<PAGE>
Allmerica Financial Services Semi-Annual Report
- --------------------------------------------------------------------------------
June 30, 1999
. Variable Annuity
. Allmerica Advantage
Variable Annuity/
ExecAnnuity Plus
. Vari-Exceptional Life
. Variable Inheiritage
. Estate Optimizer
1999
[ART WORK APPEARS HERE]
Solutions That Transcend Time
[LOGO OF ALLMERICA
APPEARS HERE]
<PAGE>
General Information ........................... 2
A Letter from the Chairman .................... 3
Fund Performance Summary ...................... 4
Product Performance Summaries ................. 5
Variable Annuity .............................. 6
Allmerica Advantage Variable
Annuity/ExecAnnuity Plus (FAFLIC) ............. 7
Allmerica Advantage Variable
Annuity/ExecAnnuity Plus (AFLIAC) ............. 8
Vari-Exceptional Life '87 ..................... 9
Vari-Exceptional Life '91 ..................... 10
Vari-Exceptional Life '93 (FAFLIC) ............ 11
Vari-Exceptional Life '93 (AFLIAC) ............ 12
Variable Inheiritage (FAFLIC) ................. 13
Variable Inheiritage (AFLIAC) ................. 14
Allmerica Estate Optimizer (AFLIAC) ........... 15
Variable Life Insurance Product Information ... 16
Domestic & International Equity Market Overview 18
Select Emerging Markets Fund .................. 20
Select Aggressive Growth Fund ................. 21
Select Capital Appreciation Fund .............. 22
Select Value Opportunity Fund ................. 23
Select International Equity Fund .............. 24
Fidelity VIP Overseas Portfolio ............... 25
T. Rowe Price International Stock Portfolio ... 26
DGPF/1/ International Equity Series ........... 27
Fidelity VIP Growth Portfolio ................. 28
Select Growth Fund ............................ 29
Select Strategic Growth Fund .................. 30
Growth Fund ................................... 31
Equity Index Fund ............................. 32
Select Growth and Income Fund ................. 33
Fidelity VIP Equity-Income Portfolio .......... 34
Fidelity VIP II Asset Manager Portfolio ....... 35
Bond & Money Market Overview .................. 36
Fidelity VIP High Income Portfolio ............ 38
Select Income Fund ............................ 39
Investment Grade Income Fund .................. 40
Government Bond Fund .......................... 41
Money Market Fund ............................. 42
Financials .................................... F-1
For further information, see the accompanying semi-annual reports.
For information on ordering additional copies of this report, see
Client Notices on page F-63.
One or more Funds may not be available under the variable annuity
or variable life insurance policy which you have chosen. Inclusion
in this semi-annual report of a Fund which is not available under
your policy is not to be considered a solicitation.
/1/ DGPF refers to Delaware Group Premium Fund.
Table of Contents 1
<PAGE>
General Information
Officers of First Allmerica Financial Life Insurance Company (FAFLIC) and
Allmerica Financial Life Insurance and Annuity Company (AFLIAC)
John F. O'Brien, President, CEO (FAFLIC) and Chairman of the Board (AFLIAC)
Richard M. Reilly, President and CEO (AFLIAC)
Edward J. Parry, III, Vice President, CFO and Treasurer
Abigail M. Armstrong, Secretary and Counsel
Investment Manager
Allmerica Financial Investment Management Services, Inc.
440 Lincoln Street, Worcester, MA 01653
General Distributor
Allmerica Investments, Inc.
440 Lincoln Street, Worcester, MA 01653
Independent Accountants
PricewaterhouseCoopers LLP
160 Federal Street, Boston, MA 02110
Administrator and Custodian
Investors Bank & Trust Company
200 Clarendon Street, Boston, MA 02116
Legal Counsel
Ropes & Gray
One International Place, Boston, MA 02110
Officers of Allmerica Investment Trust (AIT)
Richard M. Reilly, President
Paul T. Kane, Treasurer
George M. Boyd, Secretary
Board of Trustees of AIT
John F. O'Brien, Chairman
P. Kevin Condron/1/
Cynthia A. Hargadon/1/
Gordon Holmes/1/
John P. Kavanaugh
Bruce E. Langton/1/
Attiat F. Ott/1/
Richard M. Reilly
Ranne P. Warner/1/
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
Bank of Ireland Asset Management (U.S.) Limited
U.S. Offices: 20 Horseneck Lane, Greenwich, CT 06830
Main Offices: 26 Fitzwilliam Place, Dublin 2, Ireland
Select International Equity Fund
Cambiar Investors, Inc.
8400 East Prentice Avenue, Suite 460, Englewood, CO 80111
Select Strategic Growth Fund
Cramer Rosenthal McGlynn, LLC
707 Westchester Avenue, White Plains, NY 10604
Select Value Opportunity Fund
J.P. Morgan Investment Management Inc.
522 Fifth Avenue, New York, NY 10036
Select Growth and Income Fund
Miller Anderson & Sherrerd, LLP
One Tower Bridge, West Conshohocken, PA 19428
Growth Fund
Nicholas-Applegate Capital Management, L.P.
600 West Broadway - Suite 2900, San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.
One Post Office Square, Boston, MA 02109
Select Growth Fund
Schroder Investment Management North America Inc.
787 Seventh Avenue, New York, NY 10019
Select Emerging Markets Fund
Standish, Ayer & Wood, Inc.
One Financial Center, Boston, MA 02111
Select Income Fund
T. Rowe Price Associates, Inc.
100 East Pratt Street, Baltimore, MD 21202
Select Capital Appreciation Fund
Investment Advisers
Delaware International Advisers Ltd.
1818 Market Street, Philadelphia, PA 19103
Delaware Group Premium Fund, Inc. 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 East Pratt Street, Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
/1/ Independent Trustees
2
<PAGE>
[PHOTO OF JOHN F. O'BRIEN APPEARS HERE]
Dear Client:
The U.S. equity market continued its strong performance into the first half of
1999, rising over 12% as measured by the S&P 500 Index. The first quarter showed
a continuation of the trends which had been in place for some time, with
strength coming from large-cap growth stocks. Beginning in April, however,
sentiment changed and large-cap value, small- and mid-cap stocks as well as
emerging market stocks began to lead the market higher. The outlook for emerging
markets appears to have been the catalyst for the significant shift in
sentiment. In January, Brazil successfully devalued its currency without
creating turmoil throughout the region. Meanwhile, other emerging markets showed
signs of stability and even growth. Apparently investors felt that the worst of
the emerging markets crisis was past and they could move away from the
high-quality stocks they fled to last fall, in search of issues which
represented better value. Investors found value in basic industries and cyclical
stocks, causing large-cap value stocks to post a strong quarter. Investors also
moved into small-cap stocks and emerging markets causing the Russell 2000 and
MSCI Emerging Markets Free Indices to increase over 15% and 24% respectively
during the second quarter.
At Allmerica, we take an institutional approach to investing. That means we hire
investment managers to manage against very specific indices and carefully
evaluate their relative and absolute performance every quarter. Within the
market context just described, our managers continued to perform well against
their peers. U.S. large-cap and emerging market funds tended to produce solid
returns throughout the six month period. Those funds focusing on large-cap
value, small- and mid-cap companies had to wait until the second quarter before
producing strong absolute returns. Our fixed income and international equity
managers also performed well, although absolute returns were somewhat lower as
managers worked against rising interest rates and a slowing European economy
respectively.
An integral part of our Manager of Managers approach to investing is the ongoing
manager evaluation work of the Investment Operations Committee. In February
1999, the Committee presented the Allmerica Investment Trust Board of Trustees
with an alternative investment manager for the Select Growth and Income Fund.
Following a Board vote, J.P. Morgan Investment Management Inc. assumed
sub-advisory responsibility for the Fund effective April 1, 1999. While
replacing a manager is never easy, the Committee and The Trustees of Allmerica
Investment Trust continue to demonstrate that they will make the difficult
decisions as we seek to offer you an array of outstanding investment options.
For more information on these and all of our funds, please read the market
overviews and managers' commentaries found later in this report.
Once again we urge you to work closely with your financial advisor to build a
diversified portfolio that will meet your needs and benefit from the inevitable
changes in the market such as those we have seen in the first half of 1999.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
A Letter from the Chairman 3
<PAGE>
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Funds are summarized below.
Keep in mind that these returns reflect all Fund charges but do not include any
insurance product fees or expenses. For returns that reflect the deduction of
product charges, please refer to the Product Performance Summaries on the
following pages beginning on page 6.
<TABLE>
<CAPTION>
10 Years
Fund or Life
Inception 1 5 of Fund
Funds Date Year Years (if less)
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 23.98% N/A 3.31%
Select Aggressive Growth Fund 8/21/92 7.81% 19.99% 18.85%
Select Capital Appreciation Fund 4/28/95 16.74% N/A 21.00%
Select Value Opportunity Fund 4/30/93 5.03% 15.70% 14.44%
Select International Equity Fund 5/2/94 5.18% 13.78% 12.47%
Select Growth Fund 8/21/92 20.59% 26.01% 19.23%
Select Strategic Growth Fund 2/20/98 9.54% N/A 7.11%
Growth Fund 4/29/85 23.23% 23.98% 17.48%
Equity Index Fund 9/28/90 22.61% 27.14% 20.99%
Select Growth and Income Fund 8/21/92 18.48% 21.22% 16.48%
Select Income Fund 8/21/92 1.85% 6.96% 5.89%
Investment Grade Income Fund 4/29/85 2.13% 7.44% 8.05%
Government Bond Fund 8/26/91 3.61% 6.18% 6.44%
Money Market Fund 4/29/85 5.19% 5.38% 5.40%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 10/29/92 6.30% 11.97% 11.60%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 5.72% 9.76% 9.49%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 1/28/87 5.12% 10.76% 10.58%
Fidelity VIP Growth Portfolio 10/9/86 33.98% 27.63% 19.21%
Fidelity VIP Equity-Income Portfolio 10/9/86 13.82% 21.37% 15.34%
Fidelity VIP II Asset Manager Portfolio 9/6/89 10.81% 14.30% 12.87%
Fidelity VIP High Income Portfolio 9/19/85 -1.44% 10.80% 11.37%
Fidelity VIP Money Market Portfolio 4/1/82 5.17% 5.43% 5.45%
</TABLE>
Fund performance returns given above reflect an investment in the underlying
funds listed on the date of inception of each Fund.
Fund 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.
4 Fund Performance Summary
<PAGE>
[LOGO APPEARS HERE]
Performance
<PAGE>
Variable Annuity
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Variable Annuity sub-accounts of
AFLIAC are summarized below. Keep in mind that these returns are net of all
product charges. For returns that do not reflect the deduction of product
charges, please refer to the individual Portfolio Reviews beginning on page 20.
Without Surrender Charge
and Contract Fee
1 5 10
Sub-Accounts Year Years Years
- --------------------------------------------------------------------------------
Growth Fund - Single/Elective Payment
Tax Qualified Account 21.69% 22.47% 16.12%
Non Tax Qualified Account 21.69% 22.47% 16.12%
Investment Grade Income Fund -
Single/Elective Payment
Tax Qualified Account 0.86% 6.11% 6.79%
Non Tax Qualified Account 0.86% 6.11% 6.79%
Money Market Fund -
Single/Elective Payment*
Tax Qualified Account 3.88% 4.08% 4.15%
Non Tax Qualified Account 3.88% 4.08% 4.15%
With Surrender Charge
and Contract Fee
1 5 10
Sub-Accounts Year Years Years
- --------------------------------------------------------------------------------
Growth Fund - Elective Payment
Tax Qualified Account 12.57% 20.55% 15.38%
Non Tax Qualified Account 13.06% 21.20% 15.99%
Investment Grade Income Fund -
Elective Payment
Tax Qualified Account -6.32% 4.92% 6.59%
Non Tax Qualified Account -6.23% 5.10% 6.75%
Money Market Fund -
Elective Payment
Tax Qualified Account -3.43% 3.07% 4.10%
Non Tax Qualified Account -3.40% 3.11% 4.14%
Growth Fund - Single Payment
Tax Qualified Account 15.61% 21.80% 16.12%
Non Tax Qualified Account 15.61% 21.80% 16.12%
Investment Grade Income Fund -
Single Payment
Tax Qualified Account -4.19% 5.54% 6.79%
Non Tax Qualified Account -4.19% 5.53% 6.79%
Money Market Fund - Single Payment
Tax Qualified Account -1.32% 3.51% 4.15%
Non Tax Qualified Account -1.32% 3.51% 4.15%
*As of 6/30/99 the 7-day SEC yields of the Tax Qualified and Non Tax Qualified
money market sub-accounts, net of all recurring contract fees and charges,
prorated, were 3.42% and 3.47%, respectively.
Performance returns given above are for the Variable Annuity sub-accounts of
AFLIAC, and assume an investment in the underlying funds on the date of
inception of each Fund (April 29, 1985). All full surrenders or withdrawals may
be subject to a declining sales charge. The maximum contingent deferred sales
charge is 7.0%.
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.
6 Product Performance Summary
<PAGE>
Allmerica Advantage Variable Annuity/ExecAnnuity Plus (FAFLIC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Allmerica Advantage Variable
Annuity/ExecAnnuity Plus sub-accounts of FAFLIC are summarized below. Keep in
mind that these returns are net of all product charges. For returns that do not
reflect the deduction of product charges, please refer to the individual
Portfolio Reviews beginning on page 20.
<TABLE>
<CAPTION>
Without Surrender Charge With Surrender Charge
and Contract Fee and Contract Fee
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Aggressive Growth Fund 4/20/94 6.26% 18.29% 17.13% 16.79% -1.66% 17.57% 16.77% 16.13%
Select Capital Appreciation Fund 4/28/95 15.05% N/A 19.26% 19.26% 6.90% N/A 18.43% 18.43%
Select Value Opportunity Fund 4/20/94 3.51% 14.07% 12.82% 13.27% -4.12% 13.33% 12.40% 12.64%
Select International Equity Fund 5/3/94 3.66% 12.17% 10.88% 10.89% -3.98% 11.37% 10.19% 10.19%
Select Growth Fund 4/20/94 18.86% 24.24% 17.52% 23.50% 10.63% 23.68% 17.20% 23.03%
Growth Fund 4/20/94 21.45% 22.23% 15.82% 21.51% 13.23% 21.63% 15.68% 21.00%
Equity Index Fund 4/21/94 20.85% 25.35% 19.26% 24.20% 12.66% 24.84% 19.14% 23.77%
Select Growth and Income Fund 4/20/94 16.77% 19.51% 14.80% 19.04% 8.61% 18.89% 14.48% 18.53%
Investment Grade Income Fund 4/21/94 0.66% 5.91% 6.51% 5.44% -6.64% 5.04% 6.46% 4.75%
Government Bond Fund 4/20/94 2.12% 4.67% 4.97% 4.47% -5.26% 3.80% 4.76% 3.79%
Money Market Fund* 4/10/94 3.67% 3.88% 3.89% 3.80% -3.84% 2.94% 3.84% 3.07%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 4/20/94 4.76% 10.38% 10.35% 9.75% -2.89% 9.61% 10.00% 9.12%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 5/1/95 4.20% 8.19% 7.91% 9.12% -3.42% 7.34% 7.24% 8.07%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 4/20/94 3.61% 9.18% 9.00% 8.78% -3.95% 8.36% 8.91% 8.11%
Fidelity VIP Growth Portfolio 4/20/94 32.05% 25.81% 17.51% 24.18% 23.74% 25.17% 17.28% 23.59%
Fidelity VIP Equity-Income Portfolio 4/20/94 12.18% 19.64% 13.79% 19.33% 3.86% 18.91% 13.54% 18.69%
Fidelity VIP II Asset Manager Portfolio 5/11/94 9.22% 12.86% 11.27% 12.24% 1.30% 11.99% 11.69% 11.69%
Fidelity VIP High Income Portfolio 4/20/94 -2.86% 9.22% 9.77% 8.94% -10.04% 8.35% 9.64% 8.21%
</TABLE>
*As of 6/30/99 the 7-day SEC yield of the money market sub-account, net of all
recurring contract fees and charges, prorated, was 3.22%.
Performance returns given above are for the Allmerica Advantage Variable
Annuity/ExecAnnuity Plus sub-accounts of FAFLIC, and except in the columns
designated as "Life of Sub-Account", assume an investment in the underlying
funds listed above on the date of inception of each Fund. Performance returns
designated as "Life of Sub-Account" assume an investment in the funds listed on
the date of inception of each Sub-Account. All full surrenders or withdrawals in
excess of the free amount may be subject to a declining sales charge. The
maximum contingent deferred sales charge is 8.0%. Please refer to the product
prospectus for the assumptions used to calculate performance.
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.
Product Performance Summary 7
<PAGE>
Allmerica Advantage Variable Annuity/ExecAnnuity Plus (AFLIAC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Allmerica Advantage Variable
Annuity/ExecAnnuity Plus sub-accounts of AFLIAC are summarized below. Keep in
mind that these returns are net of all product charges. For returns that do not
reflect the deduction of product charges, please refer to the individual
Portfolio Reviews beginning on page 20.
<TABLE>
<CAPTION>
Without Surrender Charge With Surrender Charge
and Contract Fee and Contract Fee
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Aggressive Growth Fund 9/16/92 6.25% 18.29% 17.15% 16.55% -1.65% 17.59% 16.80% 16.19%
Select Capital Appreciation Fund 4/28/95 15.05% N/A 19.26% 19.26% 6.92% N/A 18.45% 18.45%
Select Value Opportunity Fund 5/2/93 3.51% 14.07% 12.84% 12.85% -4.10% 13.34% 12.44% 12.45%
Select International Equity Fund 5/3/94 3.66% 12.17% 10.88% 10.89% -3.98% 11.37% 10.19% 10.20%
Select Growth Fund 9/16/92 18.86% 24.24% 17.52% 16.99% 10.66% 23.70% 17.22% 16.69%
Growth Fund 9/4/91 21.45% 22.23% 15.86% 16.21% 13.18% 21.58% 15.68% 15.90%
Equity Index Fund 9/4/91 20.85% 25.35% 19.27% 17.94% 12.66% 24.83% 19.15% 17.75%
Select Growth and Income Fund 9/16/92 16.77% 19.51% 14.81% 14.86% 8.60% 18.89% 14.48% 14.53%
Investment Grade Income Fund 9/5/91 0.66% 5.91% 6.51% 6.11% -6.69% 4.99% 6.42% 5.84%
Government Bond Fund 9/8/91 2.12% 4.67% 4.66% 4.85% -5.27% 3.79% 4.44% 4.63%
Money Market Fund* 9/9/91 3.67% 3.88% 3.89% 3.25% -3.83% 2.96% 3.86% 3.00%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/6/93 4.76% 10.38% 9.99% 10.67% -2.90% 9.59% 9.63% 10.28%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock 5/1/95 4.20% 8.19% 7.92% 9.12% -3.39% 7.37% 7.27% 8.11%
Portfolio
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 9/5/91 3.61% 9.18% 9.00% 8.90% -3.97% 8.35% 8.90% 8.64%
Fidelity VIP Growth Portfolio 9/5/91 32.05% 25.81% 17.52% 19.68% 23.74% 25.18% 17.30% 19.37%
Fidelity VIP Equity-Income Portfolio 9/5/91 12.18% 19.64% 13.70% 17.28% 3.84% 18.89% 13.44% 16.95%
Fidelity VIP II Asset Manager Portfolio 5/4/94 9.22% 12.67% 11.27% 12.00% 1.29% 11.99% 11.45% 11.45%
Fidelity VIP High Income Portfolio 9/24/91 -2.86% 9.22% 9.78% 11.30% -10.00% 8.38% 9.67% 11.07%
</TABLE>
*As of 6/30/99 the 7-day SEC yield of the money market sub-account, net of all
recurring contract fees and charges, prorated, was 3.23%.
Performance returns given above are for the Allmerica Advantage Variable
Annuity/ExecAnnuity Plus sub-accounts of AFLIAC, and except in the columns
designated as "Life of Sub-Account", assume an investment in the underlying
funds listed above on the date of inception of each Fund. Performance returns
designated as "Life of Sub-Account" assume an investment in the funds listed on
the date of inception of each Sub-Account. All full surrenders or withdrawals in
excess of the free amount may be subject to a declining sales charge. The
maximum contingent deferred sales charge is 8.0%.
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.
8 Product Performance Summary
<PAGE>
Vari-Exceptional Life `87
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Vari-Exceptional Life ('87)
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 20.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 6/4/98 22.87% N/A 2.39% 11.86% -68.81% N/A -69.38% -74.63%
Select Aggressive Growth Fund 9/17/92 6.84% 18.93% 17.78% 17.22% -82.43% 8.13% 10.80% 10.09%
Select Capital Appreciation Fund 4/28/95 15.69% N/A 19.90% 19.90% -74.92% N/A 5.60% 5.60%
Select Value Opportunity Fund 5/6/93 4.08% 14.68% 13.44% 13.28% -84.76% 3.56% 5.07% 4.87%
Select International Equity Fund 5/3/94 4.23% 12.77% 11.47% 11.48% -84.64% 1.48% 0.50% 0.50%
Select Growth Fund 9/17/92 19.51% 24.90% 18.15% 17.58% -71.67% 14.46% 11.19% 10.47%
Select Strategic Growth Fund 6/4/98 8.56% N/A 6.15% 7.70% -80.97% N/A -65.83% -78.23%
Growth Fund 11/19/87 22.12% 22.89% 16.44% 16.44% -69.45% 12.34% 12.13% 12.13%
Equity Index Fund 10/25/90 21.51% 26.02% 19.91% 19.87% -69.97% 15.64% 14.94% 14.84%
Select Growth and Income Fund 9/17/92 17.42% 20.15% 15.42% 15.56% -73.45% 9.43% 8.31% 8.34%
Investment Grade Income Fund 12/2/87 1.21% 6.48% 7.09% 7.09% -87.19% -5.43% 2.26% 2.26%
Government Bond Fund 11/6/91 2.68% 5.23% 5.55% 5.14% -85.95% -6.83% -1.05% -1.72%
Money Market Fund 12/22/87 4.24% 4.44% 4.45% 4.45% -84.63% -7.71% -0.58% -0.58%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/18/93 5.34% 10.97% 10.58% 11.41% -83.70% -0.48% 2.84% 2.81%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/25/95 4.77% 8.78% 8.50% 9.72% -84.18% -2.89% -2.53% -6.29%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 11/19/87 4.18% 9.77% 9.60% 9.60% -84.68% -1.80% 4.94% 4.94%
Fidelity VIP Growth Portfolio 11/16/87 32.77% 26.49% 18.15% 18.15% -60.35% 16.14% 13.91% 13.91%
Fidelity VIP Equity-Income Portfolio 11/16/87 12.80% 20.29% 14.31% 14.31% -77.37% 9.58% 9.90% 9.90%
Fidelity VIP II Asset Manager Portfolio 5/11/94 9.82% 13.28% 11.87% 12.84% -79.90% 2.04% 7.23% 1.92%
Fidelity VIP High Income Portfolio 11/19/87 -2.33% 9.81% 10.36% 10.36% -90.18% -1.75% 5.74% 5.74%
Fidelity VIP Money Market Portfolio 12/10/87 4.23% 4.48% 4.51% 4.51% -84.64% -7.67% -0.52% -0.52%
</TABLE>
Performance returns given above are for the Vari-Exceptional Life ('87)
sub-accounts of AFLIAC and are net of all product charges (including surrender
charges) for a representative policy. The returns, except in the columns
designated as "Life of Sub-Account" assume an investment in the underlying funds
listed above on the date of inception of each Fund. Performance returns
designated as "Life of Sub-Account" assume an investment in the funds listed on
the date of inception of each Sub-Account. All full surrenders or withdrawals in
excess of the free amount may be subject to a declining surrender charge. Please
refer to the prospectus for the assumptions used to calculate performance.
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.
