<PAGE>
SEMI-ANNUAL REPORT
June 30, 1996
Variable Annuity &
ExecAnnuity Plus
[LOGO OF ALLMERICA APPEARS HERE]
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GENERAL INFORMATION CONTENTS
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OFFICERS OF ALLMERICA FINANCIAL LIFE INSURANCE AND ANNUITY COMPANY
John F. O'Brien, Chairman of the Board
Richard M. Reilly, President and CEO
Eric A. Simonsen, Vice President and CFO
Abigail Armstrong, Secretary and Counsel
INVESTMENT MANAGER
Allmerica Investment
Management Co., Inc.
440 Lincoln Street
Worcester, MA 01653
GENERAL DISTRIBUTOR
Allmerica Investments, Inc.
440 Lincoln Street
Worcester, MA 01653
INDEPENDENT ACCOUNTANT
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110
CUSTODIAN
Bankers Trust Company
16 Wall Street
New York, NY 10005
LEGAL COUNSEL
Ropes & Gray
One International Place
Boston, MA 02110
ADMINISTRATOR
First Data Investor Services Group
4400 Computer Drive
P.O. Box 5108
Westboro, MA 01581
OFFICERS OF ALLMERICA
INVESTMENT TRUST (AIT)
Richard M. Reilly, President
Thomas P. Cunningham, Treasurer
BOARD OF TRUSTEES OF AIT
John F. O'Brien, Chairman
Russell E. Fuller
Gordon Holmes
John Kavanaugh
Bruce E. Langton
Attiat F. Ott
Richard M. Reilly
Ranne P. Warner
Thomas S. Zocco
INVESTMENT SUB-ADVISERS
Allmerica Asset Management, Inc.
440 Lincoln Street
Worcester, MA 01653
Equity Index Fund
Investment Grade Income Fund
Government Bond Fund
Money Market Fund
David L. Babson & Co. Inc.
One Memorial Drive
Cambridge, MA 02142
Small Cap Value Fund
Bank of Ireland Asset Management
2 Greenwich Plaza
Greenwich, CT 06830
Select International Equity Fund
Janus Capital Corporation
100 Fillimore Street - Suite 300
Denver, CO 80206
Select Capital Appreciation Fund
John A. Levin & Co., Inc.
One Rockefeller Plaza
New York, NY 10020
Select Growth and Income Fund
Miller, Anderson & Sherrerd, LLP
One Tower Bridge
West Conshohocken, PA 19248
Growth Fund
Nicholas-Applegate Capital Management
501 West Broadway - Suite 2000
San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.(*)
One Post Office Square
Boston, MA 02109
Select Growth Fund
INVESTMENT ADVISERS
Delaware International Advisers Ltd.
1818 Market Street
Philadelphia, PA 19103
Delaware International Equity Series
Fidelity Management & Research Company
82 Devonshire Street
Boston, MA 02108
Fidelity VIP II Asset Manager Portfolio
Fidelity VIP Equity-Income Portfolio
Fidelity VIP Growth Portfolio
Fidelity VIP High Income Portfolio
Fidelity VIP Overseas Portfolio
Rowe Price-Fleming International, Inc.
100 E. Pratt Street
Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
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CONTENTS
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A LETTER FROM THE CHAIRMAN.......................... 2
PERFORMANCE SUMMARIES............................... 3-4
DOMESTIC & INTERNATIONAL EQUITY MARKET OVERVIEW..... 6-7
Select International Equity Fund.................... 8
Delaware International Equity Series................ 9
Fidelity VIP Overseas Portfolio..................... 10
T. Rowe Price International Stock Portfolio......... 11
Select Aggressive Growth Fund....................... 12
Select Capital Appreciation Fund.................... 13
Small Cap Value Fund................................ 14
Select Growth Fund.................................. 15
Growth Fund......................................... 16
Fidelity VIP Growth Portfolio....................... 17
Select Growth and Income Fund....................... 18
Equity Index Fund................................... 19
Fidelity VIP Equity-Income Portfolio................ 20
Fidelity VIP II Asset Manager Portfolio............. 21
BOND MARKET OVERVIEW...............................22-23
Fidelity VIP High Income Portfolio.................. 24
Investment Grade Income Fund........................ 25
Government Bond Fund................................ 26
MONEY MARKET OVERVIEW............................... 27
Money Market Fund................................... 28
FINANCIALS.......................................... F-1
For further information, see the accompanying semi-annual reports.
(*)As of July 1, 1996 Putnam Investment Management, Inc. assumed sub-advisory
responsibilities of the Select Growth Fund.
1
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A LETTER FROM THE CHAIRMAN
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Dear Client:
Entering 1996, many analysts were forecasting that the economy
[PHOTO APPEARS would grow modestly, inflation would remain level, interest rates
HERE] would decline slightly and the bond and stock markets would
return to more "normal" annual returns.
However, the first six months have produced quite different results.
Following a stream of economic reports showing that the economy was far stronger
than had been anticipated, investors became concerned early in the year about
the potential for rising inflation. In response, interest rates rose signi-
ficantly. The bond market declined -1.21% as measured by the Lehman Brothers
Aggregate Bond Index. And the 30-year U.S. Treasury bonds declined an even
greater -9.35%.
In contrast, stock market investors ignored the concerns of the bond market
and focused instead on strong corporate earnings. That drove the stock market up
10.10% for the period, as measured by the Standard and Poor's 500(R) Stock
Index. In fact, this six-month return matched the market's average 12-month rate
of return for the past two decades.
Both the stock market and the bond market returns for early 1996 reinforce
just how unpredictable the markets can be. Consequently Allmerica remains
focused on providing you with quality products and investment options that can
help you reach your long-term financial goals - regardless of what happens in
the short term.
As part of that commitment, Allmerica continues to offer you access to a
broad array of money managers with complementary investment strategies. Our
Manager Evaluation Committee, in conjunction with a leading pension consultant,
has carefully selected some of the best money managers available in a spectrum
of investment categories. This Committee meets quarterly to monitor each
managers' performance and recommend any changes which may be appropriate. Such
was the case recently. We are pleased to announce that effective July 1, 1996
Putnam Investment Management, Inc. will assume sub-advisory responsibility of
the Select Growth Fund.
This change reflects our commitment to carefully selecting each of our money
managers, ensuring they continue to earn their place on Allmerica's elite
roster.
On behalf of the Board of Directors,
/s/John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
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...Allmerica remains focused on providing you with quality products and
investment options that can help you reach your long-term financial goals -
regardless of what happens in the short term.
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2
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PERFORMANCE SUMMARY
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EXECANNUITY PLUS . Average Annual Total Returns as of 6/30/96
For easy reference, the total returns for the ExecAnnuity Plus
subaccounts are summarized below. Keep in mind, however, that these returns
are net of all subaccount charges. For returns that do not reflect the
deduction of subaccount charges, please refer to the individual Portfolio
Reviews beginning on page 8.
<TABLE>
<CAPTION>
WITHOUT SURRENDER CHARGE WITH SURRENDER CHARGE
TEN YEARS TEN YEARS
ONE FIVE OR LIFE ONE FIVE OR LIFE
SUBACCOUNTS YEAR YEARS OF FUND YEAR YEARS OF FUND
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select International Equity Fund/6/ 16.19% N/A 9.10% 8.19% N/A 6.13%
Select Aggressive Growth Fund/4/ 30.27% N/A 19.83% 22.27% N/A 18.90%
Select Capital Appreciation Fund/7/ 37.87% N/A 46.17% 29.87% N/A 39.77%
Small Cap Value Fund/5/ 24.15% N/A 12.24% 16.15% N/A 10.75%
Select Growth Fund/4/ 16.30% N/A 10.34% 8.30% N/A 9.15%
Growth Fund/1/ 21.92% 13.27% 12.29% 13.92% 12.41% 12.29%
Select Growth and Income Fund/4/ 22.91% N/A 11.06% 14.91% N/A 9.89%
Equity Index Fund/2/ 23.29% 13.46% 15.54% 15.29% 12.60% 15.18%
Investment Grade Income/1/ 2.92% 7.04% 6.59% -4.49% 5.95% 6.59%
Government Bond Fund/3/ 2.94% N/A 5.27% -4.47% N/A 4.41%
Money Market Fund/1/ 4.06% 2.88% 4.33% -3.43% 1.60% 4.33%
DELAWARE GROUP PREMIUM FUND, INC.
Delaware International Equity Series/8/ 17.22% N/A 9.35% 9.22% N/A 8.04%
ROWE PRICE-FLEMING INTERNATIONAL, INC.
T. Rowe Price International Stock
Portfolio/9/ 15.01% N/A 8.20% 7.01% N/A 5.34%
FIDELITY VARIABLE INSURANCE PRODUCTS FUND (VIPF AND VIPF II)
Fidelity VIP Overseas Portfolio/13/ 11.54% 8.51% 6.15% 3.54% 7.48% 6.15%
Fidelity VIP Growth Portfolio/11/ 19.37% 18.19% 13.55% 11.37% 17.46% 13.55%
Fidelity VIP Equity-Income Portfolio/11/ 20.33% 17.22% 11.62% 12.33% 16.47% 11.62%
Fidelity VIP II Asset Manager Portfolio/12/ 14.92% 9.71% 9.67% 6.92% 8.73% 9.41%
Fidelity VIP High Income Portfolio/10/ 13.89% 14.64% 9.37% 5.89% 13.82% 9.37%
</TABLE>
Performance returns shown above are for the subaccounts of ExecAnnuity Plus
and assume an investment in the underlying funds listed on the date of inception
of each Fund.
/1/ Inception April 29, 1985 /8/ Inception Octoer 29, 1992
/2/ Inception September 28, 1990 /9/ Inception March 31, 1994
/3/ Inception August 26, 1991 /10/ Inception September 19, 1985
/4/ Inception August 21, 1992 /11/ Inception October 9, 1986
/5/ Inception April 30, 1993 /12/ Inception September 6, 1989
/6/ Inception May 1, 1994 /13/ Inception January 28, 1987
/7/ Inception April 28, 1995
Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
For more information about the performance of the underlying funds, see the
Performance Reviews beginning on page 8.
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3
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PERFORMANCE SUMMARY
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VARIABLE ANNUITY - Average Annual Total Returns as of 6/30/96
For easy reference, the total returns for the Variable Annuity
subaccounts are summarized below. Keep in mind that these returns
are net of all subaccount charges. For returns that do not reflect
the deduction of subaccount charges, please refer to the individual
Portfolio Reviews beginning on page 8.
<TABLE>
<CAPTION>
WITHOUT SURRENDER CHARGE
------------------------
ONE FIVE TEN
SUBACCOUNTS YEAR YEARS YEARS
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<S> <C> <C> <C>
GROWTH FUND - SINGLE/ELECTIVE PAYMENT
Tax Qualified Account 22.16% 13.54% 12.73%
Non Tax Qualified Account 22.16% 13.54% 12.73%
INVESTMENT GRADE INCOME FUND -
SINGLE/ELECTIVE PAYMENT
Tax Qualified Account 3.13% 7.29% 7.01%
Non Tax Qualified Account 3.13% 7.28% 7.04%
MONEY MARKET FUND
Tax Qualified Account 4.27% 3.11% 4.73%
Non Tax Qualified Account 4.27% 3.11% 4.73%
</TABLE>
<TABLE>
<CAPTION>
WITH SURRENDER CHARGE
---------------------
ONE FIVE TEN
SUBACCOUNTS YEAR YEARS YEARS
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<S> <C> <C> <C>
GROWTH FUND - ELECTIVE PAYMENT
Tax Qualified Account 13.61% 12.50% 12.73%
Non Tax Qualified Account 13.61% 12.50% 12.73%
INVESTMENT GRADE INCOME FUND - ELECTIVE PAYMENT
Tax Qualified Account -4.09% 6.31% 7.01%
Non Tax Qualified Account -4.09% 6.30% 7.04%
MONEY MARKET FUND - ELECTIVE PAYMENT
Tax Qualified Account -3.03% 2.17% 4.73%
Non Tax Qualified Account -3.03% 2.17% 4.73%
GROWTH FUND - SINGLE PAYMENT
Tax Qualified Account 16.66% 12.92% 12.73%
Non Tax Qualified Account 16.67% 12.92% 12.73%
INVESTMENT GRADE INCOME FUND - SINGLE PAYMENT
Tax Qualified Account -1.51% 6.70% 7.01%
Non Tax Qualified Account -1.51% 6.70% 7.04%
MONEY MARKET FUND - SINGLE PAYMENT
Tax Qualified Account -0.42% 2.55% 4.73%
Non Tax Qualified Account -0.42% 2.55% 4.73%
</TABLE>
Performance returns in this report are historical and are not indicators of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
For more information about the performance of underlying funds, see the
Performance Reviews beginning on page 8.
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4
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-----------------
Individual
Portfolio
Reviews
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[LOGO OF ALLAMERICA FINANCIAL APPEARS HERE]
5
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DOMESTIC & INTERNATIONAL
EQUITY MARKET OVERVIEW
1990-1991: Economic recession in the United States. A deep depression affects
much of the former Soviet bloc countries.
1992: U.S. economy continues its slow recovery. Larger companies downsize while
smaller firms thrive.
1993: A year of low interest rates and strong growth in the emerging markets.
1994: Federal Reserve Board raises interest rates six times stalling equity
markets.
1995: Favorable economic conditions result in tremendous gains for the U.S.
equity markets. Europe turns in strongest performance of international equity
markets.
Sustained growth and renewed volatility characterized the domestic equity
market for the six months ending June 30, 1996.
Surprisingly strong company fundamentals and corporate profits propelled the
stock market upward throughout the period. In fact, stocks of companies of all
sizes delivered solid returns.
Continued demand for equities has played a major role in sustaining the
current bull market. This demand has been bolstered by corporate share
repurchase programs and merger/acquisition activities as well as by huge cash
inflows into equity mutual funds. During the first six months of 1996, over $99
billion streamed into equity mutual funds, nearly matching the $128 billion
record for all of 1995. So far, this demand has more than offset the supply
coming into the stock market.
While demand has remained steady through this six-month period, individual
stock and industries have gone in and out of favor. Investors have struggled to
predict which way interest rates would move - and consequently which segments of
the market would benefit from that shift.
As in many first quarters, investors favored commodity stocks. A cold
winter and rising oil prices stimulated the energy group, which was led by
drilling and oil equipment suppliers.
In 1996, many retail stocks recovered from a disappointing 1995. In the
second quarter in particular, footwear and apparel industries rebounded, posting
returns of 25% and 19%, respectively. Tobacco stocks also shook off their
critics, jumping 17% as a group.
As a whole, technology stocks continued to produce impressive double-digit
A cold winter Economic data
and rising oil shows economy
prices [PICTURE OF growing at a
stimulates OIL PUMP much faster rate
energy stocks. APPEARS HERE] than anticipated.
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1996 JAN 96 FEB 96
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[PICTURE OF Strong company
BRIDGE & fundamentals
CITY BUILDINGS and corporate
APPEARS HERE] profits sustain
current bull
market.
6
<PAGE>
returns for the period, although not without significant volatility from month
to month. During June, many technology companies "pre-announced" news of
disappointing returns before the close of the quarter. Characteristically, many
market participants responded by selling off the entire sector.
Moving into the second half of the year, the domestic stock market appears to
be maintaining its bullish outlook. In general, many analysts expect fair
valuations and continued investment inflows to facilitate an upward trend in the
market. However, short-term volatility is also likely to continue, as investors
continue to try to predict how specific sectors will be affected by various
economic signals.
On the global scene, U.S. investors in international equities experienced
mixed results. Overall, solid gains in many foreign markets were offset by the
U.S. dollar's appreciation over the local currency. For example, the 7.56%
advance of Japan's Nikkei Index was reduced to a 2.39% gain when converted from
yen to U.S. dollars. And the 10.79% return of the German DAX was reduced to a
4.50% gain.
To date, the most promising results for international investors have been in
Europe, where the establishment of the European Monetary Union (EMU) by 1999 now
seems likely. Numerous European countries exceeded the Morgan Stanley Europe,
Australia and the Far East (EAFE) Index for the first six months of 1996,
including France, Italy, Sweden, and the Netherlands.
Following a decisive election victory by a coalition center-left party, Italy
turned out to be Europe's star performer in the second quarter, delivering a
13.62% gain in U.S. dollar terms. Conversely, Switzerland turned in a -2.40%
return, largely due to the weakness of the Swiss Franc against the U.S. dollar.
Throughout the period, the performance of the United Kingdom market remained
lackluster. News of the country's political uncertainty, exacerbated by the beef
crisis, tended to drown out reports of strong company earnings and increased
takeover activity.
While the Japanese economy has exhibited signs of recovery in the first six
months of the year, some portfolio managers caution that this growth may be
temporary.
In Far Eastern markets, the increases in share values, anticipated since
early 1996, have not yet materialized. However, given the rate of economic
growth, some analysts continue to believe these markets offer attractively
valued opportunities.
After a
disappointing [PICTURE Europe delivers [PICTURE The U.S. dollar's
1995, retail OF TAGS the strongest OF EUROPEAN appreciation over
stocks rebound, APPEARS returns for CONTINENT the local currency
particularly in the HERE] international APPEARS offsets solid gains
footwear and equity HERE] in many foreign
apparel industries. investors. markets.
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MAR 96 APR 96 MAY 96 JUNE 96
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[PICTURE OF Although increasingly In just the first
COMPUTER volatile, technology [PICTURE six months of
APPEARS HERE] stocks continue to OF SIPHON the year, a
produce impressive APPEARS record $99
double-digit returns. HERE] billion streams
into equity
mutual funds.
7
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SELECT INTERNATIONAL EQUITY FUND
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INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management
ABOUT THE FUND: 011
Seeks maximum long-term total return by investing in established non-US
companies based on fundamental value and strong opportunities for growth.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Select International Equity Fund 7.95%
Morgan Stanley EAFE Index 4.67%
Lipper International Fund Average 8.02%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the geographic
distribution of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
United Kingdom 29.79%
Indonesia 5.55%
Switzerland 9.56%
Australia 9.21%
Netherlands 10.79%
Singapore 7.85%
Germany 4.79%
Cash Equivalents 6.40%
Other 16.06%
</TABLE>
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
In the first half of 1996, the Select International Equity Fund returned a solid
7.95%, outpacing the Morgan Stanley EAFE Index by more than three percentage
points and nearly matching the 8.02% return of the Lipper International Fund
Average.
Much of this success can be attributed to the performance of individual
stocks within the Fund. Strong company earnings, ahead of expectations in many
cases, propelled the upward momentum.
Takeover and merger activity was again a major factor in the markets. This
activity helped the performance of a number of individual stocks, primarily in
the healthcare and financial sectors.
The Cyclical Recovery in Paper/Print Industries Theme rallied following a
disappointing performance in 1995. Other cyclical companies within the Global
Cyclical Recovery Theme recovered over the period but to a lesser extent than
the paper/print companies. Themes directed at growth in the Far East were mixed.
Financial companies within the Expanding Financial Services in Developing
Markets Theme performed strongly on the back of increased lending growth and
expansion margins.
Moving into the third quarter, Bank of Ireland Asset Management expects
inflation to remain subdued. However, it cautions that European markets may
continue to be influenced by the direction of interest rates in the United
States - and that political concerns in the United Kingdom will continue to
complicate matters. On a more positive note, the weakness of the core currencies
has benefited exports, since weaker currencies have made European products less
expensive in foreign markets.
While the Japanese economy is showing signs of recovery, the Fund's
management remains cautious about its prospects. In contrast, Bank of Ireland
Asset Management believes the Far East will provide attractive investment
opportunities. We have not seen the kind of liquidity surge (and resulting
increase in share values) that has been expected since early 1996. As a result,
valuation levels are not excessive, given the rate of economic growth. They
continue to target those opportunities selectively.
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GROWTH OF A $10,000 INVESTMENT SINCE 1994
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[GROWTH CHART APPEARS HERE]
5/94 6/96
SELECT INTERNATIONAL EQUITY FUND $10,000 $12,463
MORGAN STANELY EAFE INDEX $10,000 $11,669
LIPPER INTERNATIONAL FUND AVERAGE $10,000 $11,823
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select International Equity Fund, since its inception on May
2, 1994, to a similar group of investments: the Morgan Stanley EAFE Index and
the Lipper International Fund Average. Performance benchmarking allows investors
to objectively measure their fund's performance.
================================================================================
The Morgan Stanley EAFEI ndex is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
8
<PAGE>
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DELAWARE INTERNATIONAL EQUITY SERIES
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Prudent stock selection and favorable currency exposure propelled the Delaware
International Equity Fund's six-month returns to 8.22%, significantly
outperforming the 4.67% return of the EAFE Index.
In choosing stocks around the world, the Fund's management favored issues in
telecommunications, banking and industrial companies that met the Fund's
dividendoriented investment guidelines. Many of these issues were from large
diversified companies with businesses in more than one region of the world.
As of June 30, some of the Fund's largest holdings have substantial U.S.
operations, including National Australia Bank, which owns a large lender in the
Midwest (Michigan National Bank), British Airways, and CSR Limited, which owns
a supplier of building products in Florida (Rinker Materials).
Geographically, nearly two thirds of the Fund's assets were invested in
Western Europe - a region the management believes offers superior values for
investors. Holdings were added in both France and Spain, based on the
anticipation that government reform and interest rate cuts may spur economic
growth in these two countries.
Several of the Fund's holdings in the United Kingdom and Australia did well -
even though equity markets in these countries did not perform as well as markets
elsewhere.
The Fund also maintained relatively modest positions in Japan, believing that
the recent upward trend there is only temporary and that the market is
overvalued. Concerned that interest rates appear poised to rise and that the
government may have to raise taxes to bail out the troubled banking industry,
the Portfolio's management intends to remain underweighted in Japan.
In the coming months, the Fund's management also expects to maintain a higher
concentration of stocks in selected Western European and Pacific Rim countries
than the Morgan Stanley EAFE Index. It will continue to look for dividend-paying
international companies that stand to benefit from the "downsizing" process
underway at many companies as well as the reduced interest rates from several
European central banks.
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GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
10/92 6/96
DELAWARE INTERNATIONAL EQUITY SERIES $10,000 $13,946
MORGAN STANELY EAFE INDEX $10,000 $16,502
LIPPER INTERNATIONAL FUND AVERAGE $10,000 $16,079
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Delaware International Equity Series, since its inception on
October 29, 1992, to a similar group of investments: the Morgan Stanley EAFE
Index and the Lipper International Fund Average. Performance benchmarking allows
investors to objectively measure their portfolio's performance.
================================================================================
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
INVESTMENT ADVISER:
Delaware International Advisers Ltd.
ABOUT THE FUND: 020
A value-oriented equity portfolio which seeks capital appreciation and income by
investing in companies domiciled outside the United States.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Delaware International Equity Series 8.22%
Morgan Stanley EAFE Index 4.67%
Lipper International Fund Average 8.02%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the geographic
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
United Kingdom 27%
Japan 14%
Australia/New Zealand 12%
France 8%
Spain 5%
Western Europe 16%
Hong Kong/Other Pacific 9%
Other 9%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
9
<PAGE>
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FIDELITY VIP OVERSEAS PORTFOLIO
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 105
Seeks long-term capital appreciation, invests primarily in foreign securities
whose principal business activities are outside the U.S.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Fidelity VIP Overseas Portfolio 7.39%
Morgan Stanley EAFE Index 4.67%
Lipper International Fund Average 8.02%
</TABLE>
PORTFOLIO COMPOSITION:
As of May 31, 1996, the geographic
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Japan 21.6%
UK 13.2%
France 7.7%
Germany 7.3%
Sweden 6.3%
Netherlands 5.7%
Other 38.2%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
Even though an appreciating U.S. dollar offset many of the gains in foreign
markets, the Fidelity VIP Overseas Portfolio posted solid results for the first
half of 1996, advancing 7.39%. This return significantly outpaced the Morgan
Stanley EAFE Index, which ended the six-month period up only 4.67%.
In general, two key country allocations contributed to the Portfolio's strong
performance against its benchmark: an underweighted position in Japanese
equities and an overweighted position in Sweden.
Since the Nikkei underperformed the EAFE by 2.13% during the period,
management's decision to minimize investments in the Japanese market enhanced
the Portfolio's relative performance. However, the Portfolio did profit from
selected holdings in Japanese exporters such as Toyota and Honda. As major
exporters, both of these companies benefited from the weaker yen which boosted
the global competitiveness of their products.
Management's decision to invest more heavily in Sweden than the index also
proved beneficial - since Sweden's OMX Index advanced by 8.90% in the first half
of the year. A substantial position in auto maker Volvo added value to portfolio
results as the company also benefited from a weaker currency.
Although the Fidelity VIP Overseas Portfolio was underweighted in French and
German equities (which both outperformed the EAFE Index), strong individual
stock selection in these countries aided portfolio results. Investments in Veba
(a German utility company) and Total (a French oil company) did particularly
well.
In South America, holdings in Brazil's national telephone company, Telebras,
also enhanced returns - as shares of this stock posted solid gains in the second
quarter.
Entering the second half of 1996, the portfolio was underweighted in Japanese
equities, with holdings focused on those exporters that will benefit from a
weaker yen. Additionally, the portfolio manager believes that value may be found
in European cyclicals and companies that heavily export their goods into the
United States.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1987
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
1/87 6/96
FIDELITY VIP OVERSEAS PORTFOLIO $10,000 $20,236
MORGAN STANELY EAFE INDEX $10,000 $17,775
LIPPER INTERNATIONAL FUND AVERAGE $10,000 $24,028
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Fidelity VIP Overseas Portfolio, since its inception on
January 28, 1987, to a similar group of investments: the Morgan Stanley EAFE
Index and the Lipper International Fund Average. Performance benchmarking allows
investors to objectively measure their portfolio's performance.
================================================================================
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
10
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
- --------------------------------------------------------------------------------
As of June 30, 1996, the T. Rowe Price International Stock Portfolio
delivered a total return of 9.04%, significantly outperforming the Morgan
Stanley EAFE Index of 4.67%.
Overall, the Portfolio's country allocation contributed positively to total
returns. Value was added in Europe, thanks to the Portfolio's overweighting in
the Netherlands and its underweighting in Switzerland. In Latin America, the
Portfolio's exposure to the Brazilian stock market also proved beneficial.
Detracting from the Portfolio's successful country selection was its
overweighting in Korea and Singapore, whose performance negatively impacted
overall return.
A number of strategic stock selections contributed to the Portfolio's
positive performance. The most value was added in Europe, where French and
German stocks proved particularly strong. Individual stock selections in Japan
and Brazil also enhanced performance. Stock picks in the Pacific Rim countries
other than Japan slightly subtracted from overall returns.
In the second quarter of 1996, Rowe Price-Fleming International gradually
increased the Portfolio's exposure to the Japanese market, mainly through an
increase in the size of existing holdings. Concurrently, it took profits in the
Netherlands and Switzerland, channeling those profits into additional holdings
in Hong Kong and Brazil. The Portfolio's management also reduced the Portfolio's
exposure to Mexico and Singapore.
Relative to the index, the Portfolio's emphasis remains away from Japan and
towards faster growing economies in the Pacific and Latin America. European
exposure remains neutral, although this masks overweightings in the Netherlands,
France and Norway which are balanced by underweightings in the United Kingdom,
Germany and Switzerland.
Moving into the third quarter, the Portfolio's management looks forward to
strong international markets. Certain individual stocks look attractive in Japan
and Europe. In addition, Management also expects the smaller markets of Asia and
Latin America to continue to advance during 1996.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1994
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
3/94 6/96
T.ROWE PRICE INTERNATIONAL STOCK PORTFOLIO $10,000 $12,341
MORGAN STANLEY EAFE INDEX $10,000 $12,048
LIPPER INTERNATIONAL FUND AVERAGE $10,000 $11,823
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in T. Rowe Price International Stock Portfolio, since its inception
on March 31, 1994, to a similar group of investments: the Morgan Stanley EAFE
Index and the Lipper International Fund Average. Performance benchmarking allows
investors to objectively measure their portfolio's performance.
================================================================================
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 336 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
INVESTMENT ADVISER:
Rowe Price-Fleming International, Inc.
ABOUT THE FUND: 150
The Portfolio seeks long-term growth through a highly diversified portfolio of
foreign stocks.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
T. Rowe Price International Stock Portfolio 9.04%
Morgan Stanley EAFE Index 4.67%
Lipper International Fund Average 8.02%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the geographic
distribution of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Europe 49.8%
Japan 23.6%
Far East 12.4%
Latin America 6.2%
United States 5.6%
Other 2.4%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
11
<PAGE>
INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management
ABOUT THE FUND: 006
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock price.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Select Aggressive Growth Fund 14.76%
Russell 2000 Index 10.36%
Lipper Capital Appreciation Fund Average 11.50%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Technology 17.79%
Financial 10.32%
Chemicals & Drugs 5.03%
Health Products and Care 7.57%
Consumer Products 6.56%
Energy 9.40%
Durable Goods 16.94%
Cash Equivalents 3.01%
Other 23.38%
</TABLE>
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
SELECT AGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
For the first six months of 1996, the Select Aggressive Growth Fund delivered
a 14.76% return, significantly outperforming the 10.36% return of the Russell
2000 Index as well as the 11.50% of the Lipper Capital Appreciation Fund
Average.
Driving the Fund's outperformance of its benchmarks was its solid stock
selection - particularly in the financial service, energy, utility,
manufacturing, technology, and health care sectors. An overweighting in the
technology and health care sectors, which performed well throughout most of the
period, also contributed to the Fund's double-digit gains.
In the technology sector, which represented nearly 18% of the portfolio's
holdings, the Fund's management concentrated on four key areas: 1)
semiconductors and electronic components, 2) telecommunications equipment, 3)
computers and office automation, and 4) software. As a whole, these holdings
produced excellent gains for the overall period but increased volatility for
specific months.
In the health care sector, the Fund management's focus was on
pharmaceuticals, biotechnology, medical supplies, managed health care and health
services.
Because of the outperformance of large capitalization stocks since 1994, the
Fund's management believes that small and mid cap stocks now offer attractive
values. The Fund's assets will remain invested in those companies that the
manager believes to be fundamentally strong and that exhibit the fastest growth
potential. Presently, the average growth rate for stocks held in the Fund is 33%
- - which is significantly higher than both the S&P 500(R) and the Russell 2000
Indices.
Beside the fundamentals of the companies themselves, the Fund's management
believes that the direction of interest rates will be the major factor
influencing stock prices for the remainder of the year. The Fund's management
believes that an increase in interest rates could depress growth stocks more
than value stocks. While the long-term prospects for growth companies should
remain strong, management cautions that aggressive growth stocks may be
particularly sensitive to short-term economic events.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
8/92 6/96
SELECT AGGRESSIVE GROWTH FUND $10,000 $21,243
RUSSELL 2000 INDEX $10,000 $18,885
LIPPER CAPITAL APPRECIATION FUND AVERAGE $10,000 $18,998
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select Aggressive Growth Fund, since its inception on August
21, 1992, to a similar group of investments: The Russell 2000 Index and the
Lipper Capital Appreciation Fund Average. Performance benchmarking allows
investors to objectively measure their fund's performance.
================================================================================
The Lipper Capital Appreciation Fund Average is a non-weighted index of 193
capital appreciation mutual funds. The Russell 2000 Index is an unmanaged
composite of 2,000 small capitalization stocks. Performance numbers are net of
all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
12
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
For the first six months of 1996, the Select Capital Appreciation Fund
significantly outperformed its benchmark by over three percentage points,
delivering an impressive 13.64% return.
Throughout this period of uncertainty, the Fund's management remained focused
on companies with exceptional growth potential that can be consistently realized
regardless of economic conditions. Stock selections have included:
. HFS Inc., a hotel franchisor that has developed a number of successful
cross-selling strategies in lodging and real estate;
. CUC International, an operator of membership discount clubs; and
. Global DirectMail, a catalogue retailer of computer peripherals and office
products.
Other strong performers for the Fund in the second quarter were Culligan, the
maker of water purification products, and Millicom International, which is
expanding its cellular services into emerging economies.
In the second quarter, the Fund's management took profits in a number of the
holdings. Prominent in this group were Medaphis, a provider of accounting
services to physicians' groups, auto parts distributor AutoZone, and long-time
holding Lone Star Steakhouse.
On the minus side, the Fund's management liquidated its position in General
Nutrition Centers at a loss, after General Nutrition's sluggish sales weighed
heavily on its stock price. Despite disappointing second quarter results from
one of the Fund's major positions, Paging Network, the Fund's management is
holding the stock in anticipation of stronger results.
