 1,081,086 2007
Global Income Fund 63,605 2007
Real Estate Securities Fund 1,020,550 2007
Any net capital and currency losses incurred after October 31, within each
Fund's tax year, are deemed to arise on the first day of the Fund's next tax
year if the Fund so elects to defer such losses.
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
The Funds incurred and elected to defer losses after October 31, 1999 as
follows:
FUND CURRENCY CAPITAL
- -------------------------------------------------------------
S&P 500 Index Fund $ 3 $ --
Value Equity Fund -- 2,765,783
International Equity Fund 28,407 --
Total Return Fund 8,238 --
Income Fund -- 334,791
Global Income Fund -- 27,356
Real Estate Securities Fund -- 3,249,242
DISTRIBUTIONS TO SHAREHOLDERS
The Money Market Fund declares net investment income dividends daily and pays
them monthly. All other Funds declare and pay dividends from net investment
income annually. All Funds declare and pay net realized capital gains in excess
of capital loss carryforwards distributions annually. The character of income
and gains to be distributed is determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences include treatment of realized and unrealized gains and losses
on forward foreign currency contracts, paydown gains and losses on mortgage
backed securities, and losses deferred due to wash sale transactions.
Reclassifications are made to the Funds' capital accounts to reflect income and
gains available for distribution (or available capital loss carryovers) under
income tax regulations. These reclassifications have no impact on net investment
income, net realized gains or losses, or net asset value of the Funds. The
calculation of net investment income per share in the Financial Highlights table
excludes these adjustments.
INVESTMENT INCOME
Corporate actions (including cash dividends) are recorded, net of
non-reclaimable tax withholdings, on the ex-dividend date, except for certain
foreign corporate actions which are recorded as soon after ex-dividend date as
such information becomes available. Interest income is recorded on the accrual
basis. All discounts on taxable bonds are accreted to call or maturity date,
whichever is shorter, using the effective yield method. Premiums on taxable
bonds are not amortized.
EXPENSES
Expenses of the Company which are directly identifiable to a specific Fund are
allocated to that Fund. Expenses, which are not directly identifiable to a
specific Fund, are allocated in such a manner as deemed equitable, taking into
consideration the nature and type of expense and the relative sizes of the
Funds. All expenses of the Funds are paid by GE Asset Management and reimbursed
by the Funds. Effective May 1, 1999, GE Asset Management has voluntarily agreed
to waive all expenses except advisory and administrative fees incurred by the
Premier Growth Equity Fund.
3. LINE OF CREDIT
Effective May 1, 1999, the Company shares a revolving credit facility of up to
$188,000,000, with a number of its affiliates. The credit facility is with its
custodial bank, State Street Bank and Trust Company. The revolving credit
facility requires the payment of a commitment fee equal to 0.08% per annum on
the daily used portion of the credit facility, payable quarterly. The portion
borne by the Funds generally is borne proportionately based upon net assets.
Generally, borrowings under the credit facility would accrue interest at the
Federal Funds Rate plus 50 basis points and is borne by the borrowing Fund. The
maximum amount allowed to be borrowed by any one Fund is the lesser of its
prospectus limitation, 20% of its net assets or $75 million. The credit facility
was not utilized by the Funds during the one-year period ended December 31,
1999.
4. FEES AND COMPENSATION PAID TO AFFILIATES
ADVISORY AND ADMINISTRATION FEES
GE Asset Management, a registered investment adviser, was retained by the
Company's Board of Directors effective May 1, 1997 to act as investment and
administrator of the Funds. Compensation of GE Asset Management for investment
advisory and administrative services is paid monthly based on the average daily
net assets of each Fund. The advisory and administrative fee is stated in the
following schedule:
ANNUALIZED BASED ON AVERAGE DAILY NET ASSETS
AVERAGE DAILY ADVISORY AND
NET ASSETS OF FUND ADMINISTRATION FEES
- --------------------------------------------------------------------------------
U.S Equity Fund All assets .55%
S&P 500 Index Fund All assets .35%
Premier Growth Equity Fund All assets .65%
Value Equity Fund All assets .65%
International Equity Fund First $100 million 1.00%
Next $100 million .95%
Over $200 million .90%
Total Return Fund First $100 million .50%
Next $100 million .45%
Next $100 million .40%
Next $100 million .35%
Over $400 million .30%
Income Fund All assets .50%
Global Income Fund All assets .60%
Money Market Fund* First $100 million .50%
Next $100 million .45%
Next $100 million .40%
Next $100 million .35%
Over $400 million .30%
Real Estate Securities Fund First $100 million .85%
Next $100 million .80%
Over $200 million .75%
* THE ADVISER HAS VOLUNTARILY AGREED TO WAIVE A PORTION OF THE FEE PAYABLE BY
THE MONEY MARKET FUND SO THAT THE FEE PAID BY THE MONEY MARKET FUND IS EQUAL
TO 0.25%. GE ASSET MANAGEMENT RESERVES THE RIGHT TO DISCONTINUE THE WAIVER AT
ANY TIME.