Product Performance Summary 9
<PAGE>
Vari-Exceptional Life `91
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Vari-Exceptional Life ('91)
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 20.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 6/4/98 22.87% N/A 2.39% 11.86% -100.00% N/A -84.63% -96.05%
Select Aggressive Growth Fund 9/17/92 6.84% 18.93% 17.78% 17.22% -100.00% 6.44% 10.23% 9.48%
Select Capital Appreciation Fund 4/28/95 15.69% N/A 19.90% 19.90% -100.00% N/A 2.61% 2.61%
Select Value Opportunity Fund 5/6/93 4.08% 14.68% 13.44% 13.28% -100.00% 1.65% 4.07% 3.86%
Select International Equity Fund 5/3/94 4.23% 12.77% 11.47% 11.48% -100.00% -0.53% -1.45% -1.44%
Select Growth Fund 9/17/92 19.51% 24.90% 18.15% 17.58% -100.00% 13.03% 10.63% 9.87%
Select Strategic Growth Fund 6/4/98 8.56% N/A 6.15% 7.70% -100.00% N/A -82.85% -96.43%
Growth Fund 11/19/87 22.12% 22.89% 16.44% 16.44% -100.00% 10.83% 12.05% 12.05%
Equity Index Fund 10/25/90 21.51% 26.02% 19.91% 19.87% -100.00% 14.25% 14.78% 14.67%
Select Growth and Income Fund 9/17/92 17.42% 20.15% 15.42% 15.56% -100.00% 7.80% 7.68% 7.68%
Investment Grade Income Fund 12/2/87 1.21% 6.48% 7.09% 7.09% -100.00% -7.88% 2.12% 2.12%
Government Bond Fund 11/6/91 2.68% 5.23% 5.55% 5.14% -100.00% -9.37% -1.61% -2.37%
Money Market Fund 12/22/87 4.24% 4.44% 4.45% 4.45% -100.00% -10.32% -0.75% -0.75%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/18/93 5.34% 10.97% 10.58% 11.41% -100.00% -2.61% 1.98% 1.70%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/25/95 4.77% 8.78% 8.50% 9.72% -100.00% -5.16% -4.57% -10.42%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 11/19/87 4.18% 9.77% 9.60% 9.60% -100.00% -4.00% 4.82% 4.82%
Fidelity VIP Growth Portfolio 11/16/87 32.77% 26.49% 18.15% 18.15% -96.79% 14.77% 13.84% 13.84%
Fidelity VIP Equity-Income Portfolio 11/16/87 12.80% 20.29% 14.31% 14.31% -100.00% 7.96% 9.81% 9.81%
Fidelity VIP II Asset Manager Portfolio 5/11/94 9.82% 13.28% 11.87% 12.84% -100.00% 0.06% 7.11% 0.04%
Fidelity VIP High Income Portfolio 11/19/87 -2.33% 9.81% 10.36% 10.36% -100.00% -3.95% 5.63% 5.63%
Fidelity VIP Money Market Portfolio 12/10/87 4.23% 4.48% 4.51% 4.51% -100.00% -10.27% -0.68% -0.68%
</TABLE>
Performance returns given above are for the Vari-Exceptional Life ('91)
sub-accounts of AFLIAC and are net of all product charges (including surrender
charges) for a representative policy. The returns, except in the columns
designated as "Life of Sub-Account" assume an investment in the underlying funds
listed above on the date of inception of each Fund. Performance returns
designated as "Life of Sub-Account" assume an investment in the funds listed on
the date of inception of each Sub-Account. All full surrenders or withdrawals in
excess of the free amount may be subject to a declining surrender charge. Please
refer to the prospectus for the assumptions used to calculate performance.
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.
10 Product Performance Summary
<PAGE>
Vari-Exceptional Life `93 (FAFLIC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Vari-Exceptional Life ('93)
sub-accounts of FAFLIC are summarized below. Keep in mind that these returns are
net of all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 20.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 8/27/98 22.93% N/A 2.36% 59.23% 93.39% N/A -83.89% -66.69%
Select Aggressive Growth Fund 4/6/94 6.95% 18.91% 18.00% 15.37% -100.00% 6.53% 10.67% 3.16%
Select Capital Appreciation Fund 4/28/95 15.80% N/A 19.94% 19.94% -99.85% N/A 2.74% 2.74%
Select Value Opportunity Fund 4/6/94 4.19% 14.66% 13.36% 12.97% -100.00% 1.48% 3.88% 0.28%
Select International Equity Fund 5/3/94 4.34% 12.75% 11.45% 11.46% -100.00% -0.84% -1.82% -1.82%
Select Growth Fund 4/10/94 19.63% 24.88% 18.06% 22.55% -96.38% 13.45% 10.73% 11.50%
Select Strategic Growth Fund 8/27/98 8.61% N/A 6.11% 32.47% -100.00% N/A -82.03% -87.16%
Growth Fund 4/7/94 22.24% 22.87% 16.29% 21.41% -94.02% 11.14% 12.11% 10.22%
Equity Index Fund 4/20/94 21.64% 26.00% 19.77% 25.16% -94.56% 14.72% 14.95% 14.39%
Select Growth and Income Fund 4/18/94 17.54% 20.13% 15.33% 19.58% -98.28% 7.96% 7.66% 8.00%
Investment Grade Income Fund 4/20/94 1.31% 6.46% 6.95% 6.09% -100.00% -8.69% 1.78% -8.39%
Government Bond Fund 5/10/94 2.79% 5.22% 5.45% 5.38% -100.00% -10.29% -2.17% -9.52%
Money Market Fund 5/4/94 4.35% 4.42% 4.32% 4.36% -100.00% -11.33% -1.24% -10.77%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 4/6/94 5.45% 10.95% 10.86% 10.51% -100.00% -3.05% 2.09% -2.71%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/26/95 4.88% 8.64% 8.36% 9.79% -100.00% -5.93% -5.32% -11.07%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 4/6/94 4.29% 9.75% 9.44% 9.44% -100.00% -4.54% 4.59% -4.03%
Fidelity VIP Growth Portfolio 4/6/94 32.91% 26.47% 17.99% 22.92% -84.34% 15.26% 13.94% 11.96%
Fidelity VIP Equity-Income Portfolio 4/6/94 12.91% 20.27% 14.25% 19.86% -100.00% 8.13% 9.90% 8.44%
Fidelity VIP II Asset Manager Portfolio 5/11/94 9.93% 13.26% 11.73% 12.82% -100.00% -0.22% 7.00% -0.24%
Fidelity VIP High Income Portfolio 4/6/94 -2.23% 9.79% 10.22% 9.18% -100.00% -4.49% 5.46% -4.36%
</TABLE>
Performance returns given above are for the Vari-Exceptional Life ('93)
sub-accounts of FAFLIC and are net of all product charges (including surrender
charges) for a representative policy. The returns, except in the columns
designated as "Life of Sub-Account" assume an investment in the underlying funds
listed above on the date of inception of each Fund. Performance returns
designated as "Life of Sub-Account" assume an investment in the funds listed on
the date of inception of each Sub-Account. All full surrenders or withdrawals in
excess of the free amount may be subject to a declining surrender charge. Please
refer to the prospectus for the assumptions used to calculate performance.
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.
Product Performance Summary 11
<PAGE>
Vari-Exceptional Life `93 (AFLIAC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Vari-Exceptional Life ('93)
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 20.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 5/29/98 22.99% N/A 2.43% 11.79% -95.11% N/A -84.38% -95.04%
Select Aggressive Growth Fund 7/20/93 6.95% 18.91% 17.68% 15.69% -100.00% 5.04% 9.53% 4.94%
Select Capital Appreciation Fund 4/28/95 15.80% N/A 19.94% 19.94% -100.00% N/A 0.50% 0.50%
Select Value Opportunity Fund 7/18/93 4.19% 14.66% 13.38% 13.60% -100.00% -0.15% 2.83% 2.47%
Select International Equity Fund 5/3/94 4.34% 12.75% 11.45% 11.46% -100.00% -2.54% -3.48% -3.48%
Select Growth Fund 7/20/93 19.63% 24.89% 18.05% 20.09% -98.11% 12.11% 9.95% 10.07%
Select Strategic Growth Fund 5/29/98 8.67% N/A 6.19% 7.10% -100.00% N/A -82.53% -95.59%
Growth Fund 7/6/93 22.24% 22.87% 16.29% 19.41% -95.78% 9.75% 11.74% 9.44%
Equity Index Fund 7/18/93 21.64% 26.00% 19.77% 21.55% -96.32% 13.40% 14.49% 11.77%
Select Growth and Income Fund 7/26/93 17.54% 20.13% 15.33% 17.04% -100.00% 6.50% 6.84% 6.46%
Investment Grade Income Fund 7/19/93 1.31% 6.46% 6.95% 4.75% -100.00% -10.68% 1.30% -8.56%
Government Bond Fund 7/22/93 2.79% 5.22% 5.44% 4.23% -100.00% -12.34% -2.99% -9.27%
Money Market Fund 7/18/93 4.35% 4.42% 4.32% 4.03% -100.00% -13.43% -1.76% -9.48%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 7/18/93 5.45% 10.95% 10.52% 11.63% -100.00% -4.82% 0.70% 0.09%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/21/95 4.88% 8.76% 8.47% 9.83% -100.00% -7.64% -6.91% -13.83%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 7/20/93 4.29% 9.75% 9.45% 10.57% -100.00% -6.36% 4.16% -1.23%
Fidelity VIP Growth Portfolio 7/18/93 32.91% 26.47% 17.99% 21.17% -86.24% 13.95% 13.58% 11.33%
Fidelity VIP Equity-Income Portfolio 7/6/93 12.91% 20.27% 14.25% 18.18% -100.00% 6.67% 9.51% 8.01%
Fidelity VIP II Asset Manager Portfolio 5/10/94 9.93% 13.26% 11.73% 12.77% -100.00% -1.90% 6.56% -1.92%
Fidelity VIP High Income Portfolio 7/18/93 -2.23% 9.79% 10.22% 8.84% -100.00% -6.31% 5.03% -3.35%
</TABLE>
Performance returns given above are for the Vari-Exceptional Life ('93)
sub-accounts of AFLIAC and are net of all product charges (including surrender
charges) for a representative policy. The returns, except in the columns
designated as "Life of Sub-Account" assume an investment in the underlying funds
listed above on the date of inception of each Fund. Performance returns
designated as "Life of Sub-Account" assume an investment in the funds listed on
the date of inception of each Sub-Account. All full surrenders or withdrawals in
excess of the free amount may be subject to a declining surrender charge. Please
refer to the prospectus for the assumptions used to calculate performance.
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.
12 Product Performance Summary
<PAGE>
Variable Inheiritage (FAFLIC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Variable Inheiritage sub-accounts
of FAFLIC are summarized below. Keep in mind that these returns are net of all
product charges. For returns that do not reflect the deduction of product
charges, please refer to the individual Portfolio Reviews beginning on page 20.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 22.66% N/A 2.18% 2.18% -78.79% N/A -76.84% -76.84%
Select Aggressive Growth Fund 8/28/95 6.58% 18.63% 17.48% 15.83% -94.23% 11.63% 14.04% 1.82%
Select Capital Appreciation Fund 4/28/95 15.40% N/A 19.62% 19.62% -85.76% N/A 8.85% 8.85%
Select Value Opportunity Fund 9/17/95 3.82% 14.40% 13.15% 15.38% -96.88% 6.77% 8.25% 0.69%
Select International Equity Fund 5/3/94 3.97% 12.50% 11.21% 11.22% -96.73% 4.56% 3.50% 3.50%
Select Growth Fund 8/28/95 19.21% 24.59% 17.86% 24.54% -82.10% 18.33% 14.45% 12.24%
Select Strategic Growth Fund 2/20/98 8.32% N/A 5.90% 5.90% -92.56% N/A -72.83% -72.83%
Growth Fund 9/17/95 21.82% 22.58% 16.16% 22.85% -79.59% 16.09% 14.65% 9.70%
Equity Index Fund 10/19/95 21.21% 25.71% 19.61% 25.74% -80.18% 19.57% 17.75% 12.25%
Select Growth and Income Fund 9/10/95 17.13% 19.85% 15.14% 19.59% -84.10% 13.02% 11.49% 6.00%
Select Income Fund 9/11/98 0.68% 5.74% 4.68% -1.19% -99.89% -3.51% -0.21% -99.83%
Investment Grade Income Fund 12/15/96 0.96% 6.22% 6.83% 4.91% -99.62% -2.93% 4.80% -27.40%
Government Bond Fund 10/19/95 2.43% 4.98% 5.28% 4.14% -98.21% -4.44% 1.69% -14.62%
Money Market Fund 11/20/95 3.98% 4.18% 4.20% 4.18% -96.72% -5.43% 1.96% -15.57%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 10/19/95 5.08% 10.72% 10.69% 11.97% -95.67% 2.47% 6.28% -4.49%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 8/28/95 4.51% 8.51% 8.24% 9.32% -96.22% -0.16% 0.24% -6.29%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 9/10/95 3.92% 9.50% 9.32% 11.46% -96.78% 1.02% 7.46% -3.97%
Fidelity VIP Growth Portfolio 8/28/95 32.44% 26.18% 17.85% 22.08% -69.39% 20.09% 16.40% 9.34%
Fidelity VIP Equity-Income Portfolio 8/28/95 12.52% 19.99% 14.12% 18.86% -88.52% 13.17% 12.52% 5.49%
Fidelity VIP II Asset Manager Portfolio 5/11/94 9.55% 13.02% 11.61% 12.59% -91.38% 5.17% 9.81% 5.04%
Fidelity VIP High Income Portfolio 12/4/95 -2.57% 9.54% 10.10% 8.60% -100.00% 1.07% 8.29% -10.18%
</TABLE>
Performance returns given above are for the Variable Inheiritage sub-accounts of
FAFLIC and are net of all product charges (including surrender charges) for a
representative policy. The returns, except in the columns designated as "Life of
Sub-Account" assume an investment in the underlying funds listed above on the
date of inception of each Fund. Performance returns designated as "Life of
Sub-Account" assume an investment in the funds listed on the date of inception
of each Sub-Account. All full surrenders or withdrawals in excess of the free
amount may be subject to a declining surrender charge. Please refer to the
prospectus for the assumptions used to calculate performance.
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.
Product Performance Summary 13
<PAGE>
Variable Inheiritage (AFLIAC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Variable Inheiritage sub-accounts
of AFLIAC are summarized below. Keep in mind that these returns are net of all
product charges. For returns that do not reflect the deduction of product
charges, please refer to the individual Portfolio Reviews beginning on page 20.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 22.57% N/A 2.12% 2.12% -80.65% N/A -78.31% -78.31%
Select Aggressive Growth Fund 4/25/94 6.58% 18.64% 17.49% 15.96% -95.80% 10.99% 13.63% 8.41%
Select Capital Appreciation Fund 4/28/95 15.40% N/A 19.61% 19.61% -87.44% N/A 7.98% 7.98%
Select Value Opportunity Fund 6/1/94 3.82% 14.40% 13.15% 13.86% -98.42% 6.10% 7.75% 5.71%
Select International Equity Fund 5/3/94 3.97% 12.50% 11.21% 11.21% -98.28% 3.88% 2.84% 2.83%
Select Growth Fund 5/19/94 19.21% 24.60% 17.86% 23.16% -83.83% 17.71% 14.03% 16.39%
Select Strategic Growth Fund 2/20/98 8.29% N/A 5.90% 5.90% -94.18% N/A -74.30% -74.30%
Growth Fund 5/11/94 21.82% 22.59% 16.16% 22.06% -81.36% 15.46% 14.40% 15.21%
Equity Index Fund 9/19/94 21.21% 25.72% 19.61% 25.43% -81.94% 18.96% 17.45% 17.61%
Select Growth and Income Fund 5/1/94 17.13% 19.86% 15.14% 19.21% -85.80% 12.38% 11.07% 12.07%
Select Income Fund 1/21/97 0.69% 5.81% 4.73% 4.93% -100.00% -4.15% -0.62% -30.05%
Investment Grade Income Fund 5/1/94 0.96% 6.22% 6.83% 5.86% -100.00% -3.65% 4.53% -3.56%
Government Bond Fund 6/30/94 2.43% 4.98% 5.28% 4.98% -99.74% -5.17% 1.30% -5.16%
Money Market Fund 5/26/94 3.98% 4.18% 4.20% 4.15% -98.27% -6.16% 1.68% -5.88%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/11/94 5.08% 10.70% 10.67% 9.88% -97.23% 1.75% 5.80% 1.19%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 7/2/95 4.51% 8.49% 8.21% 9.78% -97.77% -0.89% -0.46% -4.96%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 4/28/94 3.92% 9.51% 9.33% 8.66% -98.32% 0.33% 7.20% -0.16%
Fidelity VIP Growth Portfolio 5/11/94 32.44% 26.19% 17.86% 24.51% -71.29% 19.48% 16.16% 17.94%
Fidelity VIP Equity-Income Portfolio 5/1/94 12.52% 19.99% 14.12% 19.33% -90.17% 12.53% 12.26% 12.21%
Fidelity VIP II Asset Manager Portfolio 5/11/94 9.55% 13.01% 11.60% 12.57% -92.99% 4.48% 9.53% 4.36%
Fidelity VIP High Income Portfolio 5/12/94 -2.57% 9.54% 10.10% 9.21% -100.00% 0.37% 8.02% 0.39%
</TABLE>
Performance returns given above are for the Variable Inheiritage sub-accounts of
AFLIAC and are net of all product charges (including surrender charges) for a
representative policy. The returns, except in the columns designated as "Life of
Sub-Account" assume an investment in the underlying funds listed above in the
date of inception of each Fund. Performance returns designated as "Life of
Sub-Account" assume an investment in the funds listed on the date of inception
of each Sub-Account. All full surrenders or withdrawals in excess of the free
amount may be subject to a declining surrender charge. Please refer to the
prospectus for the assumptions used to calculate performance.
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.
14 Product Performance Summary
<PAGE>
Allmerica Estate Optimizer (AFLIAC)
- --------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/99
For easy reference, the total returns for the Allmerica Estate Optimizer
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 20.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Sub- 10 Years or Life of 10 Years or Life of
Account or Life Sub- or Life Sub-
Inception 1 5 of Fund Account 1 5 of Fund Account
Sub-Accounts Date Year Years (if less) (if less) Year Years (if less) (if less)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/8/99 22.88% N/A 2.39% 32.78% 9.13% N/A -8.60% 1.17%
Select Aggressive Growth Fund 12/15/98 6.84% 18.93% 17.77% 24.91% -6.42% 15.93% 15.34% 1.38%
Select Capital Appreciation Fund 12/15/98 15.69% N/A 19.90% 25.36% 2.16% N/A 16.44% 1.62%
Select Value Opportunity Fund 12/15/98 4.09% 14.68% 13.43% 11.92% -9.09% 11.63% 10.78% -5.41%
Select International Equity Fund 12/15/98 4.23% 12.77% 11.48% 12.13% -8.95% 9.70% 8.45% -5.30%
Select Growth Fund 12/15/98 19.51% 24.90% 18.15% 18.71% 5.86% 21.94% 15.72% -1.86%
Select Strategic Growth Fund 12/15/98 8.56% N/A 6.15% 16.82% -4.76% N/A -4.88% -2.85%
Growth Fund 12/15/98 22.13% 22.89% 16.44% 26.61% 8.40% 19.92% 14.44% 2.27%
Equity Index Fund 12/15/98 21.52% 26.02% 19.91% 18.16% 7.81% 23.07% 17.78% -2.15%
Select Growth and Income Fund 12/15/98 17.42% 20.15% 15.42% 20.99% 3.83% 17.15% 12.98% -0.67%
Select Income Fund 2/19/99 0.94% 6.00% 4.94% -1.20% -12.14% 2.78% 2.42% -11.51%
Investment Grade Income Fund 12/15/98 1.21% 6.48% 7.09% -2.00% -11.88% 3.27% 5.23% -12.70%
Government Bond Fund 3/15/99 2.69% 5.23% 5.50% -0.68% -10.45% 1.99% 3.27% -11.09%
Money Market Fund 1/11/99 4.25% 4.44% 4.46% 1.84% -8.94% 1.17% 2.65% -10.59%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 12/15/98 5.35% 10.97% 10.60% 12.77% -7.87% 7.87% 8.09% -4.97%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 12/15/98 4.77% 8.78% 8.51% 8.89% -8.43% 5.63% 5.45% -7.00%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 12/15/98 4.18% 9.78% 9.59% 12.58% -9.00% 6.65% 7.69% -5.07%
Fidelity VIP Growth Portfolio 12/15/98 32.78% 26.49% 18.15% 22.02% 18.72% 23.54% 16.13% -0.13%
Fidelity VIP Equity-Income Portfolio 12/15/98 12.80% 20.29% 14.40% 18.49% -0.65% 17.30% 12.42% -1.97%
Fidelity VIP II Asset Manager Portfolio 12/15/98 9.82% 13.28% 11.87% 9.07% -3.54% 10.21% 9.91% -6.90%
Fidelity VIP High Income Portfolio 12/15/98 -2.32% 9.81% 10.37% 8.47% -15.30% 6.68% 8.45% -7.22%
</TABLE>
Performance returns given above are for the Allmerica Estate Optimizer
sub-accounts of AFLIAC and are net of all product charges (including surrender
charges) for a representative policy. The returns, except in the columns
designated as "Life of Sub-Account" assume an investment in the underlying funds
listed above on the date of inception of each Fund. Performance returns
designated as "Life of Sub-Account" assume an investment in the funds listed on
the date of inception of each Sub-Account. All full surrenders or withdrawals in
excess of the free amount may be subject to a declining surrender charge. Please
refer to the prospectus for the assumptions used to calculate performance.
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.
Product Performance Summary 15
<PAGE>
Variable Life Insurance Product Information
- --------------------------------------------------------------------------------
VEL 87, VEL 91, VEL 93 and Variable Inheiritage
Product Description
- --------------------------------------------------------------------------------
These policies are individual and joint survivorship flexible premium variable
life insurance policies with death benefits, policy value, and other features
traditionally associated with life insurance. The Policy is variable because the
Policy Value will increase or decrease depending on the investment experience of
the Sub-Accounts of the Separate Account. Under some circumstances, the Death
Benefit may vary with the investment experience of the Sub-Accounts.
Payment Schedule
- --------------------------------------------------------------------------------
The Policies are flexible premium because, unlike traditional insurance
policies, there is no fixed schedule for premium payments. The Policy Owner may
vary the frequency and amount of future premium payments, subject to certain
limits, restrictions and conditions set by Company standards and federal tax
laws.
Cash Value Access
- --------------------------------------------------------------------------------
The Policy Owner may make partial withdrawals, borrow up to the loan value of
your policy or surrender the policy for its Surrender Value. Loans and
withdrawals will reduce the Policy Value and Death Benefit.
Fixed Account Information
- --------------------------------------------------------------------------------
The Policy Owner may allocate part or all of your policy value to the Fixed
Account. The Fixed Account is a part of our General Account. The Company
guarantees amounts allocated to the Fixed Account as to principal and a minimum
rate of interest. The minimum interest the Company will credit on amounts
allocated to the Fixed Account is 4.0% compounded annually. Fixed Account
Guarantees are based on the claims-paying ability of the issuer.
Death Benefit
- --------------------------------------------------------------------------------
The Company will pay a Death Benefit to the Beneficiary when the Insured dies
while the policy is in effect. If the policy was issued as a Second-to-Die
policy, the Death Benefit will be paid on the death of the last surviving
insured. The Death Benefit is the Surrender Value of the policy after the final
premium payment date.
Charges and Fees
- --------------------------------------------------------------------------------
The following is a brief description of the Charges and Fees associated with the
policies. Please see the prospectus for a detailed description of the specific
charges that apply to your policy.
Surrender Charges: These policies provide for a contingent surrender charge
which will be deducted if the policy owner requests a full surrender of the
policy or a decrease in face amount during a surrender charge period.
Insurance Charges: Charges are deducted monthly to compensate the Company for
the anticipated cost of providing Death Proceeds and any additional options
selected. These charges vary depending on the type of policy and underwriting
class.
Transfers: The Company does not restrict the number of transfers among the sub-
accounts. The first 12 transfers may be made free of charge, subsequent
transfers may be charged a $10 fee per transfer.
Charges Against the Assets of the Separate Account: The Company assesses each
sub-account with a charge for mortality and expense risks assumed by the Company
and a charge for administrative expenses of the separate account.
State and Local Premium Tax Charge: A charge for state and local premium taxes
(if any) is deducted from each premium payment. The premium tax charge may vary
based on the insured's residence. An additional up-front sales load (premium
expense charge) may apply. The levels of fees and expenses vary among the funds.
Monthly Administration Charge: A monthly charge is assessed against the policy
to cover administration of the policy.
Underlying Fund Expenses: The funds incur investment advisory fees and other
expenses which are reflected in the variable account. The levels of fees and
expenses vary among the funds.
16 Variable Life Insurance Product Information
<PAGE>
Variable Life Insurance Product Information
- --------------------------------------------------------------------------------
Estate Optimizer
Product Description
- --------------------------------------------------------------------------------
This policy is a modified single premium life insurance policy with Death
Benefits, Policy Value, and other features traditionally associated with life
insurance. The Policy is variable because the Policy Value will increase or
decrease depending on the investment experience of the Sub-Accounts of the
Separate Account. Under some circumstances, the Death Benefit may vary with the
investment experience of the Sub-Accounts.
Payment Schedule
- --------------------------------------------------------------------------------
This Contract requires a single payment on or before the Date of Issue.
Additional payments may be made under certain circumstances.
Cash Value Access
- --------------------------------------------------------------------------------
The Contract Owner may make partial withdrawals, borrow up to the loan value of
the contract or surrender the contract for its Surrender Value. A withdrawal
reduces the Death Benefit by the same percentage that the amount withdrawn
reduces Policy Value. Loans and withdrawals may be taxable and could be subject
to a 10% tax penalty prior to age 59 1/2.
Fixed Account Information
- --------------------------------------------------------------------------------
The Contract Owner may allocate part or all of your policy value to the Fixed
Account. The Fixed Account is a part of the General Account. The Company
guarantees amounts allocated to the Fixed Account as to principal and a minimum
rate of interest. The minimum interest we will credit on amounts allocated to
the Fixed Account is 4.0% compounded annually. Fixed Account Guarantees are
based on the claims-paying ability of the issuer.
Death Benefit
- --------------------------------------------------------------------------------
The Company will pay a Death Benefit to the Beneficiary when the Insured dies
while the contract is in effect. If the contract was issued as a Second-to-Die
policy, the Death Benefit will be paid on the death of the last surviving
insured.