During this period, two key positions were added to the Fund: Matrix
Pharmaceutical - a drug delivery company pioneering innovative delivery systems
for cancer drugs; and Fastenal - a nuts and bolts manufacturer with an
exceptional corporate culture dedicated to sales and customer service.
Overall, the Fund's management is optimistic about the earnings potential of
current holdings, but concerned about the persistence of higher interest rates.
Rather than trying to time the market, Janus Capital Corporation will remain
focused on strong individual stock selection.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1995
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
4/95 6/96
SELECT CAPITAL APPRECIATION FUND $10,000 $15,859
S&P 500 INDEX $10,000 $13,334
S&P MID CAP 400 INDEX $10,000 $13,231
RUSSEL 2000 INDEX $10,000 $13,551
LIPPER CAPITAL APPRECIATION FUND AVERAGE $10,000 $14,489
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select Capital Appreciation Fund, since its inception on April
28, 1995, to a similar group of investments: the S&P 500(R) Index, the Russell
2000 Index and the Lipper Capital Appreciation Fund Average, and effective with
this report the S&P Mid Cap 400(R) Index to more accurately reflect the actual
portfolio composition. Performance benchmarking allows investors to objectively
measure their fund's performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index and the S&P Mid Cap 400(R) Index are registered trademark of the Standard
& Poor's Corporation. The S&P Mid Cap 400(R) Index is an unmanaged index
consisting of 400 domestic stocks chosen for market size, liquidity and industry
group representation. The Russell 2000 Index is an unmanaged composite of 2,000
small capitalization stocks. The Lipper Capital Appreciation Fund Average is a
non-weighted index of 193 funds in the capital appreciation investment
objective. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
INVESTMENT SUB-ADVISER:
Janus Capital Corporation
ABOUT THE FUND: 012
The Fund seeks to construct a con-
centrated portfolio of rapidly growing
reasonably valued stocks.
PERFORMANCE:
Net total return for the six-month period
ending June 30, 1996:
<TABLE>
<S> <C>
Select Capital Appreciation Fund 13.64%
S&P 500(R) Index 10.10%
S&P Mid Cap 400(R) Index 9.21%
Russell 2000 Index 10.36%
Lipper Capital Appreciation Fund Average 11.50%
</TABLE>
PORTFOLIO COMPOSITION: As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Business Services 18.43%
Transportation 4.08%
Financial 6.92%
Chemicals & Drugs 5.88%
Telecommunications 15.69%
Consumer Staples 4.05%
Retail 8.46%
Building & Construction 4.05%
Cash & Equivalents 4.24%
Other 28.20%
</TABLE>
The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
13
<PAGE>
- --------------------------------------------------------------------------------
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
The Small Cap Value Fund significantly outpaced its benchmark, turning in a
total return of 16.72% for the first half of 1996. This represents more than a
six-point advantage over the 10.36% return for the Russell 2000 Index of small
company stocks.
Although the strengthening economy caught most investors by surprise, the
Fund's management was well positioned to capitalize on the equity market's
growth. A substantial percentage of its assets were invested in attractively
valued, economically sensitive stocks. Not only did these stocks provide strong
returns, they offered excellent values - having been shunned by most investors
who were fearful of an economic slowdown.
The Fund's superior performance can also be attributed to effective sector
selections. During the first half of the year, the portfolio was heavily
overweighted in the strongest sectors of the small capitalization market: energy
stocks and discretionary consumer stocks. Both groups were up more than 20% at
mid-year. Retailers, which represent almost 10% of the Fund's total stock
holdings, have been especially strong performers.
For the remainder of the year, the Fund's management expects continued
economic growth - anticipating a combination of low inflation, steady Federal
Reserve policy, continued business investment, increased construction activity,
and improved take-home pay for consumers. Therefore, the Fund's management will
remain focused on economically sensitive sectors that can benefit from these
conditions and which provide compelling, cheap valuations.
By contrast, the Fund will maintain a reduced exposure to utilities, health
care, and financial services sectors - as well as the increasingly speculative
high growth technology area.
By utilizing disciplined, bottom-up research, the Fund will continue to
target attractively valued market leaders who offer good potential for future
earnings acceleration that the market has not yet anticipated.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1993
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
4/93 6/96
SMALL CAP VALUE FUND $10,000 $15,109
RUSSELL 2000 INDEX $10,000 $16,291
LIPPER SMALL COMPANY GROWTH FUND AVERAGE $10,000 $17,388
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Small Cap Value Fund, since its inception on April 30, 1993,
to a similar group of investments: the Russell 2000 Index and the Lipper Small
Company Growth Fund Average. Performance benchmarking allows investors to
objectively measure their fund's performance.
================================================================================
The Russell 2000 Index is an unmanaged composite of 2,000 small capitalization
stocks. The Lipper Small Company Growth Fund Average is a non-weighted index of
393 small company growth funds. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
INVESTMENT SUB-ADVISER:
David L. Babson & Co. Inc.
ABOUT THE FUND: 009
Invests in attractively valued small companies believed to have above-average
potential for capital appreciation.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Small Cap Value Fund 16.72%
Russell 2000 Index 10.36%
Lipper Small Co. Growth Fund Average 15.12%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Consumer Products 18.44%
Durable Goods 19.79%
Financial 6.09%
Retail 8.53%
Automotive 5.84%
Energy 7.55%
Chemicals & Drugs 4.04%
Building & Construction 4.24%
Cash Equivalents 8.31%
Other 17.17%
</TABLE>
The Small Cap Value Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
14
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
During the first six months of 1996, the Select Growth Fund successfully
capitalized on the continuing stock market rally, turning in an impressive
mid-year return of 12.27%. This return surpassed both the 10.10% return of the
S&P 500(R) Index as well as the 10.08% return of the Lipper Growth Fund Average.
The Fund's outperformance of its benchmarks can be largely attributed to its
strong stock selections success. In the entertainment and leisure area, the
Fund's management invested in HFS Inc. - which returned 44% during the second
quarter alone. Encouraged by strengthening fundamentals in the gaming industry,
the Fund's management also invested in Mirage and Circus Circus - both of which
appreciated 22% during the second quarter.
In the technology sector, the Fund maintained positions in Oracle and
Microsoft, which continued to dominate their respective product categories. The
Fund's holdings in both Andrew Corp. and U.S. Robotics gained a phenomenal 100%
during the first six months of 1996.
The Fund's management continues to be optimistic about the prospects for the
equity market in general - given the fact that corporate profits have been
growing two to four times faster than the underlying economy during the last
four years.
Specifically, the Fund's management is bullish on growth companies that have
been able to increase both revenues and profits. Management believes that
economically sensitive companies, having improved operating efficiencies to
increase profits, will have a difficult time growing their earnings without
revenue growth.
Given this outlook, continued success in the equity markets during 1996 will
likely depend on careful individual stock selection rather than on "buying the
market."
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
8/92 6/96
SELECT GROWTH FUND $10,000 $15,458
S&P 500 INDEX $10,000 $17,645
LIPPER GROWTH FUND AVERAGE $10,000 $18,776
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select Growth Fund, since its inception on August 21, 1992, to
a similar group of investments: the S&P 500(R) Index and the Lipper Growth Fund
Average. Performance benchmarking allows investors to objectively measure their
fund's performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 677 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
INVESTMENT SUB-ADVISER:
Provident Investment Counsel(*)
ABOUT THE FUND: 007
Seeks long-term growth of capital by investing in stocks of companies believed
to have significant potential for capital appreciation.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Select Growth Fund 12.27%
S&P 500(R) Index 10.10%
Lipper Growth Fund Average 10.08%
</TABLE>
PORTFOLIO COMPOSITION: As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Technology 13.62%
Electronics 9.05%
Financial 11.86%
Health Services 7.20%
Consumer Products 3.69%
Business Services 9.08%
Chemicals & Drugs 12.44%
Telecommunications 5.36%
Cash Equivalents 10.45%
Other 17.25%
</TABLE>
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
(*)As of July 1, 1996, Putnam Investment Management, Inc. assumed sub-advisory
responsibilities for the Select Growth Fund.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
15
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
Essentially matching the S&P 500(R) Index, the Growth Fund delivered a total
return of 10.05% for the first six months of 1996. Success in targeting the
right sectors - as well as the right stocks within those sectors - contributed
to the Fund's solid returns.
Relative to its benchmark, the Growth Fund was strategically underweighted in
several key underperforming sectors: telephone services and electric utilities.
However, during June, the Fund's management increased its allocation in both of
these areas.
Given that electric utilities have significantly lagged the S&P 500 to date,
Miller, Anderson & Sherrerd believes that valuations in this sector are very
attractive relative to historical comparisons. Therefore, the management has
initiated new positions in several key electrical utility companies. In June,
the Fund also moved from an underweighting in telephone utilities to an
overweighting in this area. However, this shift is more stock specific than
sector specific, as the management has initiated a new position in AT&T - whose
restructuring the management believes will result in significant shareholder
value.
During the second quarter of 1996, the Fund's management also increased the
portfolio's weighting of energy stocks. This move is based on a belief that this
sector is showing positive earnings estimate revisions, is attractively valued,
and is entering its seasonally strongest performance period.
Moving into the second half of 1996, Miller, Anderson & Sherrerd is concerned
that anticipated growth for many companies will not be achieved. Therefore, it
has significantly reduced the portfolio's exposure to economically-sensitive
sectors - such as consumer durables, heavy industry, transportation, retail and
basic industries. The Fund continues to be overweighted in food, tobacco, and
health care holdings.
Anticipating near-term earnings difficulties, the Fund's management has also
taken a cautious view of technology stocks, allocating its underweighted
position to those quality companies with solid fundamentals and positive
earnings-to-estimate revisions.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1986
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
6/86 6/96
GROWTH FUND $10,000 $36,896
S&P 500 INDEX $10,000 $36,478
LIPPER GROWTH FUND AVERAGE $10,000 $31,503
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Growth Fund, since June 30, 1986, to a similar group of
investments: the S&P 500(R) Index and the Lipper Growth Fund Average.
Performance benchmarking allows investors to objectively measure their fund's
performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 677 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
INVESTMENT SUB-ADVISER:
Miller, Anderson & Sherrerd
ABOUT THE FUND: 001
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Growth Fund 10.05%
S&P 500(R) Index 10.10%
Lipper Growth Fund Average 10.08%
</TABLE>
PORTFOLIO COMPOSITION: As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Durable Goods 16.29%
Financial 17.13%
Chemicals & Drugs 13.97%
Consumer Staples 7.30%
Energy 8.08%
Technology 4.75%
Consumer Products 6.49%
Utilities 8.38%
Cash Equivalents 2.41%
Other 15.20%
</TABLE>
The Growth Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
16
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP GROWTH
- --------------------------------------------------------------------------------
Slightly outperforming the S&P 500(R) Index, the Fidelity VIP Growth
Portfolio returned 10.73% during the first six months of 1996.
Despite mixed performance in the technology sector throughout much of the
first half of the year, technology remained the Portfolio's top sector
allocation. The Portfolio's management believes that technology stocks continue
to offer selective long-term opportunities, particularly in the areas of
networking and clientserver computing.
Solid stock selections rewarded the Port-folio's emphasis on the technology
sector. Holdings in Cisco Systems (+51.76%), Oracle (+39.60%), Microsoft
(+36.90%) and US Robotics (+94.87%) boosted overall returns.
The Portfolio was also overweighted in the retail-wholesale sector - a move
that proved beneficial as apparel and specialty retailers rebounded during the
first half of the year. Holdings in Petsmart (+54.03%), Wal Mart (+14.53%) and
Home Depot (+13.33%) were notably strong performers. But Sunglass Hut
International turned out to be a disappointment, giving back most of its strong
first quarter gains amidst concerns over diminished sales growth.
During the first half of 1996, the Port-folio benefited from having few
holdings in the financial services sector, as the rising interest rate
environment depressed many financial services stocks.
One key sector allocation did detract from the Portfolio's performance.
Utility holdings, particularly in the Regional Bell Operating Companies,
performed poorly as the euphoria regarding the benefits of telecommunications
deregulation began to wane. Second quarter results were also held back by an
underweighting in nondurable goods, as beverage and tobacco stocks performed
well during the period.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1986
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
10/86 6/96
FIDELITY VIP GROWTH PORTFOLIO $10,000 $39,706
S&P 500 INDEX $10,000 $37,202
LIPPER GROWTH FUND AVERAGE $10,000 $33,169
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in Fidelity VIP Growth Portfolio, since its inception on October 9,
1986, to a similar group of investments: the S&P 500(R) Index and the Lipper
Growth Fund Average. Performance benchmarking allows investors to objectively
measure their portfolio's performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 677 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 104
The Portfolio seeks long-term capital appreciation by investing principally in
common stocks with above-average growth prospects.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Fidelity VIP Growth Portfolio 10.73%
S&P 500(R) Index 10.10%
Lipper Growth Fund Average 10.08%
</TABLE>
PORTFOLIO COMPOSITION:
As of May 31, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Technology 25.14%
Health Care 11.09%
Retail and Wholesale 10.33%
Utilities 8.61%
Media & Leisure 7.36%
Durables 5.20%
Other 32.27%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
17
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
For the six months ending June 30, 1996, the Select Growth and Income Fund
produced a net total return of 9.51%.
In the first half of the year, the Fund's largest positions produced
important gains - generally benefiting from vigilant cost cutting, re-engineered
manufacturing processes, increased productivity, and more global product
offerings.
Among the portfolio's leading gainers were Anheuser Busch, which benefited
from a renewed focus on its growing core beer business. Corning also advanced,
after the company announced its intention to spin off its troubled diagnostic
laboratories and its clinical testing segment. And ITT rose, after the company
articulated its gaming expansion plans in Atlantic City and Las Vegas, as well
as, its joint venture with Planet Hollywood.
Multinational companies, such as Citicorp, Eastman Kodak and Avon also
advanced, fueled by heightened enthusiasm for U.S. goods and services in
emerging markets around the world.
So far this year, few of the Fund's holdings have experienced adverse
developments. However, Reader's Digest, grappling with the continued weakness of
its Euro-pean operations, posted disappointing returns. NYNEX also declined,
although the Fund's management continues to believe that the value inherent in
the non-Regional Bell Operating Companies' assets are substantial.
Looking forward, John A. Levin & Company anticipates that stock market
returns are likely to remain volatile. None-theless, the Fund's management
expects the fluctuating market to continue to create opportunity, namely in
investment quality securities with favorable prospects that are currently
selling at moderate valuations.
The Fund's management will continue to be proactive in reducing holdings in
stocks with relative price strength and/or disappointing fundamentals and will
carefully redeploy those assets.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1992
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
8/92 6/96
Select Growth and Income Fund $10,000 $15,850
S&P 500(R) Index $10,000 $17,645
Lipper Growth & Income Fund Average $10,000 $17,626
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Select Growth and Income Fund, since its inception on August
21, 1992, to a similar group of investments: the S&P 500(R) Index and the Lipper
Growth & Income Fund Average. Performance benchmarking allows investors to
objectively measure their fund's performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Fund Average is a non-weighted index of 527 funds within the
growth and income investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
INVESTMENT SUB-ADVISER:
John A. Levin & Co., Inc.
ABOUT THE FUND: 008
Seeks a combination of long-term growth of capital and current income by
investing primarily in dividend-paying stocks and convertible securities.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Select Growth and Income Fund 9.51%
S&P 500(R) Index 10.10%
Lipper Growth & Income Fund Average 9.24%
</TABLE>
PORTFOLIO COMPOSITION: As of June 30, 1996, the sector
allocation of net assets was:
[GROWTH CHART APPEARS HERE]
<TABLE>
<S> <C>
Financial 15.00%
Durable Goods 15.53%
Utilities 3.70%
Technology 9.68%
Energy 5.87%
Print & Publishing 4.95%
Chemicals & Drugs 13.06%
Consumer Products 8.25%
Cash Equivalents 5.25%
Other 18.71%
</TABLE>
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
18
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
For the six months ending June 30, 1996, the Equity Index Fund turned in a
solid net total return of 9.81%. As is the Fund's objective, this performance
tracked closely with the S&P 500(R) gain for the period on a gross basis.
The equity market's strength in the first half of 1996 was largely fueled by
tremendous inflows of cash into stock mutual funds. In the first six months,
investors poured $99 billion into stock mutual funds, close to the record $128
billion set for all of 1995.
This influx of money has driven demand and consequently raised prices for a
variety of issues. Furthermore, since most of this money is being invested
through stable payroll-deduction retirement accounts, its stability has helped
to dampen the impact of the market's fluctuations.
In the first quarter, a cold winter and rising oil prices drew investors to
the energy sector, which was led by drilling and oil-equipment companies. With
the advent of the warmer weather in the second quarter, consumer attention
turned to the footwear and apparel industries, which rose 25% and 19%,
respectively. Even tobacco stocks shook off their critics and jumped 17% over
the period.
Among the few groups the rally eluded were precious-metals stocks, which
dropped 13%, and steel and aluminum stocks, which declined 11% and 10%,
respectively.
Moving into the second half of the year, management expects the stock market
to maintain its bullish tone. Moderate price-to-earnings ratios indicate the
market represents fair value today. If strong inflows of cash continue, the
Fund's management expects the overall upward trend of the market to continue.
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment since 1990
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
9/90 6/96
Equity Index Fund $10,000 $24,967
S&P 500(R) Index $10,000 $24,566
Lipper Growth & Income Fund Average $10,000 $24,425
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Equity Index Fund, since the Fund's inception on September 28,
1990 to a similar group of investments: the S&P 500(R) Index and the Lipper
Growth & Income Fund Average. Performance benchmarking allows investors to
objectively measure their fund's performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Fund Average is a non-weighted index of 527 funds within the
growth & income investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 004
Aims to replicate the returns of the
S&P 500(R) Index.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Equity Index Fund 9.81%
S&P 500(R) Index 10.10%
Lipper Growth & Income Fund Average 9.24%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Financial 13.88%
Consumer Products 11.04%
Utilities 9.36%
Energy 9.27%
Durable Goods 10.05%
Chemicals & Drugs 12.25%
Consumer Staples 6.82%
Electronics 6.70%
Technology 6.49%
Cash Equivalents
& US Treasury Bills 2.55%
Other 11.59%
</TABLE>
The Equity Index Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
19
<PAGE>
- --------------------------------------------------------------------------------
Fidelity VIP Equity-Income Portfolio
- --------------------------------------------------------------------------------
Hindered by relatively large cash and long maturity bond holdings early in
1996, the Fidelity VIP Equity-Income Portfolio returned 5.86% for the period -
underperforming both its benchmark and peer group.
During the second quarter the Fidelity VIP Equity-Income Portfolio was
repositioned by reducing cash, essentially eliminating the bond position and
establishing a significant allocation to convertible securities.
In the first quarter, the Portfolio's bond holdings, consisting primarily of
interest sensitive, long-term U.S. Treasuries, declined sharply as investors
worried that a strengthening economy would spark inflation. The cash position
also hurt relative performance as stocks appreciated.
In the stock arena, the Portfolio profited from investments in the media and
leisure sector. These investments, primarily in companies with big hotel and
casino operations in Las Vegas and Atlantic City, benefited from strong tourist
traffic. The Portfolio also benefited from a decision to invest more heavily in
the retail sector than the index. After a disappointing Christmas season and
weather related slowdown early this year, the retailing sector recovered
strongly to show healthy sales growth.
Also positively affecting performance has been the Portfolio management's
decision to underweight utilities relative to the index. Going into the third
quarter, they expect to maintain this underweighted position.
Less successful were technology investments, primarily in the semiconductor
and hardware areas, and in Regional Bell Operating Companies (RBOC). Following
the passage of the telecommunications bill, RBOCs underperformed as investors
sold their positions to take profit.
As of May 31, 1996, approximately 15% of the Portfolio was invested in
convertible securities providing some yield and the potential for capital
appreciation. The Portfolio's management also sees significant opportunities in
the finance, health care and retail sectors - and has allocated a larger
percentage of the Portfolio's assets to these sectors.
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment since 1986
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
6/86 6/96
Fidelity VIP Equity-Income Portfolio $10,000 $33,618
S&P 500(R) Index $10,000 $35,541
Lipper Growth & Income Fund Average $10,000 $30,738
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in Fidelity VIP Equity-Income Portfolio, since its inception on
October 9, 1986, to a similar group of investments: the S&P 500(R) Index and the
Lipper Growth & Income Fund Average. Performance benchmarking allows investors
to objectively measure their portfolio's performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Fund Average is a non-weighted index of 529 funds within the
growth & income investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 103 Seeks reasonable income by investing primarily in
income-producing equity securities.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Fidelity VIP Equity-Income Portfolio 5.86%
S&P 500(R) Index 10.10%
Lipper Growth & Income Fund Average 9.24%
</TABLE>
PORTFOLIO COMPOSITION:
As of May 31, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Finance 19.86%
Health Care 10.67%
Media & Leisure 9.61%
Retail & Wholesale 7.37%
Nondurables 7.02%
Basic Industries 6.96%
Other 38.51%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
20
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP II ASSET MANAGER PORTFOLIO
- --------------------------------------------------------------------------------
For the first half of 1996, the VIP II Asset Manager Portfolio returned
5.80%, outperforming the Lipper Flexible Portfolio's return of only 1.59%.
Relative to its benchmark, the Portfolio was overweighted in equities and
underweighted in fixed income securities. This allocation strategy significantly
enhanced the Portfolio's performance - as bonds dramatically underperformed
stocks.
Early in the year, the Portfolio's relatively high interest sensitivity
negatively impacted performance. But Management's early decision to reduce this
emphasis helped avert further damage, as interest rates continued to trend
upwards in the second quarter.
The Portfolio's emerging markets holdings, while only a small portion of the
Portfolio, significantly boosted returns. Rebounding economies and an improving
political climate helped propel these markets to new highs.
Holdings in U.S. non-durables, finance and healthcare companies contributed
positively to the period's returns. Non-durables positions, focused in the
tobacco industry, rebounded after favorable news about litigation facing these
companies. Finance holdings, focused on the less interest sensitive financial
service companies, delivered solid earnings driven by cost cutting measures and
strong fee income growth. Healthcare holdings, mostly in medical device and home
healthcare companies, reported strong earnings in a tough regulatory environment
and won the appreciation of investors.
Less successful were the Portfolio's basic materials and durable goods
holdings. Many investors, seeing signs of a slower economy late in the second
quarter, reduced holding of cyclicals and gravitated to the more defensive
consumer stocks.
The Portfolio ended the period with 56% of its assets invested in equities,
33% fixed income securities and 11% in short-term securities. The interest
sensitivity of the fixed income allocation has been substantially reduced.
Within the equity holdings, finance, non-durables and technology remain the
three largest sectors.
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment since 1989
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
9/89 6/96
Fidelity VIP II Asset Manager Portfolio $10,000 $20,787
S&P 500(R) Index $10,000 $23,166
Lipper Flexible Portfolio Fund Average $10,000 $20,760
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in Fidelity VIP II Asset Manager Portfolio, since the Portfolio's
inception on September 6, 1989 to a similar group of investments: the S&P 500(R)
Index and the Lipper Flexible Portfolio Fund Average. Performance benchmarking
allows investors to objectively measure their fund's performance.
================================================================================
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Flexible Portfolio Fund Average is a non-weighted index of 190 funds within the
flexible Portfolio fund category. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 106
Seeks high long-term return with reduced risk by allocating assets among a
broadly diversified mix of stocks, bonds and money market investments.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Fidelity VIP II Asset Manager Portfolio 5.80%
S&P 500(R) Index 10.10%
Lipper Flexible Portfolio Fund Average 5.52%
</TABLE>
PORTFOLIO COMPOSITION:
As of May 31, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
Finance 8.76%
Consumer
Non-Durables 5.43%
Durables 3.73%
Technology 3.65%
Retail & Wholesale 3.32%
Basic Industries 3.06%
Other 72.05%
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
21
<PAGE>
BOND MARKET OVERVIEW
1992: Government and corporate bonds outperformed the stock market.
1993: U.S. economy gains momentum. Consumer spending and installment debt
increase.
1994: Federal Reserve Board raises interest rates six times in an effort to slow
down the economy and keep inflation in check, sending bond prices sharply lower.
1995: U.S. bond market enjoys its third best performance in 30 years, thanks to
strong total returns from 30-year U.S. Treasuries and corporate issues.
The first six months of this year have proven to be particularly trying for
bond investors. After experiencing the euphoria of double-digit returns in 1995,
investors entered 1996 with expectations of a strong performance or at least
positive results. However, as of June 30, 1996, the fixed income market posted a
negative return of -1.21%, as measured by the Lehman Brothers Aggregate Bond
Index.
Entering the year, many analysts anticipated that a balanced budget
agreement, additional rate cuts by the Federal Reserve, and restrained economic
growth would sustain the performance of the bond market. Some economists were
even predicting the economy would slip into recession. While preliminary
economic data did prompt the Federal Reserve to cut interest rates by 0.25% in
late January, this trend did not last long.
Beginning in February, a stream of positive economic reports revealed a much
healthier economy than had been expected. Such good news usually means bad news
for bond investors - and 1996 has been no exception. As interest rates climbed
rapidly from February to June, bond prices fell. In response, investors sold
fixed income securities across the maturity spectrum.
During the second quarter of the year, continued signs of economic strength
further depressed bond prices. The yield curve steepened as yields of
intermediate and long-term maturities rose more than short-term maturities.
Ironically, the poorest performance to date has been from those bonds many
believe to be the least "risky". As of June 30, 1996, 30-Year Treasury bonds
have lost about 9.35% since the first of the year.
The only truly bright spot in the fixed income securities markets this year
has been high yield bonds. In fact, the high yield sector, up over 3%, was
virtually the only sector of the fixed income market to post positive returns
during the first half of 1996.
Economic data
Investors lose [PICTURE OF [PICTURE OF shows economy
confidence that CAPITAL BUILDING INCREASING growing at a
the debate over ROOF APPEARS HERE] LINE GRAPH much faster rate
the federal APPEARS HERE] than expected,
budget deficit bad news for
will be resolved. bond investors.
- --------------------------------------------------------------------------------
1996 JAN 96 FEB 96
- --------------------------------------------------------------------------------
Federal Reserve [PICTURE OF
cuts target rate DOLLAR SIGN
for Federal WITH DOWN ARROW
Funds another APPEARS HERE]
0.25%.
22
<PAGE>
The relatively strong performance of high yield bonds can be attributed to
two key factors. High yield bonds are less sensitive to changes in interest
rates than other types of bonds, and the strong U.S. economy has reduced
investors' concerns about credit risk over the near term. Even though the supply
of new high yield issues increased during the second quarter of 1996, heavy
demand sustained their prices. This demand was fueled by large cash inflows from
investors now comfortable with assuming higher risk in hopes of higher yields.
To date, corporate bonds have also benefited from the positive economic news.
On a duration-adjusted basis, corporate bonds outpaced U.S. Treasury bonds. An
improving economic outlook, solid credit fundamentals, limited new issues, and
strong investor demand all combined to boost the performance of most sectors of
the industrial market.
Changes in interest rates had a somewhat positive effect on mortgage-backed
securities. As interest rates stabilized around 7% in the second quarter,
investors began to believe that their fears of refinancings were no longer
founded. Given that homeowners were shying away from any remortgaging activity,
mortgage yield spreads tightened and mortgage-backed securities outperformed the
bond market in general.
By the end of June, several key signs of moderating growth began to calm
investor concerns that the economy was overheated. Prices of most commodities as
well as consumer goods have remained subdued. The consumer, hampered by existing
high debt burdens, has shown little inclination to go on a spending spree. And
the manufacturing sector outside of autos is exhibiting only modest signs of
improvement.
Despite these trends, fears linger that the Federal Reserve will move to slow
growth by increasing interest rates and tightening the money supply. These fears
were reflected in the increasing yield differential between three-month U.S.
Treasury bills and two-year U.S. Treasury notes. In January, the yield for
two-year Treasuries exceeded three-month Treasuries by only one-tenth of one
point. By June, this differential had increased to almost a full percentage
point.
Going forward, many fixed income managers expect the U.S. economy to weaken
in the second half of 1996. If so, and the Federal Reserve refrains from raising
rates, bonds may recover in the second half of the year. If the Federal Reserve
does raise rates, bond prices could fall further. Either way, fixed income
securities may be headed for continued volatility, as analysts struggle to
predict the short-term direction of interest rates.
Rising interest
[PICTURE OF Corporate bonds [PICTURE OF rates relieve fears
BRIDGE AND outpace Treasury SUBURBAN of refinancing
CITY bonds, driven by HOME APPEARS activity, boosting
BUILDING improving outlook HERE] mortgage-backed
APPEAR HERE] and strong demand. issues.
- --------------------------------------------------------------------------------
MAR 96 APR 96 MAY 96 JUNE 96
- --------------------------------------------------------------------------------
Interest rates High yield bonds Yields of Fears persist that
begin to rise, a prove to be intermediate Federal Reserve
trend that highest maturities may again raise
continued through performing sector rise more than rates to tighten
remainder of of fixed income either short- money supply.
period. market. or long-term
securities.
[PICTURE OF ASCENDING
AND DESCENDING LINE GRAPH
APPEARS HERE]
23
<PAGE>
- --------------------------------------------------------------------------------
Fidelity VIP High Income Portfolio
- --------------------------------------------------------------------------------
For the first half of 1996, the high yield sector was virtually the only
sector of the fixed-income market to post positive returns. Even given this
positive trend, the Fidelity VIP High Income Portfolio significantly
outperformed its benchmark, delivering a total return of 7.29%. By contrast, the
Merrill Lynch High Yield Master Index, an unmanaged index of high yield bonds,
posted a 2.85% return.
Throughout this six-month period, the Portfolio benefited from the robust
demand for high yield securities and the strong, generally stable cash flow into
most funds. As of June 30, the Portfolio's 30-day yield stood at approximately
8.60%, with the maturity of its holdings averaging a little over seven years.
By the end of the period, the Portfolio held a significant exposure to
selected zero coupon bonds - which tend to show the greatest sensitivity to
interest rate changes. To provide insulation against the risk that interest
rates would rise, the Portfolio's management has concentrated these holdings in
issues where credit upgrades are anticipated.
As for specific industries, the Portfolio's management focused on high yield
issues from media and telecommunications firms, which contributed positively to
performance during the first half of the year.
About 8% of the Portfolio's assets were allocated to common stock holdings.
In certain instances, their valuations proved more attractive than those of the
debt securities from the same companies.
In anticipation of a general weakening of the U.S. economy in the second half
of the year, the management has limited the Portfolio's holdings in securities
of economically sensitive companies, such as basic industries and commodity
related businesses. Conversely, exposure has been increased in industries and
companies with more stable growth prospects, including local access
telecommunications providers.
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment since 1986
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
6/86 6/96
Fidelity VIP High Income Portfolio $10,000 $28,266
Merrill Lynch High Yield Master Index $10,000 $28,111
Salomon Brothers High-Yield Index $10,000 $27,610
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in Fidelity VIP High Income Portfolio, since June 30, 1986, to a
similar group of investments: the Merrill Lynch High Yield Master Index and the
Salomon Brothers High-Yield Index. Performance benchmarking allows investors to
objectively measure their portfolio's performance.
================================================================================
The Merrill Lynch High Yield Master Index is an unmanaged index of high yield
bonds. Salomon Brothers High-Yield Index tracks the performance of high yield
securities trades in the U.S. Bond Market. Performance numbers are net of all
fund operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND: 102
Seeks high income and growth of capital by investing primarily in high-yielding,
lower-rated, fixed-income securities.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Fidelity VIP High Income Portfolio 7.29%
Merrill Lynch High Yield Master Index 2.85%
Salomon Brothers High-Yield Index 3.06%
</TABLE>
PORTFOLIO COMPOSITION:
As of May 31, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
Media 17.6%
Communications 13.2%
Leisure & Lodging 9.4%
Energy/Oil Gas 7.9%
Insurance 3.9%
Retail Sales/Merchandise 3.6%
Other 44.4%
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
24
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
Echoing the unsettled mood of the overall bond market, the Investment Grade
Income Fund's total return for the first half of the year was -1.37%. While this
return only slightly underperformed the Lehman Brothers Aggregate Bond Index for
the period, it outperformed its peer group of mutual funds, as measured by the
Lipper Corporate Debt BBB-Rated Fund Average.
Throughout the first half of the year, the Fund's total return was negatively
impacted by its sensitivity to interest rate risk. When the economy gathered
steam and rates increased, the Fund lost slightly more ground than the
benchmark.