DIRECTORS' COMPENSATION
The Funds pay no compensation to their Directors who are officers or employees
of GE Asset Management or its affiliates. Directors who are not officers or
employees receive an annual fee of $6,000 and an additional fee of $500 per
Directors' meeting attended in person and an additional fee of $250 for each
Directors' conference call meeting attended. These fees are allocated
proportionally among the Funds based upon the relative net assets of each Fund.
64
<PAGE>
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
- --------------------------------------------------------------------------------
5. SUB-ADVISORY FEES
Pursuant to investment sub-advisory agreements with GE Asset Management, Seneca
Capital Management, L.L.C. ("Seneca") is the sub-adviser to the Real Estate
Securities Fund; GE Asset Management Limited ("GEAML") is the sub-adviser to the
Global Income Fund; NWQ Investment Management Company ("NWQ") is the sub-adviser
to the Value Equity Fund and State Street Global Advisors ("SSgA"), a division
of State Street Bank and Trust Company, is the sub-adviser to the S&P 500 Index
Fund.
Seneca, GEAML, NWQ and SSgA are responsible for the day-to-day portfolio
management of the assets of the Real Estate Securities Fund, Global Income Fund,
Value Equity Fund and S&P 500 Index Fund, respectively, including the
responsibility for making decisions to buy, sell or hold a particular security,
under the general supervision of GE Asset Management and the Board.
For their services, GE Asset Management pays Seneca, GEAML, NWQ and SSgA monthly
sub-advisory fees which are calculated as a percentage of the average daily net
assets of the respective funds.
6. AGGREGATE UNREALIZED
APPRECIATION AND DEPRECIATION
Aggregate gross unrealized appreciation/(depreciation) of investments for each
Fund at December 31, 1999, were as follows:
NET
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
- --------------------------------------------------------------------------------
U.S. Equity Fund $ 12,460,786 $ 2,817,446 $ 9,643,340
S&P 500 Index Fund 182,101,328 27,063,390 155,037,938
Premier Growth Equity Fund 14,905,219 1,461,146 13,444,073
Value Equity Fund 24,954,510 10,770,094 14,184,416
International Equity Fund 15,269,474 1,953,593 13,315,881
Total Return Fund 22,521,116 4,187,888 18,333,228
Income Fund 7,566 2,665,604 (2,658,038)
Global Income Fund 131,150 682,306 (551,156)
Real Estate Securities Fund 786,320 5,769,163 (4,982,843)
The aggregate cost of each Fund's investments was substantially the same for
book and federal income tax purposes at December 31, 1999.
7. OPTIONS
(CONTRACTS IN THOUSANDS)
During the period ended December 31, 1999, the following option contracts were
written:
INCOME FUND TOTAL RETURN FUND
- --------------------------------------------------------------------------------
NUMBER NUMBER
OF CONTRACTS PREMIUM OF CONTRACTS PREMIUM
- --------------------------------------------------------------------------------
Balance as of
December
31, 1998 1,710 $ 7,095 760 $ 3,148
Written 24,176 70,939 11,934 34,741
Closed and Expired (20,411) (61,896) (10,029) (30,102)
Exercised (5,475) (16,138) (2,665) (7,787)
- --------------------------------------------------------------------------------
Balance as of
December 31, 1999 -- $ -- -- $ --
- --------------------------------------------------------------------------------
8. INVESTMENT TRANSACTIONS
The cost of purchases and the proceeds from sales of investments, other than
short-term securities and options, for the period ended December 31, 1999, were
as follows:
PURCHASES SALES
- ------------------------------------------------------------
U.S. Equity Fund $ 44,284,889 $ 14,930,920
S&P 500 Index Fund 249,907,416 14,027,030
Premier Growth Equity Fund 28,298,949 7,003,747
Value Equity Fund 43,379,049 20,058,118
International Equity Fund 21,416,795 20,340,098
Total Return Fund 113,701,715 87,947,544
Income Fund 153,507,184 137,506,452
Global Income Fund 12,698,093 11,576,910
Real Estate Securities Fund 6,526,869 8,428,889
65
<PAGE>