Charges and Fees
- --------------------------------------------------------------------------------
The following is a brief description of the Charges and Fees associated with the
policies. Please see the prospectus for a detailed description of the specific
charges that apply to your policy.
Surrender Charges: These policies provide for a contingent surrender charge
which will be deducted if the policy owner requests a full surrender of the
policy or a partial withdrawal within ten contract years from the Date of Issue.
This charge begins at 10% of the amount that exceeds the free 10% withdrawal
amount and decreases to 0% by the tenth contract year.
Insurance Charges: Charges are deducted monthly to compensate the Company for
the anticipated cost of providing Death Proceeds and any additional options
selected. These charges vary depending on the type of policy and underwriting
class.
Transfers: The Company does not restrict the number of transfers among the
sub-accounts. The first 12 transfers may be made free of charge; subsequent
transfers may be charged a $10 fee per transfer.
Charges Against the Assets of the Separate Account: The Company assesses each
sub-account with a charge of 0.90% on an annual basis for mortality and expense
risks assumed by the Company and a charge of 0.20% on an annual basis for
administrative expenses of the separate account.
Distribution Fee: For the first ten contract years only, a charge of 0.90% is
assessed on an annual basis for distribution expenses.
Federal and State Payment Tax Charge: For the first contract year only, a charge
of 1.50% is assessed on an annual basis for federal, state and local taxes.
Monthly Administration Charge: A monthly charge is assessed against the policy
to cover administration of the policy.
Underlying Fund Expenses: The funds incur investment advisory fees and other
expenses which are reflected in the variable account. The levels of fees and
expenses vary among the funds.
Variable Life Insurance Product Information 17
<PAGE>
1995: Favorable economic conditions result in large gains for the U.S. equity
markets. Europe turns in strongest performance of international equity markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
1997: Robust economic growth, declining interest rates and low unemployment
produce a third consecutive year of unprecedented gains for the U.S. stock
market.
1998: Worldwide economic problems cause considerable volatility for stocks. Yet,
the market posts its fourth consecutive year of double-digit gains.
1999: Signs of a global economic recovery boost the performance of commodities
issues. Investors shift their interest away from growth stocks in favor of more
attractively valued small- and mid-cap stocks.
The first six months of 1999 witnessed signs of a global economic recovery,
inducing a market rotation in favor of small- and mid-cap stocks, as well as
value stocks. In response to recovering developed and emerging markets, as well
as continued U.S. economic growth, investors shifted their attention away from
the more popular growth stocks toward opportunities in the broader market.
As the year began, investors gained confidence from the smooth introduction of
the euro, but worried about emerging markets and the impact of a potential
devaluation of the Brazilian currency. The financial contagion accompanying last
year's devaluation of the Russian ruble was clearly on investors' minds.
However, fears that Brazil would take emerging markets lower proved to be
unfounded, as Brazil's January currency devaluation was accepted quite well by
the world's markets. Ultimately, greater price and currency stability enabled
interest rates to fall throughout Latin America and Asia, helping the equity
markets. Investor confidence in the recovery of worldwide economies boosted the
performance of commodities issues, including oil, utility, and paper companies.
Helped by falling interest rates, government fiscal stimulus policies, and the
interest of American investors, Japan made a striking comeback as the best
performer among the world's major markets so far this year. Significant
contributors included Toshiba, Murata Manufacturing, and Takeda Chemical. The
European Central Bank surprised the markets in April by cutting rates by 0.50%,
sparking an all-time high in consumer confidence. The European stock markets
rallied further once the U.S. Federal Reserve decided to adopt a neutral bias
after imposing an interest rate increase of 0.25% on June 30. Positive economic
news emerged out of Germany and France. One notable performer was the German
telecommunications company, Mannesmann, having successfully made a host of
acquisitions including Telecom Italia. The outstanding performance of commodity-
based stocks
1999 JAN
Brazil devalues their currency and fears that a Brazilian "contagion" would
emerge, failed to materialize. Ultimately, greater price and currency stability
enable interest rates to fall in Latin America and Asia.
FEB
[GRAPHIC APPEARS HERE]
Investor confidence in global economic recovery promotes commodity-based stocks.
The petroleum market stabilizes, helping to drive stocks higher in the energy
sector.
MAR
[GRAPHIC APPEARS HERE]
Japan makes a striking comeback as the best performer among the world's major
markets due to falling interest rates, fiscal stimulus policies, and the
interest of American investors.
18 Domestic & International Equity Market Overview
<PAGE>
brightened the horizon on both domestic and international fronts.
As a result, investor interest turned toward exporting companies from Australia
and New Zealand. The subsequent stabilization of the petroleum market
contributed to an increase in oil prices, helping to drive stocks higher in the
energy sector.
Corporate profits in the U.S. continued to be troubled by problems in the Asian
market early in the year. Large gains continued within a select group of
large-cap and Internet stocks with very poor performance across the rest of the
market. Weaker demand for most commodities and exports from the U.S. muted
pricing power for many industries. Investors gravitated to stocks where revenue
growth was strong such as the Internet, health care, and large "brand name"
stocks. Old growth stocks were eclipsed by the new with America Online
surpassing Coca-Cola in market value. Mergers also gave the market a lift as BP
Amoco acquired Atlantic Richfield, BankBoston and Fleet agreed to merge, and the
AT&T-TCI deal was completed.
However, by the second quarter, the U.S. corporate profits recession appeared to
be ending. As a result, small- and mid-cap stocks experienced a revival as
investors turned their interest toward more value-oriented stocks.
Unfortunately, the growth sectors of the market weakened as the profit outlook
for growth stocks became overshadowed by fears that a renewed confidence in a
global economic recovery would lead to higher rates. With the broadening in the
market, investors adopted a renewed interest in the heavy industry sector, as
well as the basic materials, energy, consumer durables, retail trade and
financial sectors. The longest bull market in U.S. history continued its
stampede, enabling the financial sector to rebound from the lows of last
October. Health care became the weakest performing sector, suffering from
underperformance of large pharmaceutical holdings caused by reductions in
Medicare reimbursements.
Looking ahead, the Federal Reserve's proactive interest rate increase could keep
the economy in a modest growth phase as they work to keep inflation in check.
Improving global economic conditions should continue to encourage investors, who
have enjoyed, thus far, a welcome broadening in the market. It is expected that
the euro will rise toward the end of the year if the European markets continue
to gain strength. Investors are cautious with regard to Japan and Asia. For
Japan, the road toward economic recovery will be long and difficult, and the
commitment to reform may dissolve in Asia if their economies and asset prices
keep rising. Similarly, the economic outlook is still tenuous in Latin America
where there is alarming sensitivity to interest rate fluctuations, and the real
potential for political opposition in Brazil could impede economic progress.
1999 APR
[GRAPHIC APPEARS HERE]
The European Central Bank surprises the markets by cutting rates by 0.50%,
sparking an all-time high in consumer confidence.
MAY
Growth sectors of the market weaken, over fears that the recovery of worldwide
economies would lead to higher interest rates. Small- and mid-cap stocks
experience a revival as investors renew their interest in attractively valued
securities within the broader market.
JUN
[GRAPHIC APPEARS HERE]
In an effort to prevent inflation, the U.S. Federal Reserve raises interest
rates 0.25%. European markets rally once the Fed decides to loosen its
tightening bias in favor of a neutral interest rate position.
Domestic & International Equity Market Overview 19
<PAGE>
The Emerging Markets Fund returned 33.08% for the first half of the year,
trailing its benchmark MSCI Emerging Markets Free Index, which returned 39.87%.
The Fund slightly underperformed the peer group Lipper Emerging Markets Funds
Average which returned 34.59%.
Emerging markets began to recover during the first quarter. The financial
contagion that accompanied last year's devaluation of the Russian ruble failed
to materialize in the first quarter when Brazil devalued its currency. There was
a return of some confidence in Brazil, and Asia showed the first signs of
economic stability.
The recovery continued during the second quarter. Greater price and currency
stability enabled interest rates to fall throughout Latin America and Asia,
helping the equity markets to move higher.
As global growth has picked up, the outlook for the emerging markets has
improved significantly but a number of concerns still remain. U.S. economic
strength has supported the strong performance of the emerging markets this year.
Going forward, strong growth in the U.S., coupled with the improved global
situation, may lead to further U.S. interest rate increases to cool the domestic
economy. If this happens, a number of emerging markets could suffer due to their
reliance on exports to offset their weak domestic spending.
Fund management remains positive on the prospects of economic recovery in Asia,
particularly Korea. Within Latin America, management continues to prefer the
larger markets of Brazil and Mexico. Europe, the Middle-East and Africa remain
the Fund manager's least favorite areas overall, although certain countries in
Eastern Europe appear attractive.
Investment Sub-Adviser
Schroder Investment Management
North America Inc.
About the Fund
Seeks long-term growth of capital by investing in the world's emerging markets.
Portfolio Composition
As of June 30, 1999, the country
allocation of net assets was:
[GRAPH APPEARS HERE]
South Korea 14%
Mexico 13%
Taiwan 10%
Brazil 9%
South Africa 8%
India 8%
Greece 4%
Israel 3%
Other 31%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Emerging Markets Fund 23.98% N/A 3.31%
MSCI Emerging Markets Free Index 28.71% -0.82% 4.45%
Lipper Emerging Markets Funds Average 16.02% -1.46% -2.49%
Growth of a $10,000 Investment Since 1998
[GRAPH APPEARS HERE]
Fund Index
2/98 $10,000 $10,000
12/98 7,854 7,584
6/99 10,452 10,608
The Select Emerging Markets Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
The MSCI Emerging Markets Free Index is an unmanaged index of 26 emerging
markets. The Lipper Emerging Markets Funds Average is a non-weighted average of
172 funds within the emerging markets 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.
Please note that investments in international markets may involve political or
currency risks not associated with domestic investments. Investments in emerging
markets may expose investors to heightened risks.
20 Select Emerging Markets Fund
<PAGE>
The Select Aggressive Growth Fund returned 13.37% for the first half,
outperforming the Russell 2500 Index's return of 10.88%, but slightly trailing
the Lipper Capital Appreciation Funds Average, which returned 13.68%.
Market leadership shifted rapidly in the second quarter as a robust domestic and
global economy led to a strong rebound in cyclical stocks. Technology issues had
an exceptional first quarter on the strong performance of telecommunications and
internet-related stocks.
After underperforming large-cap stocks in the first quarter, smaller-cap stocks
exhibited exceptional performance throughout the second quarter. In the second
quarter, Asia's emerging markets roared back for their best performing quarter
in years. Declining interest rates and increasing liquidity drove returns. This
improvement in the economies of many emerging markets removed one of the
concerns of U.S. investors, encouraging them to look past a handful of large-cap
growth stocks for investment opportunities. Greater recognition of fundamental
strengths and attractive valuations helped spur the recent gains.
Strong stock selection in the retail trade sector helped performance.
Electronics and clothing chain stocks also drove performance. A relative
underweighting along with strong stock selection in the financial services
sector contributed to performance.
The Fed raised a key short-term interest rate by 0.25% on June 30, and shifted
its monetary policy stance to a neutral bias from its previous tightening
stance. These steps could keep the economy in a modest growth phase and limit
inflation concerns - both positives for the stock market. The Fund's manager
remains confident that the application of its proven, bottom-up investment
philosophy will continue to uncover promising stocks that can deliver solid
returns for long-term investors.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 7.81% 19.99% 18.85%
Russell 2500 Index 5.35% 17.88% 16.74%
Lipper Capital Appreciation Funds Average 20.04% 19.28% 16.40%
Growth of a $10,000 Investment Since 1992
[LINE GRAPH APPEARS HERE]
Fund Index
8/92 $10,000 $10,000
12/92 11,985 11,554
12/93 14,324 13,466
12/94 13,993 13,323
12/95 18,511 17,547
12/96 21,944 20,886
12/97 26,049 25,974
12/98 28,801 26,072
6/99 32,700 28,917
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
The Russell 2500 Index is an unmanaged composite of 2,500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Funds Average is a
non-weighted average of 264 funds within 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.
Please note that investments in small and mid-capitalization stocks may involve
greater volatility than investments in larger capitalization stocks.
Investment Sub-Adviser
Nicholas-Applegate Capital Management, L.P.
About the Fund
Invests in companies whose potential for rapidly growing earnings is not fully
reflected in their stock price.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Computer Software & Processing 16%
Retailers 14%
Computers & Information 8%
Electronic 8%
Medical Supplies 6%
Heavy Machinery 6%
Pharmaceuticals 5%
Home Construction, Furnishings & Appliances 4%
Other 33%
Select Aggressive Growth Fund 21
<PAGE>
The Select Capital Appreciation Fund returned 12.05% for the first half,
outperforming the Russell 2500 Index's return of 10.88%, but trailing the Lipper
Capital Appreciation Funds Average of 13.68%.
The market experienced a significant shift in sentiment during the second
quarter as large-cap stocks lagged their small and mid-cap peers.
The Federal Reserve raised interest rates slightly on June 30, 1999, the first
such increase in two years, in a pre-emptive strike against inflation. Investor
response to the increase was muted and the Fed's neutral stance regarding future
adjustments in interest rates was positively received. Stock valuations of many
large-cap market leaders remain near their historical highs, and could be
susceptible if a series of interest rate increases occur.
The largest contributor to performance in the second quarter, and in the first
half, was a dominant cellular phone and PCS provider who is benefiting from
strong subscriber growth. A contract manufacturer of personal computers also
contributed to performance. The largest detractor from performance in the first
half of the year was a provider of pharmaceutical and related services to
nursing homes. The company recently announced disappointing earnings related to
changes in Medicare reimbursement policies.
Although price leadership appears to have shifted in the last three months in a
welcome broadening of the market, it remains to be seen if this change is
sustainable in the face of rising interest rates. Growth prospects of many
smaller and mid-sized companies are significantly better than those of their
larger peers, and the stocks remain undervalued relative to the overall market.
The Fund's manager is therefore encouraged and continues to believe the Fund is
well-positioned, and should potentially prosper as the mid-cap sector benefits
from renewed investor interest.
Investment Sub-Adviser
T.Rowe Price Associates, Inc.
About the Fund
TheFund seeks to construct a diversified portfolio of mid-cap growth stocks
selling at a reasonable price.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
Computer Software & Processing 15%
Retailers 10%
Electronics 9%
Pharmaceuticals 8%
Commercial Services 5%
Medical Supplies 5%
Insurance 4%
Telephone Systmes 4%
entertainment & Leisure 4%
Other 36%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Capital Appreciation Fund 16.74% N/A 21.00%
Russell 2500 Index 5.35% 17.88% 18.15%
Lipper Capital Appreciation Funds Average 20.04% 19.28% 20.28%
Growth of a $10,000 Investment Since 1995
[LINE GRAPH APPEARS HERE]
Fund Index
4/95 $10,000 $10,000
12/95 13,956 12,176
12/96 15,184 14,493
12/97 17,352 18,023
12/98 19,760 18,091
6/99 22,141 20,062
The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
The Russell 2500 Index is an unmanaged composite of 2500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Funds Average is a
non-weighted average of 264 funds within 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.
22 Select Capital Appreciation Fund
<PAGE>
With a return of 5.51% for the period ended June 30, 1999, the Select Value
Opportunity Fund trailed its benchmark, the Russell 2500 Index, which returned
10.88%.
This year's shift in market sentiment from growth-oriented stocks to
value-oriented stocks greatly contributed to performance. The Fund was
underweighted in technology during the first quarter, a plus given the sector's
lagging performance. Later in the year, lower prices for many technology stocks
represented good value and the Fund built its technology allocation from 1.1% to
8.6% of the Fund. This move helped performance as the technology sector rallied
during the second quarter. The Fund's other key performers included cyclical
stocks, which were successful largely due to the market's rotation in favor of
value stocks. Several specific stocks added to performance based on individual
company circumstances such as the upgrading of physical plants and consistent
consumer interest. Health care was the Fund's main detractor as several holdings
suffered from Medicare's reductions in reimbursement as well as a rise in
pharmaceutical costs.
The recent broadening of the market and the strong performance of small- and
medium-capitalization stocks encourage the Fund's managers. Signs of a
continuation of corporate restructuring are apparent, notably within ten of the
Fund's top fifteen holdings. The Fund remains positioned to take advantage of
the market's shift to smaller companies and value stocks and the managers
continue to search all industries for stable, attractively priced companies with
the resources to enhance shareholder value.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Value Opportunity Fund 5.03% 15.70% 14.44%
Russell 2500 Index 5.35% 17.88% 15.71%
Lipper Small-Cap Funds Average 1.93% 16.52 14.55%
Growth of a $10,000 Investment Since 1993
[LINE GRAPH APPEARS HERE]
Fund Index
4/93 $10,000 $10,000
12/93 11,774 11,454
12/94 11,007 11,333
12/95 12,944 14,925
12/96 16,637 17,765
12/97 20,772 22,093
12/98 21,783 22,177
6/99 22,983 24,597
The Select Value Opportunity Fund is portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
The Russell 2500 Index is an unmanaged composite of 2,500 small- to
mid-capitalization stocks. The Lipper Small- Cap Funds Average is a non-weighted
average of 698 small company 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.
Please note that investments in small and mid-capitalization stocks may involve
greater volatility and business risk than investments in larger capitalization
stocks.
Investment Sub-Adviser
Cramer Rosenthal McGlynn, LLC
About the Fund
Invests in attractively valued small-to mid-sized companies believed to have
above-average potential for capital appreciation.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Heavy Machinary 9%
Commercial Sirvices 9%
Health Care Providers 8%
Banking 7%
Electric Utilities 7%
Oil & Gas 6%
Retailers 5%
Automotive 4%
Metals 4%
Communications 4%
Household Products 4%
Others 33%
Select Value Opportunity Fund 23
<PAGE>
The Select International Equity Fund returned 6.94% for the first half, handily
outperforming the Morgan Stanley EAFE Index, which returned 4.11%.
During the first quarter, Fund performance was driven higher by strong growth in
European telecommunications stocks, and several Japanese stocks in the
Technology Innovation theme. Stocks in the Growth in Personal Savings Products
theme had a negative impact on performance. Pharmaceutical stocks in the
Healthcare Needs theme also suffered in the first quarter.
During the second quarter, the European Central Bank cut interest rates 0.50%,
sparking a rally in European stock markets. Markets were also boosted by more
positive economic news out of Germany and France. Unfortunately, the U.K. market
was soft, rising significantly in April, but weakening in May as new U.K.
economic data was weaker than expected.
In June the Japanese equity market rallied strongly. Asian markets were also
strong, helped by falling interest rates. Japan has been the best performer
among the world's major markets climbing over 20% this year.
The Growth in Telecommunications theme made the most positive contribution to
the Fund's performance. A number of Japanese companies in the Technological
Innovation theme were also significant positive contributors to performance. On
the negative side, a number of stocks in the Healthcare Needs theme continued to
struggle.
The Fund's manager remains concerned about the high level of valuations and the
narrowness of strength in most global equity markets. The Fund manager will
continue to look for value in companies that will profit in the single currency
environment in Europe and from the resurgence of economic activity in the U.K.
and Asia.
Investment Sub-Adviser
Bank of Ireland Asset Management (U.S.) Limited
About the Fund
Seeks maximum long-term total return by investing in established non-U.S.
companies based on fundamental value and strong opportunities.
Portfolio Composition
As of June 30, 1999, the country allocation of net assets was:
[BAR GRAPH APPEARS HERE]
United Kingdom 29%
Japan 15%
Switzerland 10%
Germany 9%
Northerlands 9%
France 8%
Australia 5%
Other 15%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select International Equity Fund 5.18% 13.78% 12.47%
Morgan Stanley EAFE Index 7.92% 8.52% 8.42%
Lipper International Funds Average 4.83% 8.89% 8.58%
Growth of a $10,000 Investment Since 1994
[LINE GRAPH APPEARS HERE]
Date Fund Index
- ---- ---- -----
5/94 $10,000 $10,000
12/94 9,651 10,008
12/95 11,545 11,164
12/96 14,078 11,874
12/97 14,733 12,118
12/98 17,161 14,528
6/99 18,352 15,184
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Funds Average is a non-weighted
average of 570 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.
Please note that investments in international markets may involve political or
currency risk not associated with domestic investments.
Select International Equity Fund 24
<PAGE>
For the first half of the year, the Fidelity VIP* Overseas Portfolio returned
8.06%, outperforming its benchmark Morgan Stanley EAFE Index, which returned
4.11%.
Year to date, the Portfolio's performance was aided by a continued
underweighting in the United Kingdom and Germany, but hurt by overweighting
France and the Netherlands. The Portfolio maintained these geographic weightings
during both the first and second quarters. Strong stock selection in the
European markets played a role during the first and second quarters with top ten
holdings, many in the energy sector, producing returns outpacing the EAFE Index.
Detracting from the Portfolio's performance was an underweighted position in
Japanese stocks. Japan and Hong Kong were strong-performing markets during both
quarters. Stock selection in durables, non-durables, and the health care sector
also hurt performance during the first quarter. Poor performance within the
health care sector continued to haunt the Portfolio into the second quarter with
underperformance from several large pharmaceutical holdings.
The Portfolio's largest sector commitments continue to be in financial services,
utilities, health care, and energy. As the first half of 1999 ended, the
Portfolio maintained its underweighted positions in the United Kingdom, Germany,
and Japan, and overweighted positions in France and the Netherlands.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Fidelity VIP Overseas Portfolio 5.12% 10.76% 10.58%
Morgan Stanley EAFE Index 7.92% 8.52% 6.90%
Lipper International Funds Average 4.83% 8.89% 9.39%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Date Fund Index
- ---- ---- -----
6/89 $10,000 $10,000
12/89 12,218 11,762
12/90 12,014 9,020
12/91 12,976 10,145
12/92 11,584 8,945
12/93 15,912 11,891
12/94 16,188 12,851
12/95 17,763 14,337
12/96 20,100 15,249
12/97 22,422 15,562
12/98 25,282 18,728
6/99 27,321 19,497
Portfolio composition will vary over time.
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.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Funds Average is a non-weighted
average of 570 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.
*VIP refers to Variable Insurance Products Fund.
Please note that investments in international markets may involve political or
currency risks not associated with domestic investments.
Investment Adviser
Fidelity Management & Research Company
About the Fund
Seeks long-term capital appreciation, by investing primarily in foreign
securities of companies whose principal business activities are outside the U.S.
Portfolio Composition
As of June 30, 1999, the country allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Japan 22%
United Kingdom 19%
France 12%
Germany 8%
Notherlands 7%
Switzerland 6%
USA 6%
Italy 4%
Spain 3%
Australia 3%
Other 10%
Fidelity VIP Ocerseas Portfolio 25
<PAGE>
For the six-month period ended June 30, 1999, the T. Rowe Price International
Stock Portfolio posted a 3.79% return, slightly trailing its benchmark, the MSCI
EAFE Index which rose 4.11%.
The Portfolio slightly trailed the Index mainly because of its underweighting in
Japan, where signs of some economic recovery encouraged foreign investment.
Offsetting this, the Portfolio was overweighted in Latin America, where Mexico
benefited from solid economic growth and Brazil responded positively to a stable
currency and declining interest rates. Country allocation was hurt by the
Portfolio's underweighted position in Japanese banks. Weak security selection
within the U.K., Sweden, and Germany was roughly offset by strong stock
selection in Japan, Switzerland, and France.
Looking ahead, the Portfolio's managers consider the international markets
well-positioned for stronger growth. They anticipate the euro to rise toward
year-end and are watching Japan and Asia carefully, as essential economic and
corporate restructuring must continue. Similarly, Latin America is sensitive to
changes in interest rates and in Brazil political opposition could impede
economic progress. The managers believe that U.S. growth will moderate under the
influence of higher interest rates and speculate that international markets
should withstand a potential decline in U.S. demand.
Investment Adviser
Rowe Price-Fleming International, Inc.
About the Fund
The Portfolio seeks long-term growth through a highly diversified portfolio of
foreign stocks.
Portfolio Composition
As of June 30, 1999, the country allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Europe 67%
Japan 18%
Pacific Rim 7%
Latin America 4%
Other and Reserves 4%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
T.Rowe Price International Stock Portfolio 5.72% 9.76 9.49%
Morgan Stanley EAFE Index 7.92% 8.52% 9.14%
Lipper International Funds Average 4.83% 8.89 8.54%
Growth of a $10,000 Investment Since 1994
[LINE GRAPH APPEARS HERE]
Date Fund Index
- ---- ---- -----
3/94 $10,000 $10,000
12/94 10,180 10,435
12/95 11,318 11,640
12/96 12,982 12,380
12/97 13,384 12,615
12/98 15,508 15,180
6/99 16,093 15,832
Portfolio composition will vary over time.
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.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Funds Average is a non-weighted
average of 570 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.
Please note that investments in international markets may involve political or
currency risks not associated with domestic investments.
26 T. Rowe Price International Stock Portfolio
<PAGE>
For the six-month period ended June 30, 1999, the Delaware Group Premium Fund
International Equity Series gained 8.30%, outperforming its benchmark, the
Morgan Stanley EAFE Index, which returned 4.11%.