However, the Fund also benefited from strategic allocations in top-performing
sectors of the corporate bond market. For example, the Fund benefited from
owning airline issues - an industry which forecasted profits for the first time
since 1979. The Fund also invested in cable/media issues, whose value was
spurred by continuing consolidations as well as the resolution of credit-related
issues for several industry leaders.
During the second quarter, the Fund's management did adjust the portfolio mix
to capitalize on emerging trends. It took profits on Delta Air Lines, thereby
reducing its long-standing airline holdings. Management boosted the Fund's
holdings in the cable/media industry with the purchase of 30-year
Telecommunications, Inc. (TCI) bonds. Holdings of mortgage-backed securities
were increased - reflecting management's confidence that this sector will
perform well as interest rates remain in a trading range.
For the remainder of the year, the Fund's management expects the corporate
sector to continue benefiting from a strengthening economy and brisk demand. At
mid-year, over one-third of the Fund's assets were allocated to corporate bonds
- - with a heavy concentration in BBB- and split-rated securities. The Fund is now
also heavily weighted toward mortgage-backed securities, although management
would only look to increase holdings selectively during periods of temporary
spread widening.
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT SINCE 1986
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
6/86 6/96
Investment Grade Income Fund $10,000 $21,920
Lehman Brothers Aggregate Bond Index $10,000 $22,717
Lipper Corporate Debt BBB-Rated Fund Average $10,000 $22,471
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Investment Grade Income Fund, since June 30, 1986, to a
similar group of investments: the Lehman Brothers Aggregate Bond Index and the
Lipper Corporate Debt BBB-Rated Fund Average. Performance benchmarking allows
investors to objectively measure their fund's performance.
================================================================================
The Lehman Brothers Aggregate Bond Index is an unmanaged index of average yield
U.S. investment grade bonds. The Lipper Corporate Debt BBB-Rated Fund Average is
a non-weighted Index of 98 funds within the Corporate BBB Debt Fund category.
Performance numbers are net of all fund operating expenses, but do not include
insurance charges. If performance information included the effect of these
additional charges, it would have been lower.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 002
The Fund's objective is to generate a high level of total return, as is
consistent with prudent investment management.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Investment Grade Income Fund -1.37%
Lehman Brothers Aggregate Bond Index -1.21%
Lipper Corporate Debt BBB- Rated Fund Average -2.30%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
US Government & Agency Obligations 50.57%
Corporate Notes & Bonds 34.86%
Asset-Backed Securities 8.67%
Cash Equivalents & Other 8.21%
Net Other Assets & Liabilities -2.31%
The Investment Grade Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
25
<PAGE>
- --------------------------------------------------------------------------------
Government Bond Fund
- --------------------------------------------------------------------------------
Although the first half of the year proved challenging for all bond
investors, the Government Bond Fund weathered the storm with a total return of
- -0.34%. This return outpaced the Lehman Brothers Government Bond Index, which
turned in a -1.80% return for the period.
Predicting the timing and magnitude of changes in interest rates during the
first six months of 1996 has been particularly challenging. Throughout April and
May, the Fund lagged the index primarily because of its somewhat longer
duration. In June, it again slightly underperformed the index - this time
because of its shorter duration. The Fund's duration is now approximately 97% of
the index, reflecting the management's forecast for gradually rising rates over
the near term.
Careful selection of individual bonds helped offset losses caused by strong
volatility in interest rates. Notable transactions included the purchase of an
FNMA-guaranteed multifamily security backed by loans on co-ops - very
high-quality loans that provide relatively stable cash flows. Another
FNMA-guaranteed issue backed by home equity loans was also added to the
portfolio.
Strategic sell decisions also sustained the Fund's value. Management sold a
Discover credit card issue whose risk/reward potential appeared to be shifting.
It also sold a Small Business Administration issue that had performed well
during the recent interest rate rise.
Over the near term, management believes that interest rates will rise
gradually. Consequently, the Fund's sensitivity to interest rates continues to
be slightly lower than the benchmark's, positioning the fund to benefit from
rising rates. Furthermore, the Fund's management is looking to increase its
holdings in mortgage-backed securities, as they generally perform well in a
rising rate environment.
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment since 1991
- --------------------------------------------------------------------------------
[GROWTH CHART APPEARS HERE]
8/91 6/96
Government Bond Fund $10,000 $13,791
Lehman Brothers Government Bond Index $10,000 $14,050
Lipper General U.S. Government Fund Average $10,000 $13,830
================================================================================
A GUIDE TO REVIEWING PERFORMANCE The chart above compares the value of a $10,000
investment in the Government Bond Fund, since its inception on August 26, 1991,
to a similar group of investments: the Lehman Brothers Government Bond Index and
the Lipper General U.S. Government Fund Average. Performance benchmarking
allows investors to objectively measure their fund's performance.
================================================================================
The Lehman Brothers Government Bond Index is an unmanaged index of average yield
U.S. Intermediate fixed-income bonds. The Lipper General U.S. Government Fund
Average is a non-weighted index of 176 funds within the general U.S. Government
Fund investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 005
The Fund's objective is to generate high income for investors while seeking to
preserve capital and maintain liquidity.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Government Bond Fund -0.34%
Lehman Brothers Government Bond Index -1.80%
Lipper General U.S. Government Fund Average -2.62%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
U.S. Government & Agency Obligations 89.29%
Asset Backed Securities 6.04%
Cash Equivalents and Other 4.67%
The Government Bond Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
26
<PAGE>
MONEY MARKET OVERVIEW
1981: Money market returns peak at 14.71%.
1992-1993: Federal Reserve eases interest rates to boost faltering economy.
1994: Federal Reserve raises interest rates six times in an effort to slow the
economy and keep inflation in check.
1995: After successfully piloting economy to a "soft landing," Federal Reserve
lowers federal funds target rate twice.
For the money market, the first six months of 1996 have been very unsettling
- - as investors' expectations over the direction of short-term interest rates
have shifted dramatically over the period.
As we moved from the fourth quarter of 1995 into the first quarter of 1996,
the economy's growth appeared to be subsiding. In response, the Federal Reserve
lowered its Federal Funds rate target by one-quarter of one percentage point to
5.25% late in January. Many market participants fully expected the Federal
Reserve to ease the money supply even further by again lowering rates during the
year.
However, this easing trend came to an abrupt halt early in the first quarter.
In February, a surprisingly large jump in employment figures marked the
beginning of a string of positive statistical releases. This economic data
revealed a much healthier economy than had been expected and investor optimism
quickly changed to pessimism about Federal Reserve policies. Throughout the
second quarter, investors began to anticipate that the Federal Reserve's next
move would be to raise rates rather than lower them.
By the end of June, evidence of an overheated economy and rising prices had
not yet materialized. Even though reports indicating moderate growth calmed
investor jitters somewhat, expectations that the Federal Reserve would tighten
the money supply had not dissipated. These expectations were reflected in the
spread differential between three-month U.S. Treasury bills and two-year
Treasury notes. This differential widened from a mere one-tenth of one
percentage point in January to almost a full percentage point in June.
Moving into the third quarter, it remains unclear what action the Federal
Reserve will take - and there is some speculation that the fact that this is an
election year may affect its decision. In the meantime, many money market
managers remain poised to adapt to any potential change in short-term rates.
By June, spread
differential
between
Anticipating three-month and
slower growth, [PICTURE OF two-year
the Federal DOLLAR SIGN Treasuries
Reserve lowers WITH DOWNWARD widens to almost
Federal Funds ARROW APPEARS one percentage
rate targets. HERE] point.
- --------------------------------------------------------------------------------
1996 1ST QUARTER 2ND QUARTER
- --------------------------------------------------------------------------------
[PICTURE OF Economic data Fears persist [PICTURE OF
INCREASING shows economy that the Federal DOLLAR SIGN
LINE GRAPH growing at a Reserve will WITH DOWNWARD
APPEARS HERE] much faster rate tighten the ARROW APPEARS
than expected. money supply. HERE]
27
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
For the six-month period ending June 30, 1996, the Money Market Fund
successfully managed its three primary objectives of providing preservation of
capital, liquidity, and maximum current income. The Fund's net total return of
2.62% compared favorably to the benchmark Lipper Money Market Funds Average as
well as to the IBC/Donoghue General Purpose Money Market Average.
Against a volatile backdrop of changing economic growth expectations, the
Fund's management maintained a modestly longer average weighted maturity than
the index - focusing on securities which appreciate or roll down the yield curve
quickly during a rising rate environment. Securities that fit this criteria
included U.S. Treasury bills as well as government agency discount notes.
In the second quarter of 1996, an overweighting in two key areas added
substantial yield to the Fund - namely in longer-term top tier commercial paper
and in shorter-term repurchase agreements.
The Fund's management intends to maintain this long-run strategy moving into
the second half of 1996. Given that the reality of "moderate" growth has now
calmed the fears of "overheated growth," management expects the money markets to
settle down over the next six months.
However, expectations that the Federal Reserve might move to tighten the
money supply linger. Moving into the third quarter, the Fund's management has
structured the portfolio to facilitate rapid responses to any potential changes
in short-term rates resulting from new Federal Reserve policies.
IBC/Donoghue is an independent firm that tracks 2a-7 regulated money market
funds on a yield, shareholder, asset size and portfolio allocation basis. The
Lipper Money Market Funds Average is an unmanaged index of 290 funds within the
Money Market category.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND: 003
Strives to maximize current income
for investors with preservation of capital and liquidity.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
<TABLE>
<S> <C>
Money Market Fund 2.62%
IBC/Donoghue General Purpose Money Market Average 2.40%
Lipper Money Market Funds Average 2.35%
</TABLE>
PORTFOLIO COMPOSITION:
As of June 30, 1996, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Commercial Paper 47.05%
Corporate Notes and Bonds 30.52%
Cash Equivalents 13.26%
Other 9.17%
</TABLE>
Money Market Fund is a portfolio of Allmerica Investment Trust.
The fund is neither insured nor guaranteed by the U.S. government. There can be
no assurance that the fund will be able to maintain its net asset value of $1.00
per share.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
28
<PAGE>
Select Income Fund
In the first six months of 1996, a surprisingly strong economy, rising
interest rates, and inflationary fears combined to depress the entire bond
market. Reflecting this turbulent mood, the Select Income Fund delivered a total
return of -1.65% as of June 30, 1996. This performance only slightly trailed the
- -1.21% return of the Fund's benchmark, the Lehman Brothers Aggregate Bond Index.
The bond market entered 1996 by continuing the bull market of 1995. In this
environment, the Select Income Fund benefited from its overweighting in
mortgage-backed securities as well as its slightly longer duration position
relative to the benchmark. However, the positive news ended abruptly as interest
rates rose during February and March. At the end of the first quarter, the
Select Income Fund was down -1.98%, compared to -1.79% for its benchmark.
In the second quarter of the year, the Fund's management modified the asset
mix slightly to better accommodate a strengthening economy. To boost overall
returns, the management took profits in some of its mortgage-backed securities.
These profits were primarily channeled into U.S. Treasuries and corporate bonds
issued by financial and industrial companies. This repositioning can be credited
with the Fund's outperformance of its benchmark in the latter part of the second
quarter.
Going forward, the Fund's management anticipates that economic growth will
moderate and inflationary pressures will subside. Over time, the higher yields
from corporate bonds and mortgage-backed securities are expected to enhance the
Fund's return relative to the benchmark which is heavily weighted in U.S.
Treasuries. The Fund's management continues to believe that 7% represents
excellent value in the bond market. The portfolio is therefore positioned with a
slightly longer duration position. As for yield curve positioning, the majority
of the Fund's bonds will remain in the intermediate range, with maturities from
3 to 14 years.
INVESTMENT SUB-ADVISER:
Standish, Ayer & Wood, Inc.
ABOUT THE FUND:
The Fund seeks above average income from corporate bonds, mortgages and bonds
issued by the U.S. Government.
PERFORMANCE:
Net total return for the six-month period ending June 30, 1996:
Select Income Fund -1.65%
Lehman Brothers Aggregate Bond Index -1.21%
Salomon Brothers Broad Market Index -1.26%
Portfolio Composition:
As of June 30, 1996, the sector
allocation of net assets was:
U.S. Government and Agency Obligations
46.96%
Corporate Notes & Bonds 47.03%
Cash Equivalents and Other 6.01%
Growth of a $10,000 Investment since 1992
8/92 6/96
Select Income Fund $10,000 $12,224
Lehman Brothers Aggregate Bond Index $10,000 $12,479
Salomon Brothers Broad Market Index $10,000 $12,617
A Guide To Reviewing Performance The chart above compares the value of a $10,000
investment in the Select Income Fund, since its inception on August 21, 1992, to
a similar group of investments; the Lehman Brothers Aggregate Bond Index and the
Salomon Brothers Broad Market Index. Performance benchmarking allows investors
to objectively measure their fund's performance.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of average yield
U.S. investment grade bonds. Salomon Brothers Broad Market Index tracks the
performance of investment grade securities traded in the U.S. Bond Market.
Performance numbers are net of all fund operating expenses, but do not include
insurance charges. If performance information included the effect of these
additional charges, it would have been lower.
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
29
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 95.83%
<C> <S> <C>
Australia - 9.01%
257,340 Broken Hill Proprietary Co., Ltd. $ 3,558,633
364,575 MIM Holdings 470,581
522,720 National Australia Bank, Ltd. 4,834,050
711,270 News Corp. 4,036,211
373,500 WMC, Ltd. 2,675,076
----------------
15,574,551
----------------
Finland - 1.00%
83,300 UPM-Kymmene* 1,723,053
----------------
France - 1.57%
19,930 Elf Aquitaine 1,465,689
25,700 Michelin 1,256,023
----------------
2,721,712
----------------
Germany - 4.79%
87,020 Hoechst AG 2,938,515
7,120 Mannesmann AG 2,451,077
31,760 Siemens AG 1,702,197
22,400 Veba AG 1,190,535
----------------
8,282,324
----------------
Indonesia - 5.55%
528,000 Gudang Garam 2,262,930
263,000 Hero Supermarkets 259,901
379,000 Ilanj Mandela Sempoerna 4,315,284
358,000 Indocement Tunggal Perkasa 1,230,544
135,000 Kalbe Farma 301,621
767,000 Mayora Indah 428,413
534,000 Telekomunikasi 808,769
----------------
9,607,462
----------------
Ireland - 1.92%
162,000 Allied Irish Banks 841,123
923,350 Smurfit(Jefferson) Group 2,478,202
----------------
3,319,325
----------------
Italy - 1.19%
608,010 STET Societa Finanziaria Telefonica 2,054,529
----------------
Japan - 1.95%
162,000 Canon, Inc. 3,367,569
----------------
Malaysia - 3.88%
483,000 Development & Commercial
Bank Holdings, Berhad 1,655,013
304,000 Hume Industries Berhad 1,486,352
701,200 Sime-Darby Berhad 1,939,006
236,000 United Engineers 1,636,237
----------------
6,716,608
----------------
Mexico - 0.85%
691,700 Grupo Financiero Banmex, Series B 1,441,851
10,491 Grupo Financiero Banmex, Series L* 19,931
----------------
1,461,782
----------------
Netherlands - 10.79%
66,028 ABN-Amro Holdings 3,543,230
13,310 DSM NV 1,321,662
274,400 Elsevier, NV 4,163,480
96,498 ING Groep, NV 2,877,482
16,661 Nutricia Ver Bedrijven 1,761,795
61,800 Philips Electronics 2,009,343
10,710 Royal Dutch Petroleum 1,653,893
34,955 Royal PTT Nederland, ADR 1,322,891
----------------
18,653,776
----------------
Philippines - 0.20%
99,000 San Miguel, Class B 342,096
----------------
Singapore - 7.85%
373,000 City Developments 2,906,954
307,000 Development Bank of Singapore 3,828,139
252,600 Fraser and Neave, Ltd., Ord 2,612,900
215,800 Singapore Press 4,235,141
----------------
13,583,134
----------------
Spain - 2.37%
24,595 Banco de Santander 1,147,158
123,300 Iberdrola I 1,264,631
48,750 Repsol 1,693,937
----------------
4,105,726
----------------
Sweden - 0.70%
36,900 Assi Doman AB 859,178
26,000 Stora Kopparbergs Bergslags
Aktiebolag, Series A 342,854
----------------
1,202,032
----------------
Switzerland - 9.56%
4,042 Alusuisse Lonza Holdings, Regd 3,335,929
4,972 Ciba-Geigy AG, Regd 6,057,887
354 Roche Holdings AG 2,699,600
1,615 Sandoz 1,846,428
2,535 Schweiz Ruckverisch 2,602,563
----------------
16,542,407
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-1
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Thailand - 2.86%
205,800 Bangkok Bank Public Co., Ltd $ 2,787,299
197,800 Thai Farmers Bank Public Co., Ltd 2,164,965
----------------
4,952,264
----------------
United Kingdom - 29.79%
325,300 Argyll Group, Plc 1,753,917
327,350 Barclays Bank, Ord 3,931,763
605,750 B.A.T. Industries, Ord 4,715,488
513,577 BTR, Plc, Ord 2,022,921
196,000 Cable & Wireless 1,297,362
352,930 Cadbury Schweppes 2,791,270
187,350 Chubb Security, Plc, Ord 940,268
254,000 Coats Viyella, Plc, Ord 678,825
188,050 General Accident, Plc, Ord 1,908,016
333,700 General Electric Co., Ord 1,799,207
182,450 Granada Group, Plc 2,443,693
263,409 Grand Metropolitan, Plc, Ord 1,747,648
368,300 Ladbroke Group, Plc 1,030,077
503,550 Lloyds TSB Group, Plc 2,464,612
245,000 Medeva, Plc, Ord 955,510
212,450 Premier Farnell 2,224,908
333,750 Prudential Corp., Plc, Ord 2,105,440
306,280 Scottish Power, Plc 1,446,730
164,000 Shell T&T 2,402,985
276,550 Siebe Plc, Ord 3,927,492
117,830 Thorn EMI, Plc 3,284,534
231,500 TI Group 1,935,213
297,700 Vodafone Group, Plc 1,107,847
118,250 Zeneca Group, Plc, Ord 2,614,576
----------------
51,530,302
----------------
Total Common Stocks 165,740,652
----------------
(Cost $150,706,732)
PREFERRED STOCK - 0.20%
69,985 News Corp., Ltd. (Australia) 341,508
----------------
Total Preferred Stock 341,508
----------------
(Cost $278,776)
INVESTMENT COMPANIES - 6.40%
4,229,791 ILA Prime Obligation Portfolio Fund, Class B 4,229,791
6,851,727 Lehman Brothers Prime Fund, Class A 6,851,727
----------------
Total Investment Companies 11,081,518
----------------
(Cost $11,081,518)
Total Investments - 102.43% 177,163,678
----------------
(Cost $162,067,026)
Net Other Assets and Liabilities - (2.43)% (4,210,797)
----------------
Net Assets - 100.00% $ 172,952,881
================
</TABLE>
- -------------------------------------------------------------------------
* Non income producing security.
ADR American Depositary Receipt
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
- ---------- ------------ ---------- ------------ ------------ --------------
<S> <C> <C> <C> <C> <C>
9,300,000 CHF 08/19/96 $ 7,479,102 $ 7,413,017 $ (66,085)
7,581,000 DEM 08/27/96 5,006,090 4,966,751 (39,339)
27,642,000 NLG 09/16/96 16,249,298 16,232,786 (16,512)
27,227,000 NLG 07/01/96 16,005,341 15,781,480 (223,861)
----------- ----------- --------------
$44,739,831 $44,394,034 $ (345,797)
=========== =========== ==============
</TABLE>
- ----------------------------
CHF Swiss Francs
DEM Deutsche Marks
NLG Dutch Guilders
See Notes to Financial Statements.
-----------------------------------------------------------
F-2
<PAGE>
- --------------------------------------------------------------------------------
Select Aggressive Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 95.47%
<C> <S> <C>
Technology - 17.79%
37,000 Adaptec, Inc.* $ 1,752,875
144,400 Atmel Corp.* 4,350,050
73,200 C-Cube Microsystems, Inc.* 2,415,600
76,400 CISCO Systems, Inc.* 4,326,150
63,300 Computer Associates International, Inc. 4,510,125
66,500 Gartner Group, Inc., Class A* 2,435,563
209,400 Global Village Communication, Inc.* 1,727,550
56,400 Henry (Jack) & Associates, Inc. 1,917,600
170,700 Iomega Corp.* 4,950,300
100,800 Komag, Inc.* 2,658,600
25,700 Madge Networks N.V.* 372,650
106,875 McAfee Associates, Inc.* 5,236,875
118,400 Neurogen Corp.* 3,048,800
148,900 Ortel Corp.* 3,648,050
59,000 PairGain Technologies, Inc.* 3,658,000
81,100 Parametric Technology Corp.* 3,517,713
92,000 Sun Microsystems, Inc.* 5,416,500
95,400 Veritas Software Corp.* 4,102,200
----------------
60,045,201
----------------
Durable Goods - 16.94%
86,700 Aetrium, Inc.* 1,560,600
51,800 America Online, Inc.* 2,266,250
53,000 Ancor Communications, Inc.* 886,531
69,900 Aspect Telecommunications Corp.* 3,460,050
54,700 BMC Software, Inc.* 3,268,325
69,400 Cascade Communications Corp.* 4,719,200
53,600 Chrysler Corp. 3,323,200
89,800 CompUSA, Inc.* 3,064,425
86,600 Compuware Corp.* 3,420,700
35,000 Dionex Corp.* 1,128,750
160,000 GenRad, Inc.* 2,640,000
87,400 Helix Technology Corp. 3,386,750
72,300 In Focus Systems, Inc.* 1,753,275
88,600 JLG Industries, Inc. 6,578,550
11,000 SPX Corp. 269,500
147,000 Staples, Inc.* 2,866,500
67,200 U.S. Robotics Corp.* 5,745,600
130,400 Western Digital Corp.* 3,406,700
60,200 Zygo Corporation* 2,633,750
42,900 Zytec Corp.* 777,563
----------------
57,156,219
----------------
Financial - 10.32%
106,500 Aames Financial Corp. 3,820,688
43,900 ALLIED Group, Inc. 1,909,650
111,905 Bear Stearns Cos., Inc. 2,643,756
92,800 Green Tree Financial Corp. 2,900,000
109,000 HCC Insurance Holdings, Inc.* 2,452,500
118,000 Imperial Credit Industries, Inc. 3,569,500
76,800 Lehman Brothers Holdings, Inc. 1,900,800
96,500 MBNA Corp. 2,750,250
58,600 Money Store, Inc. 1,296,525
70,000 Morgan Stanley Group, Inc. 3,438,750
57,700 PennCorp Financial Group, Inc. 1,831,975
31,100 Primark Corp.* 1,014,647
85,400 Salomon, Inc. 3,757,600
46,800 TCF Financial Corp. 1,556,100
----------------
34,842,741
----------------
Energy - 9.40%
64,300 Chesapeake Energy Corp.* 5,778,963
117,000 Global Industries, Ltd.* 3,480,750
298,000 NorAm Energy Corp. 3,240,750
131,000 Parker & Parsley Petroleum Co. 3,635,250
212,300 Pride Petroleum Services, Inc.* 3,025,275
196,000 Reading & Bates Corp.* 4,336,500
75,200 Sonat Offshore Drilling, Inc. 3,797,600
60,100 Valero Energy Corp. 1,502,500
58,900 Williams Cos., Inc. 2,915,550
----------------
31,713,138
----------------
Health Products and Care - 7.57%
61,400 Access Health, Inc.* 2,901,150
69,400 HBO & Co. 4,701,850
100,200 Health Management Associates, Inc., Class A* 2,029,050
49,700 Medtronic, Inc. 2,783,200
18,800 Mentor Corp. 479,400
23,000 Omnicare, Inc. 609,500
390,600 Orthologic Corp.* 4,980,150
83,000 Oxford Health Plans, Inc.* 3,413,375
115,700 PHP Healthcare Corp.* 3,644,550
----------------
25,542,225
----------------
Consumer Products - 6.56%
105,500 Ascend Communications, Inc.* 5,934,375
5,800 King World Productions, Inc.* 210,975
94,600 Liz Claiborne, Inc. 3,275,525
44,700 Luxottica Group, ADR 3,279,865
30,300 Meredith Corp. 1,265,025
79,300 Regal Cinemas, Inc.* 3,627,975
131,000 Ross Stores, Inc. 4,552,250
----------------
22,145,990
----------------
Chemical and Drugs - 5.03%
117,450 Jones Medical Industries, Inc. 3,905,213
152,100 Liposome Co., Inc.* 2,851,875
152,400 Medeva Plc, ADR 2,362,200
39,000 Medic Computer Systems, Inc.* 3,163,875
6,500 Prime Medical Services, Inc.* 112,938
52,200 Quintiles Transnational Corp.* 3,432,150
30,500 Watson Pharmaceuticals, Inc.* 1,155,188
----------------
16,983,439
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-3
<PAGE>
- --------------------------------------------------------------------------------
Select Agressive Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------------------
<C> <S> <C>
Electronics - 4.18%
87,300 Electroglas, Inc.* $ 1,244,025
102,200 Electronics for Imaging, Inc.* 7,090,125
28,000 Kent Electronics Corp.* 875,000
37,400 Maxim Integrated Products, Inc.* 1,021,488
162,600 Ultratech Stepper, Inc.* 3,048,750
24,900 Wyle Electronics Laboratories, Inc. 824,813
----------------
14,104,201
----------------
Aerospace - Airlines - 4.01%
165,300 America West Airlines, Inc., Class B* 3,636,600
37,700 AMR Corp.* 3,430,700
74,000 Continental Airlines, Inc., Class B* 4,569,500
47,800 Northwest Airlines Corp., Class A* 1,888,100
----------------
13,524,900
----------------
Retail - 3.26%
115,200 Bed Bath & Beyond, Inc.* 3,081,600
165,000 Claire's Stores, Inc. 4,558,125
104,100 Gap, Inc. 3,344,213
----------------
10,983,938
----------------
Business Services - 2.77%
45,400 ABR Information Services, Inc.* 2,281,350
63,400 HFS, Inc.* 4,438,000
148,800 National Media Corp.* 2,622,600
----------------
9,341,950
----------------
Consumer Staples - 2.11%
32,800 Philip Morris Cos., Inc. 3,411,192
51,000 Tiffany & Co. 3,723,000
----------------
7,134,192
----------------
Building and Construction - 1.82%
63,100 Corrections Corp. of America* 4,417,000
24,650 Granite Construction, Inc. 566,950
33,900 NCI Building Systems, Inc.* 1,144,125
----------------
6,128,075
----------------
Hotels-Leisure - 1.71%
94,800 Grand Casinos, Inc.* 2,441,100
29,600 Hilton Hotels Corp. 3,330,000
----------------
5,771,100
----------------
Telephone - 1.38%
131,100 U.S. Long Distance Corp.* 4,654,050
----------------
Consumer Service - 0.32%
39,200 Robert Half International, Inc.* 1,092,700
----------------
Metals and Mining - 0.30%
24,200 Mueller Industries, Inc.* 1,004,300
----------------
Total Common Stocks 322,168,359
----------------
(Cost $250,410,559)
Par Value
- ---------
COMMERCIAL PAPER (A) - 3.00%
$ 10,109,000 UBS
5.58%, 07/01/96 10,109,000
----------------
Total Commercial Paper 10,109,000
----------------
(Cost $10,109,000)
Shares
- ------
INVESTMENT COMPANIES - 0.01%
3,475 ILA Prime Obligation Money Market Fund 3,475
26,895 ILA Prime Obligation Portfolio Fund, Class B 26,895
----------------
Total Investment Companies 30,370
----------------
(Cost $30,370)
Total Investments - 98.48% 332,307,729
----------------
(Cost $260,549,929)
Net Other Assets and Liabilities - 1.52% 5,132,277
----------------
Net Assets - 100.00% $ 337,440,006
================
</TABLE>
- -----------------------
* Non income producing securities.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
See Notes to Financial Statements.
----------------------------------------------------
F-4
<PAGE>
- --------------------------------------------------------------------------------
Select Capital Appreciation Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 79.07%
<C> <S> <C>
Business Services - 18.43%
31,425 First Data Corp. $ 2,502,216
98,550 HFS, Inc.* 6,898,500
278,075 Paging Network Inc.* 6,673,800
48,325 Profit Recovery Group International* 978,581
18,700 York Group Inc. 322,575
----------------
17,375,672
----------------
Telecommunications - 15.69%
39,575 Arch Communications Group, Inc.* 737,084
60,300 Black Box Corp.* 1,432,125
65,975 CommNet Cellular, Inc.* 1,979,250
51,925 Millicom International Cellular SA* 2,472,928
94,100 Omnipoint Corp.* 2,452,481
91,856 PriCellular Corp., Class A* 1,113,754
144,300 360 Communications Co.* 3,463,200
53,625 Western Wireless, Corp., Class A* 1,146,234
----------------
14,797,056
----------------
Retail - 8.46%
25,850 AutoZone, Inc.* 898,287
50,275 Family Golf Centers, Inc.* 1,263,159
51,450 Fastenal Co. 2,238,075
55,650 Global DirectMail Corp.* 2,198,175
11,875 MSC Industrialdirect Co. - A* 382,968
7,275 O'Reilly Automotive, Inc.* 263,718
30,250 Sunglass Hut International, Inc.* 737,343
----------------
7,981,725
----------------
Financial - 6.92%
13,025 Associates First Capital Corp.* 490,065
99,050 Insignia Financial, Class A* 2,699,127
53,450 Medaphis Corp.* 2,124,637
34,600 Protective Life Corp. 1,215,325
----------------
6,529,154
----------------
Chemical and Drugs - 5.88%
38,875 ARV Assisted Living, Inc.* 602,562
29,425 Culligan Water Technologies, Inc.* 1,118,150
55,950 DepoTech Corp.* 1,412,737
20,925 Gulf South Medical Supply, Inc.* 816,075
88,550 Matrix Pharmaceutical, Inc.* 1,593,900
----------------
5,543,424
----------------
Transportation - 4.08%
118,375 Wisconsin Central Transportation Corp.* 3,847,187
----------------
Consumer Staples - 4.05%
125,000 Petco Animal Supplies, Inc.* 3,593,750
7,300 Viking Office Products, Inc.* 229,037
----------------
3,822,787
----------------
Building and Construction - 4.05%
21,150 Barnett Inc.* 608,062
79,550 Dayton Superior Corp.* 1,044,093
10,675 Hughes Supply Inc. 370,956
19,800 Littelfuse Inc.* 742,500
5,025 Littelfuse Inc. Warrants* 146,353
26,975 Sealed Air Corp.* 907,034
----------------
3,818,998
----------------
Health Services - 3.32%
54,100 Exogen,Inc.* 459,850
8,700 HEALTHSOUTH Corp.* 313,200
11,450 Omnicare, Inc. 303,425
9,375 Oxford Health Plans, Inc.* 385,546
15,000 Respironics, Inc.* 277,500
72,100 TheraTech, Inc.* 1,387,925
----------------
3,127,446
----------------
Food Services - 2.73%
8,950 JP Foodservice, Inc.* 223,750
10,550 Lone Star Steakhouse & Saloon* 398,263
40,037 Papa John's International, Inc.* 1,951,803
----------------
2,573,816
----------------
Consumer Services - 2.65%
70,425 CUC International, Inc.* 2,500,087
----------------
Computers - 1.51%
28,550 American Business Information, Inc.* 521,037
14,350 Ciber, Inc.* 315,700
6,550 QuickResponse Services, Inc.* 188,312
11,550 Technology Solutions Co.* 399,918
----------------
1,424,967
----------------
Energy - 0.89%
44,475 Trigen Energy Corp. 839,465
----------------
Metals and Mining - 0.41%
11,325 Minerals Technologies, Inc. 387,881
----------------
Total Common Stocks 74,569,665
----------------
(Cost $65,476,636)
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-5
<PAGE>
- --------------------------------------------------------------------------------
Select Capital Appreciation Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
FOREIGN COMMON STOCKS - 13.56%
<C> <S> <C>
United Kingdom - 9.78%
279,525 Pizzaexpress Plc $ 1,598,320
626,368 Rentokil Group Plc 3,980,598
233,200 Wetherspoon (J.D) Plc 3,641,581
----------------
9,220,499
----------------
Switzerland - 2.15%
4,891 Fotolabo 2,028,080
----------------
France - 1.63%
11,952 Grand Optical 1,539,246
----------------
Total Foreign Common Stocks 12,787,825
----------------
(Cost $11,414,500)
Par Value
- ---------
U.S. GOVERNMENT AGENCY OBLIGATION (A) - 4.23%
$4,000,000 Federal National Mortgage Association
5.27%, 07/29/96 3,983,604
----------------
Total U.S. Government
Agency Obligation 3,983,604
----------------
(Cost $3,983,604 )
COMMERCIAL PAPER (A) - 4.24%
$4,000,000 Household Finance Corp.