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
The Board of Directors and Shareholders GE Investments Funds, Inc.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the U.S. Equity Fund, S&P 500 Index Fund,
Premier Growth Equity Fund, Value Equity Fund, International Equity Fund, Total
Return Fund, Income Fund, Global Income Fund, Money Market Fund, and Real Estate
Securities Fund, of GE Investments Funds, Inc. (the "Funds"), as of December 31,
1999, and the related statements of operations for the year then ended, and the
statements of changes in net assets for each of the years in the two-year period
then ended, and the financial highlights for each of the years or periods in the
three year period ended December 31, 1999. These financial statements and
financial highlights are the responsibility of the Funds' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audit. The financial highlights for each of
the years or periods in the two-year period ended December 30, 1996 for the S&P
500 Index Fund, International Equity Fund, Total Return Fund, Money Market Fund,
and Real Estate Securities Fund, and the financial highlights for the year ended
December 31, 1996 and for the period from January 3, 1995 to December 31, 1995
for the U.S. Equity Fund and Income Fund were audited by other auditors whose
reports thereon dated February 12, 1997 and February 11, 1997, respectively,
expressed unqualified opinions on those financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian. As to securities
purchased or sold but not yet received or delivered, we performed other
appropriate auditing procedures. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Funds as of December 31, 1999, the results of their operations for the year then
ended, and the changes in their net assets for each of the years in the two-year
period then ended and financial highlights for each the years or period in the
three-year period then ended, in conformity with generally accepted accounting
principles.
KPMG LLP
[SIGNATURE]
New York, New York
February 4, 2000
66
<PAGE>
GE INVESTMENTS FUNDS INVESTMENT TEAM
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
U.S. EQUITY FUND
Team led by
Eugene K. Bolton, GE Asset Management
S&P 500 INDEX FUND
Team led by
James B. May, SSgA
PREMIER GROWTH EQUITY FUND
David B. Carlson, GE Asset Management
VALUE EQUITY FUND
Jon D. Bosse, NWQ
INTERNATIONAL EQUITY FUND
Team led by
Ralph R. Layman, GE Asset Management
TOTAL RETURN FUND
David B. Carlson, GE Asset Management
Ralph R. Layman, GE Asset Management
Robert A. MacDougall, GE Asset Management
INCOME FUND
MONEY MARKET FUND
Team led by
Robert A. MacDougall, GE Asset Management
GLOBAL INCOME FUND
William R. Wright, GEAML
(formerly GE Investments (US) Limited)
REAL ESTATE SECURITIES FUND
David A. Shapiro, Seneca
INVESTMENT ADVISER
AND ADMINISTRATOR
GE Asset Management Incorporated
(formerly GEInvestment Management Incorporated)
BOARD OF DIRECTORS
Michael J.Cosgrove, CHAIRMAN
John R. Costantino
William J. Lucas
Robert P. Martin, Jr.
J. Clifford Miller, III
J. Garrett Nelson*
Lee A. Putney
Robert P. Quinn
*(SERVED AS DIRECTOR THROUGH DECEMBER 7, 1999)
SECRETARY
Matthew J. Simpson
TREASURER
Michael J. Tansley
ASSISTANT TREASURERS
Michael M. D'Ambrosio
DISTRIBUTOR
GE Investment Distributors, Inc.
Member NASD and SIPC
COUNSEL
Sutherland, Asbill & Brennan, L.L.P.
CUSTODIAN
State Street Bank & Trust Company
INDEPENDENT AUDITORS
KPMG LLP
OFFICERS OF THE INVESTMENT ADVISER
John H. Myers, CHAIRMAN OF THE BOARD AND PRESIDENT
Eugene K. Bolton, EVP, DOMESTIC EQUITIES
Michael J. Cosgrove, EVP, MUTUAL FUNDS
Ralph R. Layman, EVP, INTERNATIONAL EQUITIES
Alan M. Lewis, EVP, GENERAL COUNSEL AND SECRETARY
Robert A. MacDougall, EVP, FIXED INCOME
Geoffrey R. Norman, EVP, MARKETING
Don W. Torey, EVP, PRIVATE EQUITIES AND REAL ESTATE
John J. Walker, EVP, CHIEF FINANCIAL OFFICER
67
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FOR ADDITIONAL INFORMATION PLEASE WRITE OR CALL YOUR FINANCIAL REPRESENTATIVE.
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