Uncertain of the euro's prospects, the managers focused on countries that did
not participate in the European Monetary Union convergence. The U.K. remained
the Series' largest country allocation. As countries like Brazil and Japan
showed signs of recovery, the dominance of growth investments began to wane,
benefiting many cyclical industries and value stocks in which the Portfolio was
invested. Throughout the first half of this year, Japan experienced a modest
economic recovery that drove stock prices higher. Although investments in
less-expensive Japanese stocks benefited the Series' performance, it was
difficult to keep pace with the benchmark and its more substantial allocation to
the Japanese market.
Investor confidence in the recovery of worldwide economies boosted the
performance of commodities issues, including oil, utility, and paper companies.
Heavy investments in Australia, New Zealand, and other countries whose
performance benefited from growing investor interest in commodity-based stocks
greatly contributed to total returns.
In the coming months, the Series' country allocations should remain relatively
stable. Despite recent encouraging economic growth figures, the managers view
the Japanese market as overvalued and subject to a long and difficult recovery.
For this reason the manager does not anticipate increasing the allocation to
Japan. The U.K. appears to offer attractively valued stocks and the manager
believes it will continue as the largest allocation in the Series for the near
future. If global economies continue to demonstrate stronger growth, investors
may remain focused on a broader base of companies, including reasonably priced
value stocks like those held in the Series.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
DGPF* International Equity Series 6.30% 11.97% 11.60%
Morgan Stanley EAFE Index 7.92% 8.52% 12.63%
Lipper International Funds Average 4.83% 8.89% 12.50%
Growth of a $10,000 Investment Since 1992
[LINE GRAPH APPEARS HERE]
Fund Index
10/92 $10,000 $10,000
12/92 10,030 10,152
12/93 11,632 13,498
12/94 11,932 14,585
12/95 13,598 16,262
12/96 16,322 17,305
12/97 17,400 17,661
12/98 19,197 21,251
6/99 20,791 22,115
*DGPF refers to Delaware Group Premium Fund.
Portfolio composition will vary over time.
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.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Funds Average is a non-weighted
average of 570 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.
Please note that investments in international markets may involve political or
currency risks not associated with domestic investments.
Investment Adviser
Delaware International Advisers Ltd.
About the Fund
A value-oriented equity portfolio which seeks capital appreciation and income by
investing in companies domiciled outside the United States.
Portfolio Composition
As of June 30, 1999, the country allocation of net assets was:
[BAR GRAPH APPEARS HERE]
UK 30%
Japan 16%
Australia 12%
Germany 10%
France 9%
Spain 7%
Netherlands 5%
Hong Kong 3%
New Zealand 3%
Belgium 2%
Other 3%
DGPF* International Equity Series 27
<PAGE>
The Fidelity VIP* Growth Portfoli0 returned 14.42% in the first half,
outperforming both the Russell 3000 Growth Index return of 10.63% and the Lipper
Growth Funds Average return of 11.65%
Overweighted positions in technology and media & leisure contributed to
performance during the first quarter. Stock selection was particularly strong in
these sectors. Holdings in industry-leading bellwether technology companies and
second-tier telecommunications stocks were notable contributors. Offsetting
positive first quarter performance were disappointing results from a large
producer of tobacco.
The Portfolio's strong second quarter performance versus the Russell 3000 Growth
Index was the result of favorable sector allocation combined with good stock
selection. Overweighted positions in the energy and utilities sectors
contributed to performance. Stock selection in the technology, nondurables, and
basic industries sectors yielded positive results. Investments in semiconductor
stocks and in some traditional, larger bellwether companies were notable
contributors. Offsetting positive first quarter performance were disappointing
results in aggressive telecom growth stocks.
At quarter end, stock selection continued to focus on large-capitalization
companies with better-than-average earnings growth potential, strong
fundamentals, and discounted valuations relative to the stock market. The
Portfolio was focused on health care, technology, and consumer discretionary
sectors. Commitment to health care was reduced slightly. In technology, the
Portfolio was focused on industry leaders.
Investment Adviser
Fidelity Management & Research Company
About the Fund
The Portfolio seeks long-term capital appreciation by investing principally in
common stocks with above-average growth prospects.
Portfolio Composition
As of June 30, 1999 the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Technology 28%
Health 17%
Finance 11%
Media & Leisure 10%
Retail & Wholesale 10%
Utilities 7%
Energy 5%
Non-Durables 5%
Basic Industries 3%
Indust. Mach. & Equip. 2%
Other 2%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Fidelity VIP Growth Portfolio 33.98% 27.63% 19.21%
S&P 500(R) Index 22.76% 27.87% 18.78%
Lipper Growth Funds Average 18.87% 22.64% 16.15%
Russell 3000 Growth Index 25.58% 28.27% 19.05%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Date Fund Index Russell 2000
- ----- ---- ----- ------------
6/89 $10,000 $10,000 $10,000
12/89 11,302 11,301 11,466
12/90 9,977 10,952 11,315
12/91 14,519 14,287 16,028
12/92 15,873 15,375 16,865
12/93 18,946 16,925 17,488
12/94 18,944 17,149 17,873
12/95 25,643 23,595 24,409
12/96 29,415 29,014 29,751
12/97 36,321 38,694 38,301
12/98 50,665 49,751 51,713
6/99 57,968 55,911 57,208
Portfolio composition will vary over time.
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
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R) is a
registered trademark of the Standard & Poor's Corporation. The Russell 3000
Growth Index measures the performance of those Russell 3000 Index companies with
higher price-to-book ratios and higher forecasted growth values. The Lipper
Growth Funds Average is a non-weighted average of 1067 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.
*VIP refers to Variable Insurance Products Fund.
28 Fidelity VIP Growth Portfolio
<PAGE>
The Select Growth Fund returned 9.41% for the first half of the year, trailing
the S&P 500 Index, which rose 12.38% for the period.
The longest bull market in U.S. history continued its stampede into 1999.
Particularly notable was the Dow Jones Industrial Average's sprint over the
milestone 10,000 mark. During the first quarter, large-cap stock prices set
records while small-cap stocks generally did not participate.
Strong economic fundamentals were broadly supportive of equity prices as the
U.S. unemployment rate fell to a record 29-year low, fourth-quarter GDP surged
at a higher-than-expected 6%, and consumer confidence rose. Interest rates rose
during the first quarter over fear of a Federal Reserve Board rate hike.
Continued economic expansion ultimately resulted in a 0.25% rate hike by the Fed
at the end of the second quarter.
In the second quarter, a dramatic shift in investor sentiment occurred as a
result of accelerating economic growth in the United States and overseas.
Investors sold large-cap growth stocks to buy economically sensitive, large-cap
value stocks selling at a discount to the market. Money also flowed into mid-
and small-cap stocks.
The Fund benefited from overweighting conglomerates, technology, and
communications services. Avoiding stocks of high-priced growth companies
experiencing a slowdown in their rate of profit growth also contributed to
results.
Underweighting economically sensitive, value-oriented basic materials, energy,
and capital goods stocks detracted from performance, as did weak performance in
the Fund's health care holdings.
The Fund's manager believes that improving global economic conditions will
continue to encourage investors. The manager's focus remains on identifying
companies that can improve their profits through a combination of increased
revenues and more efficient operations.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Growth Fund 20.59% 26.01% 19.23%
S&P 500(R) Index 22.76% 27.87% 21.76%
Lipper Growth Funds Average 18.87% 22.64% 18.56%
Growth of a $10,000 Investment Since 1992
[LINE GRAPH APPEARS HERE]
Fund Index
8/92 $10,000 $10,000
12/92 11,125 10,627
12/93 11,219 11,698
12/94 11,051 11,853
12/95 13,768 16,307
12/96 16,799 20,051
12/97 22,522 26,715
12/98 30,503 34,356
6/99 33,415 38,598
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500 (R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Funds Average is a non-weighted average of 1067 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
Putnam Investment Management, Inc.
About the Fund
Seeks long-term growth of capital by investing in stocks of companies believed
to have significant potential for capital appreciation.
Portfolio Composition
As of June 30, 1999, the sector
allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Retailers 11%
Telephone Systems 11%
Computers & Information 8%
Pharmaceuticals 8%
Computer Software & Processing 7%
Industrial-Diversified 7%
Banking 7%
Media-Broadcasting & Publishing 6%
Communications 6%
Other 29%
Select Growth Fund 29
<PAGE>
The Select Strategic Growth Fund returned 12.54% for the period, outperforming
the Standard & Poor's 500 Index and the Lipper Growth Funds Average, which
returned 12.38% and 11.65%, respectively.
Earlier in the year, investors gravitated to Internet stocks, which were still
showing huge revenue increases, and to other stocks perceived as safe from
economic problems in Asia. As the year progressed, investors realized that the
worst of the Asian problems were over and the U.S. economy remained strong. This
realization led investors to move out of many large growth stocks and into more
attractively valued cyclical and smaller-sized companies. The Fund benefited
from this market shift, posting strong returns during the second quarter.
For the six months ended June 30, the Fund's performance was characterized by
moderately more gainers than losers, but with strong gains more than offsetting
modest losses. Health care and financial services stocks detracted from
performance during the first half of the year. Stocks in the technology and
consumer cyclical sectors included most of the major gainers in the market and
contributed significantly to results.
The Fund's manager remains optimistic regarding the prospects for relative
performance. The U.S. economy is strong, while many emerging market economies
are stabilizing and in some cases improving. The recent interest rate increase
by the Fed was a preventative measure against inflation. Conditions in the
market and the economy appear to provide a favorable environment for the type of
stocks the Fund holds. Based on Wall Street analysts' consensus estimates, the
portfolio exhibits more than twice the earnings growth of the S&P 500, but sells
at a discount of more than 40%. The Fund's manager believes the potential for
continued strength is good.
Investment Sub-Adviser Cambiar Investors, Inc.
About the Fund
Seeks long-term growth of capital by investing primarily in
common stocks of established companies.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR CHART APPEARS HERE]
Computer Software & Processing 14%
Commercial Services 12%
Retailers 9%
Insurance 8%
Pharmacuticals 6%
Banking 6%
Oil & Gas 5%
Home Construction
Furnishings & Appliances 4%
Household Products 4%
Other 32%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Strategic Growth Fund 9.54% N/A 7.11%
S&P 500(R) Index 22.76% 27.87% 24.97%
Lipper Growth Funds Average 18.87% 22.64% 18.89%
Growth of a $10,000 Investment Since 1998
[LINE GRAPH APPEARS HERE]
Fund Index
2/98 $10,000 $10,000
12/98 9,753 12,038
6/99 10,976 13,529
The Select Strategic Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Funds Average is a non-weighted average of 1067 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.
30 THE SELECT STRATEGIC GROWTH FUND
<PAGE>
The Growth Fund outperformed the S&P 500 Index for the period, returning 18.66%
to the benchmark's 12.38%. The Fund also outperformed the Lipper Growth & Income
Funds Average return of 10.93%.
Excellent stock selection accounted for over 80% of the outperformance, with the
balance produced by favorable sector allocation.
The second quarter saw a broadening and deepening in the stock market. Both S&P
Mid-Cap and Small-Cap indices performed well. Investor sentiment shifted to
favor value stocks at the expense of growth stocks. Recovering developed and
emerging markets, along with continued U.S. economic growth, fueled an upward
price move in cyclical and value-oriented stocks. Growth sectors experienced
price weakness due to a rise in U.S. interest rates, a decrease in P/E
multiples, and a less favorable relative profit outlook for growth stocks due to
global economic recovery.
The second quarter ended with the Federal Reserve raising rates moderately but
simultaneously relaxing its tightening bias, reducing the growing concern of a
series of rate hikes designed to slow the economy and preempt higher inflation.
Strong stock selection occurred in technology, heavy industry, and retail.
Weakest stock selection took place in health care and financial services.
The Fund remains diversified across all economic sectors of the market. The
investment style-bias in the Fund remained value-tilted versus the S&P 500, and
at quarter-end stood at 56% growth stocks and 44% value, versus 59% growth
stocks and 41% value for the index. The Fund continues to be positioned with a
lower P/E multiple and higher earnings growth rate than the S&P 500 Index based
on the consensus estimates of Wall Street analysts.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Growth Fund 23.23% 23.98% 17.48%
S&P 500(R)Index 22.76% 27.87% 18.78%
Lipper Growth and Income Funds Average 14.48% 21.72% 15.13%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Fund Index
4/85
6/89 $10,000 $10,000
12/89 11,064 11,301
12/90 11,031 10,952
12/91 15,492 14,287
12/92 16,594 15,375
12/93 17,699 16,925
12/94 17,727 17,149
12/95 23,541 23,595
12/96 28,294 29,014
12/97 35,407 38,694
12/98 42,248 49,751
6/99 50,077 55,911
The Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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.
The S&P500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R) Index
is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth and Income Funds Average is a non-weighted average of 843 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, LLP
About the Fund
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Telephone Systems 11%
Insurance 10%
Computer Software &
Processing 8%
Banking 8%
Oil & Gas 8%
Retailers 6%
Pharmaceuticals 6%
Media - Broadcasting
& Publishing 5%
Computers & Information 5%
Communications 5%
Other 28%
Growth Fund 31
<PAGE>
Over the first half of 1999, the Equity Index Fund continued to closely track
the performance of the S&P 500 Index before fees. The Fund posted a 12.17%
return versus the Index return of 12.38%.
Blue chips and high-flying Internet stocks led the way during the first quarter.
The addition of America Online to the S&P 500 Index was one of the core leaders
with a surge of more than 90% in the quarter. Reflecting the eclipse of the old
growth stocks for the new, AOL surpassed Coca-Cola in market value. Mergers also
continued to give the market a lift during the first half of 1999, as BP Amoco
acquired Atlantic Richfield, BankBoston and Fleet agreed to merge, and the AT&T
- -TCI deal was completed.
During the second quarter, interest rates rose over concerns that robust
economic growth would increase inflationary pressure. The strong economy helped
the long-overlooked cyclical sector to outperform other industries and enabled
the financial sector to rebound from the lows of last October. In contrast, the
technology sector experienced some weakness during the second quarter.
Overall, the largest 15 companies in the S&P 500 generated mixed performance in
the first half of 1999. Citigroup, Microsoft, Cisco, and IBM led the way posting
in excess of 30% returns, while Pfizer and Coca-Cola had negative returns.
Consistent with the Fund's investment objective, the managers will continue to
seek to mirror the returns of the S&P 500 Index.
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Seeks to replicate the returns of the S&P 500(R)Index.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Banking 9%
Pharmaceuticals 9%
Telephone Systems 9%
Computer Software
& Processing 8%
Computers & Information 7%
Oil & Gas 6%
Retailers 6%
Beverages, Food &
Tobacco 6%
Industrial - Diversified 4%
Other 36%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Equity Index Funds 22.61% 27.14% 20.99%
S&P 500(R)Index 22.76% 27.87% 21.64%
Lipper S&P 500(R)Index Funds Average 22.18% 27.01% 21.19%
Growth of a $10,000 Investment Since 1990
[LINE GRAPH APPEARS HERE]
Fund Index
9/90 $10,000 $10,000
12/90 10,890 10,896
12/91 14,065 14,216
12/92 15,083 15,299
12/93 16,522 16,841
12/94 16,697 17,047
12/95 22,735 23,476
12/96 27,807 28,866
12/97 36,819 38,437
12/98 47,253 49,430
6/99 53,063 55,625
The Equity Index Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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.
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
S&P500(R) Index Funds Average is a non-weighted average of 100 funds within the
S&P500(R) Index 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.
32 Equity Index Fund
<PAGE>
J.P. Morgan assumed management of the Select Growth and Income Fund on April 1,
1999. During the first half of the year, the Fund's return of 13.60%
outperformed the S&P 500 Index's return of 12.38%.
During this time period, the market broadened out as investors moved away from
the high multiple growth stocks for the more economically sensitive cyclical
stocks. This broadening effect has been favorable to the Fund as it benefits
from being underweight in many of the former market leaders and overweight in
many of the formerly overlooked stocks. The Fund remains well positioned to
benefit from this valuation correction. The Fund's performance was also
positively impacted by stock selection during the first half of the year.
The Fund's managers expect the market broadening that began in the second
quarter to continue. The largest stocks still trade at a very large premium over
the rest of the market. The managers continue to believe that the market leaders
are over-priced and invest the majority of the Fund in a broadly diversified
portfolio of approximately 300 stocks. As always, the portfolio remains sector
and factor neutral relative to the benchmark and continues to focus solely on
stock selection.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Growth and Income Fund 18.48% 21.22% 16.48%
S&P 500(R) Index 22.76% 27.87% 21.76%
Lipper Growth & Income Funds Average 14.48% 21.72% 17.80%
Growth of a $10,000 Investment Since 1992
[LINE GRAPH APPEARS HERE]
Fund Index
8/92 $10,000 $10,000
12/92 9,989 10,627
12/93 11,025 11,698
12/94 11,105 11,853
12/95 14,473 16,307
12/96 17,550 20,051
12/97 21,501 26,715
12/98 25,032 34,356
6/99 28,470 38,598
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
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 Funds Average is a non-weighted average of 843 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
J. P. Morgan Investment Management Inc.*
About the Fund
Seeks a combination of long-term growth of capital and current
income by investing primarily in dividend-paying stocks and convertible
securities.
* J. P. Morgan Investment Management Inc. replaced John A. Levin & Co., Inc. as
Investment sub-adviser, effective April 1, 1999.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Banking 10%
Telephone Systems 9%
Pharmaceuticals 9%
Computers & Information 8%
Beverages, Food & Tobacco 6%
Oil & Gas 6%
Retailers 6%
Computer Software & Processing 6%
Electronics 5%
Other 35%
Select Growth and Income Fund 33
<PAGE>
The Fidelity VIP* Equity-Income Portfolio returned 12.70% for the first
half, outperforming both the benchmark Russell 3000 Value Index return of 12.27%
and the Lipper Equity Income Funds Average return of 8.98%.
Portfolio performance was helped by the manager's decision to overweight the
energy sector. Firmer oil prices during the first quarter and merger and
acquisition activity within the industry helped drive stock prices higher.
Utility and telecommunications holdings also helped performance. Performance was
negatively impacted by equities in the finance and consumer non-durables
sectors. Tobacco also declined.
During the second quarter, overweighting in basic industries and industrial
machinery helped performance. Cyclical companies operating in the basic
industry, energy, and durable sectors benefited from the reversal in market
sentiment during the second quarter. Prospects of solid earnings growth
throughout the broad market and a revival of global economies propelled value
investments higher. Good stock selection within basic industries helped
performance. Underweighting and good stock selection in the finance sector also
aided performance. Detracting slightly from performance was an underweighting in
the technology sector, and an overweighting in the poorly performing health care
sector.
As of June 30, the Portfolio's largest sector commitments were in finance,
utilities, energy, and industrial machinery. These four sectors made up 57.3% of
the Portfolio, with financial stocks dominating the top ten holdings.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Fidelity VIP Equity-Income Portfolio 13.82% 21.37% 15.34%
S&P 500(R) Index 22.76% 27.87% 18.78%
Lipper Equity Income Funds Average 11.36% 19.19% 13.78%
Russell 3000 Value Index 14.39% 23.66% 16.72%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Fund Index Russell
6/89 $10,000 $10,000 $10,000
12/89 10,160 11,301 10,726
12/90 8,605 10,952 9,777
12/91 11,310 14,287 12,261
12/92 13,221 15,375 14,088
12/93 15,640 16,925 16,716
12/94 16,747 17,149 16,391
12/95 22,623 23,595 22,460
12/96 25,854 29,014 27,311
12/97 33,125 38,694 36,824
12/98 36,977 49,751 41,796
6/99 41,671 55,911 46,926
Portfolio composition will vary over time.
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.
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
Russell 3000 Value Index measures the performance of those Russell 3000 Index
companies with lower price-to-book ratios and lower forecasted growth values.
The Lipper Equity Income Funds Average is a non-weighted average of 237 funds
seeking high current income and growth of income by investing more than 60% of
its portfolio in equities. 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.
*VIP refers to Variable Insurance Products fund.
Investment Adviser
Fidelity Management & Research Company
About the Fund
Seeks reasonable income by investing primarily in income- producing equity
securities.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Finance 24%
Energy 12%
Utilities 12%
Indust. Mach. & Equip. 9%
Basic Industries 7%
Media & Leisure 6%
Health 5%
Aerospace & Defense 5%
Non-Durables 4%
Technology 4%
Other 12%
<PAGE>
For the six-month period ended June 30, 1999, Fidelity VIP* II Asset Manager
Portfolio returned 5.26%, underperforming the S&P 500 Index and the Lipper
Flexible Portfolio Funds Average, which returned 12.38% and 6.24% respectively.
Overweighting equities relative to the neutral mix enhanced Portfolio
performance. Consumer spending remained robust during the first half of the year
driving prices generally higher. Security selection in technology and utilities
reversed their negative impact from the first quarter, contributing
significantly to the Portfolio's performance in the second quarter. Good stock
selection in the nondurables and retail & wholesale sectors also enhanced second
quarter performance.
The Portfolio's performance was hurt by several sector allocation decisions.
Underweighting the technology, finance, and media & leisure sectors detracted
from performance during the first quarter. However, the underweighted positions
in finance and media & leisure helped during the second quarter. Underweighting
the basic industry and energy sectors detracted from performance as cyclical and
value-oriented stocks experienced a significant revival during the second
quarter.
Within the fixed-income allocation, returns suffered from a general increase in
interest rates as the Federal Reserve raised rates 0.25% in response to strong
domestic economic growth.
The Portfolio's neutral asset mix is 50% stocks, 40% bonds, and 10% cash. During
the first half of 1999, the Portfolio benefited from an overweighted position in
equities, which ranged between 52% and 59%. The fixed-income allocation remained
stable around 36% to 38% although the Portfolio's managers slightly increased
exposure to mortgage-backed and corporate securities while trimming U.S.
Treasuries and asset-backed securities during the second quarter.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Fidelity VIP II Asset
Manager Portfolio 10.81% 14.30% 12.87%
S&P 500(R) Index 22.76% 27.87% 17.88%
Lipper Flexible Portfolio Funds Average 10.46% 16.25% 12.54%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Fund Index
---- -----
9/89 $10,000 $10,000
12/89 10,091 10,165
12/90 10,769 9,848
12/91 13,197 12,842
12/92 14,743 13,819
12/93 17,875 15,209
12/94 16,787 15,408
12/95 19,634 21,192
12/96 22,501 26,054
12/97 27,147 34,743
12/98 31,232 44,680
6/99 32,843 50,291
Portfolio composition will vary over time.
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.
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 Funds Average is a non-weighted average of 213 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.
*VIP refers to Variable Insurance Products fund.
Investment Adviser
Fidelity Management & Research Company
About the Fund
Seeks high long-term return with reduced risk by allocating assets among a
broadly diversified mix of stocks, bonds and money market investments.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Equities 57%
Bonds 37%
Short-Term/Money Market 6%
<PAGE>
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.
1996: Outlook for Federal Reserve policy affects U.S. bond market.
Long-predicted interest rate cuts, which would have fueled this market, never
occur.
1997: Low inflation and declining interest rates fuel the bond market, which
enjoys its best returns since 1995.
1998: During 1998, bond investments produced widely divergent results as a
series of dramatic swings either left them highly in favor or badly battered.
1999: The first half of 1999 was a turbulent period for the bond market.
Performance varied from the first quarter to the second, leaving the majority of
bond investors disappointed.
The first half of 1999 was a turbulent period for the bond market. Performance
varied from the first quarter to the second, leaving the majority of bond
investors disappointed.
The year began with a certain confidence in the stability of the domestic
economy. Agency, corporate, and mortgage-backed bonds rallied, encouraging
investors to take advantage of bond yield premiums that had been de-emphasized
during the Treasury rally of 1998. However, the economy grew more rapidly than
predicted and patterns of inflation, such as increasing commodity prices, became
evident. By the end of the second quarter the Federal Reserve raised interest
rates 0.25% against the threat of inflation. As the quarter progressed most
sectors tended to decline in value, treasuries suffering the greatest losses. On
the other hand, emerging markets showed signs of life in the second quarter and
a few emerging markets bonds made their debut as stand out performers.
The second quarter marked the first time in two years in which some foreign
markets outperformed the U.S. bond market. Throughout Asia, economic recovery
was evident and interest rates fell. Japan's economy, in particular, showed
great signs of recovery throughout the first half of this year, inspiring
enthusiasm among international investors. Latin America also fared well, the
most significant performers being Mexico and Brazil, both in the process of
economic recovery.
As a group, however, foreign markets underperformed the U.S. bond market in the
second quarter, the major culprit being Europe, where a backup in interest rates
has been significant. Introduced on January 1, the new European currency, the
"euro", lost 13% of its value against the dollar within six months. Many
European bonds sold at a great dis-
[TIME LINE APPEARS HERE]
1999 JAN
The new European Currency is introduced. Over the course of six months, the euro
loses 13% of its value against the dollar.
FEB
Investors take a cautious stance toward the rapidly growing economy and the
threat of an increase in interest rates by favoring the money market and U.S.
Treasuries.
A rally of agency, corporate, and mortgage-backed bonds encourages investors to
take advantage of bond yield premiums.
MAR
Corporate and securitized spreads widen, due principally to the high rate of net
new issuance from companies such as Sprint, Conoco, and Ford.
36 Bond & Money Market Overview
<PAGE>
count to American bonds, yet it appears unlikely that the European Central Bank
will tighten its monetary policy in the near future. A highly probable source of
the foreign market's underperformance is the Japanese selling of
euro-denominated issues in the face of the significant weakness of the euro
against both the dollar and the yen.