5.50%, 07/01/96 4,000,000
----------------
Total Commercial Paper 4,000,000
----------------
(Cost $4,000,000)
Total Investments - 101.10% 95,341,094
----------------
(Cost $84,874,740)
Net Other Assets and Liabilities - (1.10)% (1,033,900)
----------------
Net Assets - 100.00% $ 94,307,194
================
</TABLE>
- ------------------------------------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value For U.S. $ (Depreciation)
- --------- ------------ ---------- ------------ ----------- --------------
<S> <C> <C> <C> <C> <C>
850,000 GBP 10/01/96 $ 1,319,263 $ 1,292,935 $ (26,328)
1,050,000 GBP 11/25/96 1,629,678 1,584,555 (45,123)
5,000 GBP 12/04/96 7,760 7,705 (55)
----------- ----------- ----------
$ 2,956,701 $ 2,885,195 $ (71,506)
=========== =========== ==========
</TABLE>
- ---------------------------
GBP British Pound
See Notes to Financial Statements.
----------------------------------------------------------
F-6
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Value Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 92.98%
<C> <S> <C>
Durable Goods - 19.79%
35,820 Baldor Electric Co. $ 805,950
60,000 BW/IP, Inc. 1,140,000
37,500 Carlisle Cos., Inc. 1,992,188
36,500 Fluke Corp. 1,473,688
77,550 Hanna (M.A.) Co. 1,618,856
60,500 Huffy Corp. 778,938
63,500 Juno Lighting, Inc. 1,079,500
17,600 Kennametal, Inc. 598,400
49,000 Miller (Herman), Inc. 1,500,625
27,000 National Presto Industries, Inc. 1,026,000
68,600 Octel Communications Corp.* 1,354,850
32,100 Precision Castparts Corp. 1,380,300
14,300 SPX Corp. 350,350
56,100 Standard Products Co. 1,304,325
18,400 Toro Co. 609,500
----------------
17,013,470
----------------
Consumer Products - 18.44%
171,000 Cash America International, Inc. 1,111,500
30,000 Central Newspapers, Inc., Class A 1,125,000
99,700 DiMon, Inc. 1,844,450
72,000 Duty Free International, Inc. 1,098,000
66,900 Fingerhut Cos., Inc. 1,045,313
33,000 King World Productions, Inc.* 1,200,375
28,500 La-Z-Boy Chair Co. 858,563
66,000 Lee Enterprises, Inc. 1,567,500
69,600 MagneTek, Inc. 669,900
60,946 Mosinee Paper Corp. 1,630,306
35,700 Paragon Trade Brands, Inc.* 767,550
76,000 Scitex Corp., Ltd. 1,311,000
78,000 Sealright Co., Inc. 848,250
30,000 Tennant Co. 780,000
----------------
15,857,707
----------------
Retail - 8.53%
104,000 Charming Shoppes, Inc. 734,500
52,500 Consolidated Stores Corp.* 1,929,375
26,000 Hannaford Brothers Co. 848,250
77,050 Rykoff-Sexton, Inc. 1,107,594
20,000 Vons Cos., Inc.* 747,500
82,500 Waban, Inc.* 1,969,688
----------------
7,336,907
----------------
Energy - 7.55%
31,000 Cabot Oil & Gas Corp., Class A 538,625
68,500 Calenergy, Inc.* 1,746,750
37,400 Devon Energy Corp. 916,300
147,000 Nabors Industries, Inc.* 2,388,750
60,000 Quaker State Corp. 900,000
----------------
6,490,425
----------------
Financial - 6.09%
38,252 First Commercial Corp. 1,176,249
34,000 Gallagher (Arthur J.) & Co. 1,088,000
80,000 Glendale Federal Bank* 1,450,000
20,100 NYMAGIC, Inc. 379,388
35,000 Primark Corp.* 1,141,875
----------------
5,235,512
----------------
Automotive - 5.84%
61,000 Apogee Enterprises, Inc. 2,089,250
56,000 First Brands Corp. 1,512,000
61,000 Intermet Corp.* 850,188
28,100 Walbro Corp. 569,025
----------------
5,020,463
----------------
Building and Construction - 4.24%
80,000 Calmat Co. 1,450,000
78,000 Southdown, Inc. 1,833,000
35,100 Wolohan Lumber Co. 359,775
----------------
3,642,775
----------------
Chemicals and Drugs - 4.04%
45,000 Alberto-Culver Co., Class A 1,800,000
55,000 Armor All Products Corp. 818,125
38,300 Brady (W.H.) Co. 852,175
----------------
3,470,300
----------------
Technology - 3.94%
21,500 ADAC Laboratories 489,125
93,600 Gerber Scientific, Inc. 1,509,300
100,300 Viewlogic Systems, Inc.* 1,391,663
----------------
3,390,088
----------------
Metals and Mining - 3.77%
44,300 Brush Wellman, Inc. 841,700
80,000 Global Industrial Technologies, Inc.* 1,280,000
48,000 Trimas Corp. 1,122,000
----------------
3,243,700
----------------
Transportation - 2.60%
27,400 Overseas Shipholding Group, Inc. 496,625
51,100 Trinity Industries, Inc. 1,737,400
----------------
2,234,025
----------------
Business Services - 2.48%
28,400 New England Business Service, Inc. 553,800
70,800 True North Communications, Inc. 1,575,300
----------------
2,129,100
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-7
<PAGE>
- --------------------------------------------------------------------------------
Small Cap Value Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Recreational Equipment - 2.47%
45,700 Sturm Ruger & Co., Inc. $ 2,125,050
----------------
Consumer Staples 1.85%
30,000 Stanhome, Inc. 795,000
49,200 U.S. Can Corp.* 799,495
----------------
1,594,495
----------------
Transportation Services - 1.35%
15,500 Harper Group, Inc. 302,250
40,900 Sea Containers, Ltd., Class A 777,100
4,100 Sea Containers, Ltd., Class B 79,950
----------------
1,159,300
----------------
Total Common Stocks 79,943,317
----------------
(Cost $67,308,431)
INVESTMENT COMPANIES - 8.31%
3,505,113 ILA Prime Obligation Money Market Fund 3,505,113
3,640,024 ILA Prime Obligation Portfolio Fund, Class B 3,640,024
----------------
Total Investment Companies 7,145,137
----------------
(Cost $7,145,137)
Total Investments - 101.29% 87,088,454
----------------
(Cost $74,453,568)
Net Other Assets and Liabilities - (1.29)% (1,104,987)
----------------
Net Assets - 100.00% $ 85,983,467
================
</TABLE>
- ---------------------------------------
* Non income producing security.
See Notes to Financial Statements.
-------------------------------------------------
F-8
<PAGE>
- --------------------------------------------------------------------------------
Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 95.94%
<C> <S> <C>
Financial - 17.13%
67,900 ACE, Ltd. $ 3,191,300
80,400 Aetna Life & Casualty Co. 5,748,600
110,490 Allstate Corp. 5,041,106
13,500 American General Corp. 491,063
9,400 American Re Corp. 421,825
11,300 Bank of Boston Corp. 559,350
7,700 Bank of New York Co., Inc. 394,625
16,500 Capital One Financial Corp. 470,250
80,100 Chase Manhattan Corp. 5,657,063
33,900 Cigna Corp. 3,995,963
35,100 Citicorp 2,900,138
7,800 Crestar Financial Corp. 416,325
6,800 Dean Witter Discover & Co. 389,300
51,100 EXEL, Ltd. 3,602,550
35,800 Federal Home Loan Mortgage Corp. 3,060,900
17,300 Federal National Mortgage Association 579,550
98,948 First Chicago NBD Corp. 3,871,341
85,780 First Union Corp. 5,221,858
15,000 Great Western Financial Corp. 358,125
6,100 Healthcare COMPARE Corp.* 297,375
135,300 Humana, Inc.* 2,418,488
156,900 ITT Hartford Group, Inc. 8,354,925
12,900 Money Store, Inc. 285,413
61,048 NationsBank Corp. 5,044,091
16,500 Old Republic International Corp. 356,813
4,600 Post Properties, Inc. 162,725
15,900 Providian Corp. 681,713
7,500 Reliastar Financial Corp. 323,438
6,200 Republic New York Corp. 385,950
160,900 RJR Nabisco Holdings Corp. 4,987,900
5,900 Salomon, Inc. 259,600
7,700 Security Capital Industrial Trust 135,713
8,300 Security Capital Pacific Trust 180,525
8,100 Signet Banking Corp. 188,325
14,500 Sirrom Capital Corp. 395,125
14,100 Stewart Enterprises, Inc., Class A 440,625
12,300 St. Paul Cos., Inc. 658,050
11,000 Terra Nova (Bermuda) Holdings, Ltd., Class A 176,000
40,996 TransAmerica Corp. 3,351,423
5,400 Transatlantic Holdings, Inc. 378,675
139,500 UST, Inc. 4,777,875
51,100 U.S. Healthcare, Inc. 2,810,500
73,800 U.S. West Communications Group 2,352,375
----------------
85,774,874
----------------
Durable Goods - 16.29%
9,500 American Mobile Satellite Corp.* 147,250
21,900 Beckman Instruments, Inc. 832,200
5,700 Caterpillar, Inc. 386,175
101,000 Chrysler Corp. 6,262,000
83,800 Cummins Engine Co., Inc. 3,383,425
18,300 Deere & Co. 732,000
53,300 Eaton Corp. 3,124,713
4,200 Echostar Communications Corp., Class A* 118,650
77,800 Frontier Corp. 2,382,625
80,100 General Electric Co. 6,928,650
102,200 General Motors Corp. 5,352,725
8,175 Glenayre Technologies, Inc.* 408,750
12,700 Globalstar Telecommunications, Ltd.* 561,975
98,200 Goodyear Tire & Rubber Co. 4,738,150
166,500 Hanson Plc, ADR 2,372,625
41,800 Hewlett-Packard Co. 4,164,325
12,300 IBIS Technology Corp.* 106,088
68,400 Intel Corp. 5,023,125
6,400 Kent Electronics Corp.* 200,000
6,800 Macromedia, Inc.* 148,750
9,300 Mfs Communications Co., Inc.* 349,913
7,200 Millicom International Cellular S.A.* 342,900
34,300 Motorola, Inc. 2,156,613
9,200 Octel Communications Corp.* 181,700
48,450 Officemax, Inc.* 1,156,744
7,300 Palmer Wireless, Inc.* 146,000
11,500 Panamsat Corp.* 333,500
10,700 Parker-Hannifin Corp. 453,413
82,900 Pep Boys-Manny, Moe & Jack 2,818,600
13,500 PHH Corp. 769,500
14,800 Ryder System, Inc. 416,250
19,700 Spacehab, Inc.* 216,700
11,700 Standard Register Co. 288,113
8,700 Tandy Corp. 412,163
11,000 Tecumseh Products Co., Class A 591,250
12,900 Tellabs, Inc.* 862,688
57,400 Tenneco, Inc. 2,934,575
39,800 Textron, Inc. 3,179,025
106,600 TRINOVA Corp. 3,557,775
93,500 Union Pacific Corp. 6,533,313
61,500 U.S. Robotics Corp.* 5,258,250
4,800 Uunet Technologies, Inc.* 318,000
13,400 Varity Corp.* 644,875
10,400 Western Digital Corp.* 271,700
----------------
81,567,761
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-9
<PAGE>
- --------------------------------------------------------------------------------
Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Chemicals and Drugs - 13.97%
82,900 Abbott Laboratories $ 3,606,150
13,200 Airgas, Inc.* 250,800
87,200 Allergan, Inc. 3,422,600
75,500 American Home Products Corp. 4,539,438
86,700 Avon Products, Inc. 3,912,338
68,100 Baxter International, Inc. 3,217,725
55,600 Becton Dickinson & Co. 4,461,900
21,600 Bergen Brunswig Corp., Class A 599,400
92,340 Bristol-Myers Squibb Co. 8,310,600
9,800 Cabot Corp. 240,100
7,900 Cardinal Health, Inc. 569,788
10,300 Conmed Corp.* 274,238
129,900 duPont (E.I.)deNemours & Co. 10,278,338
24,200 Estee Lauder Cos., Class A 1,022,450
62,700 FMC Corp.* 4,091,175
18,600 Foundation Health Corp.* 667,275
6,100 Fuisz Technologies, Ltd.* 115,900
32,600 Grace (W.R.) & Co. 2,310,525
5,400 Guidant Corp. 265,950
58,820 Health Management Associates, Inc., Class A* 1,191,105
65,800 Johnson & Johnson 3,257,100
7,600 Lincare Holdings, Inc.* 298,300
87,800 Mallinckrodt Group, Inc. 3,413,226
13,300 Premark International, Inc. 246,050
15,500 Rhone-Poulenc S.A., ADR 410,750
61,500 Schering-Plough Corp. 3,859,125
54,200 Smithkline Beecham Plc, ADR 2,947,125
9,800 Total Renal Care Holdings, Inc.* 414,050
25,700 Warner-Lambert Co. 1,413,500
13,700 Wellman, Inc. 320,238
----------------
69,927,259
----------------
Utilities - 8.38%
137,700 American Telephone & Telegraph Corp. 8,537,400
25,400 Central Maine Power Co. 368,300
36,300 Cinergy Corp. 1,161,600
81,100 DTE Energy Co. 2,503,963
124,700 Entergy Corp. 3,538,363
35,400 General Public Utilities Corp. 1,247,850
108,400 GTE Corp. 4,850,900
101,200 NYNEX Corp. 4,807,000
149,200 Ohio Edison Co. 3,263,750
143,500 Pacific Telesis Group 4,843,125
122,000 PECO Energy Co. 3,172,000
120,000 Unicom Corp. 3,345,000
10,700 USA Waste Services, Inc.* 316,988
----------------
41,956,239
----------------
Energy - 8.08%
5,700 Amoco Corp. 412,538
48,100 Atlantic Richfield Co. 5,699,850
74,600 British Petroleum Co. Plc, ADR 7,972,875
63,700 Chevron Corp. 3,758,300
89,700 Coastal Corp. 3,744,975
13,900 El Paso Natural Gas Co. 535,150
11,400 MAPCO, Inc. 642,675
53,500 Mobil Corp. 5,998,688
69,800 Phillips Petroleum Co. 2,922,875
33,600 Royal Dutch Petroleum Co. 5,166,000
32,200 Texaco, Inc. 2,700,775
19,000 Ultramar Corp. 551,000
14,700 YPF Sociedad Anonima, ADR 330,750
----------------
40,436,451
----------------
Consumer Staples - 7.30%
8,200 Charter Power Systems, Inc. 284,950
12,400 Danaher Corp. 539,400
4,350 Delta & Pine Land Co. 183,788
13,000 Dexter Corp. 386,750
21,400 IBP, Inc. 591,145
19,700 Lam Research Corp.* 512,200
8,700 Mondavi (Robert) Corp., Class A* 274,050
3,000 Pediatrix Medical Group, Inc.* 145,500
274,600 PepsiCo, Inc. 9,713,975
184,000 Philip Morris Cos., Inc. 19,136,000
9,000 Springs Industries, Inc., Class A 454,500
21,200 Unilever N.V. ADR 3,076,650
9,000 USA Detergents, Inc.* 358,875
9,400 VF Corp. 560,475
10,400 Viking Office Products, Inc.* 326,300
----------------
36,544,558
----------------
Consumer Products - 6.49%
4,100 Anheuser-Busch Cos., Inc. 307,500
28,230 Archer-Daniels-Midland Co. 539,899
4,400 Ascend Communications, Inc.* 247,500
64,300 Bowater, Inc. 2,419,288
89,800 Carnival Corp., Class A 2,592,975
5,900 Cintas Corp. 315,650
83,700 Conagra, Inc. 3,797,888
10,000 DSP Communications, Inc.* 513,750
25,500 Eastman Kodak Co. 1,982,625
39,600 Gannett Co., Inc. 2,801,700
7,900 Gucci Group N.V.* 509,550
54,300 Harcourt General, Inc. 2,715,000
12,000 IMC Global, Inc. 451,500
67,690 Kimberly-Clark Corp. 5,229,053
</TABLE>
See Notes to Financial Statements.
-------------------------------------------------
F-10
<PAGE>
- --------------------------------------------------------------------------------
Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Consumer Products (continued)
14,300 Pete's Brewing Co.* $ 214,500
42,100 Procter & Gamble Co. 3,815,313
9,300 Reebok International, Ltd. 312,713
69,600 Time Warner, Inc. 2,731,800
4,900 TRW, Inc. 440,388
13,300 Tupperware Corp.* 561,925
----------------
32,500,517
----------------
Technology - 4.75%
4,900 Ceridian Corp.* 247,450
93,700 Cisco Systems, Inc.* 5,305,763
17,800 Compaq Computer Corp.* 876,650
4,700 Gartner Group, Inc., Class A* 172,138
11,000 Harnischfeger Industries, Inc. 365,750
10,600 International Business Machines Corp. 1,049,400
60,400 ITTCorp.* 4,001,500
44,300 Loral Space & Communications* 603,588
8,475 McAfee Associates, Inc.* 415,275
42,700 Microsoft Corp.* 5,129,338
62,800 National Semiconductor Corp.* 973,400
66,850 Oracle Corp.* 2,636,397
23,000 Seagate Technology, Inc.* 1,035,000
14,500 Tektronix, Inc. 648,875
5,000 Transaction Systems Architects, Inc., Class A* 335,000
----------------
23,795,524
----------------
Retail - 3.34%
74,000 American Stores Co. 3,052,500
7,400 Boise Cascade Office Products Corp.* 256,225
8,600 Borders Group, Inc.* 277,350
12,700 Dillard Department Stores, Inc., Class A 463,550
3,400 Dollar Tree Stores, Inc.* 107,950
145,300 Federated Department Stores, Inc.* 4,958,363
8,500 Orchard Supply Hardware Stores Corp.* 256,063
142,500 Sears Roebuck & Co. 6,929,063
7,500 Tommy Hilfiger Corp.* 402,188
----------------
16,703,252
----------------
Aerospace-Airlines - 2.19%
80,100 AMR Corp.* 7,289,100
12,000 Raytheon Co. 619,500
26,500 United Technologies Corp. 3,047,500
----------------
10,956,100
----------------
Broadcasting - 1.70%
51,550 Comcast Corp. Special, Class A 953,675
19,900 Comcast UK Cable Partners, Ltd.* 253,725
8,100 Infinity Broadcasting Corp., Class A* 243,000
4,000 LIN Television Corp.* 144,000
7,600 Sinclair Broadcast Group, Inc., Class A* 330,600
16,500 Tele-Communications International, Inc., Class A* 290,813
91,679 Tele-Communications, Inc.,
Liberty Media Group, Series A* 2,429,494
187,500 Tele-Communications, Inc.,
TCI Group, Series A* 3,398,438
2,800 United International Holdings, Inc., Class A* 38,500
21,500 United Video Satellite Group, Inc., Class A* 451,500
----------------
8,533,745
----------------
Building and Construction - 1.53%
58,900 Champion International Corp. 2,459,075
96,466 Home Depot, Inc. 5,209,164
----------------
7,668,239
----------------
Communications - 1.52%
8,800 International Cabletel, Inc.* 259,600
5,400 Newbridge Networks Corp.* 353,700
15,700 Orange Plc, ADR* 274,750
160,300 Sprint Corp. 6,732,600
----------------
7,620,650
----------------
Health Services - 1.03%
75,012 Columbia/HCA Healthcare Corp. 4,003,766
5,100 Emcare Holdings, Inc.* 151,725
17,900 Maxicare Health Plans, Inc.* 337,863
6,100 Orthodontic Centers of America, Inc.* 161,650
24,000 Tenet Healthcare Corp.* 513,000
----------------
5,168,004
----------------
Transportation - 0.87%
46,274 Burlington Northern Santa Fe Corp. 3,742,410
12,200 CSX Corp. 588,650
----------------
4,331,060
----------------
Consumer Services - 0.56%
12,300 Ascent Entertainment Group, Inc.* 310,575
43,700 Service Corp. International 2,512,750
----------------
2,823,325
----------------
Metals and Mining - 0.38%
23,300 Cyprus Amax Minerals Co. 527,163
4,200 Potash Corp. of Saskatchewan, Inc. 278,250
13,300 Reynolds Metals Co. 693,263
9,800 Timken Co. 379,750
----------------
1,878,426
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Business Services - 0.26%
9,400 Accustaff, Inc.* $ 256,150
9,450 Fiserv, Inc.* 283,500
18,100 Paging Network, Inc.* 434,400
6,975 Paychex, Inc. 335,671
----------------
1,309,721
----------------
Food Services - 0.16%
24,900 Boston Chicken, Inc.* 809,250
----------------
Entertainment - 0.01%
6,700 Livent, Inc.* 60,300
----------------
Total Common Stocks 480,365,255
----------------
(Cost $387,407,974)
Par Value
---------
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) - 1.74%
Federal Home Loan Bank - 1.08%
$2,500,000 5.39% 12/31/96 2,434,675
1,000,000 8.45% 01/24/97 1,014,736
2,000,000 5.57% 01/23/98 1,985,940
----------------
5,435,351
----------------
Federal National Mortgage Association - 0.37%
1,840,000 4.84% 07/24/96 1,834,310
----------------
Federal Farm Credit Bank - 0.29%
1,500,000 4.86% 01/10/97 1,460,918
----------------
Total U.S. Government
Agency Obligations 8,730,579
----------------
(Cost $8,741,950)
CORPORATE NOTES AND BONDS - 1.69%
2,500,000 AVCO Financial Services, Inc., Senior Notes
7.50% 11/15/96 2,527,800
1,972,000 Ford Motor Credit Co., Debenture
8.00% 12/01/96 1,988,723
1,900,000 Ford Motor Credit Co.
5.63% 03/03/97 1,904,401
25,000 General Motors Acceptance Corp., MTN
6.30% 03/31/97 25,037
1,000,000 NationsBank, MTN
5.20% 07/15/97 1,000,366
1,000,000 Paine Webber Group, Inc., MTN
5.25% 12/23/96 995,467
----------------
Total Corporate Notes and Bonds 8,441,794
----------------
(Cost $8,468,803)
COMMERCIAL PAPER (A) - 2.39%
$1,500,000 Asset Backed Capital Finance, Inc.
5.60% 07/01/96 1,500,000
2,500,000 Asset Backed Capital Finance, Inc.
5.42% 07/15/96 2,494,731
1,000,000 Bankers Trust Australia, Ltd.
5.12% 07/22/96 997,013
2,000,000 General Motors Acceptance Corp.
5.34% 08/12/96 1,987,540
5,000,000 Paine Webber Group, Inc.
5.45% 07/12/96 4,991,674
----------------
Total Commercial Paper 11,970,958
----------------
(Cost $11,970,958)
Shares
------
INVESTMENT COMPANY - 0.02%
99,809 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 99,809
----------------
Total Investment Company 99,809
----------------
(Cost $99,809)
Total Investments - 101.78% 509,608,395
----------------
(Cost $416,689,494)
Net Other Assets and Liabilities - (1.78)% (8,912,811)
----------------
Net Assets - 100.00% $ 500,695,584
================
</TABLE>
- ----------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt.
MTN Medium Term Note
See Notes to Financial Statements.
--------------------------------------------------
F-12
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 89.59%
<C> <S> <C>
Technology - 13.62%
23,200 Automatic Data Processing, Inc. $ 896,100
23,200 Ceridian Corp.* 1,171,600
74,600 CISCO Systems, Inc.* 4,224,225
68,050 Computer Associates International, Inc. 4,848,563
37,000 Computer Sciences Corp.* 2,765,750
5,500 Informix Corp.* 123,742
98,750 Oracle Corp.* 3,894,453
44,800 U.S. Robotics Corp.* 3,830,400
48,000 3COM Corp.* 2,196,000
----------------
23,950,833
----------------
Chemical and Drugs - 12.44%
54,500 Amgen, Inc.* 2,943,000
22,600 Elan Corp. Plc, ADR* 1,291,025
9,000 Lauder (Estee) Cos., Inc., Class A 380,250
26,200 Lilly (Eli) & Co. 1,703,000
80,200 Medtronic, Inc. 4,491,200
47,700 Merck & Co., Inc. 3,082,613
48,000 Monsanto Co. 1,560,000
90,100 Pfizer, Inc. 6,430,888
----------------
21,881,976
----------------
Financial - 11.86%
27,500 American International Group, Inc. 2,712,188
10,700 Associates First Capital Corp.* 402,588
21,300 Federal Home Loan Mortgage Corp. 1,821,150
198,800 Federal National Mortgage Association 6,659,800
3,600 FINOVA Group, Inc. 175,500
41,900 First USA, Inc. 2,304,500
139,575 MBNA Corp. 3,977,888
45,300 Mercury Finance Co. 577,575
36,300 MGIC Investment Corp. 2,037,338
8,250 Synovus Financial Corp. 178,406
----------------
20,846,933
----------------
Business Services - 9.08%
29,300 AccuStaff, Inc.* 798,425
90,027 First Data Corp. 7,168,400
88,400 HFS, Inc.* 6,188,000
37,800 Paychex, Inc. 1,819,125
----------------
15,973,950
----------------
Electronics - 9.05%
50,500 Analog Devices, Inc.* 1,287,750
36,300 Electronic Data Systems Corp. 1,951,125
25,500 Hewlett-Packard Co. 2,540,438
67,300 Microsoft Corp.* 8,084,413
49,050 Thermo Electron Corp.* 2,041,706
----------------
15,905,432
----------------
Health Services - 7.20%
28,500 Boston Scientific Corp.* 1,282,500
25,100 Cardinal Health, Inc. 1,810,338
18,600 Columbia/HCA Healthcare Corp. 992,775
68,600 HEALTHSOUTH Corp.* 2,469,600
75,100 Oxford Health Plans, Inc.* 3,088,488
7,800 Shared Medical Systems Corp. 501,150
49,700 United Healthcare Corp. 2,509,850
----------------
12,654,701
----------------
Telecommunications - 5.36%
19,200 ADC Telecommunications, Inc.* 864,000
168,600 Ericsson L.M. Telephone Co. 3,624,900
79,000 Frontier Corp. 2,419,375
15,850 Glenayre Technologies, Inc.* 792,500
31,200 Worldcom, Inc.* 1,727,700
----------------
9,428,475
----------------
Consumer Products - 3.69%
22,000 Alco Standard Corp. 995,500
32,725 Andrew Corp.* 1,758,969
58,900 British Sky Broadcasting Group Plc, ADR 2,392,813
7,600 Gucci Group N.V.* 490,200
15,900 Home Depot, Inc. 858,600
----------------
6,496,082
----------------
Retail - 3.27%
72,700 AutoZone, Inc.* 2,526,325
42,500 Kohls Corp.* 1,556,563
31,200 Tommy Hilfiger Corp.* 1,673,100
----------------
5,755,988
----------------
Consumer Services - 2.93%
57,100 CUC International, Inc.* 2,027,050
29,700 Service Corp. International 1,707,750
34,900 Tyco International, Ltd. 1,422,175
----------------
5,156,975
----------------
Hotels/Leisure - 2.25%
28,600 Circus Circus Enterprises, Inc.* 1,172,600
51,500 Mirage Resorts, Inc.* 2,781,000
----------------
3,953,600
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-13
<PAGE>
- --------------------------------------------------------------------------------
Select Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Amusement/Entertainment - 2.14%
47,297 Disney (Walt) Co. $ 2,973,799
20,100 Viacom, Inc., Class B* 781,388
----------------
3,755,187
----------------
Electrical, Gas and Sanitary - 2.10%
31,500 Enron Corp. 1,287,563
82,400 Republic Industries, Inc.* 2,399,900
----------------
3,687,463
----------------
Office Equipment and Supplies - 1.90%
56,700 Danka Business Systems Plc, ADR 1,658,475
86,000 Staples, Inc.* 1,677,000
----------------
3,335,475
----------------
Consumer Staples - 1.79%
50,500 Gillette Co. 3,149,939
----------------
Food and Beverage - 0.53%
20,100 McDonald's Corp. 939,675
----------------
Transportation - 0.38%
20,700 Fritz Cos., Inc.* 667,575
----------------
Total Common Stocks 157,540,259
----------------
(Cost $118,160,826)
Par Value
- ---------
COMMERCIAL PAPER (A) - 8.70%
$8,800,000 American Express Credit Corp.
5.26%, 07/03/96 8,800,000
6,500,000 Associates Corp. of North America
5.38%, 07/25/96 6,500,000
----------------
Total Commercial Paper 15,300,000
----------------
(Cost $15,300,000)
Shares
------
INVESTMENT COMPANY - 1.75%
3,086,685 ILA Prime Obligation Portfolio Fund, Class B 3,086,685
----------------
Total Investment Company 3,086,685
----------------
(Cost $3,086,685)
Total Investments - 100.04% 175,926,944
----------------
(Cost $136,547,511)
Net Other Assets and Liabilities - (0.04)% (75,530)
----------------
Net Assets - 100.00% $ 175,851,414
================
</TABLE>
- ---------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
See Notes to Financial Statements.
--------------------------------------------------
F-14
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 86.59%
<C> <S> <C>
Durable Goods - 15.53%
56,800 Bay Networks, Inc.* $ 1,462,600
21,100 Boeing Co. 1,838,338
144,600 Corning, Inc. 5,549,025
92,600 Crown Cork & Seal Co., Inc. 4,167,000
64,000 General Electric Co. 5,536,000
43,300 Lockheed Martin Corp. 3,637,200
100,000 McDermott International, Inc. 2,087,500
33,700 Northrop Grumman Corp. 2,295,813
95,200 Sundstrand Corp. 3,486,700
255,800 Westinghouse Electric Corp. 4,796,250
35,400 Xerox Corp. 1,893,900
----------------
36,750,326
----------------
Financial - 15.00%
85,500 Aetna Life & Casualty Co. 6,113,250
87,900 Ahmanson (H.F.) & Co. 2,373,300
43,500 American Express Co. 1,941,188
70,000 Chase Manhattan Corp. 4,943,750
38,700 Citicorp 3,197,588
157,600 FHP International Corp.* 4,314,300
55,900 Northern Trust Corp. 3,228,225
34,600 Paul Revere Corp. 951,500
34,200 RJR Nabisco Holdings Corp. 1,060,200
174,000 TIG Holdings, Inc. 5,046,000
37,500 Unum Corp. 2,334,375
----------------
35,503,676
----------------
Chemical and Drugs - 13.06%
62,700 Air Products & Chemicals, Inc. 3,620,925
54,600 Avon Products, Inc. 2,463,825
126,000 Baxter International, Inc. 5,953,500
80,400 Grace (W.R.) & Co. 5,698,350
9,800 Johnson & Johnson 485,100
40,500 Merck & Co., Inc. 2,617,313
92,000 Monsanto Co. 2,990,000
82,100 Pharmacia & Upjohn, Inc. 3,643,188
20,600 Premark International, Inc. 381,100
28,600 Warner-Lambert Co. 1,573,000
43,200 Witco Chemical Co., Inc. 1,485,000
----------------
30,911,301
----------------
Technology - 9.68%
146,800 AirTouch Communications, Inc.* 4,147,100
84,200 Electronic Data Systems Corp. 4,525,750
5,000 Farallon Communications, Inc.* 73,750
65,800 Honeywell, Inc. 3,586,100
29,000 International Business Machines Corp. 2,871,000
58,600 ITT Corp.* 3,882,250
80,900 ITT Industries, Inc. 2,032,613
37,000 Lucent Technologies, Inc. 1,401,375
30,000 Thermo Optek Corp.* 390,000
----------------
22,909,938
----------------
Consumer Products - 8.25%
80,200 Anheuser-Busch Cos., Inc. 6,015,000
41,600 Eastman Kodak Co. 3,234,400
41,200 Nabisco Holdings Corp., Class A 1,457,450
75,000 Reader's Digest Association, Inc., Class A 3,187,500
30,100 Seagram Co., Ltd. 1,012,113
61,000 Tupperware Corp.* 2,577,250
39,600 Varian Associates, Inc. 2,049,300
----------------
19,533,013
----------------
Energy - 5.87%
39,600 Amerada Hess Corp. 2,123,550
44,000 Chevron Corp. 2,596,000
53,300 ENSERCH Corp. 1,159,275
92,300 Oryx Energy Co.* 1,499,875
41,800 Tenneco, Inc. 2,137,025
137,500 USX-Marathon Group, Inc. 2,767,188
27,700 Western Atlas, Inc.* 1,613,525
----------------
13,896,438
----------------
Printing and Publishing - 4.95%
123,800 Time Warner, Inc. 4,859,150
43,400 Tribune Co. 3,151,925
203,400 U.S. West, Media Group * 3,712,050
----------------
11,723,125
----------------
Utilities - 3.70%
25,000 Bell Atlantic Corp. 1,593,750
61,500 NYNEX Corp. 2,921,250
129,400 WMX Technologies, Inc. 4,237,850
----------------
8,752,850
----------------
Automotive - 2.57%
63,100 Federal-Mogul Corp. 1,159,463
68,300 Ford Motor Co. 2,211,213
45,200 General Motors Corp., Class H 2,717,650
----------------
6,088,326
----------------
Retail - 2.55%
142,100 Wal-Mart Stores, Inc. 3,605,781
108,400 Woolworth Corp.* 2,439,000
----------------
6,044,781
----------------
Metals and Mining - 1.61%
37,800 Allegheny Ludlum Corp. 713,475
20,600 Molten Metal Technology, Inc.* 607,700
40,000 Phelps Dodge Corp. 2,495,000
----------------
3,816,175
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-15
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Hotels - 1.45%
261,400 Host Marriott Corp.* $ 3,430,875
----------------
Consumer Staples - 1.44%
60,200 Litton Industries, Inc.* 2,618,700
7,600 Philip Morris Cos., Inc. 790,400
----------------
3,409,100
----------------
Entertainment - 0.93%
34,800 Disney (Walt) Co. 2,188,050
----------------
Total Common Stocks 204,957,974
----------------
(Cost $178,041,276)
Par Value
- ---------
CORPORATE NOTES AND BONDS - 4.87%
$3,950,000 Conner Peripherals, Inc.
6.50%, 03/01/02 4,078,375
1,000,000 Ford Motor Credit Co., MTN
7.75%, 04/29/97 1,012,720
3,500,000 IMC Global, Inc.
6.25%, 12/01/01 4,287,500
2,200,000 Molten Metal Technology, Inc.
5.50%, 05/01/06 (A) 2,156,000
----------------
Total Corporate Notes and Bonds 11,534,595
----------------
(Cost $11,640,944)
U.S. GOVERNMENT AGENCY OBLIGATIONS - 3.76%
U.S. Treasury Notes - 2.55%
2,000,000 6.50%, 05/15/97 2,012,820
4,000,000 6.50%, 08/15/97 4,026,240
----------------
6,039,060
----------------
Federal Farm Credit Bank - 1.21%
3,000,000 5.58%, 05/09/97 2,854,920
----------------
Total U.S. Government
Agency Obligations 8,893,980
----------------
(Cost $8,890,076)
Shares
------
PREFERRED STOCK - 1.02%
55,700 Globalstar Telecommunications, Ltd. 2,422,950
----------------
Total Preferred Stock 2,422,950
----------------
(Cost $2,766,613)
Par Value
- ---------
COMMERCIAL PAPER (B) - 4.57%
$2,000,000 Banca CRT Financial Corp.
5.35%, 08/30/96 1,982,167
1,500,000 Banca CRT Financial Corp
5.32%, 08/15/96 1,490,025
1,350,000 Bankers Trust New York Corp.
5.20%, 07/09/96 1,348,440
5,000,000 Northern States Power
5.37%, 07/10/96 4,993,288
1,000,000 Union Pacific Resources Group, Inc.
5.35% 07/12/96 998,365
----------------
Total Commercial Paper 10,812,285
----------------
(Cost $10,812,285)
Shares
------
INVESTMENT COMPANY - 0.68%
1,612,469 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 1,612,469
----------------
Total Investment Company 1,612,469
----------------
(Cost $1,612,469)
Total Investments - 101.49% 240,234,253
----------------
(Cost $213,763,663)
Net Other Assets and Liabilities - (1.49)% (3,529,095)
----------------
Net Assets - 100.00% $ 236,705,158
================
</TABLE>
- ------------------------------------------
* Non income producing security.
MTN Medium Term Note.
ADR American Depositary Receipt
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1996, this
security amounted to $2,156,000 or 0.91% of net assets.
(B) Effective yield at time of purchase.
See Notes to Financial Statements.
----------------------------------------------------------
F-16
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
COMMON STOCKS - 97.39%
<C> <S> <C>
Financial - 13.88%
2,600 Aetna Life & Casualty Co. $ 185,900
2,600 Ahmanson (H.F.) & Co. 70,200
1,000 Alexander & Alexander Services, Inc. 19,750
9,869 Allstate Corp. 450,273
10,700 American Express Co. 477,488
4,600 American General Corp. 167,325
10,500 American International Group, Inc. 1,035,560
2,400 AON Corp. 121,800
10,040 Banc One Corp. 341,360
2,500 Bank of Boston Corp. 123,750
4,300 Bank of New York Co., Inc. 220,375
8,152 Bankamerica Corp. 617,514
1,800 Bankers Trust New York Corp. 132,975
2,100 Barnett Banks, Inc. 128,100
1,200 Beneficial Corp. 67,350
2,300 Block (H & R), Inc. 75,038
3,500 Boatmen's Bancshares, Inc. 140,438
9,676 Chase Manhattan Corp. 683,368
3,900 Chubb Corp. 194,513
1,700 Cigna Corp. 200,388
10,800 Citicorp 892,350
2,600 Comerica, Inc. 116,025
4,900 Corestates Financial Corp. 188,650
3,666 Dean Witter Discover & Co. 209,874
4,000 Federal Home Loan Mortgage Corp. 342,000
24,200 Federal National Mortgage Association 810,700
2,300 Fifth Third Bancorp 124,200
3,100 First Bank System, Inc. 179,800
7,058 First Chicago NBD Corp. 276,142
6,325 First Union Corp. 385,034
5,855 Fleet Financial Group, Inc. 254,693
1,800 General Re Corp. 274,050
1,300 Golden West Financial Corp. 72,800
3,000 Great Western Financial Corp. 71,625
3,000 Green Tree Financial Corp. 93,750
2,200 Household International, Inc. 167,200
3,600 Humana, Inc.* 64,350
2,600 ITT Hartford Group, Inc. 138,448
1,600 Jefferson-Pilot Corp. 82,600
5,100 KeyCorp. 197,625
2,300 Lincoln National Corp. 106,375
1,600 Marsh & McLennan Cos., Inc. 154,400
4,950 MBNA Corp. 141,075
3,050 Mellon Bank Corp. 173,850
3,800 Merrill Lynch & Co., Inc. 247,475
3,400 Morgan Stanley Group, Inc. 167,025
4,200 Morgan (J.P.) & Co., Inc. 355,425
4,900 National City Corp. 172,113
6,620 NationsBank Corp. 546,975
1,100 Nicor, Inc. 31,213
8,100 Norwest Corp. 282,488
7,600 PNC Bank Corp. 226,100
2,100 Providian Corp. 90,038
600 Pulte Corp. 16,050
1,200 Republic New York Corp. 74,700
2,800 SAFECO Corp. 99,050
2,300 Salomon, Inc. 101,200
1,900 St. Paul Cos., Inc. 101,650
1,600 Sun Co., Inc. 48,600
5,000 SunTrust Banks, Inc. 185,000
1,600 Torchmark Corp. 70,000
1,500 TransAmerica Corp. 122,620
10,546 Travelers Group, Inc. 481,161
1,600 UNUM Corp. 99,600
2,700 USF & G Corp. 44,213
800 USLIFE Corp. 26,300
4,500 UST, Inc. 154,125
3,600 U.S. Bancorp 130,050
3,400 U.S. Healthcare, Inc. 187,000
10,500 U.S. West Communications Group 334,688
3,800 Wachovia Corp. 166,250
2,133 Wells Fargo & Co. 509,520
----------------
16,041,710
----------------
Chemicals and Drugs - 12.25%
17,500 Abbott Laboratories 761,250
2,500 Air Products & Chemicals, Inc. 144,375
600 Alberto-Culver Co., Class B 27,825
1,400 Allergan, Inc. 54,950
1,900 ALZA Corp.* 52,012
14,000 American Home Products Corp. 841,750
5,900 AMGEN, Inc.* 318,600
3,000 Avon Products, Inc. 135,375
1,300 Bausch & Lomb, Inc. 55,250
6,000 Baxter International, Inc. 283,500
1,400 Becton Dickinson & Co. 112,350
2,200 Beverly Enterprises, Inc.* 26,400
4,000 Boston Scientific Corp.* 180,000
11,200 Bristol-Myers Squibb Co. 1,008,000
5,600 Dow Chemical Co. 425,600
12,400 duPont (E.I.) deNemours & Co. 981,150
1,800 Eastman Chemical Co. 109,575
3,150 Engelhard Corp. 72,450
800 FMC Corp.* 52,200
2,200 Grace (W.R.) & Co. 155,925
1,400 Great Lakes Chemical Corp. 87,150
2,400 Hercules, Inc. 132,600
2,500 International Flavors & Fragrances, Inc. 119,062
29,600 Johnson & Johnson 1,465,192
12,200 Lilly (Eli) & Co. 793,000
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-17
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Chemicals and Drugs (continued)
1,600 Mallinckrodt Group, Inc. $ 62,200
1,400 Manor Care, Inc. 55,125
5,200 Medtronic, Inc. 291,200
27,300 Merck & Co., Inc. 1,764,263
13,100 Monsanto Co. 425,750
3,300 Morton International, Inc. 122,925
1,500 Nalco Chemical Co. 47,250
14,100 Pfizer, Inc. 1,006,383
11,280 Pharmacia & Upjohn, Inc. 500,550
3,400 Praxair, Inc. 143,650
1,500 Rohm & Haas Co. 94,125
8,200 Schering-Plough Corp. 514,550
500 Shared Medical Systems Corp. 32,125
1,900 Sherwin-Williams Co. 88,350
1,100 Sigma Aldrich Corp. 58,850
1,800 St. Jude Medical, Inc.* 60,300
3,000 Union Carbide Corp. 119,250
1,400 United States Surgical Corp. 43,400
6,000 Warner-Lambert Co. 330,000
----------------
14,155,787
----------------
Consumer Products - 11.04%
2,800 ALCO Standard Corp. 126,700
1,700 American Greetings Corp., Class A 46,538
1,300 Andrew Corp.* 69,875
5,600 Anheuser-Busch Cos., Inc. 420,000
4,000 Applied Materials, Inc.* 122,000
11,507 Archer-Daniels-Midland Co. 220,071
700 Ball Corp. 20,125
1,200 Bemis Co., Inc. 42,000
1,100 Boise Cascade Corp. 40,288
400 Brown Group, Inc. 6,950
1,500 Brown-Forman Corp., Class B 60,000
2,200 Brunswick Corp. 44,000
5,500 Campbell Soup Co. 387,750
1,200 Clorox Co. 106,350
3,300 Colgate Palmolive Co. 279,675
5,300 Comcast Corp. Special, Class A 98,050
5,400 ConAgra, Inc. 245,025
3,500 Darden Restaurants, Inc. 37,625
1,800 Deluxe Corp. 63,900
2,100 Dial Corp. 60,113
15,043 Disney (Walt) Co. 945,823
3,400 Donnelley (R.R.) & Sons Co. 118,575
2,200 Dow Jones & Co., Inc. 91,850
3,800 Dun & Bradstreet Corp. 237,500
7,700 Eastman Kodak Co. 598,675
3,100 Gannett Co., Inc. 219,325
2,800 General Instrument Corp.* 80,850
2,000 Georgia-Pacific Corp. 142,000
9,900 Gillette Co. 617,513
1,600 Harcourt General, Inc. 80,000
700 Harland (John H.) Co. 17,238
1,900 Hasbro, Inc. 67,925
8,200 Heinz (H.J.) Co. 249,075
1,700 Hershey Foods Corp. 124,738
6,600 International Paper Co. 243,375
1,900 James River Corp. of Virginia 50,113
900 Jostens, Inc. 17,775
4,700 Kellogg Co. 344,275
6,220 Kimberly-Clark Corp. 480,495
800 King World Productions, Inc.* 29,100
1,100 Knight-Ridder, Inc. 79,750
1,600 Liz Claiborne, Inc. 55,400
400 Longs Drug Stores Corp. 17,850
6,112 Mattel, Inc. 174,956
2,300 Maytag Corp. 48,013
2,200 McGraw-Hill Cos., Inc. 100,650
1,200 Mead Corp. 62,250
600 Meredith Corp. 25,050
2,200 New York Times Co., Class A 71,775
3,200 Nike, Inc., Class B 328,800
1,000 Polaroid Corp. 45,625
600 Potlatch Corp. 23,475
15,200 Procter & Gamble Co. 1,377,494
3,000 Quaker Oats Co. 102,375
1,600 Reebok International, Ltd. 53,800
900 Russell Corp. 24,863
10,700 Sara Lee Corp. 346,413
8,300 Seagram Co., Ltd. 279,088
2,000 Stanley Works 59,500
2,210 Stone Container Corp. 30,388
1,100 Stride Rite Corp. 9,075
4,000 Sysco Corp. 137,000
14,500 Tele-Communications, Inc., TCI Group, Series A* 262,813
1,200 Temple-Inland, Inc. 56,100
8,680 Time Warner, Inc. 340,690
2,300 Times Mirror Co., Class A 100,050
1,400 Tribune Co. 101,675
1,500 TRW, Inc. 134,813
3,400 Tupperware Corp.* 143,650
1,500 Union Camp Corp. 73,125
8,163 Viacom, Inc., Class B* 317,337
2,250 Westvaco Corp. 67,219
4,400 Weyerhaeuser Co. 187,000
1,600 Whirlpool Corp. 79,400
2,300 Whitman Corp. 55,488
2,600 Wrigley (Wm.) Jr. Co. 131,300
----------------
12,757,505
----------------
</TABLE>
See Notes to Financial Statements.
-------------------------------------------------
F-18
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Durable Goods - 10.05%
6,300 AlliedSignal, Inc. $ 359,888
4,200 Alltel Corp. 129,150
12,300 Ameritech Corp. 730,313
4,800 AMP, Inc. 192,600
800 Armstrong World Industries, Inc. 46,100
1,200 Avery-Dennison Corp. 65,850
3,200 Baker Hughes, Inc. 105,200
4,200 Bay Networks, Inc.* 108,150
7,700 Boeing Co. 670,863
600 Briggs & Stratton Corp. 24,675
900 Caliber System, Inc. 30,600
1,600 Case Corp. 76,800
4,300 Caterpillar, Inc. 291,325
8,300 Chrysler Corp. 514,600
900 Cincinnati Milacron, Inc. 21,600
2,400 Cooper Industries, Inc. 99,600
1,900 Cooper Tire & Rubber Co. 42,275
5,100 Corning, Inc. 195,713
700 Crane Co. 28,700
2,800 Crown Cork & Seal Co., Inc. 126,000
900 Cummins Engine Co., Inc. 36,338
2,300 Dana Corp. 71,300
5,800 Deere & Co. 232,000
3,950 Dominion Resources, Inc. 158,000
2,600 DSC Communications Corp.* 78,325
1,400 Echlin, Inc. 53,025
1,300 Federal Express Corp.* 106,600
1,000 Fleetwood Enterprises, Inc. 31,000
26,100 Ford Motor Co. 844,984
16,800 General Motors Corp. 879,900
1,100 General Signal Corp. 41,663
2,700 Genuine Parts Co. 123,525
800 Giddings & Lewis, Inc. 13,000
1,200 Goodrich (B.F.) Co. 44,850
3,400 Goodyear Tire & Rubber Co. 164,050
1,100 Grainger (W.W.), Inc. 85,250
900 Harris Corp. 54,900
600 Helmerich & Payne, Inc. 21,975
2,600 Illinois Tool Works, Inc. 175,825
2,400 Ingersoll-Rand Co. 105,000
900 Johnson Controls, Inc. 62,550
4,441 Lockheed Martin Corp. 373,044
1,200 McDermott International, Inc. 25,050
4,900 McDonnell Douglas Corp. 237,650
15,300 MCI Communications Corp. 392,063
1,000 Millipore Corp. 41,875
2,200 Moore Corp., Ltd. 41,525
200 Nacco Industries, Inc., Class A 11,075
1,100 National Service Industries, Inc. 43,038
1,700 Navistar International Corp.* 16,788
5,700 Northern Telecom, Ltd. 309,938
1,300 Northrop Grumman Corp. 88,563
400 Outboard Marine Corp. 7,250
890 PACCAR, Inc. 43,610
2,600 Pall Corp. 62,725
1,650 Parker-Hannifin Corp. 69,919
1,400 Pep Boys-Manny, Moe & Jack 47,600
1,000 Perkin-Elmer Corp. 48,250
1,800 Pioneer Hi-Bred International, Inc. 95,175
1,000 Raychem Corp. 71,875
1,900 Rowan Cos., Inc.* 28,025
3,400 Rubbermaid, Inc. 92,650
1,800 Ryder System, Inc. 50,625
1,300 Safety Kleen Corp. 22,750
900 Snap-On, Inc. 42,638
3,200 Southwest Airlines Co. 93,200
9,700 Sprint Corp. 407,400
2,000 Tellabs, Inc.* 133,750
3,900 Tenneco, Inc. 199,388
1,900 Textron, Inc. 151,763
600 TRINOVA Corp. 20,025
3,400 Tyco International, Ltd. 138,550
4,600 Union Pacific Corp. 321,425
1,400 USAir Group, Inc.* 25,200
10,500 U.S. West, Inc., Media Group* 191,625
900 Varity Corp.* 43,313
7,200 Xerox Corp. 385,200
----------------
11,618,602
----------------
Utilities - 9.36%
4,100 American Electric Power, Inc. 174,763
35,667 American Telephone & Telegraph Corp. 2,211,354
3,250 Baltimore Gas & Electric Co. 92,219
9,700 Bell Atlantic Corp. 618,375
22,100 BellSouth Corp. 936,488
4,700 Browning-Ferris Industries, Inc. 136,300
3,400 Carolina Power & Light Co. 129,200
4,600 Central & South West Corp. 133,400
3,543 CINergy Corp. 113,376
1,200 Columbia Gas System, Inc. 62,550
5,200 Consolidated Edison Co. of New York 152,100
2,100 Consolidated Natural Gas Co. 109,725
3,200 DTE Energy Co. 98,800
4,500 Duke Power Co. 230,625
9,900 Edison International 174,488
1,500 ENSERCH Corp. 32,625
5,100 Entergy Corp. 144,713
4,100 FPL Group, Inc. 188,600
2,700 General Public Utilities Corp. 95,175
21,700 GTE Corp. 971,075
5,800 Houston Industries, Inc. 142,825
6,500 Laidlaw, Inc., Class B 65,813
3,200 Niagara Mohawk Power Corp. 24,800
3,000 Noram Energy Corp. 32,625
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-19
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Utilities (continued)
1,500 Northern States Power Co. $ 74,063
9,700 NYNEX Corp. 460,750
3,400 Ohio Edison Co. 74,375
9,300 Pacific Gas & Electric Co. 216,225
9,500 Pacific Telesis Group 320,625
6,500 Pacificorp 144,625
4,900 PECO Energy Co. 127,400
800 Peoples Energy Corp. 26,800
3,500 PP & L Resources, Inc. 82,688
5,400 Public Service Enterprise Group, Inc. 147,825
13,500 SBC Communications, Inc. 664,875
14,900 Southern Co. 366,913
5,000 Texas Utilities Co. 213,750
4,800 Unicom Corp. 133,800
2,300 Union Electric Co. 92,575
11,000 WMX Technologies, Inc. 360,250
4,300 Worldcom, Inc.* 238,113
----------------
10,817,666
----------------
Energy - 9.27%
2,100 Amerada Hess Corp. 112,613
11,000 Amoco Corp. 796,125
900 Asarco, Inc. 24,863
1,400 Ashland, Inc. 55,475
3,600 Atlantic Richfield Co. 426,600
2,800 Burlington Resources, Inc. 120,400
14,500 Chevron Corp. 855,500
2,300 Coastal Corp. 96,025
4,000 Dresser Industries, Inc. 118,000
500 Eastern Enterprises 16,625
5,600 Enron Corp. 228,900
27,600 Exxon Corp. 2,397,750
2,500 Halliburton Co. 138,750
3,300 Homestake Mining Co. 56,513
1,100 Kerr-McGee Corp. 66,963
800 Louisiana Land & Exploration Co. 46,100
2,400 Louisiana-Pacific Corp. 53,100
8,800 Mobil Corp. 986,700
7,100 Occidental Petroleum Corp. 175,725
600 Oneok, Inc. 15,000
2,300 Oryx Energy Co.* 37,375
1,800 Pacific Enterprises 53,325
3,300 Panenergy Corp. 108,488
1,000 Pennzoil Co. 46,250
5,800 Phillips Petroleum Co. 242,875
11,900 Royal Dutch Petroleum Co. 1,829,625
2,000 Santa Fe Energy Resources, Inc.* 23,750
5,400 Schlumberger, Ltd. 454,950
1,900 Sonat, Inc. 85,500
5,900 Texaco, Inc. 494,863
5,500 Unocal Corp. 185,625
6,400 USX-Marathon Group 128,800
1,820 USX-U.S. Steel Group, Inc. 51,643
1,200 Western Atlas, Inc.* 69,900
2,300 Williams Cos., Inc. 113,850
----------------
10,714,546
----------------
Consumer Staples - 6.82%
3,900 American Brands, Inc. 176,963
1,900 Black & Decker Corp. 73,388
55,400 Coca-Cola Co. 2,707,675
800 Coors (Adolph) Co., Class B 14,300
1,700 Fruit of the Loom, Inc., Class A* 43,350
3,500 General Mills, Inc. 190,750
9,300 Minnesota Mining & Manufacturing Co. 641,700
3,500 Newell Co. 107,188
34,800 PepsiCo, Inc. 1,231,050
18,400 Philip Morris Cos., Inc. 1,913,600
2,400 Ralston Purina Co. 153,900
400 Springs Industries, Inc., Class A 20,200
3,600 Unilever N.V. 522,450
1,400 VF Corp. 83,475
----------------
7,879,989
----------------
Electronics - 6.70%
1,700 Conrail, Inc. 112,838
1,700 Eaton Corp. 99,663
1,100 EG & G, Inc. 23,513
5,000 Emerson Electric Co. 451,875
36,900 General Electric Co. 3,191,850
11,300 Hewlett-Packard Co. 1,125,763
18,200 Intel Corp. 1,336,563
13,100 Motorola, Inc. 823,663
1,700 Scientific-Atlanta, Inc. 26,350
1,300 Tandy Corp. 61,588
700 Tektronix, Inc. 31,325
1,200 Teledyne, Inc. 43,350
4,200 Texas Instruments, Inc. 209,475
900 Thomas & Betts Corp. 33,750
9,300 Westinghouse Electric Corp. 174,375
----------------
7,745,941
----------------
Technology - 6.49%
3,000 Advanced Micro Devices, Inc.* 40,875
11,100 Airtouch Communications, Inc.* 313,575
2,600 Amdahl Corp.* 27,950
2,700 Apple Computer, Inc. 56,700
1,000 Autodesk, Inc. 29,875
6,400 Automatic Data Processing, Inc. 247,200
1,600 Cabletron Systems, Inc.* 109,800
1,500 Ceridian Corp.* 75,750
12,600 Cisco Systems, Inc.* 713,475
6,000 Compaq Computer Corp.* 295,500
5,400 Computer Associates International, Inc. 384,750
</TABLE>
See Notes to Financial Statements.
-------------------------------------------------
F-20
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Technology (continued)
1,200 Computer Sciences Corp.* $ 89,700
900 Data General Corp.* 11,700
3,400 Digital Equipment Corp.* 153,000
5,100 EMC Corp.* 94,988
1,000 Harnischfeger Industries, Inc. 33,250
2,800 Honeywell, Inc. 152,600
1,000 Intergraph Corp.* 12,125
12,100 International Business Machines Corp. 1,197,900
2,600 ITT Corp.* 172,250
2,600 ITT Industries, Inc. 65,325
2,900 LSI Logic Corp.* 75,400
4,600 Micron Technology, Inc. 119,025
13,200 Microsoft Corp.* 1,585,650
3,000 National Semiconductor Corp.* 46,500
8,100 Novell, Inc.* 112,388
14,525 Oracle Corp.* 572,830
3,300 Pitney Bowes, Inc. 157,575
3,600 Silicon Graphics, Inc.* 86,400
4,100 Sun Microsystems, Inc.* 241,388
2,600 Tandem Computers, Inc.* 32,175
3,700 3Com Corp.* 169,275
3,800 Unisys Corp.* 27,075
----------------
7,503,969
----------------
Retail - 4.35%
5,600 Albertsons, Inc. 231,700
3,300 American Stores Co. 136,125
2,300 Charming Shoppes, Inc. 16,244
2,200 Circuit City Stores, Inc. 79,475
3,200 CPC International, Inc. 230,400
1,600 Dayton-Hudson Corp. 165,000
2,500 Dillard Department Stores, Inc., Class A 91,250
4,600 Federated Department Stores, Inc.* 156,975
800 Fleming Cos., Inc. 11,500
6,400 Gap, Inc. 205,600
1,300 Giant Food, Inc., Class A 46,638
800 Great Atlantic & Pacific Tea Co., Inc. 26,300
10,700 Kmart Corp. 132,413
2,800 Kroger Co.* 110,600
6,000 Limited, Inc. 129,000
5,500 May Department Stores Co. 240,625
2,300 Melville Corp. 93,150
800 Mercantile Stores Co., Inc. 46,900
1,800 Nordstrom, Inc. 80,100
640 Payless Shoesource* 20,320
5,000 Penney (J.C.) Co., Inc. 262,500
4,356 Price/Costco, Inc.* 94,199
1,900 Rite Aid Corp. 56,525
8,700 Sears Roebuck & Co. 423,038
1,500 Supervalu, Inc. 47,250
1,600 TJX Cos., Inc. 54,000
6,100 Toys `R' US, Inc.* 173,850
5,500 Walgreen Co. 184,250
50,900 Wal-Mart Stores, Inc. 1,291,588
3,400 Winn-Dixie Stores, Inc. 120,275
3,000 Woolworth Corp. 67,500
----------------
5,025,290
----------------
Building and Construction - 1.52%
2,400 Armco Inc.* 12,000
600 Centex Corp. 18,675
2,100 Champion International Corp. 87,675
2,500 Dover Corp. 115,313
1,900 Fluor Corp. 124,213
900 Foster Wheeler Corp. 40,388
10,633 Home Depot, Inc. 574,182
900 Kaufman & Broad Home Corp. 13,050
2,600 Loews Corp. 205,075
3,600 Lowe's Cos., Inc. 130,050
3,600 Masco Corp. 108,900
1,100 Owens-Corning Fiberglas Corp.* 47,300
4,200 PPG Industries, Inc. 204,750
1,200 Willamette Industries, Inc. 71,400
----------------
1,752,971
----------------
Metals and Mining - 1.41%
5,000 Alcan Aluminum, Ltd. 152,500
3,900 Aluminum Co. of America 223,763
7,900 Barrick Gold Corp. 214,288
2,500 Bethlehem Steel Corp.* 29,688
2,600 Biomet, Inc.* 37,375
2,100 Cyprus Amax Minerals Co. 47,513
2,900 Echo Bay Mines, Ltd. 31,175
4,300 Freeport-Mcmoran Copper & Gold, Inc., Class B 137,063
1,346 Getchell Gold Corp. 44,418
2,600 Inco, Ltd., Class A 83,850
1,100 Inland Steel Industries, Inc. 21,588
2,248 Newmont Mining Corp. 110,995
1,900 Nucor Corp. 96,188
1,500 Phelps Dodge Corp. 93,563
5,300 Placer Dome, Inc. 126,538
1,400 Reynolds Metals Co. 72,975
2,901 Santa Fe Pacific Gold Corp. 40,977
700 Timken Co. 27,125
2,000 Worthington Industries, Inc. 41,750
----------------
1,633,332
----------------
Aerospace-Airlines - 0.98%
2,000 AMR Corp.* 182,000
1,400 General Dynamics Corp. 86,800
5,300 Raytheon Co. 273,613
4,800 Rockwell International Corp. 274,800
2,700 United Technologies Corp. 310,500
----------------
1,127,713
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-21
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------------------------
<C> <S> <C>
Health Services - 0.77%
1,300 Bard (C.R.), Inc. $ 44,200
9,900 Columbia/HCA Healthcare Corp. 528,413
1,000 Community Psychiatric Centers* 9,500
4,800 Tenet Healthcare Corp.* 102,600
4,000 United Healthcare Corp. 202,000
----------------
886,713
----------------
Transportation - 0.74%
3,384 Burlington Northern Santa Fe Corp. 273,681
1,000 Consolidated Freightways, Inc. 21,125
4,700 CSX Corp. 226,775
1,100 Delta Air Lines, Inc. 91,300
2,800 Norfolk Southern Corp. 237,300
600 Yellow Corp.* 7,950
----------------
858,131
----------------
Food Services - 0.70%
500 Luby's Cafeterias, Inc. 11,750
15,500 McDonald's Corp. 724,625
900 Shoney's, Inc.* 9,788
1,200 Ryan's Family Steak Houses, Inc.* 11,100
2,800 Wendy's International, Inc. 52,150
----------------
809,413
----------------
Business Services - 0.48%
1,400 Ecolab, Inc. 46,200
5,000 First Data Corp. 398,125
1,800 Interpublic Group of Companies, Inc. 84,375
1,100 Ogden Corp. 19,938
----------------
548,638
----------------
Hotels-Leisure - 0.32%
1,100 Bally Entertainment Corp.* 30,250
2,300 Harrah's Entertainment, Inc.* 64,975
1,100 Hilton Hotels Corp. 123,750
2,800 Marriott International, Inc. 150,500
----------------
369,475
----------------
Consumer Services - 0.26%
4,250 CUC International, Inc.* 150,875
2,600 Service Corp. International 149,500
----------------
300,375
----------------
Total Common Stocks 112,547,766
----------------
(Cost $84,605,777)
Par Value
- ---------
COMMERCIAL PAPER - 1.29%
$1,489,000 Corporate Asset Funding
5.60%, 07/01/96 1,489,000
----------------
Total Commercial Paper 1,489,000
----------------
(Cost $1,489,000)
U.S. GOVERNMENT OBLIGATION (A) - 0.30%
350,000 U.S. Treasury Bill
5.09%, 11/14/96(1) 343,203
----------------
Total U.S. Government Obligation 343,203
----------------
(Cost $343,239)
Shares
------
INVESTMENT COMPANY - 0.96%
1,110,546 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 1,110,546
----------------
Total Investment Company 1,110,546
----------------
(Cost $1,110,546)
Total Investments - 99.94% 115,490,515
----------------
(Cost $87,548,562)
Net Other Assets and Liabilities - 0.06% 66,738
----------------
Net Assets - 100.00% $ 115,557,253
================
</TABLE>
- -----------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
(1) Security has been deposited as initial margin on open future contracts. At
June 30, 1996, the Portfolio's open future contracts were as follows:
<TABLE>
<CAPTION>
Current
Number of Opening
Contracts Expiration Position at Market
Purchased Contract Type Date June 30, 1996 Value
- --------- ------------- ---------- ------------- -----------
<S> <C> <C> <C> <C>
8 S & P 500 9/96 $ 2,698,510 $ 2,707,200
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-22
<PAGE>
- --------------------------------------------------------------------------------
Investment Grade Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 50.57%
<C> <S> <C>
Federal National Mortgage Association - 14.01%
$ 792,191 8.50%, 07/01/08, Pool #10001 $ 819,252
337,409 8.00%, 04/01/09, Pool #111253 342,544
1,043,163 9.00%, 02/01/10. Pool #303165 1,088,363
1,847,667 6.50%, 09/01/10, Pool #327824 1,789,484
419,292 7.00%, 05/01/17, Pool #68635 416,202
1,745,374 8.00%, 04/01/22, Pool #124267 1,769,878
2,480,143 7.00%, 11/01/23, Pool #50930 2,394,876
3,738,472 6.50%, 01/01/24, Pool #50965 3,508,332
683,984 7.00%, 02/01/24, Pool #50993 659,190
2,142,609 7.50%, 10/01/25, Pool #321152 2,115,098
5,900,000 8.00%, 06/13/26 5,944,250
----------------
20,847,469
----------------
U.S. Treasury Notes - 9.84%
3,000,000 5.13%, 02/28/98 2,955,930
2,500,000 5.13%, 04/30/98 2,457,800
3,050,000 5.38%, 05/31/98 3,009,496
2,340,000 7.50%, 10/31/99 2,416,424
250,000 8.00%, 05/15/01 265,780
3,705,000 5.75%, 08/15/03 3,528,420
----------------
14,633,850
----------------
U.S. Treasury Bonds - 9.72%
4,470,000 7.25%, 05/15/16 4,574,777
1,500,000 7.50%, 11/15/16 1,575,929
2,750,000 7.63%, 11/15/22 2,942,060
5,307,000 7.13%, 02/15/23 5,364,209
----------------
14,456,975
----------------
Federal Home Loan Mortgage Corporation - 8.69%
559,331 9.50%, 03/01/01, Pool #200029 585,149
395,011 6.50%, 06/01/04, Pool #548801 392,451
430,830 6.50%, 08/01/04, Pool #181863 430,089
1,832,169 7.50%, 01/01/07, Pool #E00071 1,848,072
467,420 8.00%, 04/01/07, Pool #170014 477,409
445,170 8.00%, 09/01/08, Pool #530125 454,376
305,698 8.00%, 04/01/09, Pool #534627 311,048
202,477 8.00%, 06/01/09, Pool #184989 206,765
374,852 8.00%, 08/01/09, Pool #544250 382,791
4,106,610 7.00%, 08/01/10, Pool #E20187 4,057,413
673,124 8.75%, 05/01/17, Pool #A00870 698,110
592,229 7.50%, 10/01/18, Pool #304313 594,841
840,992 9.50%, 08/01/19, Pool #555229 896,581
27,926 9.50%, 08/01/20, Pool #A00742 29,763
26,131 10.00%, 10/01/20, Pool #D13442 28,258
248,276 10.00%, 12/01/20, Pool #D06613 268,474
495,832 9.50%, 02/01/21, Pool #D06612 529,454
50,552 8.50%, 04/01/25, Pool #D59858 51,911
673,368 8.50%, 06/01/26, Pool #D72049 691,460
----------------
12,934,415
----------------
Government National Mortgage Association - 7.62%
1,988,131 9.50%, 02/15/06, Pool #780238 2,102,806
334,150 6.50%, 09/15/08, Pool #357124 325,482
172,126 9.00%, 08/15/16, Pool #165233 182,349
247,137 9.00%, 08/15/16, Pool #173341 261,814
323,893 8.00%, 08/15/22, Pool #323199 327,941
1,123,516 7.00%, 06/15/23, Pool #349678 1,082,789
889,503 6.50%, 11/15/23, Pool #374519 833,082
1,781,935 6.50%, 12/15/23, Pool #370194 1,668,907
2,372,126 7.50%, 01/15/26, Pool #423454 2,338,015
2,253,216 7.50%, 04/15/26, Pool #393844 2,219,418
----------------
11,342,603
----------------
Federal Home Loan Bank - 0.69%
1,000,000 7.89%, 12/23/97 1,024,690
----------------
Total U.S. Government and
Agency Obligations 75,240,002
----------------
(Cost $76,032,739)
CORPORATE NOTES AND BONDS - 34.86%
Financial - 8.71%
1,450,000 BCH Cayman Islands
Yankee Subordinated Note, Guaranteed
6.50%, 02/15/06 1,337,016
1,000,000 Capital One Bank, MTN
5.95%, 02/15/01 951,030
500,000 Coles Myer Finance USA, Ltd., MTN
5.45%, 07/16/98 489,315
1,300,000 Ford Motor Credit Co.