Although the Federal Reserve announced their decision to adopt a neutral bias in
conjunction with an increase in interest rates in late June, they are on the
lookout for signs that the domestic economy is strengthening, in which case a
more forceful bias will be in order. The record pace of corporate bond issuance
displayed late in the second quarter is one indicator that the economy is, in
fact, continuing to strengthen. The high rate of net new issuance, higher than
the total for any previous year with the exception of last year's, has been the
largest force in widening corporate and securitized spreads. The predominance of
"mega" issues, such as the Ford and earlier AT&T issues, has also tended to
reduce liquidity in the broader corporate market as more money is drawn to
relatively few large and liquid issues.
The money market also struggled as a result of the volatile economy but managed
to outperform the bond market. Ultimately, it was the very strength of the
economy that worried investors and the Federal Reserve about the potential for
higher inflation. The domestic economy turned out to be more resilient than
predicted. Housing and auto sales remained strong and corporate fundamentals
remained positive. Investors remained defensive against rising interest rates
over the last quarter and were rewarded by turning their attention to the
general security of the money market.
Looking ahead in the U.S. economy, interest rates appear to be near the top of
their projected trading range. Although corporate fundamentals remain positive,
corporate spreads are likely to experience volatility in expectation of large
new issues from companies such as Ford. Many foreign economies are in the
process of recovery, their bond markets benefiting from increasing investor
enthusiasm. Overall, the bond market seems to be in the process of gaining
stability. However, investors are remaining cautious and could favor U.S.
Treasuries.
[TIME LINE APPEARS HERE]
APR
Japan shows signs of economic recovery along with other foreign countries such
as Brazil and Mexico, marking the first time in two years in which some foreign
markets outperform the U.S. bond market. [GRAPHIC APPEARS HERE]
JUN
In response to rapid economic growth, the Federal Reserve combines a neutral
bias with a 0.25% raise in interest rates to guard against inflation.
[GRAPHIC APPEARS HERE]
MAY
As a group, foreign markets underperform the U.S. bond market, the major culprit
being Europe, where a backup in interest rates is significant.
Bond & Money Market Overview 37
<PAGE>
The Fidelity VIP* High Income Portfolio returned 7.96% during the first half,
outperforming the Merrill Lynch High Yield Master Index and Lipper High Current
Yield Bond Funds Average which returned 1.76% and 3.57%, respectively.
The Portfolio's strong first half performance can be largely attributed to an
overweighted position in the cable/telecommunications industry. This industry
experienced consolidation and significant new growth commensurate with the
explosion in worldwide demand for electronic data transmission. Excellent
securities selection in the paper, leisure, environmental, and energy sectors
also drove up performance. A slight detractor from Portfolio performance was a
specific credit in the supermarket industry.
As of June 30, securities of telecommunications, cable TV, and broadcasting
companies comprised over 45% of the Portfolio's assets. However, the cable
position was reduced over the second quarter. The Portfolio's position in
chemicals was increased as companies in that industry are benefiting from the
improving global economic outlook. The majority of the Portfolio's fixed income
holdings, comprising 46% of total assets, are rated "B."
Investment Adviser
Fidelity Management & Research Company
About the Fund
Seeks high income and growth of capital by investing primarily in high-yielding,
lower-rated, fixed-income securities.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Telecommunications 35%
Cable TV 12%
Healthcare 5%
Energy 4%
Capital Goods 4%
Specialty Retailing 4%
Diversified Financials 3%
Technology 3%
Metals/Mining 3%
Paper 2%
Other 25%
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Fidelity VIP High Income Portfolio -1.44% 10.80% 11.37%
Merrill Lynch High Yield Master 0.94% 10.06% 10.65%
Lipper High Current Yield Funds Average -1.44% 8.52% 9.23%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Fund Index
6/89 $10,000 $10,000
12/89 9,105 9,855
12/90 8,902 9,427
12/91 12,025 12,685
12/92 14,811 14,991
12/93 17,831 17,566
12/94 17,539 17,362
12/95 21,174 20,819
12/96 24,143 23,126
12/97 28,410 26,093
12/98 27,180 27,049
6/99 29,343 27,525
Portfolio composition will vary over time.
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.
The Lipper High Current Yield Funds Average is a non-weighted average of 290
funds that seek high current yield from fixed income securities. The Merrill
Lynch High Yield Master is a market capitalization weighted index of all
domestic and Yankee high-yield bonds. 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.
*VIP refers to Variable Insurance Products fund.
Please note that the Portfolio's unit price may be volatile due to the nature of
the high-yield bond marketplace. Prices of high-yield bonds tend to be more
sensitive to individual company and economic factors, rather than changes in
interest rates.
38 Fidelty VIP High Income Portfolio
<PAGE>
The Select Income Fund returned -1.17% for the first half of the year,
outperforming the -1.38% total return of the Lehman Brothers Aggregate Bond
Index for the same period.
During the first half of 1999, the portfolio was dominated by mortgage and
corporate bonds. Recovering from the slump in 1998, corporates and mortgages
outperformed Treasury/Agency holdings as confidence returned to the bond market
and spreads narrowed. This confidence was based on the strength of the U.S.
economy as consumers continued to spend freely and inflation stayed low. The
late June decision by the Federal Reserve to raise interest rates 0.25% and
remove their tightening bias gave the market needed support. Corporates and
mortgages thrived in this environment. The Fund's Managers reduced the Fund's
interest rate sensitivity and, as a result, the recent rise in interest rates to
over 6% did not negatively effect the Fund's performance.
Fund allocations were mildly altered. Treasuries and Agencies were marginally
increased from 10% to 15%. Mortgages remain high at slightly under 40% with the
balance of the Fund in corporates. Corporates and mortgages will continue to
dominate the Fund consistent with the belief that a strong domestic economy with
minimal inflation will continue during the second half of the year.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Select Income Fund 1.85% 6.96% 5.89%
Lehman Brothers Aggregate Bond Index 3.13% 7.82% 6.69%
Lipper Intermediate Investment
Grade Funds Average 2.00% 6.90% 6.13%
Growth of a $10,000 Investment Since 1992
[LINE GRAPH APPEARS HERE]
Fund Index
8/92 $10,000 $10,000
12/92 10,062 10,145
12/93 11,164 11,134
12/94 10,626 10,809
12/95 12,428 12,805
12/96 12,840 13,270
12/97 14,018 14,553
12/98 14,975 15,817
6/99 14,800 15,597
The Select Income Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed rate
debt issues with an investment grade rating at least one year to maturity and an
outstanding par value of at least $25 million. The Lipper Intermediate
Investment Grade Funds Average tracks the performance of 254 funds investing in
intermediate-term corporate and government debt securities. 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
Standish, Ayer & Wood, Inc.
About the Fund
The Fund seeks above-average income from corporate bonds, mortgages and
securities issued by the U.S. Government.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
U.S. Government and Agency Obligations 52%
Corporate Notes and Bonds 37%
Asset-Backed and Mortgage-Backed Securities 8%
Other 3%
Select Income Fund 39
<PAGE>
The Investment Grade Income fund posted a return of -1.67% for the first half of
the year compared to the -1.38% return of the Lehman Brothers Aggregate Bond
Index for the same period.
The first half of 1999 was a turbulent time for the U.S. bond market. As
confidence slowly returned to the market, investors moved away from the safety
of Treasuries and back into a variety of "spread" assets such as Government
Agency paper, corporate bonds, and mortgage-backed securities. This increase in
demand caused spreads to narrow and bond prices to rise. However, the economy
once again proved to be more resilient than many forecasters predicted.
Responding to a succession of strong economic indicators, interest rates rose in
anticipation of a monetary policy tightening. Yields for intermediate Treasuries
fluctuated 1.40% and ended the period more than 1.10% higher than they started
the year.
The overall rise in interest rates caused the bond market to post a negative
return for the period. (Bond prices move in the opposite direction to interest
rates.) In addition, the yield advantage of spread assets failed to materialize
as volatility continued to plague the market.
Looking ahead, the Fund's manager remains cautious. Interest rates appear to be
near the top of their projected trading range. However, corporate spreads are
likely to remain volatile in expectation of large new issues from companies such
as Ford. In light of this, the Fund's manager has a slightly higher than normal
allocation of U.S. Treasuries which can be swapped into corporate bonds if a
good buying opportunity appears.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Investment Grade Income Fund 2.13% 7.44% 8.05%
Lehman Brothers Aggregate Bond Index 3.13% 7.82% 8.15%
Lipper Intermediate Investment
Grade Funds Average 2.00% 6.90% 7.38%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Fund Index
6/89 $10,000 $10,000
12/89 10,418 10,488
12/90 11,253 11,426
12/91 13,137 13,251
12/92 14,232 14,234
12/93 15,770 15,622
12/94 15,303 15,167
12/95 18,034 17,968
12/96 18,675 18,618
12/97 20,440 20,149
12/98 22,069 22,192
6/99 21,701 21,884
The Investment Grade Income Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
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.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed rate
debt issues with an investment grade rating at least one year to maturity and an
outstanding par value of at least $25 million. The Lipper Intermediate
Investment Grade Funds Average tracks the performance of 254 funds investing in
intermediate-term corporate and government debt securities. 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
The Fund's objective is to generate a high level of total return by investing in
highly diversified, investment grade, fixed-income securities.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
U.S. Government and Agency Obligations 49%
Corporate Notes and Bonds 35%
Asset-Backed and Mortgage-Backed Securities 13%
Commercial Paper 2%
Other 1%
<PAGE>
For the first half of the year, the Government Bond Fund returned -0.69%,
underperforming its benchmark, the Lehman Intermediate Government Bond Index,
which returned -0.46%.
During the first and second quarters, the bond market was challenged by rising
interest rates and a resilient economy. As a result, Treasury yields rose and
"spread sectors" (agency and mortgage-backed securities) widened.
Mortgage-backed securities performed well during the first quarter only to give
back their outperformance during the second quarter. Investor demand for
mortgage-backed securities waned and durations extended with the rise in
interest rates. In an effort to offset several months of rapid prepayments, the
Fund's manager purchased additional mortgage-backed securities at relatively
attractive prices in an effort to maintain a 13% to 15% allocation to this
sector.
The Fund underperformed its benchmark for the first half of the year because of
its greater allocation to Agency paper and mortgage-backed securities. However,
the Fund's manager views this as a buying opportunity, and plans to purchase
additional agency issues in an effort to increase the weighting in this sector
to approximately 30% by the end of the third quarter. The Fund's manager
continues to employ the core strategy of overweighting agencies and utilizing
mortgage- and asset-backed securities to add higher yielding securities to the
portfolio.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years Life of Fund
Government Bond Fund 3.61% 6.18% 6.44%
Lehman Intermediate Government Bond Index 4.43% 6.87% 6.82%
Lipper Short-Intermediate
U.S. Government Funds Average 3.34% 5.87% 6.04%
Growth of a $10,000 Investment Since 1991
[LINE GRAPH APPEARS HERE]
Fund Index
6/91 $10,000 $10,000
12/91 10,727 10,660
12/92 11,434 11,399
12/93 12,292 12,330
12/94 12,184 12,114
12/95 13,775 13,860
12/96 14,259 14,423
12/97 15,269 15,537
12/98 16,441 16,856
6/99 16,328 16,783
The Government Bond Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
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.
The Lehman Intermediate Government Bond Index is an unmanaged index of U.S.
Government and Agency bonds with remaining maturities of one to ten years. The
Lipper Short-Intermediate U.S. Government Funds Average is the non-weighted
average performance of 96 funds investing in short- to intermediate government
securities. 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
Generates high income while seeking to preserve capital and maintain liquidity
by investing primarily in debt instruments issued or guaranteed by the U.S.
Government or its agencies.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
U.S. Government and Agency Obligations 90%
Asset-Backed and Mortgage-Backed Securities 9%
Other 1%
Government Bond Fund 41
<PAGE>
The Money Market Fund posted a 2.43% return for the six month period ending June
30, 1999, outperforming the IBC/Donoghue First Tier Money Market Index's return
of 2.13% for the same period.
The first quarter was turbulent for the U.S. bond market. However, economic
statistics released during the quarter presented evidence that the domestic
economy was more resilient than previously believed. Housing and auto sales
remained robust, unemployment reached historically low levels and inflation
remained subdued.
During the second quarter, investors continued to face volatile interest rates.
Strong economic indicators released during the quarter led to a dramatic rise in
interest rates. The rise in bond yields this year occurred despite few signs of
any change in the underlying rate of inflation.
In late June, the Federal Reserve tightened monetary policy by 0.25% to 5% in an
effort to slow the economy. Still, economic indicators are suggesting further
strength ahead. The housing market maintains considerable strength despite
rising mortgage rates. Consumer confidence is high and fosters a continuation of
consumer demand. Fed officials will remain on guard against inflation and have
demonstrated that they are willing to fine tune policy quickly.
The portfolio will continue to emphasize commercial paper holdings and
short/medium term notes as corporate fundamentals remain positive. Maximum
liquidity will be provided by a combination of agency securities and repurchase
agreements without sacrificing yield. The portfolio's average weighted maturity
will be structured between 65-80 days as stable cash flows enable the portfolio
to capitalize on steep yield curve opportunities.
Average Annual Total Returns
Years ended June 30, 1999 1 Year 5 Years 10 Years
Money Market Fund 5.19% 5.38% 5.40%
IBC/Donoghue First Tier
Money Market Index 4.61% 4.93% 4.98%
Lipper Money Market Funds Average 4.51% 4.90% 4.98%
Average Yield as of June 30, 1999
Money Market Fund 7-Day Yield 4.68%
Growth of a $10,000 Investment Since 1989
[LINE GRAPH APPEARS HERE]
Fund Index
6/89 $10,000 $10,000
12/89 10,426 10,421
12/90 11,278 11,235
12/91 11,981 11,873
12/92 12,435 12,268
12/93 12,807 12,591
12/94 13,311 13,056
12/95 14,088 13,766
12/96 14,843 14,438
12/97 15,654 15,161
12/98 16,517 15,913
6/99 16,918 16,252
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time. The Fund is neither insured nor
guaranteed the Federal Deposit Insurance Corporation or any other Government
Agency. Although the Fund seeks to maintain a net asset value of $1.00 per
share, it is possible to lose money by investing in the 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. 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
the average investment performance of 317 funds within the Money Market
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 Strives to maximize current income for investors while preserving
capital and liquidity.
Portfolio Composition
As of June 30, 1999, the sector allocation of net assets was:
[BAR GRAPH APPEARS HERE]
Commercial Paper 39%
Corporate Notes and Bonds 31%
U.S. Government and Agency Obligations 11%
Certificates of Deposit 10%
Municipal Bonds 4%
Other 5%
42 Money Market Fund
<PAGE>
- --------------------------------------------------------------------------------
Financials
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ----------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 91.5%
Argentina - 1.9%
4,100 Banco de Galicia S.A., Sponsored ADR $ 83,025
3,400 Banco Hipotecario, S.A. 34,685
17,800 Gas Natural Ban S.A. 35,605
12,000 Perez Companc S.A., Class B 69,610
13,000 Siderar S.A.I.C.* 40,955
20,500 Telecom Argentina Stet - France Telecom S.A., Class B 115,636
8,200 Telefonos de Argentina, Sponsored ADR 257,275
----------
636,791
----------
Botswana - 0.2%
47,000 Sechaba Breweries, Ltd. 54,205
----------
Brazil - 9.2%
4,200 Aracruz Celulose S.A., Sponsored ADR 92,400
7,772 CEMIG S.A., Sponsored ADR 162,195
14,400 Cia Cervejaria Brahma, ADR 162,900
21,100 Cia Paranaense Enernergia-Copel, Sponsored ADR 176,713
3,900 Cia Siderurgica Nacional S.A., Sponsored ADR 102,375
6,700 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar, GDR 125,206
22,300 Compania Vale Do Rio Doce, Sponsored ADR 442,742
27,200 Electrobras* 273,850
10,000 Embratel Partipacoes S.A., Sponsored ADR 138,750
13,500 Telesp Participacoes S.A., Sponsored ADR, Preferred 308,813
18,400 Petroleo Brasileiro S.A., Sponsored ADR 283,325
3,600 Tele Celular Sul Participacoes S.A., ADR 78,075
4,000 Tele Centro Sul Participacoes S.A., ADR 220,000
5,300 Tele Norte Leste Participacoes S.A., ADR* 96,725
900 Telecomunicacoes Brasileiras S.A., Preferred 81,169
2,100 Telecomunicacoes Brasileiras S.A.* 131
4,000 Telesp Celular Participacoes S.A., ADR* 107,000
9,400 Uniao de Bancos Brasileiros S.A., Sponsored GDR 226,188
----------
3,078,557
----------
Chile - 2.2%
2,400 Banco Santander Chile, Sponsored ADR 37,200
6,100 Chilectra S.A., ADR 131,985
2,100 Compania Cerveceri AS Unibas S.A., ADR 60,113
6,100 Compania de Telecomunicaciones, Sponsored ADR 150,975
6,500 Distribucion y Servicio, ADR 121,875
4,900 Embotelladora Andina S.A., Class B, Sponsored ADR 74,725
1,511 Enersis S.A., Sponsored ADR 34,564
6,000 Quinenco S.A., ADR 56,250
2,300 Sociedad Quimica y Minera de Chile S.A., ADR 81,363
86 Sociedad Quimica y Minera de Chile S.A., Sponsored ADR 3,010
----------
752,060
----------
China - 0.3%
5,000 Huaneng Power International, Sponsored ADR 85,625
----------
Croatia - 0.2%
5,650 Pliva D.D., GDR* 84,039
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------------------
<C> <S> <C>
Czech Republic - 0.9%
7,500 Ceska Spritelna A.S.* $ 36,173
7,900 Komercni Banka A.S.* 49,672
12,380 SPT Telecom A.S.* 199,987
----------
285,832
----------
Egypt - 0.2%
2,000 EFG-Hermes Holding, S.A.E., GDR 23,600
2,900 Oriental Weavers Co. 59,122
----------
82,722
----------
Greece - 4.4%
1,820 Antenna TV S.A., ADR* 25,025
7,474 Alpha Credit Bank S.A. 481,841
6,580 Hellenic Bottling Co. 159,025
14,738 Hellenic Telecommunication Organization 315,934
3,458 National Bank of Greece S.A. 226,254
3,960 STET Hellas Telecommunications S.A., ADR* 88,605
2,000 Titan Cement Co. S.A. 184,197
----------
1,480,881
----------
Hong Kong - 2.4%
356,000 Beijing Datang Power Generation Co. 114,703
34,000 Beijing Enterprises Holdings, Ltd. 70,111
84,000 China Merchants China Direct Investments, Ltd. 73,618
147,000 China Resources Beijing Land 33,722
57,000 China Resources Enterprise, Ltd. 100,645
60,000 China Telecom, Ltd.* 166,644
90,000 Cosco Pacific, Ltd. 74,817
34,000 New World Infrastructure, Ltd.* 63,978
60,000 Ng Fung Hong, Ltd. 49,878
266,000 Zhehuang Expressway Co., Ltd. 52,801
----------
800,917
----------
Hungary - 1.5%
10,570 Matav Rt., Sponsored ADR 290,675
6,640 MOL Magyar Olaj, GDR 160,048
1,500 OTP Bank Rt., GDR 62,574
----------
513,297
----------
India - 7.9%
3,100 Bajaj Auto, Ltd., Sponsored GDR 50,840
6,000 Gujarat Ambuja Cements, Ltd., GDR 49,200
2,400 Infosys Technologies, Ltd., ADR 139,200
21,800 ITC, Ltd., Sponsored GDR 613,670
16,000 Larsen & Toubro, Ltd., GDR 246,800
16,900 Mahanagar Telephone Nigam, Ltd., GDR 144,992
31,500 Mahindra & Mahindra, Ltd., GDR* 209,475
13,500 Ranbaxy Laboratories, Ltd., GDR 223,425
38,000 Reliance Industries, Ltd., GDR 381,900
32,000 State Bank of India, GDR 392,800
200 Tata Electric Co., Sponsored GDR 29,700
10,000 Tata Engineering and Locomotive Co., Ltd., GDR* 47,348
12,000 Videsh Sanchar Nigam, Ltd., GDR 126,476
----------
2,655,826
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-1
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ----------------------------------------------------------------------------
<C> <S> <C>
Indonesia - 2.9%
129,000 PT Astra International, Tbk* $ 58,463
2,660,000 PT Bank Internasional Indonesia* 76,608
47,000 PT Gudang Garam 126,458
57,000 PT Hanjaya Mandala Sampoerna Tbk* 129,584
95,000 PT Indofoods Sukses Makmur Tbk* 128,488
31,500 PT Indosat 59,828
678,780 PT Telekomunikasi Indonesia 390,638
----------
970,067
----------
Israel - 3.3%
33,690 Bank Hapoalim 86,270
107,000 Bank Leumi Le-Israel 201,834
23,070 Bezeq Israel Telecommunication Corp., Ltd.* 92,728
13,000 Blue Square-Israel, Ltd., ADR 206,375
6,980 ECI Telecommunications, Ltd., ADR 231,649
22,000 Supersol, Ltd. 64,504
4,760 Teva Pharmaceutical Industries, Ltd., Sponsored ADR 233,240
----------
1,116,600
----------
Luxembourg - 0.2%
6,600 Quilmes Industrial, ADR 81,675
----------
Malaysia - 0.5%
45,000 IOI Corp. Berhad 28,535
20,000 Petronas Gas Berhad 47,362
9,000 Resorts World Berhad 21,195
15,000 Tanjong Plc 37,298
18,000 Tenaga Nasional Berhad 41,441
----------
175,831
----------
Mauritius - 0.2%
85,000 State Bank of Mauritius, Ltd. 55,658
----------
Mexico - 12.9%
18,000 Alfa S.A. de C.V. 74,714
63,500 Cemex S.A. CPO 312,718
282,400 Cifra S.A. de C.V., Series C* 508,998
27,300 Consorcio ARA S.A.* 109,697
79,400 Controladora Comercial Mexicana S.A. 83,505
75,800 Fomento Economico Mexicano S.A. 299,357
56,600 Grupo Continental S.A.* 88,813
99,300 Grupo Financiero Banamex, Class O* 250,564
94,500 Grupo Industrial Bimbo, Series A 210,404
39,600 Grupo Industrial Saltillo, Class B 139,388
77,000 Grupo Modelo S.A. de C.V. 219,604
6,100 Grupo Televisa S.A., Sponsored GDR* 273,356
33,300 Industrias Penoles S.A. 96,384
64,300 Kimberly-Clark de Mexico, Series A 262,807
17,200 Telefonos de Mexico, Sponsored ADR 1,389,975
----------
4,320,284
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------------
<C> <S> <C>
Peru - 0.8%
84,138 Banco Continental $ 42,675
4,700 Compania de Minas Buenaventura S.A., Sponsored ADR 71,969
3,200 Credicorp, Ltd. 35,200
9,000 Telefonica de Peru, Sponsored ADR 136,125
----------
285,969
----------
Philippines - 2.2%
388,600 Ayala Corp. 127,500
283,600 Ayala Land, Inc. 89,334
42,050 Manila Electirc Co., Class B 151,203
9,000 Metropolitan Bank & Trust Co. 89,764
2,000 Philippine Long Distance Telephone Co. 60,892
4,700 Philippine Long Distance Telephone Co.* 143,097
39,600 San Miguel, Class B 86,269
----------
748,059
----------
Poland - 1.6%
11,850 Bank Handlowy W Warszawie, GDR* 164,611
10,500 Elektrim Spolka Akcyjna S.A. 148,509
2,790 KGHM Polska Miedz SA, GDR* 35,129
28,440 Telekomunikacja Polska S.A., GDR* 199,344
----------
547,593
----------
Russia - 1.6%
4,450 LUKoil Holding, Sponsored ADR* 176,220
23,030 Surgutneftegaz, Sponsored ADR* 182,743
20,110 Unified Energy Systems, GDR* 175,963
----------
534,926
----------
South Africa - 8.0%
38,000 ABSA Group, Ltd. 214,932
7,585 Anglo American Industrial Corp.* 354,281
33,650 Barlow, Ltd. 193,959
14,200 Ellerine Holdings, Ltd. 56,448
9,000 Fedsure Holdings, Ltd. 94,509
172,100 FirstRand, Ltd.* 196,693
52,000 Illovo Sugar, Ltd. 57,273
40,384 LA Retail Stores, Ltd.* 54,850
4,222 Liberty International Plc* 28,670
10,055 Liberty Life Association of Africa, Ltd. 128,737
113,800 Malbak, Ltd. 78,226
223,000 Metro Cash and Carry, Ltd.* 184,689
27,000 Nampak, Ltd. 74,682
125,000 Profurn, Ltd. 95,863
20,335 Rembrandt Group, Ltd. 169,417
167,700 Sanlam, Ltd.* 198,607
27,000 Sappi, Ltd. 197,664
22,200 Sasol, Ltd. 158,295
16,797 South African Breweries, Ltd. 145,783
----------
2,683,578
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-2
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------------------
<S> <C> <C>
South Korea - 12.9%
3,600 Daewoo Securities Co. $ 69,978
9,875 Kookmin Bank 200,486
14,007 Kookmin Bank, Sponsored GDR (A) 284,384
23,600 Korea Electric Power Corp. 980,700
500 Korea Telecom Corp., Sponsored ADR* 20,000
8,186 L.G. Chemical, Ltd. 222,772
2,440 Pohang Iron & Steel Co., Ltd. 288,795
2,500 Pohang Iron & Steel Co., Sponsored ADR 84,063
5,793 Samsung Electro-Mechanics Co. 200,190
13,863 Samsung Electronics Co. 1,521,037
24,200 Shinhan Bank 271,793
6,767 SK Corp. 194,679
----------
4,338,877
----------
Taiwan - 8.4%
35,500 Acer, Inc., GDR* 443,218
2,000 Advanced Semiconductor Engineering, Inc., GDR* 44,050
9,000 Asia Cement Corp.* (A) 80,807
20,720 Asustek Computer, Inc., GDR* 233,508
26,000 China Steel Corp., Sponsored GDR* 397,800
17,500 Evergreen Marine Corp., GDR* 218,892
24,530 Fubon Insurance Co., GDR* 271,888
23,689 Siliconware Precision Industries Co., GDR* 320,394
7,150 Synnex Technology International Corp., GDR* 148,760
15,212 Taiwan Semiconductor Manufacturing Co., ADR* 517,208
13,000 Winbond Electronics Corp., GDR* 147,311
----------
2,823,836
----------
Thailand - 2.6%
9,500 Advanced Info Service Public Co., Ltd.* 128,726
19,000 Bangkok Bank Public Co., Ltd.* 71,056
77,000 Electricity Generating Public Co., Ltd. 147,116
15,000 PTT Exploration and Production Public Co., Ltd.* 114,635
2,900 Siam Cement Co., Ltd.* 88,022
119,000 TelecomAsia Corp., Public Co., Ltd.* 120,131
24,000 Thai Farmers Bank Public Co., Ltd.* 74,146
37,000 Total Access Communication Public Co., Ltd.* 118,400
----------
862,232
----------
Turkey - 1.7%
2,541,550 Akbank Non-Tradable Receipts* 37,339
5,447,600 Akbank, T.A.S. 80,032
4,185,635 Haci Omer Sabanci Holding, AS 93,230
177,010 Migros Turk, TAS 220,203
9,845,993 Yapi ve Kredi Bankasi A.S. 142,317
----------
573,121
----------
Zimbabwe - 0.4%
1,240,000 Econet Wireless Holdings, Ltd.* 146,816
----------
Total Common Stocks 30,775,874
----------
(Cost $25,433,086)
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------
<S> <C> <C>
INVESTMENT COMPANIES - 1.8%
Taiwan - 1.8%
44,100 R.O.C. Taiwan Fund $ 355,556
12,000 Taiwan Fund, Inc. 249,000
-----------
Total Investment Companies 604,556
-----------
(Cost $551,027)
RIGHTS - 1.3%
South Korea - 1.1%
2,000 Korea Telecom Corp.* 95,800
200 SK Telecom Co., Ltd.* 270,496
-----------
366,296
-----------
Turkey - 0.2%
4,134,228 Yapi Ve Kredi Bankasi* 52,524
-----------
Total Rights 418,820
-----------
(Cost $210,981)
PREFERRED STOCKS - 0.3%
Thailand - 0.3%
77,000 Siam Commercial Bank Public Company, Ltd.* 109,556
-----------
Total Preferred Stocks 109,556
-----------
(Cost $74,584)
Total Investments - 94.9% 31,908,806
-----------
(Cost $26,269,678)
Net Other Assets and Liabilities - 5.1% 1,710,600
-----------
Total Net Assets - 100.0% $33,619,406
===========
</TABLE>
- ------------------
* Non-income producing security.