6.25%, 12/08/05 1,199,874
1,500,000 General Motors Acceptance Corp.
7.00%, 03/01/00 1,507,635
800,000 Heller Financial, Inc.
7.75%, 05/15/97 810,216
1,500,000 Merita Bank, Ltd., Yankee Subordinated Note
6.50%, 01/15/06 1,394,460
1,250,000 Residential Asset Securitization Trust, 1996-A5, CMO
7.75%, 07/25/26 1,234,766
1,000,000 Salomon, Inc., Senior Note
7.25%, 05/01/01 997,520
1,300,000 Santander Financial Issuances, Ltd.
Guaranteed Subordinated Note
7.75%, 05/15/05 1,319,929
1,760,000 Structured Asset Securities Corp.
Class A1B, Series 1996-CLF, CMO
5.75%, 02/25/28 1,722,050
----------------
12,963,811
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-23
<PAGE>
- --------------------------------------------------------------------------------
Investment Grade Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------
<C> <S> <C>
Oil, Gas and Petroleum - 5.94%
$ 900,000 Cinergy Corp., First Mortgage
7.20%, 10/01/23 $ 819,801
1,350,000 Coastal Corp., Senior Debenture
9.75%, 08/01/03 1,521,869
1,000,000 Parker & Parsley Petroleum Co.
Senior Note
8.88%, 04/15/05 1,075,922
1,500,000 Saga Petroleum
Yankee Bond-Norway
8.40%, 07/15/04 (C) 1,572,075
700,000 Southwest Gas Corp., Debenture, Series F
9.75%, 06/15/02 781,130
580,000 Texas Utilities Electric Co., First Mortgage
7.38%, 10/01/25 534,445
1,000,000 Tosco Corp., First Mortgage, Series A
9.00%, 03/15/97 1,007,500
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 1,528,785
----------------
8,841,527
----------------
Transportation - 3.01%
1,300,000 AMR Corp., Debenture
9.50%, 05/15/01 1,417,455
900,000 Consolidated Freightways, Inc.
9.13%, 08/15/99 944,757
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 2,123,080
----------------
4,485,292
----------------
Securities Brokers, Dealers and Exchanges - 2.85%
1,300,000 Donaldson Lufkin & Jenrette, Inc., Senior Note
6.88%, 11/01/05 1,232,010
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 1,383,120
1,500,000 Paine Webber Group, Inc., Debenture
9.25%, 12/15/01 1,629,105
----------------
4,244,235
----------------
Printing and Publishing - 2.27%
1,050,000 News America Holdings, Inc.
Senior Note, Guaranteed
9.13%, 10/15/99 1,117,526
675,000 Time Warner Entertainment Co., LP
Senior Debenture
8.38%, 03/15/23 657,194
1,080,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 1,026,551
550,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 568,667
----------------
3,369,938
----------------
Utilities - 2.25%
1,000,000 Empresa Electrica Pehuenche S.A.
Yankee Note
7.30%, 05/01/03 994,500
1,250,000 Peco Energy Corp.
First Mortgage, Series 1992
7.50%, 01/15/99 1,271,588
1,050,000 Sithe/Independence Funding Corp.
Guaranteed Secured Notes
9.00%, 12/30/13 (B) 1,079,642
----------------
3,345,730
----------------
Manufacturing - 2.22%
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 1,469,085
1,200,000 Boise Cascade Corp.
10.13%, 12/15/97 1,259,052
600,000 Chesapeake Corp., Debenture
7.20%, 03/15/05 578,718
----------------
3,306,855
----------------
Communications - 1.99%
1,000,000 GTE Corp., Debenture
8.85%, 03/01/98 1,036,770
500,000 GTE Corp., Debenture
8.75%, 11/01/21 552,630
1,550,000 TCI Communications, Inc., Debenture
7.88%, 02/15/26 1,365,147
----------------
2,954,547
----------------
Processed Foods - 1.69%
1,000,000 Ralcorp Holdings, Inc.
8.75%, 09/15/04 1,028,090
1,500,000 Ralston Purina Co., Debenture
7.75%, 10/01/15 1,482,615
----------------
2,510,705
----------------
Industrial - 1.66%
1,250,000 Cyprus Amax Minerals Co., Debenture
9.88%, 06/13/01 1,386,075
1,050,000 USX-Marathon Group, Inc., Debenture
8.88%, 09/15/97 1,078,098
----------------
2,464,173
----------------
Pharmaceuticals - 0.88%
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 1,302,750
----------------
</TABLE>
See Notes to Financial Statements.
-----------------------------------------------------
F-24
<PAGE>
- --------------------------------------------------------------------------------
Investment Grade Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------
<C> <S> <C>
Health Services - 0.84%
$1,350,000 FHP International Corp., Senior Note
7.00%, 09/15/03 $ 1,251,383
----------------
Engineering and Construction - 0.55%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 820,650
----------------
Total Corporate Notes and Bonds 51,861,596
----------------
(Cost $52,426,368)
ASSET-BACKED SECURITIES (D) - 8.67%
638,198 Contimortgage Home Equity Loan,
Class A1, Series 1994-3A
7.63%, 05/15/09 640,990
1,600,000 First Plus Home Loan Trust, Class A5, Series 1996-2
7.47%, 02/20/11 1,617,000
500,000 Green Tree Financial Corp., Class A2, Series 1994-2
7.35%, 05/15/19 506,090
850,000 Green Tree Financial Corp., Class A3, Series 1994-8
8.25%, 04/15/25 888,581
1,078,250 Green Tree Recreational Equipment & Consumer Trust,
Class A1, Series 1996-A
5.55%, 02/15/18 1,059,718
747,464 Nationsbank Auto Grantor Trust,
1995-A Asset Backed Certificates, Class B
6.00%, 06/15/02 743,493
1,950,000 Olympic Automobile Receivables Trust,
Class A4, Series 1996-A
5.85%, 07/15/01 1,923,797
1,000,000 Premier Auto Trust, Class A3, Series 1996-2
6.35%, 01/06/00 1,000,000
1,350,000 Premier Auto Trust, Class A4, Series 1995-4
6.00%, 05/06/00 1,341,981
1,750,000 Resolution Trust Corp., 1995-C1, A4C
6.85%, 02/25/27 1,697,500
460,152 United Air Lines, 1991-B1
Pass-Through Trust
9.30%, 03/22/08 491,796
259,755 Western Financial 1994-2 Grantor Trust, Class A2
6.38%, 09/01/99 260,810
710,151 Western Financial 1995-2 Grantor Trust, Class A2
7.10%, 07/01/00 721,025
----------------
Total Asset-Backed Securities 12,892,781
----------------
(Cost $12,857,601)
BRADY BOND - 0.61%
1,000,000 Republic of Colombia
7.25%, 02/23/04 910,000
----------------
Total Brady Bond 910,000
----------------
(Cost $991,960)
COMMERCIAL PAPER - 7.32%
2,500,000 Anheuser Busch
5.50%,07/01/96 2,500,000
5,000,000 Asset Backed Capital Finance, Inc.
5.44%, 07/15/96 (A) 4,989,422
3,410,000 STAT Oil
5.60%,07/01/96 (A) 3,410,000
----------------
Total Commercial Paper 10,899,422
----------------
(Cost $10,899,422)
Shares
------
INVESTMENT COMPANY - 0.28%
411,525 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 411,525
----------------
Total Investment Company 411,525
----------------
(Cost $411,525)
Total Investments - 102.31% 152,215,326
----------------
(Cost $153,619,615)
Net Other Assets and Liabilities - (2.31)% (3,433,319)
----------------
Net Assets - 100.00% $ 148,782,007
================
</TABLE>
- ---------------------------
(A) Effective yield at time of purchase.
(B) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutions buyers. At June 30, 1996, these
securities amounted to $1,079,642 or 0.73% of Net Assets.
(C) U.S. Currency Denominated
(D) Pass Through Certificates
CMO Collateralized Mortgage Obligations
MTN Medium Term Notes
See Notes to Financial Statements.
- -------------------------------------------------------
F-25
<PAGE>
- --------------------------------------------------------------------------------
Government Bond Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 89.29%
<C> <S> <C>
U.S. Treasury Notes - 38.53%
$1,000,000 6.50%, 05/15/97 $ 1,006,410
1,850,000 5.63%, 01/31/98 1,838,734
3,950,000 6.13%, 03/31/98 3,953,081
2,550,000 5.00%, 01/31/99 2,474,699
900,000 6.88%, 08/31/99 912,798
2,600,000 7.13%, 02/29/00 2,658,916
1,400,000 6.25%, 05/31/00 1,391,026
3,075,000 5.75%, 08/15/03 2,928,446
750,000 6.50%, 08/15/05 739,215
----------------
17,903,325
----------------
Federal National Mortgage Association - 20.55%
1,200,000 5.85%, 06/22/98, MTN 1,190,436
1,800,000 7.29%, 09/22/99, MTN 1,818,342
650,000 6.20%, 06/06/00, MTN 641,368
1,175,000 6.16%, 03/29/01, MTN 1,150,396
1,300,000 8.40%, 02/25/09, REMIC 1,367,844
202,445 8.00%, 04/01/09, Pool #111253 205,526
1,000,000 6.40%, 11/25/10, REMIC 995,000
154,805 7.00%, 05/01/17, Pool #68635 153,664
897,332 7.39%, 03/25/21, CMO 904,623
1,100,000 8.10%, 04/25/25, REMIC 1,122,000
----------------
9,549,199
----------------
Federal Home Loan Mortgage Corporation - 12.03%
895,000 7.19%, 09/15/99, Series A 902,554
583,207 9.50%, 03/01/01, Pool #200029 610,128
1,000,000 5.99%, 03/06/01 970,310
263,340 6.50%, 06/01/04, Pool #548801 261,634
355,903 6.50%, 08/01/04, Pool #181863 355,291
445,170 8.00%, 09/01/08, Pool #530125 454,376
346,978 8.00%, 04/01/09, Pool #534627 353,050
126,558 8.00%, 06/01/09, Pool #184989 129,239
374,852 8.00%, 08/01/09, Pool #544250 382,791
249,127 8.00%, 09/01/09, Pool #273699 253,970
447,522 8.00%, 06/01/19, Pool #544250 456,280
427,707 10.00%, 03/01/21, Pool #A00969 460,919
----------------
5,590,542
----------------
U.S. Government Backed Bonds - 9.27%
1,231,917 Small Business Administration
7.15%, 08/01/15 1,226,527
1,500,000 State of Israel, Class 1-B
5.25%, 03/15/98 1,477,063
550,000 Tennessee Valley Authority
6.38%, 06/15/05 528,600
1,100,000 Tennessee Valley Authority 1995, Series D
6.00%, 11/01/00 1,075,591
----------------
4,307,781
----------------
Federal Home Loan Bank - 4.05%
500,000 7.89%, 12/23/97 512,345
1,400,000 6.01%, 06/29/00, Series G 1,371,566
----------------
1,883,911
----------------
U.S. Treasury Bond - 3.01%
1,100,000 10.75%, 08/15/05 1,396,483
----------------
Government National Mortgage Association - 1.85%
115,312 6.50%, 06/15/09, Pool #370548 112,321
115,405 8.00%, 12/15/06, Pool #14758 118,722
592,389 9.50%, 02/15/06, Pool #780238 626,558
----------------
857,601
----------------
Total U.S. Government and
Agency Obligations 41,488,842
----------------
(Cost $41,847,216)
ASSET-BACKED SECURITIES (B) - 6.04%
724,251 Advanta Mortgage Loan Trust, Class A2, Series 1995-2
6.60%, 02/25/10 723,107
700,000 Green Tree Financial Corp., Class A3, Series 1994-7
8.00%, 03/15/20 722,442
172,520 Green Tree Recreational Equipment & Consumer Trust,
Class A1, Series 1996-A
5.55%, 02/15/18 169,555
1,200,000 Premier Auto Trust, Class A4, Series 1995-4
6.00%, 05/06/00 1,192,872
----------------
Total Asset-Backed Securities 2,807,976
----------------
(Cost $2,831,670)
COMMERCIAL PAPER (A) - 2.15%
1,000,000 Asset Backed Capital Finance, Inc.
5.60%, 07/01/96 1,000,000
----------------
Total Commercial Paper 1,000,000
----------------
(Cost $1,000,000)
Shares
------
INVESTMENT COMPANY - 0.81%
377,503 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 377,503
----------------
Total Investment Company 377,503
----------------
(Cost $377,503)
Total Investments - 98.29% 45,674,321
----------------
(Cost $46,056,389)
Net Other Assets and Liabilities - 1.71% 792,988
----------------
Net Assets - 100.00% $ 46,467,309
================
</TABLE>
- -----------------------------------------------
(A) Effective yield at time of purchase.
(B) Pass Through Certificates
CMO Collateralized Mortgage Obligations
MTN Medium Term Notes
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
-----------------------------------------------------
F-26
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------
CORPORATE NOTES AND BONDS - 47.03%
<C> <S> <C>
Financial - 17.74%
$ 600,000 Advanta Corp., MTN
7.00%, 05/01/01 $ 594,264
550,000 Banponce Corp.
6.75%, 12/15/05 516,461
550,000 BHP Finance USA, Ltd.
6.42%, 03/01/26 531,724
625,000 Chase Comm Part Certified
7.60%, 06/30/28 632,144
500,000 Duke Realty, Ltd.
7.25%, 09/22/02 489,290
400,000 ERP Operating, Ltd.
Senior Note
8.50%, 05/15/99 (A) 413,260
200,000 ERP Operating, LP
7.95%, 04/15/02 202,592
125,000 Finova Financial Corp.
8.50%, 02/15/99 130,308
450,000 Finova Capital Corp.
6.45%, 06/01/00 442,971
625,000 Fletcher Challenge Capital
7.75%, 06/20/06 634,488
275,000 Ford Motor Credit Co.
6.85%, 08/15/00 273,683
500,000 Ford Motor Credit Co.
5.75%, 01/25/01 477,270
600,000 General Electric Capital Corp.
6.66%, 05/01/18 597,528
1,225,000 General Motors Acceptance Corp.
6.70%, 04/30/01 1,213,142
300,000 Green Tree Financial Corp.
10.25%, 06/01/02 343,365
297,395 GS Mortgage Securities Corp. II
7.02%, 02/15/27 295,349
450,000 Hanson America, Inc.
2.39%, 03/01/01 (A) 382,500
125,000 Hanson America, Inc.
2.39%, 03/01/01 (A) 106,250
625,000 Household Finance Corp., MTN
7.15%, 06/15/00 632,356
500,000 Integra Financial Corp.
Subordinate Note
6.50%, 04/15/00 491,275
575,000 Mortgage Cap Funding 96 MC1 ERISA
7.90%, 07/15/28 575,000
625,000 Sears Roebuck Acceptance Corp., MTN
6.69%, 04/30/01 619,244
600,000 Security Connecticut Corp.
7.13%, 03/01/03 576,738
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 457,434
-------------
11,628,636
-------------
Security Brokers and Dealers - 5.82%
190,000 Bear Stearns Cos., Inc.
Senior Note
6.75%, 08/15/00 189,118
150,000 Goldman Sachs Group, LP
6.88%, 09/15/99 (A) 150,297
575,000 Goldman Sachs Group, LP
6.38%, 06/15/00(A) 560,269
400,000 Goldman Sachs Group, LP
6.20%, 12/15/00 386,552
575,000 Merrill Lynch & Co., Inc.
6.00%, 01/15/01 554,634
400,000 Morgan Stanley Group, Inc.
8.10%, 06/24/02 417,980
125,000 Salomon, Inc., MTN
6.04%, 07/09/98 122,925
50,000 Salomon, Inc., MTN
5.37%, 04/05/99* 49,300
200,000 Salomon, Inc.
7.00%, 05/15/99 200,102
175,000 Salomon, Inc., MTN
6.82%, 07/26/99 173,366
100,000 Salomon, Inc.
7.13%, 08/01/99 100,123
550,000 Salomon, Inc.
7.25%, 05/01/01 548,636
350,000 Smith Barney Holdings, Inc.
7.88%, 10/01/99 361,081
-------------
3,814,383
-------------
Banking - 5.75%
275,000 Capital One Bank, MTN
8.13%, 03/01/00 284,193
325,000 Capital One Bank, MTN
5.95%, 02/15/01 309,085
550,000 Chase Manhattan Corp.
9.38%, 07/01/01 603,174
1,050,000 First Union Corp.
Subordinated Notes
6.55%, 10/15/35 1,000,272
450,000 First USA Bank
5.75%, 01/15/99 438,800
400,000 St. George Bank, Ltd.
6.88%, 04/01/99(A) 397,352
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
<C> <S> <C>
Banking (continued)
$ 425,000 St. George Bank, Ltd.
Subordinated Notes
7.15%, 10/15/05 (A) $ 411,043
300,000 Summit Bancorp
8.63%, 02/10/02 321,831
-------------
3,765,750
-------------
Real Estate - 4.44%
500,000 Avalon Properties, Inc.
Senior Note, REIT
7.38%, 09/15/02 492,355
400,000 Franchise Finance Corp. of America
7.00%, 11/30/00 388,624
500,000 Shopping Center Associates
6.75%, 01/15/04 (A) 471,300
500,000 SKW Real Estate, LP
7.45%, 04/15/03 (A) 500,310
450,000 Spieker Properties, LP
6.65%, 12/15/00 437,251
625,000 Trinet Corp. Realty Trust, Inc.
7.30%, 05/15/01 624,938
-------------
2,914,778
-------------
Insurance - 3.27%
575,000 Equitable Life Assurance Society
Surplus Note
7.70%, 12/01/15 (A) 555,968
800,000 Markel Corp.
7.25%, 11/01/03 778,480
400,000 New England Mutual Life Insurance Co.
7.88%, 02/15/24 385,388
400,000 USF & G Corp.
Senior Note
8.38%, 06/15/01 420,508
-------------
2,140,344
-------------
Manufacturing - 2.81%
900,000 Georgia-Pacific Corp.
9.95%, 06/15/02 1,019,808
425,000 Noranda Forest, Inc., Debenture
8.88%, 10/15/99 445,579
400,000 Scherer (R P) Corp.
Senior Note
6.75%, 02/01/04 375,884
-------------
1,841,271
-------------
Print and Publishing - 2.50%
275,000 News America Holdings, Inc.
9.50%, 07/15/24 302,979
200,000 News America Holdings, Inc.
7.70%, 10/30/25 184,038
575,000 Time Warner, Inc.
9.13%, 01/15/13 600,519
575,000 Time Warner, Inc.
6.85%, 01/15/26 550,775
-------------
1,638,311
-------------
Equipment - 1.75%
1,200,000 Comdisco, Inc.
5.75%, 02/15/01 1,145,688
-------------
Industrial - 1.35%
950,000 Cominco, Ltd..
6.88%, 02/15/06 882,246
-------------
Oil, Gas, and Petroleum - 0.60%
300,000 System Energy Resources, Inc.
6.00%, 04/01/98 296,052
100,000 System Energy Resources, Inc.
7.63%, 04/01/99 100,670
-------------
396,722
-------------
Processed Foods - 0.55%
350,000 Ralcorp Holdings, Inc.
8.75%, 09/15/04 359,832
-------------
Automotive - 0.45%
315,000 Hertz Corp.
6.00%, 01/15/03 296,947
-------------
Total Corporate Notes and Bonds 30,824,908
(Cost $30,723,428) -------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 46.96%
Federal National Mortgage Association (B) - 14.54%
480,520 7.00%, 12/01/99 479,016
600,000 6.18%, 03/15/01 589,140
2,396 6.50%, 04/01/11 2,317
276,291 7.00%, 07/01/23 266,792
297,084 7.00%, 12/01/23 286,315
269,649 7.00%, 01/01/24 259,874
46,209 7.00%, 05/01/24 44,534
399,012 7.00%, 06/01/24 384,548
896,147 7.00%, 06/01/24 863,661
364,616 7.00%, 07/01/25 350,713
358,648 7.00%, 07/01/25 344,972
196,342 7.00%, 07/01/25 188,855
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-12
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
Federal National Mortgage Association (continued)
<C> <S> <C>
$ 222,491 7.00%, 08/01/25 $ 214,008
929,969 7.00%, 08/01/25 894,509
158,704 7.00%, 08/01/25 152,652
784,868 7.00%, 08/01/25 754,941
438,740 7.00%, 08/01/25 422,011
467,071 7.00%, 08/01/25 449,262
392,999 7.00%, 09/01/25 378,014
307,193 7.00%, 09/01/25 295,480
378,386 6.50%, 01/01/26 353,908
252,278 6.50%, 03/01/26 235,958
630,301 6.50%, 04/01/26 589,332
781,756 6.50%, 05/01/26 731,184
-------------
9,531,996
-------------
Government National
Mortgage Association (B) - 12.67%
151,238 9.00%, 05/15/16 159,981
222,525 9.00%, 07/15/16 235,389
544,365 9.00%, 10/15/16 575,835
226,953 9.00%, 08/15/17 239,883
437,583 9.00%, 12/15/17 465,068
49,322 9.00%, 07/15/18 52,091
16,249 9.00%, 11/15/19 17,128
60,089 7.50%, 03/15/23 59,489
300,906 7.50%, 03/15/23 297,897
218,899 7.50%, 06/15/23 216,710
163,021 7.50%, 07/15/23 161,391
892,799 7.00%, 07/15/23 860,435
666,767 7.50%, 09/15/23 660,100
377,037 7.00%, 11/15/23 363,370
213,587 7.50%, 11/15/23 211,184
156,173 7.50%, 11/15/23 154,416
205,258 7.50%, 01/15/24 202,949
407,856 7.00%, 02/15/24 392,688
390,020 7.00%, 07/15/24 375,882
154,052 9.00%, 08/15/24 161,225
1,015,609 9.00%, 08/15/24 1,062,896
257,323 9.00%, 11/15/24 272,520
205,297 9.00%, 01/15/25 214,856
300,442 7.00%, 07/15/25 289,268
575,000 9.00%, 08/15/26 601,772
-------------
8,304,423
-------------
U.S. Treasury Notes - 9.54%
$1,000,000 6.75%, 05/31/97 (B) 1,008,440
850,000 5.63%, 01/31/98 844,824
100,000 6.88%, 03/31/00 101,453
1,225,000 6.25%, 04/30/01 1,213,133
200,000 6.38%, 08/15/02 198,406
425,000 6.25%, 02/15/03 417,495
1,925,000 5.88%, 02/15/04 1,839,877
600,000 7.50%, 02/15/05 631,218
-------------
6,254,846
-------------
U.S. Treasury Bonds - 5.28%
790,000 7.25%, 05/15/16 (B) 808,518
750,000 8.13%, 08/15/19 (B) 841,864
1,650,000 7.88%, 02/15/21 1,810,100
-------------
3,460,482
-------------
U.S. Treasury Bond, Principal Strip - 3.06%
1,750,000 5.15%, 05/15/05** 962,745
1,300,000 4.30%, 08/15/08** 565,513
825,000 3.44%, 05/15/18** 174,314
1,525,000 3.35%, 02/15/19** 305,473
-------------
2,008,045
-------------
Federal Home Loan Mortgages - 1.34%
3,269 6.50%, 03/01/11 3,162
377,308 6.50%, 03/01/26 353,372
553,998 6.50%, 04/01/26 518,853
-------------
875,387
-------------
U.S. Agency Bond - 0.53%
343,874 Federal Deposit Insurance Corp.
Series 1994-C1, REMIC
7.85%, 09/25/25 347,041
-------------
Total U.S. Government
and Agency Obligations 30,782,220
(Cost $30,985,516) =============
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------
F-13
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES - 4.98%
<C> <S> <C>
$ 507,345 Advanta Mortgage Loan Trust,
Series 93-4
5.50%, 03/25/10 $ 465,753
775,000 Citibank Credit Card Master
Trust I, Class A
5.86%, 02/07/03 567,928
190,109 Fund America Investors Corp.
II, Class A
5.40%, 09/25/09 180,128
327,146 Green Tree Securitized Net
Interest Margin Series 1994-A
6.90%, 02/15/04 324,016
625,000 The Money Store Home Equity, 1996-B
7.18%, 02/15/15 627,731
199,635 Resolution Trust Corp.
8.00%, 06/25/26(B) 197,202
120,116 Resolution Trust Corp.
8.00%, 04/25/25(B) 119,065
275,000 Resolution Trust Corp.
6.90%, 06/01/25 (B) 256,438
310,816 Resolution Trust Corp.
7.45%, 09/15/25 (B) 301,734
223,331 UCFC Home Equity Loan Trust,
Series 1994-B2
7.10%, 06/10/23 223,889
-------------
Total Asset-Backed Securities 3,263,884
(Cost $3,608,533) -------------
Shares
- ------
INVESTMENT COMPANY - 1.75%
1,146,244 ILA Prime Obligation
Portfolio Fund 1,146,244
-------------
Total Investment Company 1,146,244
(Cost $1,146,244) -------------
Total Investments - 100.72% 66,017,256
(Cost $66,463,721) -------------
Net Other Assets and Liabilities - (0.72)% (472,329)
-------------
Net Assets - 100.00% $ 65,544,927
=============
</TABLE>
- -------------------------------------------
* Interest is reset at various time intervals. The rate shown is that in
effect at June 30, 1996.
** Stripped securities represent the splitting of cash flows into interest
and principal. Holders, as indicated, are entitled to that portion of
payment representing interest only or principal only.
(A) Securities exempt from registration under rule 144A of the Securities
Act of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1996, these
securities amounted to $3,948,549 or 6.02% of net assets.
(B) Pass Through Certificates
MTN Medium Term Note
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
See Notes to Financial Statements.
---------------------------------------------------------
F-14
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 30.52%
<C> <S> <C>
Financial - 13.26%
$1,000,000 Associates Corp. of North America
Senior Note
6.88%, 01/15/97 $ 1,005,800
3,975,000 BankAmerica Corp.
Senior Note
7.50%, 03/15/97 4,016,047
1,850,000 Bankers Trust New York Corp.
7.21%, 11/01/96 1,859,267
950,000 Corestates Capital Corp., MTN
Senior Note
5.50%, 10/16/96* 949,232
500,000 First Chicago NBD Corp., MTN
6.50%, 05/27/97 502,548
2,750,000 First National Bank of Ohio, MTN
5.98%, 08/01/96 2,750,036
650,000 First Union Corp.
Subordinated Notes, Registered
8.13%, 12/15/96 657,001
2,500,000 Fleet Mortgage Group, Inc., MTN
5.55%, 11/20/96* 2,499,417
2,000,000 IBM Credit Corp., MTN
4.93%, 07/29/96 1,998,551
500,000 International Lease Finance Corp.
6.38%, 11/01/96 500,494
200,000 International Lease Finance Corp., MTN
7.60%, 11/29/96 201,501
1,000,000 M & I Madison Bank, MTN
5.61%, 09/09/96* 1,000,115
3,300,000 NationsBank Corp.
Senior Note
4.75%, 08/15/96 3,297,324
2,500,000 PNC Bank, MTN
5.60%, 03/24/97* 2,498,418
----------------
23,735,751
----------------
Security Brokers, Dealers and Exchanges - 10.06%
2,000,000 Bear Stearns Cos., Inc., MTN
5.81%, 08/12/96* 2,000,331
3,000,000 Bear Stearns Cos., Inc., MTN
5.55%, 10/07/96* 3,000,000
750,000 Dean Witter Discover & Co., MTN
6.92%, 09/30/96 752,033
3,500,000 Merrill Lynch & Co., Inc.
5.00%, 12/15/96 3,489,557
2,975,000 Morgan Stanley Group, Inc.
8.00%, 10/15/96 2,993,822
1,000,000 Morgan Stanley Group, Inc., MTN
7.98%, 11/04/96 1,007,166
2,725,000 Paine Webber Group, Inc., MTN
6.83%, 09/03/96 2,729,190
2,000,000 Paine Webber Group, Inc., MTN
Senior Note
8.63%, 03/03/97 2,040,352
----------------
18,012,451
----------------
Automotive - 4.36%
3,000,000 American Honda Finance Corp., MTN
5.61%, 08/01/96*(B) 3,000,000
875,000 Ford Motor Credit Co.
8.00%, 10/01/96 879,221
500,000 General Motors Acceptance Corp., MTN
8.85%, 07/18/96 500,652
905,000 General Motors Acceptance Corp., MTN
7.70%, 01/24/97 915,303
2,500,000 General Motors Acceptance Corp., MTN
5.46%, 06/04/97* 2,496,450
----------------
7,791,626
----------------
Retail - 2.13%
2,500,000 Sears Roebuck & Co., MTN
Series V
8.54%, 08/14/96 2,508,442
1,300,000 Sears Roebuck & Co., MTN
5.22%, 02/24/97 1,292,604
----------------
3,801,046
----------------
Miscellaneous - 0.28%
500,000 Temple-Inland, Inc.