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At June 30, 1999, these securities
amounted to $365,191 or 1.09% of net assets.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
GDR Global Depositary Receipt. A negotiable certificate held in the bank of one
country representing a specific number of shares of a stock traded on an
exchange of another country.
See Notes to Financial Statements.
- --------------------------------------------
F-3
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Industry Concentration
of Total Investments
as a Percentage of Net
Assets:
<TABLE>
<S> <C>
Telephone Systems 18.2%
Banking 11.2
Electronics 8.2
Electric Utilities 7.5
Beverages, Food & Tobacco 7.1
Metals 5.1
Oil & Gas 4.2
Industrial - Diversified 4.1
Building Materials 2.7
Retailers 2.7
Computers & Information 2.5
Financial Services 2.2
Forest Products & Paper 2.1
Insurance 2.1
Food Retailers 2.0
Investment Companies 1.8
Pharmaceuticals 1.6
Real Estate 1.5
Mining 1.1
Communications 1.0
Transportation 1.0
Automotive 0.9
Chemicals 0.9
Media - Broadcasting &
Publishing 0.9
Heavy Machinery 0.7
Electrical Equipment 0.4
Computer Software &
Processing 0.4
Commercial Services 0.3
Heavy Construction 0.2
Textiles, Clothing &
Fabrics 0.2
Entertainment & Leisure 0.1
------
94.9%
======
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
Currency Contracts To Settlement Contracts At In Exchange Unrealized
Value Deliver Date Value for U.S. $ Depreciation
-------- ------------ ---------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C>
1,949,000 HKD 01/21/00 $ 249,889 $ 244,214 $ (5,675)
============ =========== ============
</TABLE>
- ------------------
HKD Hong Kong Dollars
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $26,465,472. Net unrealized appreciation (depreciation) aggregated
$5,443,334, of which $6,948,058 related to appreciated investment securities
and $1,504,724 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $13,148,001
and $6,871,968 of non-governmental issuers, respectively.
See Notes to Financial Statements.
------------------------------------------------------
F-4
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 99.3%
Computer Software & Processing - 16.2%
642,100 Acclaim Entertainment, Inc.* $ 4,093,378
104,000 Advantage Learning Systems, Inc.* 2,301,000
154,800 BMC Software, Inc.* 8,359,200
156,800 Citrix Systems, Inc.* 8,859,200
324,200 Compuware Corp.* 10,313,613
71,800 Electronics for Imaging, Inc.* 3,688,725
241,800 IMRglobal Corp.* 4,654,650
65,000 Jack Henry & Associates, Inc. 2,551,250
105,000 Microsoft Corp.* 9,469,688
176,000 Rational Software Corp.* 5,797,000
37,700 SEI Investment Co. 3,327,025
223,678 Siebel Systems, Inc.* 14,846,627
879,700 Sybase, Inc.* 9,676,700
337,700 Symantec Corp.* 8,611,350
351,200 Unisys Corp.* 13,674,850
216,600 Verity, Inc.* 11,737,013
66,400 Yahoo!, Inc.* 11,437,400
-----------
133,398,669
-----------
Retailers - 13.9%
215,800 Abercrombie & Fitch Co., Class A* 10,358,400
398,700 American Eagle Outfitters, Inc.* 18,140,850
167,200 AnnTaylor Stores Corp.* 7,524,000
330,000 Best Buy Company, Inc.* 22,275,000
142,600 Federated Department Stores, Inc.* 7,548,888
269,115 Intimate Brands, Inc. 12,749,323
262,000 Ross Stores, Inc. 13,198,250
400,800 TJX Cos., Inc. 13,351,650
223,400 Zale Corp. 8,936,000
-----------
114,082,361
-----------
Computers & Information - 8.1%
267,900 Apple Computer, Inc.* 12,407,119
148,000 Bell & Howell Co.* 5,596,250
214,200 Comverse Technology, Inc.* 16,172,100
328,800 EMC Corp.* 18,084,000
246,400 Seagate Technology, Inc.* 6,314,000
271,000 Xircom, Inc.* 8,146,938
-----------
66,720,407
-----------
Electronics - 7.6%
58,000 Cree Research, Inc.* 4,462,375
66,500 CTS Corp. 4,655,000
258,900 Power Integrations, Inc.* 18,932,063
183,300 RF Micro Devices, Inc.* 13,678,763
59,300 Sanmina Corp.* 4,499,388
246,700 Vitesse Semiconductor Corp.* 16,636,831
-----------
62,864,420
-----------
Medical Supplies - 5.7%
96,600 Allergan, Inc. 10,722,600
71,800 Danaher Corp. 4,173,375
281,600 VISX, Inc.* 22,299,200
187,400 Waters Corp.* 9,955,625
-----------
47,150,800
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------------
<C> <S> <C>
Heavy Machinery - 5.5%
127,200 Briggs & Stratton Corp. $7,345,800
169,500 Dycom Industries, Inc.* 9,492,000
152,700 Ingersoll Rand Co. 9,868,238
3,750 Manitowoc, Inc. 156,094
164,000 United Technologies Corp. 11,756,750
163,400 York International Corp. 6,995,563
----------
45,614,445
----------
Pharmaceuticals - 5.2%
212,700 Alpharma, Inc., Class A 7,564,144
151,000 Amerisource Health Corp., Class A* 3,850,500
116,900 Andrx Corp.* 9,015,913
115,000 Biogen, Inc.* 7,395,938
270,150 Medicis Pharmaceutical, Class A* 6,855,056
119,300 Medimmune, Inc.* 8,082,575
----------
42,764,126
----------
Home Construction, Furnishings & Appliances - 4.1%
319,400 Furniture Brands International, Inc.* 8,903,275
49,000 LADD Furniture, Inc.* 1,029,000
163,200 Maytag Corp. 11,373,000
174,600 Owens Corning 6,001,875
276,000 Pulte Corp. 6,365,250
----------
33,672,400
----------
Financial Services - 3.0%
180,600 Countrywide Credit Industries, Inc. 7,720,650
410,888 Metris Cos., Inc. 16,743,686
----------
24,464,336
----------
Insurance - 2.6%
129,600 Hartford Life, Inc., Class A 6,820,200
83,500 Pacificare Health Systems, Inc.* 6,006,781
225,500 Trigon Healthcare, Inc.* 8,202,563
----------
21,029,544
----------
Restaurants - 2.5%
260,900 Brinker International, Inc.* 7,093,219
359,200 Darden Restaurants, Inc. 7,835,050
101,900 Tricon Global Restaurants, Inc.* 5,515,338
----------
20,443,607
----------
Textiles, Clothing & Fabrics - 2.3%
248,200 Jones Apparel Group, Inc.* 8,516,363
91,200 K-Swiss, Inc., Class A 4,240,800
84,700 Tommy Hilfiger Corp.* 6,225,450
----------
18,982,613
----------
Transportation - 2.2%
298,500 Avis Rent A Car, Inc.* 8,693,813
159,300 Hertz Corp., Class A 9,876,600
----------
18,570,413
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-5
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -----------------------------------------------------
<C> <S> <C>
Aerospace & Defense - 2.2%
176,200 Gulfstream Areospace Corp.* $11,904,513
80,800 Textron, Inc. 6,650,850
-----------
18,555,363
-----------
Communications - 2.0%
247,400 Tellabs, Inc.* 16,714,963
-----------
Forest Products & Paper - 2.0%
183,500 Boise Cascade Corp. 7,890,500
184,600 Georgia-Pacific Corp. 8,745,425
-----------
16,635,925
-----------
Automotive - 1.9%
128,400 Arvin Industries, Inc. 4,863,150
36,800 General Motors Corp. 2,428,800
30,000 Meritor Automotive, Inc. 765,000
145,100 Navistar International Corp.* 7,255,000
-----------
15,311,950
-----------
Commercial Services - 1.8%
197,800 Labor Ready, Inc. 6,428,500
133,700 Ogden Corp. 3,601,544
107,200 Quintiles Transnational Corp.* 4,502,400
-----------
14,532,444
-----------
Telephone Systems - 1.5%
103,600 Exodus Communications, Inc.* 12,425,525
-----------
Chemicals - 1.4%
95,700 Church & Dwight Co., Inc. 4,162,950
222,300 Geon Co. 7,169,175
-----------
11,332,125
-----------
Building Materials - 1.2%
150,300 Southdown, Inc. 9,656,775
-----------
Health Care Providers - 1.1%
1,908 Coram Healthcare Corp.* 3,339
128,000 Laser Vision Centers, Inc.* 8,064,000
41,000 Lincare Holdings, Inc.* 1,025,000
-----------
9,092,339
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------------
<C> <S> <C>
Metals - 1.1%
283,800 CommScope, Inc.* $ 8,726,850
------------
Media-Broadcasting & Publishing - 1.0%
416,900 Valuevision International, Inc.* 8,285,888
------------
Heavy Construction - 0.9%
319,300 Lennar Corp. 7,663,200
------------
Beverages, Food & Tobacco - 0.7%
247,600 IBP, Inc. 5,880,500
------------
Banking - 0.6%
136,200 Net.B@Nk, Inc.* 5,175,600
------------
Advertising - 0.5%
48,000 DoubleClick, Inc.* 4,404,000
------------
Airlines - 0.5%
95,500 Alaska Air Group, Inc.* 3,987,125
------------
Total Common Stocks 818,138,713
------------
(Cost $552,321,641)
<CAPTION>
Par Value
---------
<C> <S> <C>
COMMERCIAL PAPER (A) - 1.1%
Financial Services - 1.1%
$8,860,000 Associates Corp. of North America
5.65%, 07/01/99 8,858,609
------------
Total Commercial Paper 8,858,609
------------
(Cost $8,858,609)
Total Investments - 100.4% 826,997,322
------------
(Cost $561,180,250)
Net Other Assets and Liabilities - (0.4)% (3,410,776)
------------
Total Net Assets - 100.0% $823,586,546
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $561,254,787. Net unrealized appreciation (depreciation) aggregated
$265,742,535, of which $293,685,623 related to appreciated investment securi-
ties and $27,943,088 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$207,403,449 and $260,986,210 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $54,902,200.
The value of collateral amounted to $56,381,800 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
------------------------------------------------------
F-6
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 97.8%
Computer Software & Processing - 14.7%
128,000 Acxiom Corp.* $3,192,000
145,000 Affiliated Computer Services, Inc., Class A* 7,340,625
43,200 BMC Software, Inc.* 2,332,800
79,000 Ceridian Corp.* 2,582,313
190,000 Ciber, Inc.* 3,633,750
19,000 Citrix Systems, Inc.* 1,073,500
13,850 DST Systems Inc.* 870,819
154,500 Gartner Group Inc., Class A* 3,167,250
24,000 Intuit, Inc.* 2,163,000
85,600 National Data Corp. 3,659,400
238,100 NOVA Corp.* 5,952,500
196,000 Parametric Technology Corp.* 2,719,500
180,000 Saville Systems Plc, Sponsored ADR* 2,610,000
41,000 Sterling Commerce Corp.* 1,496,500
127,000 SunGard Data Systems, Inc.* 4,381,500
82,000 Synopsys, Inc.* 4,525,375
----------
51,700,832
----------
Retailers - 10.0%
84,800 AutoZone, Inc.* 2,554,600
170,000 BJ'S Wholesale Club, Inc.* 5,110,625
124,200 Borders Group, Inc.* 1,963,913
108,000 Circuit City Stores, Inc. 10,044,000
40,000 Costco Cos., Inc.* 3,202,500
187,000 Family Dollar Stores, Inc. 4,488,000
66,000 Kroger Co.* 1,843,875
114,000 MSC Industrial Co., Class A* 1,168,500
61,000 Saks, Inc.* 1,761,375
91,000 Shopko Stores, Inc.* 3,298,750
----------
35,436,138
----------
Electronics - 8.7%
113,000 Analog Devices, Inc.* 5,671,178
61,500 Maxim Intergrated Products, Inc.* 4,089,750
94,500 Molex Inc., Class A 2,976,750
85,000 PMC Sierra, Inc.* 5,009,688
20,000 Sanmina Corp.* 1,517,500
129,000 SCI Systems, Inc.* 6,127,500
92,000 Xilinx, Inc.* 5,267,000
----------
30,659,366
----------
Pharmaceuticals - 8.2%
75,000 ALZA Corp., Class A* 3,815,625
134,000 AmeriSource Health Corp., Class A* 3,417,000
68,000 Biogen, Inc.* 4,373,250
33,000 Centocor, Inc.* 1,538,625
88,000 Gilead Sciences, Inc.* 4,598,000
39,000 Medimmune, Inc.* 2,642,250
88,000 Schein (Henry), Inc.* 2,788,500
6,600 Sepracor, Inc.* 536,250
37,800 Shire Pharmaceuticals Group, Plc* 982,800
86,000 Teva Pharmaceutical Industries, Inc., ADR 4,214,000
----------
28,906,300
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------
<C> <S> <C>
Commercial Services - 5.0%
1,400 Allied Waste Industries, Inc.* $ 27,650
24,000 Concord EFS, Inc.* 1,015,500
157,000 Interim Services Co.* 3,238,125
258,000 Republic Services, Inc.* 6,385,500
60,000 Robert Half International, Inc.* 1,560,000
192,000 Romac International, Inc.* 1,704,000
125,000 United Rentals, Inc.* 3,687,500
----------
17,618,275
----------
Medical Supplies - 4.7%
68,600 Danaher Corp. 3,987,375
29,000 KLA-Tencor Corp.* 1,881,375
41,800 Millipore Corp. 1,695,513
262,000 Omnicare, Inc. 3,307,750
152,000 Sybron International Corp.* 4,189,500
30,700 Waters Corp.* 1,630,938
----------
16,692,451
----------
Insurance - 4.0%
69,000 ACE, Ltd. 1,949,250
23,500 E.W. Blanch Holdings, Inc. 1,602,406
6,200 Fairfax Financial Holdings, Ltd.* 1,654,676
55,000 MGIC Investment Corp. 2,674,375
86,000 Protective Life Corp. 2,838,000
65,000 Radian Group Inc. 3,172,813
----------
13,891,520
----------
Telephone Systems - 3.7%
82,000 Crown Castle International Corp.* 1,706,625
194,200 VoiceStream Wireless Corp.* 5,522,563
221,000 Western Wireless Corp., Class A* 5,967,000
----------
13,196,188
----------
Entertainment & Leisure - 3.5%
128,000 Boyds Collection, Ltd.* 2,216,000
140,000 Premier Parks Inc.* 5,145,000
114,000 Royal Caribbean Cruises, Ltd. 4,987,500
----------
12,348,500
----------
Textiles, Clothing & Fabrics - 3.5%
177,000 Jones Apparel Group, Inc.* 6,073,313
232,000 Warnaco Group, Inc. 6,206,000
----------
12,279,313
----------
Beverages, Food & Tobacco - 3.4%
115,000 Richfood Holdings, Inc. 2,026,875
121,000 Suiza Foods Corp.* 5,066,875
117,000 U.S. Foodservice, Inc. 4,987,125
----------
12,080,875
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-7
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------------
<C> <S> <C>
Health Care Providers - 3.3%
138,000 Covance, Inc.* $3,303,375
103,000 HCR Manor Care, Inc.* 2,491,313
188,000 Total Renal Care Holdings, Inc.* 2,925,750
35,600 Wellpoint Health Networks, Inc., Class A* 3,021,550
----------
11,741,988
----------
Banking - 3.1%
72,000 Capital One Financial Corp. 4,009,500
135,000 CIT Group, Inc., Class A 3,898,125
145,000 North Fork Bancorporation, Inc. 3,090,313
----------
10,997,938
----------
Advertising - 3.0%
44,800 Catalina Marketing Corp.* 4,121,600
173,000 Outdoor Systems, Inc.* 6,314,500
----------
10,436,100
----------
Financial Services - 2.7%
123,000 Heller Financial, Inc. 3,420,938
160,000 Waddell & Reed Financial, Class A 4,390,000
68,000 Waddell & Reed Financial, Class B 1,836,000
----------
9,646,938
----------
Restaurants - 2.6%
116,000 Outback Steakhouse, Inc.* 4,560,250
68,200 Sodexho Marriott Services, Inc.* 1,308,588
110,000 Viad Corp. 3,403,125
----------
9,271,963
----------
Transportation - 2.2%
22,800 C.H. Robinson Worldwide Inc. 837,900
130,000 Galileo International, Inc. 6,946,875
----------
7,784,775
----------
Heavy Machinery - 2.1%
67,000 Pentair, Inc. 3,065,250
101,000 Smith International, Inc.* 4,387,188
----------
7,452,438
----------
Oil & Gas - 2.0%
184,000 BJ Services Co.* 5,416,500
156,600 Ocean Energy, Inc.* 1,507,275
----------
6,923,775
----------
Food Retailers - 1.7%
31,800 General Nutrition Cos.* 741,338
109,000 Whole Foods Market, Inc.* 5,238,813
----------
5,980,151
----------
Media-Broadcasting & Publishing - 1.4%
17,000 Clear Channel Communications, Inc.* 1,171,938
81,000 Rogers Communications, Inc., Class B* 1,311,188
36,000 Univision Communications, Inc.* 2,376,000
----------
4,859,126
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------------------
<C> <S> <C>
Computers & Information - 1.0%
139,000 Ingram Micro Inc., Class A* $ 3,579,250
------------
Electrical Equipment - 1.0%
82,000 Teleflex, Inc. 3,561,875
------------
Communications - 0.8%
100,000 Omnipoint Corp.* 2,893,750
------------
Chemicals - 0.7%
56,000 Great Lakes Chemical Corp. 2,579,500
------------
Aerospace & Defense - 0.7%
127,000 BE Aerospace, Inc.* 2,373,313
------------
Lodging - 0.1%
27,500 Mirage Resorts, Inc.* 460,625
------------
Total Common Stocks 345,353,263
------------
(Cost $285,619,368)
<CAPTION>
Par Value
---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (B) - 3.5%
Federal Home Loan Bank - 2.1%
$2,254,000 4.47%, 07/01/99 2,253,720
5,000,000 5.06%, 08/13/99 4,969,078
------------
7,222,798
------------
Fannie Mae - 1.4%
5,000,000 4.86%, 07/13/99 4,981,775
------------
Total U.S. Government Agency Obligations 12,204,573
------------
(Cost $12,204,573)
<CAPTION>
Shares
------
<C> <S> <C>
RIGHTS - 0.1%
Insurance - 0.1%
1,400 Fairfax Financial Holdings, Ltd.* (A) 378,042
------------
Total Rights 378,042
------------
(Cost $455,433)
Total Investments - 101.4% 357,935,878
------------
(Cost $298,279,374)
Net Other Assets and Liabilities - (1.4)% (4,893,124)
------------
Total Net Assets - 100.0% $353,042,754
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At June 30, 1999, these securities
amounted to $378,042 or 0.11% of net assets.
(B) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
------------------------------------------------------
F-8
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $298,546,520. Net unrealized appreciation (depreciation) aggregated
$59,389,358, of which $81,660,136 related to appreciated investment securities
and $22,270,778 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$101,804,297 and $98,414,867 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $38,059,440.
The value of collateral amounted to $39,406,447 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
- --------------------------------------------
F-9
<PAGE>
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
COMMON STOCKS - 93.8%
Heavy Machinery - 9.0%
317,400 Applied Power, Inc., Class A $8,668,988
381,300 Coltec Industries, Inc.* 8,269,444
103,300 Ingersoll Rand Co. 6,675,763
217,600 Pall Corp. 4,828,000
----------
28,442,195
----------
Commercial Services - 8.6%
436,500 Convergys Corp.* 8,402,625
296,100 Modis Professional Services, Inc.* 4,071,375
286,200 Republic Services, Inc.* 7,083,450
425,475 Safety-Kleen Corp.* 7,711,734
----------
27,269,184
----------
Health Care Providers - 8.3%
224,300 HCR Manor Care, Inc.* 5,425,256
920,000 HEALTHSOUTH Corp.* 13,742,500
81,300 Wellpoint Health Networks, Inc., Class A* 6,900,338
----------
26,068,094
----------
Banking - 6.8%
258,700 CIT Group, Inc., Class A 7,469,963
17,000 First American Corp. 706,563
166,500 Golden State Bancorp, Inc. * 3,663,000
363,680 Sovereign Bancorp, Inc. 4,409,620
139,300 UnionBanCal Corp. 5,032,213
----------
21,281,359
----------
Electric Utilities - 6.3%
115,000 KeySpan Energy Corp. 3,033,125
96,900 Montana Power Co. 6,831,450
174,900 Nevada Power Co. 4,372,500
340,100 Niagara Mohawk Power Corp.* 5,462,856
----------
19,699,931
----------
Oil & Gas - 6.1%
72,700 Amerada Hess Corp. 4,325,650
157,000 Coastal Corp. 6,280,000
97,400 Columbia Energy Group 6,105,760
246,906 Ocean Energy, Inc.* 2,376,470
----------
19,087,880
----------
Retailers - 5.0%
674,000 K Mart Corp.* 11,078,875
124,400 Shopko Stores, Inc.* 4,509,500
----------
15,588,375
----------
Metals - 3.9%
223,333 CommScope, Inc.* 6,867,490
325,900 MascoTech, Inc. 5,519,931
----------
12,387,421
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
Communications - 3.8%
130,000 ANTEC Corp.* $4,168,125
239,200 ComSat Corp. 7,774,000
----------
11,942,125
----------
Household Products - 3.7%
182,500 Fortune Brands, Inc. 7,550,938
117,500 Snap-On, Inc. 4,252,031
----------
11,802,969
----------
Automotive - 3.2%
55,800 BF Goodrich Co. 2,371,500
54,600 Borg-Warner Automotive, Inc. 3,003,000
95,600 Navistar International Corp.* 4,780,000
----------
10,154,500
----------
Lodging - 2.6%
270,500 Starwood Hotels & Resorts Worldwide, Inc. 8,267,156
----------
Computers & Information - 2.5%
323,200 Quantum Corp.* 7,797,200
----------
Transportation - 2.4%
292,900 Ryder System, Inc. 7,615,400
----------
Pharmaceuticals - 2.4%
441,100 Bergen Brunswig Corp, Class A 7,608,978
----------
Forest Products & Paper - 2.4%
314,400 Tenneco, Inc. 7,506,300
----------
Advertising - 2.3%
222,600 Snyder Communications, Inc.* 7,290,150
----------
Telephone Systems - 2.2%
284,200 Cincinnati Bell, Inc. 7,087,238
----------
Medical Supplies - 2.2%
225,900 Tektronix, Inc. 6,819,356
----------
Beverages, Food & Tobacco - 2.0%
344,000 Whitman Corp. 6,192,000
----------
Insurance - 1.7%
404,200 Humana, Inc.* 5,229,338
----------
Computer Software & Processing - 1.6%
140,500 Sterling Commerce Corp.* 5,128,250
----------
Food Retailers - 1.5%
396,100 Food Lion, Inc. 4,703,688
----------
Media-Broadcasting & Publishing - 1.2%
137,100 World Color Press, Inc.* 3,770,250
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-10
<PAGE>
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------------------
Electrical Equipment - 1.1%
75,300 Thomas & Betts Corp. $ 3,557,925
-----------
Building Materials - 1.0%
65,900 Vulcan Materials Co. 3,179,675
-----------
Total Common Stocks 295,476,937
-----------
(Cost $265,229,249)
<CAPTION>
Par Value
---------
<C> <S> <C>
COMMERCIAL PAPER (A) - 2.8%
$2,000,000 Ameritech Corp.