8.38%, 10/01/96 503,136
----------------
Food and Beverage - 0.25%
450,000 PepsiCo, Inc.
7.88%, 08/15/96 451,112
----------------
Basic Materials - 0.18%
325,000 duPont (E.I.) deNemours & Co., MTN
8.45%, 07/23/96 325,512
----------------
Total Corporate Notes and Bonds 54,620,634
----------------
(Cost $54,620,634)
U.S. GOVERNMENT AGENCY OBLIGATIONS - 5.03%
Federal Home Loan Bank - 2.84%
2,295,000 5.46%, 02/03/97 2,219,468
2,000,000 5.48%, 03/13/97 1,922,367
1,000,000 5.52%, 05/05/97 952,773
----------------
5,094,608
----------------
</TABLE>
See Notes to Financial Statements.
- -------------------------------------------------------
F-27
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------
<C> <S> <C>
Federal Farm Credit Bank - 1.86%
$3,500,000 5.58%, 05/09/97 $ 3,330,740
----------------
Federal National Mortgage Association - 0.33%
585,000 4.97%, 07/09/96 584,354
----------------
Total U.S. Government Agency Obligations 9,009,702
----------------
(Cost $9,009,702)
MUNICIPAL BONDS - 2.99%
2,500,000 De Kalb County, Georgia
Development Authority Revenue
Emory University
5.57%, 08/06/96 2,500,000
2,850,000 De Kalb County, Georgia
Development Authority Revenue
Emory University
5.60%, 07/09/96 2,850,000
----------------
Total Municipal Bonds 5,350,000
----------------
(Cost $5,350,000)
COMMERCIAL PAPER (A) - 47.05%
Financial - 21.64%
200,000 American Express Credit Corp
4.78%, 10/29/96 196,813
600,000 American Honda Finance Corp.
5.50%, 07/08/96 599,358
6,000,000 Banc One Credit Card Master Trust
5.37%, 07/12/96 5,990,155
2,000,000 Banca CRT Financial Corp.
5.35%, 08/30/96 1,982,167
650,000 Bank of Boston
5.08%, 08/28/96 644,680
2,000,000 Bankers Trust Ltd, Australia
5.12%, 07/22/96 1,994,027
2,000,000 Bankers Trust New York Corp.
5.20%, 07/09/96 1,997,689
2,500,000 Corporate Receivables Corp.
5.42%, 01/13/97 2,426,228
1,500,000 Countrywide Funding Corp.
5.33%, 07/23/96 1,495,114
2,500,000 CS First Boston, Inc.
5.41%, 08/29/96 2,477,834
1,000,000 Dresdner U.S. Finance, Inc.
5.00%, 09/18/96 989,028
2,534,089 European Investment Bank
5.33%, 09/12/96 2,506,700
2,000,000 Franklin Resources, Inc.
5.33%, 07/17/96 1,995,262
2,500,000 Grupo Financiero Bancomer S.A.
5.42%, 07/11/96 2,496,236
3,000,000 Hanson Finance Plc
5.37%, 08/12/96 2,981,205
3,500,000 Heller Financial, Inc.
5.18%, 07/08/96 3,496,475
2,000,000 Preferred Receivables Funding Corp.
5.28%, 09/05/96 1,980,640
2,500,000 Vattenfall Treasury, Inc.
5.30%, 08/21/96 2,481,229
----------------
38,730,840
----------------
Utilities - 8.40%
2,050,000 Central Louisiana Electric Co., Inc.,
5.32%, 07/16/96 2,045,456
5,000,000 NYNEX Corp.
5.34%, 07/03/96 4,998,517
4,000,000 GTE Corp.
5.39%, 07/11/96 3,994,011
4,000,000 Union Pacific Resources Group, Inc.
5.35%, 07/12/96 3,993,461
----------------
15,031,445
----------------
Automotive - 4.82%
1,772,000 Daimler Benz N.A. Corp.
5.32%, 09/27/96 1,748,956
2,500,000 General Motors Acceptance Corp.
5.72%, 02/14/97 2,409,433
2,500,000 Mitsubishi Motors Credit of America, Series D
5.50%, 09/20/96 2,469,399
2,000,000 Mitsubishi Motors Credit of America, Series L
5.42%, 07/08/96 1,997,892
----------------
8,625,680
----------------
Industrial - 3.34%
6,000,000 CSC Enterprises
5.33%, 07/22/96 5,981,345
----------------
Transportation - 2.73%
2,900,000 Cooperative Association of Tractor Dealers
5.38%, 07/10/96 2,896,103
2,000,000 Cooperative Association of Tractor Dealers
5.34%, 07/31/96 1,991,100
----------------
4,887,203
----------------
Other Governments - 2.00%
600,000 Province of British Columbia
5.12%, 08/13/96 596,331
3,000,000 Western Australian Treasury Corp.
5.09%, 07/29/96 2,988,123
----------------
3,584,454
----------------
</TABLE>
See Notes to Financial Statements.
-----------------------------------------------------
F-28
<PAGE>
- --------------------------------------------------------------------------------
Money Market Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------
<C> <S> <C>
Security Brokers - 1.95%
$2,500,000 Paine Webber Group, Inc.
5.25%, 07/31/96 $ 2,489,063
1,000,000 Holland Limited Securitization, Inc.,
5.35%, 07/29/96 995,839
----------------
3,484,902
----------------
Retail - 1.34%
2,410,000 Southland Corp.
4.94%, 08/20/96 2,393,465
----------------
Consumer Goods - 0.83%
1,500,000 Den Danske Corp.
5.33%, 07/31/96 1,493,338
----------------
Total Commercial Paper 84,212,672
----------------
(Cost $84,212,672)
BANKERS' ACCEPTANCE - 3.63%
4,000,000 Bank of Boston
5.31%, 07/15/96 3,991,740
250,000 Bank of Boston
5.37%, 10/15/96 246,047
1,000,000 Bank of Boston
5.33%, 10/21/96 983,418
227,665 Bank of Boston
5.37%, 10/23/96 223,793
1,059,941 European Investment Bank
5.37%, 10/01/96 1,045,395
----------------
Total Bankers' Acceptance 6,490,393
----------------
(Cost $6,490,393)
CERTIFICATES OF DEPOSIT - 2.79%
5,000,000 First Tennessee Bank N.A., Memphis
5.35%, 07/09/96 5,000,000
----------------
Total Certificates of Deposit 5,000,000
----------------
(Cost $5,000,000)
Shares
------
INVESTMENT COMPANY - 0.25%
450,945 Goldman Sachs Financial Square Prime
Obligation Portfolio Fund 450,945
----------------
Total Investment Company 450,945
----------------
(Cost $450,945)
REPURCHASE AGREEMENTS - 6.59%
7,000,000 Citicorp Repurchase Agreement
5.70%, 07/01/96, Dated 06/28/96
Repurchase Price $7,003,325
(Collateralized by GTE Southern 6.00%, Due 2008;
Total Par Value $4,045,000;
Market Value $3,616,687
and by First Chicago 6.375%, Due 2009;
Total Par Value $3,895,000;
Market Value $3,536,644) 7,000,000
4,800,000 HSBC Repurchase Agreement
5.50%, 07/02/96, Dated 06/27/96
(Collateralized By MBNA MCCT 5.75%;
Due 2004;
Total Par Value $4,985,000;
Market Value $4,990,985) 4,800,000
----------------
Total Repurchase Agreements 11,800,000
----------------
(Cost $11,800,000)
Total Investments - 98.85% 176,934,346
----------------
(Cost $176,934,346)
Net Other Assets and Liabilities - 1.15% 2,049,155
----------------
Net Assets - 100.00% $ 178,983,501
================
</TABLE>
- ---------------------------------------------
* Interest is reset at various time intervals. The rate shown is that in
effect at June 30, 1996.
(A) Effective yield at time of purchase.
(B) Securities exempt from registration under rule 144A of the Securities Act
of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. As of June 30, 1996, these
securities amounted to $ 3,000,000 or 1.68% of net assets.
MTN Medium Term Notes
See Notes to Financial Statements.
- -------------------------------------------------------
F-29
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select Small Cap
International Aggressive Capital Value
Equity Fund Growth Fund Appreciation Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost................................. $ 162,067,026 $ 260,549,929 $ 84,874,740 $ 74,453,568
Repurchase Agreements............................... -- -- -- --
Net unrealized appreciation (depreciation).......... 15,096,652 71,757,800 10,466,354 12,634,886
------------- ------------- ------------- -------------
Total investments at value........................ 177,163,678 332,307,729 95,341,094 87,088,454
Cash................................................... -- 83,281 3,156 4,430
Foreign currency
(Cost $18,930,213 and $440,937, respectively)....... 18,991,932 -- 444,816 --
Receivable for investments sold........................ -- 7,635,279 1,485,731 20,513
Receivable for shares sold............................. 191,290 88,728 128,651 3,672
Receivable for variation margin........................ -- -- -- --
Receivable from investment adviser..................... -- -- 3,346 --
Interest and dividend receivables...................... 537,770 109,786 37,668 124,240
Deferred organizational expense (Note 2)............... -- -- 4,901 --
Dividend tax reclaim receivables....................... 133,215 -- -- --
------------- ------------- ------------- -------------
Total Assets...................................... 197,017,885 340,224,803 97,449,363 87,241,309
------------- ------------- ------------- -------------
LIABILITIES:
Payable for investments purchased...................... 7,147,777 2,369,045 2,437,533 1,105,181
Payable for foreign currency purchased................. 16,242,711 -- 520,726 --
Payable for shares repurchased......................... 2,922 46,552 -- 42,920
Payable to custodian................................... 101,711 -- -- --
Advisory fee payable (Note 3).......................... 137,749 281,156 84,420 59,846
Accrued expenses and other payables.................... 86,337 88,044 27,984 49,895
Net unrealized gain (loss) on forward foreign
currency contracts (Notes 2 and 11)................. 345,797 -- 71,506 --
------------- ------------- ------------- -------------
Total Liabilities................................. 24,065,004 2,784,797 3,142,169 1,257,842
------------- ------------- ------------- -------------
NET ASSETS................................................. $ 172,952,881 $ 337,440,006 $ 94,307,194 $ 85,983,467
============= ============= ============= =============
NET ASSETS consist of
Paid-in capital (Note 6)............................... $ 154,282,498 $ 244,153,702 $ 82,376,644 $ 69,375,774
Undistributed (distribution in excess of)
net investment income (loss)........................ 1,149,194 (681,460) (143,614) 404,365
Accumulated (distribution in excess of) net realized
gain (loss) on investments sold, foreign
currency transactions and futures contracts......... 2,726,267 22,209,964 1,678,872 3,568,442
Net unrealized appreciation (depreciation) of
investments and assets and liabilities in
foreign currency and futures contracts.............. 14,794,922 71,757,800 10,395,292 12,634,886
------------- ------------- ------------- -------------
TOTAL NET ASSETS........................................... $ 172,952,881 $ 337,440,006 $ 94,307,194 $ 85,983,467
============= ============= ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value)................ 141,196,537 161,402,817 60,766,468 59,522,496
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)........................ $ 1.225 $ 2.091 $ 1.552 $ 1.445
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-30
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Select Select Growth Equity Investment Government Select Money
Growth Growth and Income Index Grade Income Bond Income Market
Fund Fund Fund Fund Fund Fund Fund Fund
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 416,689,494 $ 136,547,511 $ 213,763,663 $ 87,548,562 $ 153,619,615 $ 46,056,389 $ 66,463,721 $ 165,134,346
-- -- -- -- -- -- -- 11,800,000
92,918,901 39,379,433 26,470,590 27,941,953 (1,404,289) (382,068) (446,465) --
- --------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
509,608,395 175,926,944 240,234,253 115,490,515 152,215,326 45,674,321 66,017,256 176,934,346
46,332 7,454 250 -- 47,883 47,030 1,233 113,049
-- -- -- -- -- -- -- --
8,294,649 -- -- -- 6,108,166 85,524 1,843,435 --
6,541 465 341,957 3,662 -- 71,208 4,688 1,148,849
-- -- -- 27,858 -- -- -- --
-- -- -- -- -- -- 2,547 --
1,207,578 107,969 522,710 174,031 1,758,232 648,132 829,223 883,137
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
- --------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
519,163,495 176,042,832 241,099,170 115,696,066 160,129,607 46,526,215 68,698,382 179,079,381
- --------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
17,775,759 -- 4,188,192 -- 11,130,693 -- 3,055,849 --
-- -- -- -- -- -- -- --
362,349 13,249 -- 40,754 95,352 1,648 22,817 534
-- -- -- 9,354 -- -- -- --
178,090 121,900 143,916 30,055 48,043 18,872 31,390 40,791
151,713 56,269 61,904 58,650 73,512 38,386 43,399 54,555
-- -- -- -- -- -- -- --
- --------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
18,467,911 191,418 4,394,012 138,813 11,347,600 58,906 3,153,455 95,880
- --------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
$ 500,695,584 $ 175,851,414 $ 236,705,158 $ 115,557,253 $ 148,782,007 $ 46,467,309 $ 65,544,927 $ 178,983,501
=============== ============= ============= ============= ============= ============ ============= =============
$ 379,604,853 $ 132,298,388 $ 195,594,862 $ 85,702,198 $ 151,997,518 $ 49,297,239 $ 67,533,924 $ 179,006,081
(85,210) 119,515 (28,397) (935) 77,118 23,020 31,430 --
28,257,040 4,054,078 14,668,103 1,905,347 (1,888,340) (2,470,882) (1,573,962) (22,580)
92,918,901 39,379,433 26,470,590 27,950,643 (1,404,289) (382,068) (446,465) --
- --------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
$ 500,695,584 $ 175,851,414 $ 236,705,158 $ 115,557,253 $ 148,782,007 $ 46,467,309 $ 65,544,927 $ 178,983,501
=============== ============= ============= ============= ============= ============ ============= =============
213,885,968 114,395,694 174,263,233 58,085,548 139,410,761 45,200,716 67,100,218 179,006,081
$ 2.341 $ 1.537 $ 1.358 $ 1.989 $ 1.067 $ 1.028 $ 0.977 $ 1.000
=============== ============= ============= ============= ============= ============ ============= =============
</TABLE>
- ------------------------------------------------
F-31
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS . June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select Small Cap
International Aggressive Capital Value
Equity Fund Growth Fund Appreciation Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)...................................... $ 33,533 $ 192,815 $ 148,904 $ --
Dividends (Note 2)..................................... 2,411,733 698,491 71,252 730,301
Less net foreign taxes withheld........................ (468,600) -- (3,067) --
------------- ------------- ------------- -------------
Total investment income............................. 1,976,666 891,306 217,089 730,301
------------- ------------- ------------- -------------
EXPENSES
Investment advisory fees (Note 3and 4)................. 690,551 1,487,187 324,808 317,519
Custodian fees (Note 3)................................ 93,841 9,050 13,847 1,799
Fund accounting fees (Note 3).......................... 24,361 24,610 11,550 10,890
Legal fees............................................. 2,570 1,148 965 726
Audit fees............................................. 3,256 3,845 3,230 2,353
Trustees' fees and expenses (Note 3)................... 728 2,826 753 452
Reports to shareholders................................ 3,036 40,303 1,353 5,374
Amortization of organization costs (Note 2)............ -- -- 639 --
Insurance.............................................. 149 703 206 104
Miscellaneous.......................................... 965 3,094 48 716
------------- ------------- ------------- -------------
Total expenses before reductions.................... 819,457 1,572,766 357,399 339,933
Less reductions (Note 5)............................ (34,162) -- -- (12,936)
------------- ------------- ------------- -------------
Total expenses net of reductions.................... 785,295 1,572,766 357,399 326,997
------------- ------------- ------------- -------------
NET INVESTMENT INCOME (LOSS)............................... 1,191,371 (681,460) (140,310) 403,304
------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold........... 711,011 22,218,221 1,724,871 3,609,282
Net realized gain (loss) on futures contracts.......... -- -- --
Net realized gain (loss) on foreign currency transactions 2,216,662 -- (15,408) --
Net change in unrealized appreciation (depreciation)
of assets and liabilities in foreign currency.......... (447,019) -- (54,299) --
Net change in unrealized appreciation (depreciation)
of investments and futures contracts................... 5,917,880 18,208,915 5,802,689 6,980,871
------------- ------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENTS............................. 8,398,534 40,427,136 7,457,853 10,590,153
------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS....................... $ 9,589,905 $ 39,745,676 $ 7,317,543 $ 10,993,457
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-32
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Select Growth Equity Investment Government Select Money
Growth Growth and Income Index Grade Income Bond Income Market
Fund Fund Fund Fund Fund Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 773,481 $ 261,444 $ 463,153 $ 16,192 $ 5,014,802 $ 1,536,766 $ 2,141,486 $ 4,500,830
5,283,232 528,631 1,855,914 1,141,828 55,141 29,192 34,000 64,945
-- -- -- -- -- -- -- --
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
6,056,713 790,075 2,319,067 1,158,020 5,069,943 1,565,958 2,175,486 4,565,775
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
1,039,714 675,330 807,303 166,697 288,747 119,642 185,589 231,129
12,019 1,136 5,869 9,912 8,583 5,356 7,188 8,222
30,512 4,077 12,544 26,293 21,269 10,325 17,863 16,330
1,148 185 744 1,149 1,160 -- 899 1,039
4,362 825 2,418 4,418 4,056 3,234 3,142 3,662
2,825 428 1,544 1,321 2,177 -- 660 2,177
22,221 3,231 7,916 9,997 16,299 4,031 2,899 6,783
-- -- -- -- -- -- -- --
2,006 118 412 418 1,012 504 196 695
3,378 371 1,616 1,232 1,249 -- -- 2,058
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
1,118,185 685,701 840,366 221,437 344,552 143,092 218,436 272,095
(137,172) (11,998) (58,687) -- -- -- -- --
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
981,013 673,703 781,679 221,437 344,552 143,092 218,436 272,095
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
5,075,700 116,372 1,537,388 936,583 4,725,391 1,422,866 1,957,050 4,293,680
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
28,379,481 7,996,919 14,750,632 1,914,982 59,892 (405,671) (596,229) (21,843)
-- -- -- 59,570 -- -- -- --
-- -- -- -- -- -- -- --
-- -- -- -- -- -- -- --
11,493,936 10,154,491 2,368,344 6,623,752 (6,678,201) (1,222,265) (2,338,698) --
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
39,873,417 18,151,410 17,118,976 8,598,304 (6,618,309) (1,627,936) (2,934,927) (21,843)
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
$ 44,949,117 $ 18,267,782 $ 18,656,364 $ 9,534,887 $ (1,892,918) $ (205,070) $ (977,877) $ 4,271,837
============= ============= ============= ============= ============= ============ ============= =============
</TABLE>
- -----------------------------------------
F-33
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select International Select Aggressive
Equity Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1996 Year Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995 (Unaudited) December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period......................... $ 104,312,134 $ 40,497,806 $ 254,871,723 $ 136,573,109
------------- ------------- ------------- -------------
Increase (Decrease) in net assets
resulting from operations:
Net investment income (loss)........................... 1,191,371 1,129,933 (681,460) (142,866)
Net realized gain (loss) on investments sold and
foreign currency transactions....................... 2,927,673 60,433 22,218,221 16,028,765
Net change in unrealized appreciation (depreciation)
of investments and assets and liabilities in
foreign currency.................................... 5,470,861 10,767,415 18,208,915 37,467,083
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations..................................... 9,589,905 11,957,781 39,745,676 53,352,982
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income.................................. (183,157) (996,037) -- --
Net realized gain on investments....................... (4,068) (396,021) (4,741,627) --
Distribution in excess of net realized capital gains... -- -- -- --
------------- ------------- ------------- -------------
Total Distributions................................. (187,225) (1,392,058) (4,741,627) --
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares...................... 60,688,252 58,476,233 53,541,347 74,888,511
Issued to shareholders in reinvestment of
distributions....................................... 187,225 1,392,058 4,741,627 --
Cost of shares repurchased............................. (1,637,410) (6,619,686) (10,718,740) (9,942,879)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions...................... 59,238,067 53,248,605 47,564,234 64,945,632
------------- ------------- ------------- -------------
Total increase (decrease) in net assets............. 68,640,747 63,814,328 82,568,283 118,298,614
------------- ------------- ------------- -------------
NET ASSETS at end of period (including line A)............. $ 172,952,881 $ 104,312,134 $ 337,440,006 $ 254,871,723
============= ============= ============= =============
(A) Undistributed (distribution in excess of)
net investment income (loss)........................ $ 1,149,194 $ 140,980 $ (681,460) $ --
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold................................................... 50,623,993 54,922,638 26,639,313 46,078,409
Issued to shareholders in reinvestment of
distributions....................................... 152,837 1,229,509 2,267,636 --
Repurchased............................................ (1,383,782) (6,387,844) (5,446,525) (5,889,973)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding....... 49,393,048 49,764,303 23,460,424 40,188,436
============= ============= ============= =============
</TABLE>
- -----------------------------------------------------------
* The Fund commenced operations on April 28, 1995.
See Notes to Financial Statements.
----------------------------------------------------------
F-34
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Capital Small Cap Growth Select
Appreciation Fund Value Fund Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended Six Months Ended Six Months Ended
June 30, 1996 Period Ended June 30, 1996 Year Ended June 30, 1996 Year Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995* (Unaudited) December 31, 1995 (Unaudited) December 31, 1995 (Unaudited) December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 41,376,035 $ -- $ 64,574,553 $ 41,341,503 $ 444,870,953 $ 335,713,593 $ 143,124,686 $ 88,263,274
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
(140,310) (33,955) 403,304 457,238 5,075,700 9,171,079 116,372 24,039
1,709,463 1,068,237 3,609,282 1,693,710 28,379,481 34,330,359 7,996,919 (240,313)
5,748,390 4,646,902 6,980,871 6,588,253 11,493,936 66,369,242 10,154,491 24,384,776
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
7,317,543 5,681,184 10,993,457 8,739,201 44,949,117 109,870,680 18,267,782 24,168,502
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
-- -- -- (456,177) (5,206,524) (9,094,592) -- (20,896)
(284,327) (783,850) -- (1,656,824) (5,931,978) (33,688,107) -- --
-- -- -- (40,840) -- -- -- --
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
(284,327) (783,850) -- (2,153,841) (11,138,502) (42,782,699) -- (20,896)
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
46,003,201 36,016,174 12,200,220 18,929,818 20,438,337 37,306,107 18,750,757 36,197,767
284,327 783,850 -- 2,153,841 11,138,502 42,782,699 -- 20,896
(389,585) (321,323) (1,784,763) (4,435,969) (9,562,823) (38,019,427) (4,291,811) (5,504,857)
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
45,897,943 36,478,701 10,415,457 16,647,690 22,014,016 42,069,379 14,458,946 30,713,806
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
52,931,159 41,376,035 21,408,914 23,233,050 55,824,631 109,157,360 32,726,728 54,861,412
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
$ 94,307,194 $ 41,376,035 $ 85,983,467 $ 64,574,553 $ 500,695,584 $ 444,870,953 $ 175,851,414 $ 143,124,686
============ ============= ============= ============= ============= ============= ============= =============
$ (143,614) $ (3,304) $ 404,365 $ 1,061 $ (85,210) $ 45,614 $ 119,515 $ 3,143
============ ============= ============= ============= ============= ============= ============= =============
30,650,160 29,899,903 8,722,025 16,206,081 8,873,962 17,727,581 12,837,251 28,453,081
183,318 572,571 -- 1,739,775 4,780,969 19,780,330 -- 15,263
(292,472) (252,012) (1,353,903) (3,757,744) (4,192,823) (18,183,452) (2,959,527) (4,239,678)
------------ ------------- ------------- ------------- ------------- ------------- ------------- -------------
30,541,006 30,220,462 7,368,122 14,188,112 9,462,108 19,324,459 9,877,724 24,228,666
============ ============= ============= ============= ============= ============= ============= =============
</TABLE>
- ---------------------------------------------
F-35
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Growth Equity Index
and Income Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1996 Year Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995 (Unaudited) December 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period............................ $ 191,610,000 $ 110,212,501 $ 90,888,716 $ 52,245,669
------------- ------------- ------------- -------------
Increase (Decrease) in net assets resulting from operations:
Net investment income (loss) ............................. 1,537,388 2,532,194 936,583 1,369,327
Net realized gain (loss) on investments sold
and futures contracts.................................. 14,750,632 11,310,318 1,974,552 1,875,586
Net change in unrealized appreciation
(depreciation) of investments and futures contracts ... 2,368,344 25,861,731 6,623,752 17,718,754
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations........................................ 18,656,364 39,704,243 9,534,887 20,963,667
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income..................................... (1,581,157) (2,516,822) (937,518) (1,369,327)
Distributions in excess of net investment income.......... -- -- -- --
Net realized gain on investments.......................... (3,586,368) (7,157,977) -- (1,848,982)
Distribution in excess of net realized capital gains...... -- -- -- (69,205)
Return of capital......................................... -- -- -- (2,614,356)
------------- ------------- ------------- -------------
Total Distributions.................................... (5,167,525) (9,674,799) (937,518) (5,901,870)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares......................... 28,602,563 48,458,874 15,994,685 19,845,741
Issued to shareholders in reinvestment of distributions... 5,167,525 9,674,799 937,518 5,901,870
Cost of shares repurchased................................ (2,163,769) (6,765,618) (861,035) (2,166,361)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions......................... 31,606,319 51,368,055 16,071,168 23,581,250
------------- ------------- ------------- -------------
Total increase (decrease) in net assets................ 45,095,158 81,397,499 24,668,537 38,643,047
------------- ------------- ------------- -------------
NET ASSETS at end of period (including line A)............... $ 236,705,158 $ 191,610,000 $ 115,557,253 $ 90,888,716
============= ============= ============= =============
(A) Undistributed (distributions in excess of)
net investment income (loss)........................... $ (28,397) $ 15,372 $ (935) $ --
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold...................................................... 20,995,424 41,704,782 8,309,493 11,793,073
Issued to shareholders in reinvestment of distributions... 3,798,159 7,745,463 479,794 3,680,017
Repurchased............................................... (1,610,317) (5,657,491) (444,359) (1,326,802)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding.......... 23,183,266 43,792,754 8,344,928 14,146,288
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
----------------------------------------------------------
F-36
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Investment Grade Government
Income Fund Bond Fund
- --------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1996 Year Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995 (Unaudited) December 31, 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 141,625,380 $ 109,971,914 $ 45,778,124 $ 42,078,279
------------- ------------- ------------- -------------
4,725,391 8,314,663 1,422,866 2,436,231
59,892 1,260,297 (405,671) (120,017)
(6,678,201) 10,604,245 (1,222,265) 2,762,902
------------- ------------- ------------- -------------
(1,892,918) 20,179,205 (205,070) 5,079,116
------------- ------------- ------------- -------------
(4,648,273) (8,314,663) (1,399,846) (2,436,231)
-- (60,477) -- (30,980)
-- -- -- --
-- -- -- --
-- -- -- --
------------- ------------- ------------- -------------
(4,648,273) (8,375,140) (1,399,846) (2,467,211)
------------- ------------- ------------- -------------
13,228,594 22,835,470 8,062,106 10,666,760
4,648,273 8,375,140 1,399,846 2,467,211
(4,179,049) (11,361,209) (7,167,851) (12,046,031)
------------- ------------- ------------- -------------
13,697,818 19,849,401 2,294,101 1,087,940
------------- ------------- ------------- -------------
7,156,627 31,653,466 689,185 3,699,845
------------- ------------- ------------- -------------
$ 148,782,007 $ 141,625,380 $ 46,467,309 $ 45,778,124
============= ============= ============= =============
$ 77,118 $ -- $ 23,020 $ --
============= ============= ============= =============
12,085,639 21,051,754 7,611,835 10,156,583
4,329,128 7,702,823 1,354,534 2,365,698
(3,825,995) (10,574,133) (6,887,232) (11,623,145)
------------- ------------- ------------- -------------
12,588,772 18,180,444 2,079,137 899,136
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Select Income Money Market
Fund Fund
- -------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1996 Year Ended June 30, 1996 Year Ended
(Unaudited) December 31, 1995 (Unaudited) December 31, 1995
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 60,368,094 $ 40,784,092 $ 155,211,174 $ 95,991,332
- --------------- --------------- ------------- -------------
1,957,050 3,091,908 4,293,680 7,715,400
(596,229) 296,997 (21,843) (390)
-- --
(2,338,698) 4,278,014
- --------------- --------------- ------------- -------------
(977,877) 7,666,919 4,271,837 7,715,010
- --------------- --------------- ------------- -------------
(1,925,620) (3,091,908) (4,293,680) (7,715,400)
-- --
-- (34,237) -- --
-- --
-- --
- --------------- --------------- ------------- -------------
(1,925,620) (3,126,145) (4,293,680) (7,715,400)
- --------------- --------------- ------------- -------------
8,051,490 19,199,494 86,767,942 178,261,897
1,925,620 3,126,145 4,293,680 7,715,400
(1,896,780) (7,282,411) (67,267,452) (126,757,065)
- --------------- --------------- ------------- -------------
8,080,330 15,043,228 23,794,170 59,220,232
- --------------- --------------- ------------- -------------
5,176,833 19,584,002 23,772,327 59,219,842
- --------------- --------------- ------------- -------------
$ 65,544,927 $ 60,368,094 $ 178,983,501 $ 155,211,174
=============== =============== ============= =============
$ 31,430 $ -- $ -- $ --
=============== =============== ============= =============
8,073,744 19,366,727 86,767,942 178,261,897
1,959,675 3,138,951 4,293,680 7,715,400
(1,894,261) (7,409,278) (67,267,452) (126,757,065)
- --------------- --------------- ------------- -------------
8,139,158 15,096,400 23,794,170 59,220,232
=============== =============== ============= =============
</TABLE>
- --------------------------------------------
F-37
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
----------------------------------------------- ---------------------------------------
Net Realized Distributions Net
Net and Distributions in Excess Increase
Asset Unrealized Dividends from Net of Net (Decrease)
Value Net Gain (Loss) Total from from Net Realized Realized Return in
Year Ended Beginning Investment on Investment Investment Capital Capital of Total Net Asset
December 31, of Period Income/(2)/ Investments Operations Income Gains Gains Capital Distributions Value
- -------------- --------- ---------- ----------- ---------- --------- ----------- ----------- ------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select International
Equity Fund/(1)/
1996/(D)/ $ 1.136 $ 0.008 $ 0.082 $ 0.090 $ (0.001) $ -- $ -- $ -- $ (0.001) $ 0.089
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) -- -- (0.016) 0.173
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) -- -- (0.002) (0.037)
Select Aggressive
Growth Fund/(1)/
1996/(D)/ 1.848 (0.004) 0.277 0.273 -- (0.030) -- -- (0.030) 0.243
1995 1.397 (0.001) 0.452 0.451 -- -- -- -- -- 0.451
1994 1.431 (0.002) (0.032) (0.034) -- -- -- -- -- (0.034)
1993 1.197 0.001 0.234 0.235 (0.001) -- -- -- (0.001) 0.234
1992 1.000 0.001 0.197 0.198 (0.001) -- -- -- (0.001) 0.197
Select Capital
Appreciation Fund/(1)/
1996/(D)/ 1.369 (0.002) 0.190 0.188 -- (0.005) -- -- (0.005) 0.183
1995 1.000 (0.001) 0.397 0.396 -- (0.027) -- -- (0.027) 0.369
Small Cap
Value Fund/(1/
1996/(D)/ 1.238 0.007 0.200 0.207 -- -- -- -- -- 0.207
1995 1.089 0.009 0.183 0.192 (0.009) (0.033) (0.001) -- (0.043) 0.149
1994 1.170 0.005 (0.081) (0.076) (0.005) -- -- -- (0.005) (0.081)
1993 1.000 0.002 0.176 0.178 (0.002) (0.006) -- -- (0.008) 0.170
Growth Fund
1996/(D)/ 2.176 0.024 0.194 0.218 (0.025) (0.028) -- -- (0.053) 0.165
1995 1.814 0.049 0.539 0.588 (0.049) (0.177) -- -- (0.226) 0.362
1994 1.939 0.043 (0.041) 0.002 (0.043) (0.084) -- -- (0.127) (0.125)
1993 2.034 0.039 0.095 0.134 (0.039) (0.180) -- (0.010) (0.229) (0.095)
1992 1.976 0.034 0.105 0.139 (0.034) (0.047) -- -- (0.081) 0.058
1991 1.471 0.038 0.548 0.586 (0.039) (0.042) -- -- (0.081) 0.505
</TABLE>
- -------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's expenses
(see Note 5 of Notes to Financial Statements).
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1996 (Unaudited).
(E) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades for
which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs, or spreads on shares traded on a principal basis.
(1) The Portfolios commenced operations as follows:
Select International Select Aggressive Select Capital Small Cap Value
Equity Fund Growth Fund Appreciation Fund Fund
-------------------- ----------------- ----------------- ---------------
May 2, 1994 August 21, 1992 April 28, 1995 April 30, 1993
(2) Net investment income per share before reimbursement of fees by the
investment adviser were $0.002 in 1994 for Select International Equity
Fund; $0.000 in 1993 and $(0.001) in 1992 for Select Aggressive Growth
Fund; $(0.001) in 1995 for Select Capital Appreciation Fund; and $0.005 in
1994 and $(0.001) in 1993 for Small Cap Value Fund; and $0.038 in 1993 for
Growth Fund.
See Notes to Financial Statements.
----------------------------------------------------------
F-38
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
--------------------------------------------------------------
Ratios To Average Net Assets
------------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(E)/
- --------- ------ ---------- ---------- --- --- --- ----- --- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.225 7.95%** $172,953 1.73%* 1.14%* 1.19%* 1.19%* 1.00%* 1.00%* 11% $0.0327
1.136 19.63% 104,312 1.68% 1.24% 1.24% 1.24% 1.00% 1.00% 24% --
0.963 (3.49)%** 40,498 0.87%* 1.50%* 1.50%* 1.78%* 1.00%* 0.72%* 19% --
2.091 14.76%** 337,440 (0.46)%* 1.06%* 1.06%* 1.06%* 1.00%* 1.00%* 65% 0.0599
1.848 32.28% 254,872 (0.07)% 1.09% 1.09% 1.09% 1.00% 1.00% 104% --
1.397 (2.31)% 136,573 (0.21)% 1.16% 1.16% 1.16% 1.00% 1.00% 100% --
1.431 19.51% 66,251 0.10% 1.19% 1.19% 1.23% 1.00% 0.96% 76% --
1.197 19.85%** 9,270 0.34%* 1.35%* 1.35%* 1.88%* N/A N/A 33% --
1.552 13.64%** 94,307 (0.43)%* 1.10%* 1.10%* 1.10%* 1.00%* 1.00%* 58% 0.0436
1.369 39.56%** 41,376 (0.25)%* 1.35%* 1.35%* 1.42%* 1.00%* 0.93%* 95% --
1.445 16.72%** 85,983 1.08%* 0.88%* 0.91%* 0.91%* 0.85%* 0.85%* 12% 0.0519
1.238 17.60% 64,575 0.86% 1.01% 1.01% 1.01% 0.85% 0.85% 17% --
1.089 (6.51)% 41,342 0.64% 1.08% 1.08% 1.09% 0.85% 0.84% 4% --
1.170 17.74%** 12,731 0.52%* 1.22%* 1.22% 2.03% 0.85%* 0.04%* 8% --
2.341 10.05%** 500,696 2.14%* 0.41%* 0.47%* 0.47%* 0.44%* 0.44%* 31% 0.0582
2.176 32.80% 444,871 2.34% 0.54% 0.54% 0.54% 0.46% 0.46% 64% --
1.814 0.16% 335,714 2.25% 0.56% 0.56% 0.56% 0.48% 0.48% 46% --
1.939 6.66% 338,545 1.92% 0.54% 0.54% 0.55% 0.49% 0.48% 42% --
2.034 7.11% 270,828 1.85% 0.58% 0.58% 0.58% N/A N/A 19% --
1.976 40.44% 182,965 2.26% 0.57% 0.57% 0.57% N/A N/A 24% --
</TABLE>
- ---------------------------------------------
F-39
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
----------------------------------------------- --------------------------------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net (Decrease)
Value Net Gain (Loss) Total from from Net Realized in
Year Ended Beginning Investment on Investment Investment Capital Distributions Return of Total Net Asset
December 31, of Period Income(2) Investments Operations Income Gains in Excess Capital Distributions Value
- ------------ --------- --------- ----------- ---------- ---------- --------- ------------ --------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth
Fund/(1)/
1996/(D)/ $ 1.369 $ 0.001 $ 0.167 $ 0.168 $ -- $ -- $ -- $ -- $ -- $ 0.168
1995 1.099 -- 0.270 0.270 -- -- -- -- -- 0.270
1994 1.119 0.003 (0.020) (0.017) (0.003) -- -- -- (0.003) (0.020)
1993 1.111 0.001 0.008 0.009 (0.001) -- -- -- (0.001) 0.008
1992 1.000 0.001 0.111 0.112 (0.001) -- -- -- (0.001) 0.111
Select Growth and
Income Fund/(1)/
1996/(D)/ 1.268 0.009 0.112 0.121 (0.010) (0.021) -- -- (0.031) 0.090
1995 1.027 0.019 0.290 0.309 (0.019) (0.049) -- -- (0.068) 0.241
1994 1.069 0.025 (0.018) 0.007 (0.025) (0.017) (0.007)/(3)/ -- (0.049) (0.042)
1993 0.990 0.023 0.079 0.102 (0.023) -- -- -- (0.023) 0.079
1992 1.000 0.008 (0.009) (0.001) (0.008) (0.001) -- -- (0.009) (0.010)
Equity Index
Fund
1996/(D)/ 1.827 0.017 0.162 0.179 (0.017) -- -- -- (0.017) 0.162
1995 1.468 0.035 0.474 0.509 (0.035) (0.047) (0.002)/(3)/ (0.066) (0.150) 0.359
1994 1.505 0.033 (0.018) 0.015 (0.033) (0.019) -- -- (0.052) (0.037)
1993 1.409 0.032 0.102 0.134 (0.031) (0.007) -- -- (0.038) 0.096
1992 1.354 0.030 0.066 0.096 (0.031) (0.010) -- -- (0.041) 0.055
1991 1.080 0.032 0.279 0.311 (0.032) (0.005) -- -- (0.037) 0.274
Investment Grade
Income Fund
1996/(D)/ 1.117 0.035 (0.050) (0.015) (0.035) -- -- -- (0.035) (0.050)
1995 1.012 0.071 0.106 0.177 (0.071) -- (0.001)/(4)/ -- (0.072) 0.105
1994 1.111 0.066 (0.099) (0.033) (0.066) -- -- -- (0.066) (0.099)
1993 1.074 0.065 0.049 0.114 (0.065) (0.012) -- -- (0.077) 0.037
1992 1.085 0.075 0.013 0.088 (0.075) (0.024) -- -- (0.099) (0.011)
1991 1.004 0.080 0.081 0.161 (0.080) -- -- -- (0.080) 0.081
</TABLE>
- ------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's expenses
(see Note 5 of Notes to Financial Statements).
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1996 (Unaudited).
(E) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades for
which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs, or spreads on shares traded on a principal basis.
(1) The Portfolios commenced operations as follows:
Select Growth Select Growth and
Fund Income Fund
------------- -----------------
August 21, 1992 August 21, 1992
(2) Net investment income per share before reimbursement of fees by the
investment adviser were $0.001 in 1993 and $0.000 in 1992 for Select Growth
Fund; $0.023 in 1993 and $0.005 in 1992 for Select Growth and Income Fund;
$0.031 in 1993, $0.028 in 1992 and $0.031 in 1991 for Equity Index Fund;
and $0.065 in 1993 for Investment Grade Income Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
----------------------------------------------------------
F-40
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
--------------------------------------------------------------
Ratios To Average Net Assets
----------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(E)/
--------- -------- ---------- ---------- ----- ----- ----- ----- ----- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.537 12.27%** $ 175,851 0.15%* 0.85%* 0.86%* 0.86%* 0.85%* 0.85%* 39% $ 0.0471
1.369 24.59% 143,125 0.02% 0.97% 0.97% 0.97% 0.85% 0.85% 51% --
1.099 (1.49)% 88,263 0.37% 1.03% 1.03% 1.03% 0.85% 0.85% 55% --
1.119 0.84% 53,854 0.15% 1.05% 1.05% 1.08% 0.85% 0.82% 65% --
1.111 11.25%** 9,308 0.40%* 1.20%* 1.20%* 1.72%* N/A N/A 3% --
1.358 9.51%** 236,705 1.43%* 0.73%* 0.78%* 0.78%* 0.75%* 0.75%* 42% 0.0568
1.268 30.32% 191,610 1.69% 0.85% 0.85% 0.85% 0.75% 0.75% 112% --
1.027 0.73% 110,213 2.51% 0.91% 0.91% 0.91% 0.75% 0.75% 107% --
1.069 10.37% 60,518 2.73% 0.99% 0.99% 1.03% 0.75% 0.71% 25% --
0.990 (0.11)%** 7,302 3.20%* 1.10%* 1.10%* 2.37%* N/A N/A 4% --
1.989 9.81%** 115,557 1.82%* 0.43%* 0.43%* 0.43%* 0.32%* 0.32%* 9% 0.0400
1.827 36.18% 90,889 1.96% 0.55% 0.55% 0.55% 0.34% 0.34% 8% --
1.468 1.06% 52,246 2.25% 0.57% 0.57% 0.57% 0.35% 0.35% 7% --
1.505 9.53% 42,842 2.28% 0.57% 0.57% 0.63% 0.35% 0.29% 4% --
1.409 7.25% 22,393 2.47% 0.57% 0.57% 0.75% N/A N/A 6% --
1.354 29.16% 9,700 2.73% 0.55% 0.55% 0.64% N/A N/A 6% --
1.067 (1.37)%** 148,782 6.58%* 0.48%* 0.48%* 0.48%* 0.40%* 0.40%* 42% --
1.117 17.84% 141,625 6.66% 0.53% 0.53% 0.53% 0.41% 0.41% 126% --
1.012 (2.96)% 109,972 6.25% 0.58% 0.58% 0.58% 0.42% 0.42% 129% --
1.111 10.80% 107,124 6.16% 0.54% 0.54% 0.55% 0.45% 0.44% 55% --
1.074 8.33% 52,874 7.25% 0.59% 0.59% 0.59% N/A N/A 71% --
1.085 16.75% 29,018 8.10% 0.60% 0.60% 0.60% N/A N/A 52% --
</TABLE>
F-41
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
---------------------------------------------- -------------------------------------------
Net Realized Net
Net and Distributions Distributions Increase
Asset Unrealized Dividends from Net in Excess (Decrease)
Value Net Gain (Loss) Total from from Net Realized of Net in
Year Ended Beginning Investment on Investment Investment Capital Investment Return of Total Net Asset
December 31, of Period Income/(2)/ Investments Operations Income Gains Income Capital Distributions Value
- ------------ --------- ------------ ------------- ---------- ---------- -------- ------------ ------- ------------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government
Bond Fund /(1)/
1996/(D)/ $ 1.062 $ 0.031 $ (0.035) $ (0.004) $ (0.030) $ -- $ -- $ -- $ (0.030) $ (0.034)
1995 0.997 0.062 0.066 0.128 (0.062) -- (0.001) -- (0.063) 0.065
1994 1.070 0.063 (0.073) (0.010) (0.063) -- -- -- (0.063) (0.073)
1993 1.051 0.055 0.024 0.079 (0.055) (0.003) -- (0.002) (0.060) 0.019
1992 1.047 0.057 0.009 0.066 (0.057) (0.005) -- -- (0.062) 0.004
1991 1.000 0.022 0.051 0.073 (0.022) (0.004) -- -- (0.026) 0.047
Select
Income Fund/(1)/
1996/(D)/ 1.024 0.031 (0.048) (0.017) (0.030) -- -- -- (0.030) (0.047)
1995 0.930 0.060 0.095 0.155 (0.060) -- (0.001)/(4)/ -- (0.061) 0.094
1994 1.035 0.055 (0.105) (0.050) (0.055) -- -- -- (0.055) (0.105)
1993 0.988 0.052 0.055 0.107 (0.052) (0.008) -- -- (0.060) 0.047
1992 1.000 0.018 (0.012) 0.006 (0.018) -- -- -- (0.018) (0.012)
Money Market
Fund
1996/(D)/ 1.000 0.026 -- 0.026 (0.026) -- -- -- (0.026) --
1995 1.000 0.057 -- 0.057 (0.057) -- -- -- (0.057) --
1994 1.000 0.039 -- 0.039 (0.039) -- -- -- (0.039) --
1993 1.000 0.030 -- 0.030 (0.030) -- -- -- (0.030) --
1992 1.000 0.037 -- 0.037 (0.037) -- -- -- (0.037) --
1991 1.000 0.060 -- 0.060 (0.060) -- -- -- (0.060) --
</TABLE>
- ---------------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's expenses
(See Note 5 of Notes to Financial Statements).
(C) Excluding reimbursements and reductions.
(D) For the six months ended June 30, 1996 (Unaudited).
(E) For fiscal years beginning on or after September 1, 1995, a Portfolio is
required to disclose its average commission rate per share for trades for
which commissions are charged. This rate generally does not reflect
mark-ups, mark-downs, or spreads on shares traded on a principal basis.
(1) The Government Bond Fund commenced operations on August 26, 1991.
(2) Net investment income per share before reimbursement of fees by the
investment adviser were $0.055 in 1993 and $0.056 in 1992 for Government
Bond Fund and $0.030 in 1993 for Money Market Fund.
See Notes to Financial Statements.
----------------------------------------------------------
F-42
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(E)/
- --------- -------- ----------- ---------- ----- ----- ----- ------ ----- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.028 (0.34)%** $ 46,467 5.95%* 0.60%* 0.60%* 0.60%* 0.50%* 0.50%* 56% --
1.062 13.06% 45,778 5.91% 0.69% 0.69% 0.69% 0.50% 0.50% 180% --
0.997 (0.88)% 42,078 5.60% 0.70% 0.70% 0.70% 0.50% 0.50% 106% --
1.070 7.51% 77,105 5.51% 0.61% 0.61% 0.62% 0.50% 0.49% 35% --
1.051 6.59% 33,689 6.13% 0.68% 0.68% 0.69% N/A N/A 67% --
1.047 7.60%** 7,591 5.55%* 0.54%* 0.54%* 0.54%* N/A N/A 65% --
0.977 (1.65)%** 65,545 6.33%* 0.71%* 0.71%* 0.71%* 0.60%* 0.60%* 76% --
1.024 16.96% 60,368 6.24% 0.79% 0.79% 0.80% 0.60% 0.59% 131% --
0.930 (4.82)% 40,784 6.07% 0.83% 0.83% 0.85% 0.60% 0.58% 105% --
1.035 10.95% 25,302 5.91% 0.91% 0.91% 1.08% 0.60% 0.43% 171% --
0.988 0.62%** 5,380 5.38%* 1.00%* 1.00%* 1.67%* N/A N/A 119% --
1.000 2.62%** 178,984 5.20%* 0.33%* 0.33%* 0.33%* 0.28%* 0.28%* N/A --
1.000 5.84% 155,211 5.68% 0.36% 0.36% 0.36% 0.29% 0.29% N/A --
1.000 3.93% 95,991 3.94% 0.45% 0.45% 0.45% 0.31% 0.31% N/A --
1.000 3.00% 71,052 2.95% 0.42% 0.42% 0.43% 0.32% 0.31% N/A --
1.000 3.78% 64,506 3.65% 0.44% 0.44% 0.44% N/A N/A N/A --
1.000 6.22% 39,909 5.98% 0.43% 0.43% 0.43% N/A N/A N/A --
</TABLE>
F-43
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company established as a Massachusetts business trust for the purpose
of providing a vehicle for the investment of assets of various separate accounts
established by Allmerica Financial Life Insurance and Annuity Company, a
wholly-owned subsidiary of First Allmerica Financial Life Insurance Company
("First Allmerica") or other affiliated insurance companies. As of the date of
this report, the Trust offered twelve managed investment portfolios. The
accompanying financial statements and financial highlights are those of the
Select International Equity, Select Aggressive Growth, Select Capital
Appreciation, Small Cap Value, Growth, Select Growth, Select Growth and Income,
Equity Index, Investment Grade Income, Government Bond, Select Income and Money
Market Funds (individually, a "Portfolio," collectively, the "Portfolios") only.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies which are in conformity with generally accepted accounting
principles consistently followed by the Trust in the preparation of its
financial statements.
Security Valuation: Securities which are traded on a recognized exchange
(including securities traded through the National Market System) are valued at
the last sale price on the securities exchange on which such securities are
primarily traded or, if there were no sales that day, at the mean of the closing
bid and asked price. Over-the-counter securities that are not traded through the
National Market System are valued on the basis of the bid price at the close of
business each day. Short-term investments that mature in 60 days or less are
valued at amortized cost. Corporate debt securities and debt securities of the
U.S. Government and its agencies (other than short-term investments) are valued
by an independent pricing service approved by the Board of Trustees which
utilizes market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. If not valued by a pricing
service, such securities are valued at prices obtained from independent brokers.
Investments with prices that cannot be readily obtained are carried at fair
value as determined in good faith under consistently applied procedures
established by and under the supervision of the Board of Trustees. The
investments of the Money Market Fund are valued utilizing the amortized cost
valuation method permitted in accordance with Rule 2a-7 under the Investment
Company Act of 1940. This method involves valuing a portfolio security initially
at its cost and thereafter assuming a constant amortization to maturity of any
discount or premium.
Forward Foreign Currency Contracts: The Select International Equity and Select
Capital Appreciation Funds may enter into forward foreign currency contracts
whereby the Portfolios agree to sell a specific currency at a specific price at
a future date in an attempt to hedge against fluctuations in the value of the
underlying currency of certain portfolio instruments. Forward foreign currency
contracts are valued at the daily exchange rate of the underlying currency with
any fluctuations recorded as unrealized gains or losses. Purchases and sales of
forward foreign currency contracts having the same settlement date and
counterparty are offset and presented on a net basis in the Statement of Assets
and Liabilities. Gains or losses on the purchase or sale of forward foreign
currency contracts having the same settlement date and broker are recognized on
the date of offset, otherwise gains and losses are recognized on settlement
date.
Foreign Currency Translation: Investment valuations, other assets and
liabilities denominated in foreign currencies are converted each business day
into U.S. dollars based upon current exchange rates. Purchases and sales of
foreign investments and income and expenses are converted into U.S. dollars
based upon exchange rates prevailing on the respective dates of such
transactions. That portion of unrealized gains or losses on investments due to
fluctuations in foreign currency exchange rates is not separately disclosed.
F-44
-----------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis and consists of interest accrued and, if applicable, discount
earned less premiums amortized. Dividend income is recorded on the ex-dividend
date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio intends to continue to qualify as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains for the tax year ending December 31. In addition, by
distributing during each calendar year substantially all of its net investment
income, capital gains and certain other amounts, if any, each Portfolio will not
be subject to Federal excise tax. Therefore, no Federal income tax provision is
required. Withholding taxes on foreign dividend income and gains have been paid
or provided for in accordance with the applicable country's tax rules and rates.
Paid-in capital, undistributed net investment income and accumulated net
realized gain (loss) have been adjusted in the Statement of Assets and
Liabilities for permanent book-tax differences for all Portfolios with the
exception of the Money Market Portfolio for the year ended December 31, 1995.
Distributions to Shareholders: Dividends from net investment income are declared
and reinvested daily for the Money Market Fund, declared and distributed
quarterly for the Growth, Select Growth and Income, Equity Index, Investment
Grade Income and Government Bond and Select Income Funds, and annually for the
Select International Equity, Select Aggressive Growth, Select Capital
Appreciation, Small Cap Value and Select Growth Funds. All Portfolios declare
and distribute all net realized capital gains, if any, at least annually. The
distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing book and tax treatments in the timing of the
recognition of gains or losses and forwards, including "Post October Losses"
(Note 9) and permanent differences due to differing treatments for paydown
gains/losses on certain securities, foreign currency transactions, market
discount, non-taxable dividends and losses deferred due to wash sales. Any
taxable income or gain remaining at fiscal year end is distributed in the
following year.
Permanent book-tax differences, if any, are not included in ending undistributed
net investment income for the purpose of calculating net investment income per
share in the Financial Highlights.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Trust's Investment Adviser has
determined are creditworthy pursuant to guidelines established by the Trust's
Board of Trustees. Each repurchase agreement transaction is recorded at cost.
Each Portfolio requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian in a manner that is intended
to enable the Portfolio to obtain those securities in the event of a
counterparty default. The Investment Adviser monitors the value of the
securities, including accrued interest, daily to ensure that the value of the
collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon the Portfolio's ability to dispose of the underlying securities, and a
possible decline in the value of the underlying securities during the period
while the Portfolio seeks to assert its rights.
F-45
- ------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
Futures Contracts: All Portfolios may enter into futures contracts for the
delayed delivery of securities at a fixed price at some future date or the
change in value of a specified financial index over a predetermined time period.
Cash or securities are deposited with brokers in order to establish and maintain
a position. Subsequent payments made or received by the Fund based on the daily
change in the market value of the position are recorded as unrealized gain or
loss until the contract is closed out, at which time the gain or loss is
realized.
Organization Costs: Each Portfolio bears all costs in connection with its
organization, including the fees and expenses of registering and qualifying its
shares for distribution under Federal and state securities regulations. All such
costs are being amortized using the straight-line method over a period of five
years beginning with the commencement of the Portfolio's operation. The
Investment Adviser incurred all start up costs of the Portfolios except for
Select Capital Appreciation.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: Each Portfolio may from time to time purchase securities on
a forward commitment basis. Debt securities are often issued on this basis. The
yield of such securities is fixed at the time a commitment to purchase is made,
with actual payment and delivery of the security generally taking place 15 to 45
days later. During the period between purchase and settlement, typically no
payment is made by a Portfolio and no interest accrues to the Portfolio.
The market value of forward commitments may be more or less than the
purchase price payable at settlement date.
3. INVESTMENT ADVISORY, ADMINISTRATION
AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Investment Management Company, Inc. (the "Manager"), a wholly-owned
subsidiary of First Allmerica, serves as Investment Adviser and Administrator to
the Trust. Under the terms of the management agreement, the Portfolios pay a
management fee, calculated daily and payable monthly, at an annual rate based
upon the following fee schedule:
Percentage of Average Daily Net Asset Value
<TABLE>
<CAPTION>
First Next On the
Portfolio $50,000,000 $200,000,000 Remainder
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Select International Equity 1.00% 1.00% 1.00%
Select Aggressive Growth 1.00% 1.00% 1.00%
Select Capital Appreciation 1.00% 1.00% 1.00%
Small Cap Value 0.85% 0.85% 0.85%
Growth 0.60% 0.50% 0.35%
Select Growth 0.85% 0.85% 0.85%
Select Growth and Income 0.75% 0.75% 0.75%
Equity Index 0.35% 0.30% 0.25%
Investment Grade Income 0.50% 0.35% 0.25%
Government Bond 0.50% 0.50% 0.50%
Select Income 0.60% 0.60% 0.60%
Money Market 0.35% 0.25% 0.20%
</TABLE>
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers.
------------------------------------------------
F-46
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
The Sub-Advisers for each of the Portfolios are as follows:
Select International Equity Bank of Ireland Asset Management Limited
Select Aggressive Growth Nicholas-Applegate Capital Management
Select Capital Appreciation Janus Capital Corporation
Small Cap Value David L. Babson & Co. Inc.
Growth Miller Anderson & Sherrerd, LLP
Select Growth (See Note 12) Provident Investment Counsel
Select Growth and Income John A. Levin & Co., Inc.
Equity Index Allmerica Asset Management, Inc.
Investment Grade Income Allmerica Asset Management, Inc.
Government Bond Allmerica Asset Management, Inc.
Select Income Standish, Ayer, & Wood, Inc.
Money Market Allmerica Asset Management, Inc.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("FDISG"), a wholly-owned subsidiary of First
Data Corporation, whereby FDISG performs administrative services for the
Portfolios and is entitled to receive an administrative fee and certain
out-of-pocket expenses. The Manager is solely responsible for the payment of the
administration fee to FDISG. In a separate agreement, FDISG receives separate
fees from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
The Trust pays no salaries or compensation to any of its officers. Trustees who
are not directors, officers, or employees of the Trust or any investment adviser
are reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such amounts
are paid by the Trust.
4. REIMBURSEMENT OF EXPENSES
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, broker commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select International
Equity - 1.50%, Select Aggressive Growth - 1.35%, Select Capital Appreciation -
1.35%, Small Cap Value - 1.25%, Growth Fund - 1.20%, Select Growth - 1.20%,
Select Growth and Income - 1.10%, Equity Index Fund - 0.60%, Investment Grade
Income Fund - 1.00%, Government Bond Fund - 1.00%, Select Income - 1.00% and
Money Market Fund -0.60%), the Manager will bear such expenses directly or
reduce its compensation from the Portfolios by the excess of the stated expense
limitations. Expense limitations may be removed or revised without prior notice
to existing shareholders. The Manager will voluntarily reimburse its fees and
any expenses in excess of the expense limitations.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of commissions. Such amounts earned by the Portfolios,
under such agreements, are presented as a reduction of expenses in the
Statements of Operations.
6. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value.
F-47
- --------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
7. PURCHASES AND SALES OF SECURITIES
The cost of purchases and proceeds from sales of investment securities,
excluding short-term investments, for the six months ended June 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Purchases Sales
Portfolio Other Government Other Government
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International Equity $ 73,614,520 $ -- $ 15,474,705 $ --
Select Aggressive Growth 223,066,911 -- 190,598,807 --
Select Capital Appreciation 79,810,550 -- 38,065,096 --
Small Cap Value 18,698,183 -- 8,301,388 --
Growth 163,722,549 -- 137,876,998 --
Select Growth 68,658,383 -- 56,708,909 --
Select Growth and Income 110,402,048 4,024,375 85,863,645 --
Equity Index 23,630,528 -- 9,540,817 --
Investment Grade Income 25,456,007 39,358,290 9,702,562 48,704,510
Select Income 16,349,543 38,536,704 7,460,243 38,918,516
Government Bond 1,052,469 27,702,013 1,770,646 23,954,265
</TABLE>
At June 30, 1996, aggregate gross unrealized appreciation for all securities in
which there was an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there was an excess of tax cost over
value were as follows:
Tax Basis
---------
<TABLE>
<CAPTION>
Net Unrealized
Unrealized Unrealized Appreciation
Portfolio Appreciation Depreciation (Depreciation) Cost
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select International Equity $ 17,644,478 $ (2,547,826) $ 15,096,652 $ 162,067,026
Select Aggressive Growth 85,299,114 (13,541,314) 71,757,800 260,549,929
Select Capital Appreciation 13,425,141 (2,958,787) 10,466,354 84,874,740
Small Cap Value 15,986,422 (3,351,536) 12,634,886 74,453,568
Growth 98,606,982 (5,688,081) 92,918,901 416,689,494
Select Growth 41,130,673 (1,751,240) 39,379,433 136,547,511
Select Growth and Income 30,161,721 (3,691,131) 26,470,590 213,763,663
Equity Index 29,422,118 (1,480,165) 27,941,953 87,548,562
Investment Grade Income 1,488,274 (2,892,563) (1,404,289) 153,619,615
Government Bond 102,113 (484,181) (382,068) 46,056,389
Select Income 562,488 (1,008,953) (446,465) 66,463,721
Money Market -- -- -- 176,934,346
</TABLE>
8. CAPITAL LOSS CARRYFORWARD
As of December 31, 1995, certain Portfolios had capital loss carryforwards which
expire as follows:
<TABLE>
<CAPTION>
December 31,
Portfolio 2000 2001 2002 2003 Utilized
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Select Aggressive Growth $ -- $ -- $ -- $ -- $9,229,596
Small Cap Value -- -- -- -- 36,886
Select Growth 7,651 247,191 2,115,070 360,571 --
Investment Grade Income -- -- 1,731,938 -- 645,835
Government Bond -- -- 1,544,794 515,322 --
Select Income -- -- 934,165 -- 166,974
Money Market -- -- 347 144 --
</TABLE>
F-48
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<PAGE>
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Allmerica Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
9. POST OCTOBER LOSSES
Under current tax law, certain capital and net foreign exchange losses realized
after October 31 may be deferred and treated as occurring on the first day of
the following fiscal year. For the fiscal year ended December 31, 1995,the
following Portfolios have elected to defer losses occurring between November 1,
1995 and December 31, 1995 in the following amounts:
<TABLE>
<CAPTION>
Foreign
Portfolio Capital Loss Currency
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Select International Equity $ -- $ 197,793
Small Cap Value 27,870 --
Select Growth 1,171,841 --
Investment Grade Income 216,244 --
Government Bond 2,109 --
Money Market 246 --
</TABLE>
10. FOREIGN SECURITIES
Each Portfolio, except the Money Market Fund, may purchase securities of foreign
issuers. Investing in such securities involves special risks not typically
associated with investing in securities of U.S. issuers. The risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign issuers and their markets may
be less liquid and their prices more volatile than those of securities of
comparable U.S. issuers.
11. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including forward foreign currency
contracts involves risk other than that reflected in the Statement of Assets and
Liabilities. Risks associated with these instruments include the potential for
an imperfect correlation between the movements in the price of the instruments
and the price of the underlying securities and interest rates, an illiquid
secondary market for the instruments or inability of counterparties to perform
under the terms of the contract, and changes in the value of foreign currency
relative to the U.S. dollar. The Select International Equity Fund and the Select
Capital Appreciation Fund enter into these contracts primarily to protect the
Portfolio from adverse currency movement.
12. SUBSEQUENT EVENT
Effective July 1, 1996, Putnam Investment Management, Inc. ("Putnam") replaced
Provident Investment Counsel ("PIC") as the Sub-Advisor of the Select Growth
Fund. A Sub-Advisory Agreement between the Manager and Putnam has been approved
by the Trustees of the Trust, subject to approval of the Portfolio's
shareholders at a meeting to be held September 18, 1996. Putnam will receive
from the Manager a fee computed daily at an annual rate based on the average net
assets of the Portfolio under the same fee schedule as was in effect with PIC.
F-49
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<PAGE>
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Allmerica Investment Trust
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION:
For the six months ended June 30, 1996, the long-term capital gain distributions
were as follows:
<TABLE>
<CAPTION>
Portfolio Amount
- -------------------------------------------------------------------------
<S> <C>
Select International Equity $ 4,068
Select Aggressive Growth 4,741,627
Growth 4,669,855
Select Growth and Income 478,182
</TABLE>
SHAREHOLDER VOTING RESULTS:
At the Meeting of Shareholders of the Select Growth and Income Fund, held on
April 2, 1996, shareholders approved the new Sub-Adviser agreements between the
Manager and John A. Levin and Co., Inc. with respect to the Portfolio. The
results were as follows:
<TABLE>
<CAPTION>
Shares For Shares Against Shares Abstaining % of Shares Voted
- ---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
147,754,887 2,650,753 3,350,343 100.00%
</TABLE>
F-50
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<PAGE>
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Allmerica Investment Trust
- --------------------------------------------------------------------------------
REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------
The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is neither insured nor guaranteed by the
U.S. Government, and there can be no assurance that the Portfolio will be able
to maintain a stable net asset value of $1.00 per share.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Funds and is not authorized for
distribution to prospective investors in the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company unless accompanied
or preceded by effective prospectuses for the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company, Allmerica
Investment Trust; Variable Insurance Products Fund, Delaware Group Premium Fund
International Equity Series, and T. Rowe Price International Stock Portfolio,
which include important information related to charges and expenses.
F-51
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<PAGE>
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<PAGE>
Variable Annuity & ExecAnnuity Plus
Variable Annuity & ExecAnnuity Plus are issued by Allmerica
Financial Life Insurance and Annuity Company and are
distributed by Allmerica Investments, Inc.
To be preceded or accompanied by the current prospectus. Read it
carefully before investing.
[LOGO OF ALLMERICA FINANCIAL APPEARS HERE]
First Allmerica Financial Life Insurance Company . Allmerica Financial Life
Insurance and Annuity Company (licensed in all states except NY & HI)
Allmerica Trust Company, N.A. . Allmerica Investments, Inc. . Allmerica
Investment Management Company, Inc. . Allmerica Asset Management,
Inc. . Allmerica
Property & Casualty Companies, Inc. . The Hanover Insurance Company . Sterling
Risk Management Services, Inc. . Citizens Corporation . Citizens Insurance
Company of America . AMGRO, Inc.
440 Lincoln Street, Worcester, Massachusetts 01653
[LOGO OF RECYCLED PAPER APPEARS HERE]