5.15%, 07/07/99 1,997,997
1,000,000 AT&T Corp.
5.22%, 07/07/99 998,840
1,000,000 Commed Fuel Co., Inc.
5.09%, 07/06/99 998,162
750,000 Ford Motor Co.
5.12%, 08/02/99 746,480
1,000,000 Ford Motor Co.
5.17%, 07/06/99 998,851
1,000,000 Ford Motor Credit Corp.
5.32%, 07/02/99 999,557
1,000,000 Merrill Lynch & Co., Inc.
5.25%, 07/06/99 998,979
1,000,000 Proctor and Gamble Co.
5.24%, 07/02/99 999,563
-----------
Total Commercial Paper 8,738,429
-----------
(Cost $8,738,429)
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------------
INVESTMENT COMPANY - 2.2%
721,200 John Hancock Bank & Thrift
Opportunity Fund $ 6,851,400
------------
Total Investment Company 6,851,400
------------
(Cost $6,796,015)
<CAPTION>
Par Value
---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATION (A) - 0.3%
$1,000,000 Freddie Mac
4.62%, 07/01/99 999,102
------------
Total U.S. Government
Agency Obligation 999,102
------------
(Cost $999,102)
Total Investments - 99.1% 312,065,868
(Cost $281,762,795)
Net Other Assets and Liabilities -
0.9% 2,705,273
------------
Total Net Assets - 100.0% $314,771,141
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $281,836,406. Net unrealized appreciation (depreciation) aggregated
$30,229,462, of which $43,078,655 related to appreciated investment securities
and $12,849,193 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$149,488,235 and $126,992,444 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $1,934,666.
The value of collateral amounted to $1,976,302 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
- --------------------------------------------
F-11
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
COMMON STOCKS - 95.3%
Australia - 5.0%
34,000 Brambles Industries, Ltd. $ 893,143
510,670 National Australia Bank Ltd. 8,426,361
1,152,781 News Corp., Ltd. 9,807,515
966,300 Telstra Corp. 5,521,245
468,917 Westpac Banking Corp. 3,033,049
----------
27,681,313
----------
Denmark - 0.5%
52,200 Tele Danmark 2,561,449
----------
France - 8.1%
47,357 Alcatel Alsthom 6,666,218
84,270 Axa 10,280,645
74,460 Michelin, Class B 3,046,129
76,170 Total SA, Class B 9,826,616
184,541 Vivendi 14,948,626
----------
44,768,234
----------
Germany - 9.3%
7,899 Bayerische Motoren Werke (BMW) AG* 5,433,261
178,035 Hoechst AG 8,059,947
83,530 HypoVereinsbank 5,426,819
154,055 Mannesmann AG 22,988,303
114,260 Veba AG 6,716,328
6,172 Viag AG 2,915,103
----------
51,539,761
----------
Italy - 2.8%
575,970 ENI 3,439,059
1,155,152 Telecom Italia 12,007,805
----------
15,446,864
----------
Japan - 15.5%
468,000 Canon, Inc. 13,463,190
133,000 Fuji Photo Film 5,035,460
109,000 Honda Motor Co., Ltd. 4,622,385
259,500 Kao Corp. 7,293,533
12,700 Keyence Corp. 2,223,576
107,000 Murata Manufacturing Co. Ltd. 7,040,750
7,350 NTT Mobile Communication Network, Inc. 9,964,454
28,000 Rohm Co., Ltd. 4,386,211
205,000 Shiseido Co., Ltd. 3,074,078
127,500 Sony Corp. 13,754,445
310,000 Takeda Chemical Industries, Ltd. 14,376,281
----------
85,234,363
----------
Malaysia - 0.1%
349,000 Hume Industries, Berhad 431,608
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------
Netherlands - 8.6%
209,412 ABN-Amro Holdings $ 4,535,064
175,495 Elsevier NV 2,036,005
331,092 ING Groep NV 17,925,486
207,545 Koninklijke Ahold, NV 7,148,597
147,885 Koninklijke KPN, NV 6,939,016
101,700 Royal Dutch Petroleum Co. 5,957,057
129,160 TNT Post Group, NV 3,083,488
-----------
47,624,713
-----------
New Zealand - 0.2%
221,966 Telecom Corp. of New Zealand, Ltd. 950,569
-----------
Portugal - 0.3%
87,317 Electricidade de Portugal 1,572,195
-----------
Singapore - 2.0%
583,900 Development Bank of Singapore 7,130,762
240,000 Singapore Press Holdings, Ltd. 4,086,432
-----------
11,217,194
-----------
South Korea - 0.4%
57,475 Korea Telecom Corp., Sponsored ADR* 2,299,000
-----------
Spain - 2.4%
695,214 Banco de Santander* 7,241,071
120,710 Telefonica S.A.* 5,814,557
-----------
13,055,628
-----------
Sweden - 0.3%
43,900 Ericsson AB 1,408,725
-----------
Switzerland - 10.1%
4,225 Alusuisse Lonza Holdings, Registered* 4,925,814
6,105 Nestle SA 11,002,513
7,094 Novartis AG 10,361,202
8,970 Roche Holdings AG 9,222,790
5,425 Schweiz Ruckverisch, Registered 10,332,004
32,920 Union Bank of Switzerland 9,828,131
-----------
55,672,454
-----------
Thailand - 0.3%
489,900 Bangkok Bank Public Co., Ltd.* 1,832,128
-----------
United Kingdom - 29.4%
712,525 Allied Zurich, Plc 8,899,509
396,100 Barclays Bank, Plc 11,542,790
692,575 British American Tobacco Industries, Plc 6,461,863
1,413,200 BTR Siebe, Plc, Sponsored ADR 6,692,915
678,500 Cable & Wireless, Plc 8,634,998
769,960 Cadbury Schweppes, Plc 4,914,655
746,290 Diageo Plc. 7,774,625
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-12
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------
United Kingdom (continued)
239,631 EMI Group, Plc $1,924,213
411,675 Glaxo Wellcome, Plc 11,432,174
544,610 Granada Group, Plc 10,162,640
84,800 HSBC Holdings, Plc 3,092,936
340,440 Kingfisher, Plc 3,919,486
891,000 Ladbroke Group, Plc 3,535,221
740,840 Lloyds TSB Group, Plc 10,012,156
124,178 National Power, Plc 908,089
244,135 National Westminster, Plc 5,171,268
122,070 Pearson, Plc 2,468,329
837,500 Prudential Corp., Plc 12,394,246
87,730 Railtrack Group, Plc 1,789,166
140,600 Safeway, Plc 563,947
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
United Kingdom (continued)
1,459,262 Shell Transportation & Trading, Plc $ 10,935,855
438,750 TI Group, Plc 2,956,122
882,100 Vodafone Group, Plc 17,433,472
97,149 WPP Group, Plc 821,443
209,150 Zeneca Group, Plc 8,102,304
------------
162,544,422
------------
Total Common Stocks 525,840,620
------------
(Cost $401,782,295)
Total Investments - 95.3% 525,840,620
------------
(Cost $401,782,295)
Net Other Assets and Liabilities - 4.7% 25,669,007
------------
Total Net Assets - 100.0% $551,509,627
============
</TABLE>
Industry Concentration
- ----------------------
of Common Stocks
- ----------------------
as a Percentage of Net
- ----------------------
Assets:
-------
<TABLE>
<S> <C>
Banking 15.3%
Telephone Systems 13.1
Pharmaceuticals 9.7
Insurance 7.6
Electronics 5.7
Beverages, Food & Tobacco 5.6
Oil & Gas 5.5
Media - Broadcasting &
Publishing 5.2
Industrial - Diversified 5.0
Heavy Machinery 4.2
Chemicals 2.9
Automotive 2.4
Communications 2.0
Financial Services 1.8
Electrical Equipment 1.7
Electric Utilities 1.7
Cosmetics & Personal Care 1.3
Food Retailers 1.3
Entertainment & Leisure 1.0
Metals 0.9
Retailers 0.7
Transportation 0.5
Advertising 0.1
Building Materials 0.1
------
95.3%
======
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
- --------------------------------------------
F-13
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
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>
189,301 GBP 07/01/99 $ 300,950 $ 298,340 $ 2,610
793,512,000 JPY 07/02/99 6,700,828 6,561,493 139,335
34,626,230 JPY 07/02/99 285,766 286,322 (556)
1,373,970,000 JPY 07/21/99 11,723,294 11,392,881 330,413
779,403,000 JPY 08/18/99 6,452,012 6,489,657 (37,645)
705,704,000 JPY 08/24/99 5,733,701 5,881,275 (147,574)
530,701,000 JPY 08/31/99 4,408,475 4,427,510 (19,035)
599,357,000 JPY 09/09/99 4,993,330 5,007,360 (14,030)
1,130,260,000 JPY 09/16/99 9,653,535 9,453,212 200,323
----------- ----------- ---------
$50,251,891 $49,798,050 $ 453,841
=========== =========== =========
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED:
<TABLE>
<CAPTION>
Currency Contracts To Settlement Contracts At In Exchange Unrealized
Value Deliver Dates Value for U.S. $ Appreciation
-------- ------------ ---------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C>
193,265,000 JPY 07/02/99 $1,588,501 $1,598,094 $ 9,593
600,247,000 JPY 07/02/99 4,929,553 4,963,399 33,846
---------- ---------- ---------
$6,518,054 $6,561,493 $ 43,439
========== ========== =========
</TABLE>
- ------------------
GBP Great British Pounds
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $400,223,995. Net unrealized appreciation (depreciation) aggregated
$125,616,625, of which $137,864,023 related to appreciated investment securi-
ties and $12,247,398 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $47,040,913
and $31,340,502 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $12,284,898.
The value of collateral amounted to $12,864,715 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
------------------------------------------------------
F-14
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------
COMMON STOCKS - 98.4%
Retailers - 10.9%
98,700 Best Buy Co., Inc.* $ 6,662,250
172,400 Costco Cos., Inc.* 13,802,775
278,700 CVS Corp. 14,144,025
86,000 Dayton-Hudson Corp. 5,590,000
260,000 Home Depot, Inc. 16,753,750
107,205 The Gap, Inc.* 5,400,452
320,300 TJX Cos., Inc. 10,669,994
372,000 Walgreen Co. 10,927,500
493,100 Wal-Mart Stores, Inc. 23,792,075
-----------
107,742,821
-----------
Telephone Systems - 10.8%
64,400 Alltel Corp. 4,604,600
439,600 AT&T Corp. - Liberty Media Group, Class A* 16,155,300
204,900 BellSouth Corp. 9,604,688
241,800 MCI WorldCom, Inc.* 20,809,913
371,700 SBC Communications, Inc. 21,558,600
391,600 Sprint Corp. 20,681,375
84,400 Sprint Corp. (PCS Group)* 4,821,350
43,600 Vodafone AirTouch Plc 8,589,200
-----------
106,825,026
-----------
Computers & Information - 8.5%
95,300 Apple Computer, Inc.* 4,413,581
283,700 Cisco Systems, Inc.* 18,245,456
67,400 Comverse Technology, Inc.* 5,088,700
89,000 EMC Corp.* 4,895,000
93,800 Hewlett-Packard Co. 9,426,900
168,800 International Business Machines Corp. 21,817,400
42,700 Lexmark International Group, Inc. 2,820,869
138,300 Pitney Bowes, Inc. 8,885,775
129,900 Solectron Corp.* 8,662,706
-----------
84,256,387
-----------
Pharmaceuticals - 8.3%
187,600 American Home Products Corp. 10,787,000
99,200 AMGEN, Inc.* 6,038,800
108,800 Biogen, Inc.* 6,997,200
15,600 Immunex Corp.* 1,988,025
119,200 Johnson & Johnson 11,681,600
184,300 Pharmacia & Upjohn, Inc. 10,470,544
381,100 Schering-Plough Corp. 20,198,300
210,700 Warner-Lambert Co. 14,617,313
-----------
82,778,782
-----------
Computer Software & Processing - 7.4%
33,100 Amazon.Com, Inc.* 4,141,638
64,700 America Online, Inc.* 7,149,350
32,000 CMGI, Inc.* 3,650,000
450,000 Microsoft Corp.* 40,584,375
173,400 Sun Microsystems, Inc.* 11,942,925
158,700 Unisys Corp.* 6,179,381
-----------
73,647,669
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------
Industrial-Diversified - 7.3%
315,000 General Electric Co. $35,595,000
387,700 Tyco International, Ltd. 36,734,575
-----------
72,329,575
-----------
Banking - 7.2%
103,900 Bank of America Corp. 7,617,169
94,300 Capital One Financial Corp. 5,251,331
418,350 Citigroup, Inc. 19,871,625
80,700 Comerica, Inc. 4,796,606
112,900 Fifth Third Bancorp 7,514,906
96,200 First Security Corp. 2,621,450
447,000 Firstar Corp. 12,516,000
29,500 Northern Trust Corp. 2,861,500
174,000 Wells Fargo Co. 7,438,500
14,800 Zions Bancorp. 939,800
-----------
71,428,887
-----------
Media-Broadcasting & Publishing - 5.9%
57,200 Clear Channel Communications, Inc.* 3,943,225
132,200 Comcast Corp., Class A 5,081,438
162,000 MediaOne Group, Inc.* 12,048,750
298,200 Time Warner, Inc. 21,917,700
347,300 Viacom, Inc., Class B* 15,281,200
-----------
58,272,313
-----------
Communications - 5.6%
406,500 Lucent Technologies, Inc. 27,413,344
108,100 Nokia Oyj Corp., Sponsored ADR* 9,897,906
63,600 Qualcomm, Inc.* 9,126,600
138,100 Tellabs, Inc.* 9,330,381
-----------
55,768,231
-----------
Insurance - 3.3%
96,100 AFLAC Corp. 4,600,780
79,700 American General Corp. 6,007,388
173,400 American International Group, Inc. 20,298,638
42,500 Lincoln National Corp.* 2,223,281
-----------
33,130,087
-----------
Oil & Gas - 3.3%
141,400 Conoco Inc., Class A 3,941,525
155,500 Enron Corp. 12,712,125
209,000 Exxon Corp. 16,119,125
-----------
32,772,775
-----------
Electronics - 3.1%
39,700 Honeywell, Inc. 4,600,238
215,700 Motorola, Inc. 20,437,575
36,400 Texas Instruments, Inc. 5,278,000
-----------
30,315,813
-----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-15
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------
Cosmetics & Personal Care - 2.7%
53,500 Clorox Co. $5,714,469
97,100 Colgate-Palmolive Co. 9,588,625
230,800 Estee Lauder Cos., Inc., Class A 11,568,850
----------
26,871,944
----------
Financial Services - 2.2%
109,300 American Express Co. 14,222,663
84,300 Providian Financial Corp. 7,882,050
----------
22,104,713
----------
Heavy Machinery - 2.0%
271,000 United Technologies Corp. 19,427,313
----------
Chemicals - 1.9%
92,800 Du Pont (E.I.) de Nemours and Co. 6,339,400
164,200 Praxair, Inc. 8,035,538
61,800 Sealed Air Corp.* 4,009,275
----------
18,384,213
----------
Securities Broker - 1.5%
78,100 Charles Schwab Corp. 8,581,238
65,200 Morgan Stanley Dean Witter & Co. 6,683,000
----------
15,264,238
----------
Commercial Services - 1.4%
158,700 Interpublic Group of Companies, Inc. 13,747,388
----------
Beverages, Food & Tobacco - 0.9%
179,000 Safeway, Inc.* 8,860,500
----------
Medical Supplies - 0.8%
31,800 Allergan, Inc. 3,529,800
63,000 Bausch & Lomb, Inc. 4,819,500
----------
8,349,300
----------
Entertainment & Leisure - 0.8%
172,100 Carnival Corp. 8,346,850
----------
Airlines - 0.7%
135,800 FDX Corp.* 7,367,150
----------
Aerospace & Defense - 0.6%
96,800 AlliedSignal, Inc. 6,098,400
----------
Forest Products & Paper - 0.6%
104,000 Kimberly-Clark Corp. 5,928,000
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -------------------------------------------------------------------------
Transportation - 0.5%
78,300 Union Pacific Corp. $ 4,565,869
------------
Textiles, Clothing & Fabrics - 0.2%
33,800 Nike, Inc., Class B 2,139,963
------------
Total Common Stocks 976,724,207
------------
(Cost $723,354,001)
<CAPTION>
Par Value
---------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 1.3%
Federal Farm Credit Bank - 0.5%
$5,000,000 4.77%, 08/02/99 5,000,000
Fannie Mae - 0.5%
5,000,000 4.60%, 07/19/99 4,885,000
U.S. Treasury Note - 0.3%
3,000,000 6.25%, 02/28/02 3,045,000
------------
Total U.S. Government and Agency Obligations 12,930,000
------------
(Cost $12,967,031)
COMMERCIAL PAPER (A) - 0.7%
3,000,000 Motiva Enterprises, LLC
5.26%, 07/06/99 2,996,932
3,800,000 Republic Industrial Funding Corp.
4.95%, 07/06/99 3,785,893
------------
Total Commercial Paper 6,782,825
------------
(Cost $6,782,825)
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANY - 0.2%
2,615,561 SSgA Prime Money Market Fund 2,615,561
------------
Total Investment Company 2,615,561
------------
(Cost $2,615,561)
Total Investments - 100.6% 999,052,593
------------
(Cost $745,719,418)
Net Other Assets and Liabilities - (0.6)% (6,037,036)
------------
Total Net Assets - 100.0% $993,015,557
============
</TABLE>
- ------------------
* Non-income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
------------------------------------------------------
F-16
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $746,126,154. Net unrealized appreciation (depreciation) aggregated
$252,926,439, of which $258,503,451 related to appreciated investment securi-
ties and $5,577,012 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$409,650,184 and $358,352,414 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $20,725,625.
The value of collateral amounted to $21,304,700 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
- --------------------------------------------
F-17
<PAGE>
Select Strategic Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------
COMMON STOCKS - 92.0%
Computer Software & Processing - 13.7%
12,600 Electronic Data Systems Corp. $ 712,688
21,000 J.D. Edwards & Co.* 388,500
46,800 Novell, Inc.* 1,240,200
23,700 Oracle Corp.* 879,863
----------
3,221,251
----------
Commercial Services - 11.5%
19,400 Equifax, Inc. 692,338
20,600 First Data Corp. 1,008,113
22,100 Manpower, Inc. 500,013
20,000 Wallace Computer Services, Inc. 500,000
----------
2,700,464
----------
Retailers - 8.8%
19,800 Limited, Inc. 898,425
13,600 Neiman Marcus Group, Inc.* 349,350
37,500 Office Depot, Inc.* 827,344
----------
2,075,119
----------
Insurance - 8.3%
17,500 Allstate Corp. 627,813
19,000 Everest Reinsurance Holdings, Inc. 619,875
10,800 MBIA, Inc. 699,300
----------
1,946,988
----------
Pharmaceuticals - 5.8%
20,800 Elan Corp., Plc, Sponsored ADR* 577,200
16,500 Genzyme Corp.* 800,250
----------
1,377,450
----------
Banking - 5.6%
13,600 Bank One Corp. 810,050
23,300 Pacific Century Financial Corp. 502,406
----------
1,312,456
----------
Oil & Gas - 4.5%
9,800 Schlumberger, Ltd. 624,138
16,200 Transocean Offshore, Inc. 425,250
----------
1,049,388
----------
Home Construction, Furnishings &
Appliances - 3.8%
11,400 Lear Corp.* 567,150
9,400 Owens Corning 323,125
----------
890,275
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------------
Medical Supplies - 3.7%
6,500 Baxter International, Inc. $ 394,063
2,954 Genzyme Surgical Products* 13,015
12,600 Mallinckrodt, Inc. 458,325
-----------
865,403
-----------
Household Products - 3.6%
26,100 Owens-Illinois, Inc.* 853,144
-----------
Transportation - 3.5%
17,500 Ryder System, Inc. 455,000
10,900 Trinity Industries, Inc. 365,150
-----------
820,150
-----------
Electrical Equipment - 3.0%
6,992 Koninklijke (Royal) Phillips Electronics NV, ADR 705,312
-----------
Textiles, Clothing & Fabrics - 2.9%
25,200 Warnaco Group, Inc. 674,100
-----------
Communications - 2.8%
20,500 ComSat Corp. 666,250
-----------
Beverages, Food & Tobacco - 2.6%
15,000 Philip Morris Companies, Inc. 602,813
-----------
Aerospace & Defense - 2.4%
12,400 Cordant Technologies, Inc. 560,325
-----------
Mining - 2.3%
22,900 De Beers Consolidated Mines, ADR 546,738
-----------
Real Estate - 1.8%
29,500 Stewart Enterprises, Inc. 429,594
-----------
Restaurants - 1.4%
15,000 Darden Restaurants, Inc. 327,188
-----------
Total Common Stocks 21,624,408
-----------
(Cost $19,158,695)
Total Investments - 92.0% 21,624,408
-----------
(Cost $19,158,695)
Net Other Assets and Liabilities - 8.0% 1,888,580
-----------
Total Net Assets - 100.0% $23,512,988
===========
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $19,158,695. Net unrealized appreciation (depreciation) aggregated
$2,465,713, of which $3,248,920 related to appreciated investment securities
and $783,207 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $9,127,039
and $4,226,105 of non-governmental issuers, respectively..
See Notes to Financial Statements.
------------------------------------------------------
F-18
<PAGE>
Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------------
COMMON STOCKS - 100.0%
Telephone Systems - 10.5%
140,800 Ameritech Corp. $10,348,800
264,130 AT&T Corp. 14,741,756
382,082 AT&T Corp. - Liberty Media Group, Class A* 14,041,514
362,186 MCI WorldCom, Inc.* 31,238,543
1 Qwest Communications International, Inc.* 33
161,800 SBC Communications, Inc. 9,384,400
219,900 Sprint Corp. 11,613,469
55,050 Sprint Corp. (PCS Group)* 3,144,731
52,550 Vodafone AirTouch PLC 10,352,350
-----------
104,865,596
-----------
Insurance - 10.0%
433,800 Ace, Ltd. 12,254,850
124,500 Aetna, Inc. 11,134,969
287,680 Allstate Corp. 10,320,520
163,800 AMBAC, Inc. 9,357,075
249,400 AON Corp. 10,287,750
241,600 Conseco, Inc. 7,353,700
185,400 Everest Reinsurance Holdings, Inc. 6,048,675
167,600 MBIA, Inc. 10,852,100
355,700 Travelers Property Casualty Corp. 13,916,763
143,900 XL Captial, Ltd. 8,130,350
-----------
99,656,752
-----------
Computer Software & Processing - 8.2%
114,300 America Online, Inc.* 12,630,150
150,638 At Home Corp., Class A* 8,125,037
99,600 BMC Software, Inc.* 5,378,400
530,100 Microsoft Corp.* 47,808,394
188,100 Unisys Corp.* 7,324,144
-----------
81,266,125
-----------
Banking - 8.2%
240,600 Bank of America Corp. 17,638,988
194,300 Bank One Corp. 11,572,994
149,700 BankBoston Corp. 7,653,413
65,300 Chase Manhattan Corp. 5,656,613
228,750 Citigroup, Inc. 10,865,625
263,900 Household International, Inc. 12,502,263
86,900 KeyCorp 2,791,663
80,700 PNC Bank Corp. 4,650,338
180,900 Wells Fargo Co. 7,733,475
-----------
81,065,372
-----------
Oil & Gas - 7.6%
71,800 Atlantic Richfield Co. 5,999,788
149,100 BJ Services Co.* 4,389,131
112,600 Chevron Corp. 10,718,113
242,800 Coastal Corp. 9,712,000
322,200 Royal Dutch Petroleum Co. 19,412,550
116,800 Texaco, Inc. 7,300,000
177,100 Tosco Corp. 4,593,531
203,700 Total SA, ADR* 13,125,919
-----------
75,251,032
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------------
Retailers - 6.4%
312,500 Consolidated Stores Corp.* $8,437,500
169,100 CVS Corp. 8,581,825
142,500 Dayton-Hudson Corp. 9,262,500
173,300 Dollar General Corp. 5,025,700
178,600 Kroger Co.* 4,989,638
201,600 Office Depot, Inc.* 4,447,800
157,000 Tandy Corp. 7,673,375
304,200 Wal-Mart Stores, Inc. 14,677,650
----------
63,095,988
----------
Pharmaceuticals - 5.9%
139,100 Abbott Laboratories 6,329,050
147,060 Bristol-Myers Squibb Co. 10,358,539
75,400 Lilly (Eli) & Co. 5,400,525
242,000 Merck & Co., Inc. 17,908,000
147,000 Mylan Laboratories, Inc. 3,895,500
60,000 Pfizer, Inc. 6,585,000
109,400 Warner-Lambert Co. 7,589,625
----------
58,066,239
----------
Media-Broadcasting & Publishing - 5.0%
107,000 Clear Channel Communications, Inc.* 7,376,313
238,400 Fox Entertainment Group, Class A* 6,421,900
295,500 Infinity Broadasting Corp., Class A* 8,791,125
120,500 MediaOne Group, Inc.* 8,962,188
278,900 News Corp., Ltd., Sponsored ADR, Preferred 8,802,781
125,100 Time Warner, Inc. 9,194,850
----------
49,549,157
----------
Computers & Information - 4.7%
341,750 Cisco Systems, Inc.* 22,042,875
85,300 Dell Computer Corp.* 3,156,100
59,600 Hewlett-Packard Co. 5,989,800
112,900 International Business Machines Corp. 14,592,325
40,500 Quantum Corp.* 977,063
----------
46,758,163
----------
Communications - 4.6%
116,700 ADC Telecommunications, Inc.* 5,317,130
164,400 General Instrument Corp.* 6,987,000
85,400 Nortel Networks Corp. 7,413,788
112,800 Qualcomm, Inc.* 16,186,800
142,800 Tellabs, Inc.* 9,647,925
----------
45,552,643
----------
Beverages, Food & Tobacco - 3.7%
92,600 Anheuser-Busch Cos., Inc. 6,568,813
124,400 Coca-Cola Co. 7,775,000
86,700 General Mills, Inc. 6,968,513
236,900 Nabisco Group Holdings Corp. 4,634,356
104,400 PepsiCo, Inc. 4,038,975
131,900 Safeway, Inc.* 6,529,050
----------
36,514,707
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-19
<PAGE>
Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Heavy Machinery - 3.5%
153,400 Case Corp. $7,382,375
186,800 Cummins Engine Co., Inc. 10,670,950
143,500 Parker-Hannifin Corp. 6,565,125
240,500 York International Corp. 10,296,406
----------
34,914,856
----------
Automotive - 3.3%
137,900 Dana Corp. 6,352,019
201,400 Ford Motor Co. 11,366,513
230,700 General Motors Corp. 15,226,200
----------
32,944,732
----------
Electronics - 2.6%
219,000 Intel Corp. 13,030,500
129,700 Motorola, Inc. 12,289,075
----------
25,319,575
----------
Commercial Services - 2.1%
102,100 Halliburton Co. 4,620,025
174,800 United Rentals, Inc.* 5,156,600
209,745 Waste Management, Inc. 11,273,794
----------
21,050,419
----------
Chemicals - 2.1%
168,300 Air Products & Chemicals, Inc. 6,774,075
1 Sealed Air Corp.* 65
173,400 Solutia, Inc. 3,695,588
538,700 W.R. Grace and Co.* 9,898,613
----------
20,368,341
----------
Home Construction, Furnishings & Appliances - 2.0%
91,100 Lowes Cos., Inc. 5,164,231
436,800 Owens Corning 15,015,000
----------
20,179,231
----------
Cosmetics & Personal Care - 1.6%
76,200 Clorox Co. 8,139,113
188,500 Gillette Co. 7,728,500
----------
15,867,613
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------------
Electric Utilities - 1.6%
124,800 Carolina Power & Light Co. $ 5,343,000
217,000 Energy East Corp. 5,642,000
109,500 Peco Energy Co. 4,585,313
------------
15,570,313
------------
Metals - 1.5%
664,300 Engelhard Corp. 15,029,788
------------
Transportation - 1.1%
167,400 Burlington Northern Santa Fe Corp. 5,189,400
225,300 Ryder System, Inc. 5,857,800
------------
11,047,200
------------
Financial Services - 1.0%
167,100 Freddie Mac 9,691,800
------------
Medical Supplies - 0.9%
146,100 Baxter International, Inc. 8,857,313
------------
Health Care Providers - 0.8%
252,675 Health Management Associates, Inc., Class A* 2,842,594
183,700 Lincare Holding, Inc.* 4,592,500
------------
7,435,094
------------
Household Products - 0.6%
130,700 Rohm & Haas Co. 5,603,763
------------
Airlines - 0.5%
68,000 AMR Corp.* 4,641,000
------------
Total Common Stocks 990,162,812
------------
(Cost $738,741,075)
Total Investments - 100.0% 990,162,812
------------
(Cost $738,741,075)
Net Other Assets and Liabilities - 0.0% (159,651)
------------
Total Net Assets - 100.0% $990,003,161
============
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $740,611,999. Net unrealized appreciation (depreciation) aggregated
$249,550,813, of which $265,496,947 related to appreciated investment securi-
ties and $15,946,134 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$480,359,722 and $517,008,274 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $71,168,678.
The value of collateral amounted to $73,204,111 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
------------------------------------------------------
F-20
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 98.5%
Banking - 9.3%
8,600 Amsouth Bancorp. $ 199,413
35,788 Associates First Capital Corp., Class A 1,585,856
85,859 Bank of America Corp. 6,294,538
37,400 Bank of New York Co., Inc. 1,372,113
58,075 Bank One Corp. 3,459,092
14,600 BankBoston Corp. 746,425
15,400 BB&T Corp. 564,988
9,737 Capital One Financial Corp. 542,229
41,552 Chase Manhattan Corp. 3,599,442
166,040 Citigroup, Inc. 7,886,900
7,650 Comerica, Inc. 454,697
13,275 Fifth Third Bancorp 883,617
47,496 First Union Corp. 2,232,312
32,400 Firstar Corp. 907,200
28,110 Fleet Financial Group, Inc. 1,247,381
2,900 Golden West Financial Corp. 284,200
23,459 Household International, Inc. 1,111,370
10,330 Huntington Bancshares, Inc. 361,550
8,700 J.P. Morgan & Co., Inc. 1,222,350
22,000 KeyCorp 706,750
39,318 MBNA Corp. 1,204,114
25,600 Mellon Bank Corp. 931,200
7,800 Mercantile Bancorp. 445,575
15,400 National City Corp. 1,008,700
5,500 Northern Trust Corp. 533,500
14,900 PNC Bank Corp. 858,613
11,000 Regions Financial Corp. 422,813
5,200 Republic New York Corp. 354,575
7,957 SLM Holding Corp. 364,530
8,200 Southtrust Corp. 314,675
7,900 State Street Corp. 674,463
8,300 Summit Bancorp 347,044
15,800 Suntrust Banks, Inc. 1,097,113
13,300 Synovus Financial Corp. 264,338
7,000 Union Planters Corp. 312,813
35,650 U.S. Bancorp. 1,212,100
10,000 Wachovia Corp. 855,625
29,283 Washington Mutual, Inc. 1,035,886
81,230 Wells Fargo Co. 3,472,583
----------
51,372,683
----------
Pharmaceuticals - 9.1%
74,800 Abbott Laboratories 3,403,400
5,000 Alza Corp., Class A* 254,375
64,400 American Home Products Corp. 3,703,000
25,200 Amgen, Inc.* 1,534,050
97,600 Bristol-Myers Squibb Co. 6,874,700
66,200 Johnson & Johnson 6,487,600
54,100 Lilly (Eli) & Co. 3,874,913
116,000 Merck & Co., Inc. 8,584,000
63,600 Pfizer, Inc. 6,980,100
24,980 Pharmacia & Upjohn, Inc. 1,419,176
72,400 Schering-Plough Corp. 3,837,200
4,900 Sigma Aldrich Corp. 168,744
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
Pharmaceuticals (continued)
41,900 Warner-Lambert Co. $2,906,813
4,600 Watson Pharmaceuticals, Inc.* 161,288
----------
50,189,359
----------
Telephone Systems - 8.8%
28,500 Airtouch Communications, Inc.* 3,063,750
13,800 Alltel Corp. 986,700
54,100 Ameritech Corp. 3,976,350
156,400 AT&T Corp. 8,729,075
76,346 Bell Atlantic Corp. 4,991,120
93,000 BellSouth Corp. 4,359,375
6,900 CenturyTel, Inc. 274,275
8,500 Frontier Corp. 501,500
47,800 GTE Corp. 3,620,850
91,577 MCI WorldCom, Inc.* 7,898,516
96,508 SBC Communications, Inc. 5,597,464
42,600 Sprint Corp. 2,249,813
21,600 Sprint Corp. (PCS Group)* 1,233,900
24,704 U.S. West, Inc. 1,451,360
----------
48,934,048
----------
Computer Software & Processing - 7.7%
17,800 3Com Corp.* 475,038
3,000 Adobe Systems, Inc. 246,469
53,404 America Online, Inc.* 5,901,142
2,800 Autodesk, Inc. 82,775
30,400 Automatic Data Processing, Inc. 1,337,600
11,600 BMC Software, Inc.* 626,400
8,400 Cabletron Systems, Inc.* 109,200
7,000 Ceridian Corp.* 228,813
26,450 Computer Associates International, Inc. 1,454,750
7,800 Computer Sciences Corp.* 539,663
18,000 Compuware Corp.* 572,625
3,900 Deluxe Corp. 151,856
24,200 Electronic Data Systems Corp. 1,368,813
15,600 IMS Health, Inc. 487,500
251,000 Microsoft Corp.* 22,637,063
16,400 Novell, Inc.* 434,600
70,680 Oracle Corp.* 2,623,995
13,200 Parametric Technology Corp.* 183,150
11,800 PeopleSoft, Inc.* 203,550
1,400 Shared Medical Systems Corp. 91,350
38,000 Sun Microsystems, Inc.* 2,617,250
13,200 Unisys Corp.* 513,975
----------
42,887,577
----------
Computers & Information - 7.3%
7,800 Apple Computer, Inc.* 361,238
157,100 Cisco Systems, Inc.* 10,132,950
83,557 Compaq Computer Corp. 1,979,256
2,400 Data General Corp.* 34,950
124,600 Dell Computer Corp.* 4,610,200
49,800 EMC Corp.* 2,739,000
7,630 Gateway 2000* 450,170
50,000 Hewlett-Packard Co. 5,025,000
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-21
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<C> <S> <C>
Computers & Information (continued)
89,200 International Business Machines Corp. $11,529,100
19,900 Minnesota Mining and Manufacturing Co. 1,730,056
13,200 Pitney Bowes, Inc. 848,100
10,800 Seagate Technology, Inc.* 276,750
9,100 Silicon Graphics* 149,013
12,400 Solectron Corp.* 826,925
-----------
40,692,708
-----------
Oil & Gas - 6.2%
4,500 Amerada Hess Corp. 267,750
6,000 Anadarko Petroleum Corp. 220,875
5,500 Apache Corp. 214,500
3,500 Ashland, Inc. 140,438
15,900 Atlantic Richfield Co. 1,328,644
8,782 Burlington Resources, Inc. 379,822
32,300 Chevron Corp. 3,074,556
10,400 Coastal Corp. 416,000
4,000 Columbia Energy Group 250,750
4,800 Consolidated Natural Gas Co. 291,600
1,100 Eastern Enterprises 43,725
17,500 Enron Corp. 1,430,625
119,400 Exxon Corp. 9,208,725
2,400 Helmerich & Payne, Inc. 57,150
4,281 Kerr-Mcgee Corp. 214,853
38,500 Mobil Corp. 3,811,500
2,200 Nicor, Inc. 83,738
1,500 Oneok, Inc. 47,625
1,800 Peoples Energy Corp. 67,838
12,500 Phillips Petroleum Co. 628,906
3,900 Rowan Cos., Inc.* 71,906
105,400 Royal Dutch Petroleum Co. 6,350,350
26,900 Schlumberger, Ltd. 1,713,194
5,300 Sonat, Inc. 175,563
4,400 Sunoco, Inc. 132,825
26,400 Texaco, Inc. 1,650,000
12,381 Union Pacific Resources Group, Inc. 201,965
11,800 Unocal Corp. 467,575
15,100 USX-Marathon Group 491,694
21,200 Williams Companies, Inc. 902,325
-----------
34,337,017
-----------
Retailers - 6.1%
2,700 Alberto-Culver Co., Class B 71,888
20,642 Albertson's, Inc. 1,064,353
7,200 Autozone, Inc.* 216,900
4,900 Circuit City Stores, Inc. 455,700
5,400 Consolidated Stores Corp.* 145,800
10,856 Costco Cos., Inc.* 869,159
19,200 CVS Corp. 981,600
21,800 Dayton-Hudson Corp. 1,417,000
5,200 Dillards, Inc., Class A 182,650
10,850 Dollar General Corp. 314,650
10,200 Federated Department Stores, Inc.* 539,963
42,250 Gap, Inc.* 2,128,344
1,900 Great Atlantic & Pacific Tea Co. 64,244
3,400 Harcourt General, Inc. 175,313
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------
<C> <S> <C>
Retailers (continued)
72,898 Home Depot, Inc. $4,697,365
12,900 J.C. Penney Co., Inc. 626,456
24,200 K Mart Corp.* 397,788
8,000 Kohls Corp.* 617,500
40,800 Kroger Co.* 1,139,850
10,500 Limited, Inc. 476,438
1,900 Longs Drug Stores Corp. 65,669
16,400 May Department Stores Co. 670,350
7,000 Nordstrom, Inc. 234,500
18,200 Office Depot, Inc.* 401,538
12,600 Rite Aid Corp. 310,275
18,700 Sears Roebuck & Co. 833,319
8,300 Sherwin Williams Co. 230,325
22,700 Staples, Inc.* 702,281
9,600 Tandy Corp. 469,200
15,800 TJX Cos., Inc. 526,338
12,200 Toys "R" Us, Inc.* 252,388
49,200 Walgreen Co. 1,445,250
218,800 Wal-Mart Stores, Inc. 10,557,100
7,200 Winn-Dixie Stores, Inc. 265,950
----------
33,547,444
----------
Beverages, Food & Tobacco - 5.5%
1,800 Adolph Coors Co. 89,100
23,400 Anheuser-Busch Cos., Inc. 1,659,883
28,790 Archer-Daniels-Midland Co. 444,446
13,800 Bestfoods 683,100
3,300 Brown Forman Corp., Class B 215,119
21,500 Campbell Soup Co. 997,063
121,300 Coca-Cola Co. 7,581,250
20,800 Coca-Cola Enterprises, Inc. 639,600
24,000 Conagra, Inc. 639,000
7,600 General Mills, Inc. 610,850
4,900 Hercules, Inc. 192,631
6,800 Hershey Foods Corp. 403,750
17,700 H.J. Heinz Co. 887,213
19,900 Kellogg Co. 656,700
15,800 Nabisco Group Holdings Corp. 309,088
72,500 PepsiCo, Inc. 2,804,844
118,500 Philip Morris Companies, Inc. 4,762,219
11,700 Pioneer Hi-Bred International, Inc. 455,569
6,700 Quaker Oats Co. 444,713
15,900 Ralston Purina Co. 483,956
24,400 Safeway, Inc.* 1,207,800
21,000 Seagram Co., Ltd. 1,057,875
5,800 Supervalu, Inc. 148,988
16,200 Sysco Corp. 482,963
28,089 Unilever NV 1,959,208
8,500 UST, Inc. 248,625
5,700 Wm. Wrigley Jr. Co. 513,000
----------
30,578,553
----------
Industrial-Diversified - 4.0%
2,000 Armstrong World Industries, Inc. 115,625
161,000 General Electric Co. 18,193,000
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-22
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ---------------------------------------------------------------
Industrial-Diversified (continued)
1,500 Jostens, Inc. $ 31,594
500 NACCO Industries, Inc., Class A 36,750
40,393 Tyco International, Ltd. 3,827,237
----------
22,204,206
----------
Insurance - 3.7%
6,985 Aetna, Inc. 624,721
261 Aetna, Inc., Convertible Preferred 19,379
13,200 AFLAC Corp. 631,950
39,538 Allstate Corp. 1,418,426
12,317 American General Corp. 928,394
60,992 American International Group, Inc. 7,139,876
12,550 AON Corp. 517,688
8,000 Chubb Corp. 556,000
10,100 Cigna Corp. 898,900
8,000 Cincinnati Financial Corp. 300,500
15,907 Conseco, Inc. 484,169
11,200 Hartford Financial Services Group, Inc. 653,100
8,200 Humana, Inc.* 106,088
5,300 Jefferson Pilot Corp. 350,794
9,800 Lincoln National Corp.* 512,663
5,400 Loews Corp. 427,275
12,950 Marsh & Mclennan Cos. Inc. 977,725
5,000 MBIA, Inc. 323,750
5,300 MGIC Investment Corp. 257,713
3,700 Progressive Corp. 536,500
6,600 Provident Companies, Inc. 264,000
6,600 Safeco Corp. 291,225
11,000 St. Paul Cos. 349,938
6,500 Torchmark Corp. 221,813
6,200 Transamerica Corp. 465,000
8,600 United Healthcare Corp. 538,575
6,900 UNUM Corp. 377,775
3,400 Wellpoint Health Networks, Inc., Class A* 288,575
----------
20,462,512
----------
Electronics - 3.3%
7,100 Advanced Micro Devices, Inc.* 128,244
6,200 Honeywell, Inc. 718,425
163,200 Intel Corp. 9,710,400
7,100 LSI Logic Corp.* 327,488
12,200 Micron Technology, Inc.* 491,813
29,600 Motorola, Inc. 2,804,600
8,100 National Semiconductor Corp.* 205,031
16,574 Raytheon Co., Class B 1,166,395
19,400 Texas Instruments, Inc. 2,813,000
----------
18,365,396
----------
Media-Broadcasting & Publishing - 2.8%
3,300 American Greetings Corp., Class A 99,413
34,900 CBS Corp.* 1,515,969
16,400 Clear Channel Communications, Inc.* 1,130,575
36,400 Comcast Corp., Class A 1,399,125
4,400 Dow Jones & Co., Inc. 233,475
13,800 Gannett Co., Inc. 984,975
3,800 Knight-Ridder, Inc. 208,763
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------------
Media-Broadcasting & Publishing (continued)
9,800 McGraw-Hill Cos., Inc. $ 528,588
29,800 MediaOne Group, Inc.* 2,216,375
2,600 Meredith Corp. 90,025
8,600 New York Times Co., Class A 316,588
58,760 Time Warner, Inc. 4,318,860
3,600 Times Mirror Co., Class A 213,300
5,900 Tribune Co. 514,038
33,967 Viacom, Inc., Class B* 1,494,548
----------
15,264,617
----------
Electric Utilities - 2.1%
9,400 AES Corp.* 546,375
6,800 Ameren Corp. 260,950
9,500 American Electric Power, Inc. 356,844
7,400 Carolina Power & Light Co. 316,813
10,300 Central & South West Corp. 240,763
7,843 Cinergy Corp. 250,976
5,800 CMS Energy Corp. 242,875
11,100 Consolidated Edison, Inc. 502,275
7,350 Constellation Energy Group, Inc. 217,744
9,350 Dominion Resources, Inc. 404,972
7,200 DTE Energy Co. 288,000
17,817 Duke Energy Corp. 968,799
16,900 Edison International 452,075
12,000 Entergy Corp. 375,000
11,500 FirstEnergy Corp. 356,500
4,800 Florida Progress Corp. 198,300
8,900 FPL Group, Inc. 486,163
6,200 GPU, Inc. 261,563
5,600 New Century Energies, Inc. 217,350
9,200 Niagara Mohawk Power Corp.* 147,775
7,400 Northern States Power Co. 178,988
14,600 Pacificorp 268,275
9,500 Peco Energy Co. 397,813
18,800 PG&E Corp. 611,000
7,700 PP&L Resources, Inc. 236,775
10,800 Public Service Enterprise Group, Inc. 441,450
14,398 Reliant Energy, Inc. 397,745
11,613 Sempra Energy 262,744
34,100 Southern Co. 903,650
13,840 Texas Utilities Co. 570,900
10,700 Unicom Corp. 412,619
----------
11,774,071
----------
Cosmetics & Personal Care - 2.0%
12,800 Avon Products, Inc. 710,400
5,900 Clorox Co. 630,194
14,400 Colgate-Palmolive Co. 1,422,000
54,600 Gillette Co. 2,238,600
5,200 International Flavors & Fragrances, Inc. 230,750
65,400 Procter & Gamble Co. 5,836,950
----------
11,068,894
----------
Financial Services - 1.8%
22,200 American Express Co. 2,888,775
5,500 Countrywide Credit Industries, Inc. 235,125
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-23
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ----------------------------------------------------------
Financial Services (continued)
34,200 Freddie Mac $1,983,600
50,400 Fannie Mae 3,446,100
12,430 Franklin Resources Inc. 504,969
7,050 Providian Financial Corp. 659,175
----------
9,717,744
----------
Chemicals - 1.7%
11,200 Air Products & Chemicals, Inc. 450,800
5,700 Avery-Dennison Corp. 344,138
10,800 Dow Chemical Co. 1,370,250
55,400 Du Pont (E.I.) De Nemours and Co. 3,784,513
3,800 Eastman Chemical Co. 196,650
2,800 Great Lakes Chemical Corp. 128,975
31,000 Monsanto Co. 1,222,563
3,200 Nalco Chemical Co. 166,000
17,000 Occidental Petroleum Corp. 359,125
8,600 PPG Industries, Inc. 507,938
7,700 Praxair, Inc. 376,819
4,208 Sealed Air Corp.* 272,994
6,600 Union Carbide Corp. 321,750
3,200 W.R. Grace and Co.* 58,800
----------
9,561,315
----------
Automotive - 1.6%
3,600 BF Goodrich Co. 153,000
3,600 Cooper Tire & Rubber Co. 85,050
8,109 Dana Corp. 373,521
27,728 Delphi Automotive Systems Corp. 514,701
59,600 Ford Motor Co. 3,363,675
31,800 General Motors Corp. 2,098,800
8,850 Genuine Parts Co. 309,750
7,600 Goodyear Tire & Rubber Co. 446,975
4,300 ITT Industries, Inc. 163,938
3,200 Navistar International Corp.* 160,000
3,780 Paccar, Inc. 201,758
2,400 Pep Boys - Manny, Moe & Jack 51,900
9,300 Rockwell International Corp. 564,975
6,000 TRW, Inc. 329,250
----------
8,817,293
----------
Commercial Services - 1.5%
7,700 Browning-Ferris Industries, Inc. 331,100
37,633 Cendant Corp.* 771,477
8,100 Dun & Bradstreet Corp. 287,044
6,400 Ecolab, Inc. 279,200
2,100 EG&G, Inc. 74,813
7,000 Equifax, Inc. 249,813
21,300 First Data Corp. 1,042,369
3,800 Fluor Corp. 153,900
21,600 Halliburton Co. 977,400
4,700 H&R Block, Inc. 235,000
6,850 Interpublic Group of Companies, Inc. 593,381
8,800 Omnicom Group, Inc. 704,000
12,000 Paychex, Inc. 382,500
6,300 R. R. Donnelley & Sons Co. 233,494
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------
Commercial Services (continued)
13,200 Service Corp. International $ 254,100
29,935 Waste Management, Inc. 1,609,006
----------
8,178,597
----------
Medical Supplies - 1.4%
3,400 Allergan, Inc. 377,400
2,900 Bausch & Lomb, Inc. 221,850
14,400 Baxter International, Inc. 873,000
12,200 Becton, Dickinson & Co. 366,000
5,500 Biomet, Inc. 218,625
19,400 Boston Scientific Corp.* 852,388
2,500 C.R. Bard, Inc. 119,531
6,600 Danaher Corp. 383,625
3,600 Eaton Corp. 331,200
2,400 Fresenius Medical Care Corp., Class D* 36
14,800 Guidant Corp. 761,275
4,400 KLA-Tencor Corp.* 285,450
3,400 Mallinckrodt, Inc. 123,675
28,700 Medtronic, Inc. 2,235,013
2,100 Millipore Corp. 85,181
2,500 PE Biosystems Group 286,875
4,000 St. Jude Medical, Inc.* 142,500
2,150 Tektronix, Inc. 64,903
7,600 Thermo Electron Corp.* 152,475
----------
7,881,002
----------
Heavy Machinery - 1.4%
18,400 Applied Materials, Inc.* 1,359,300
15,980 Baker Hughes, Inc. 535,330
4,300 Black & Decker Corp. 271,438
1,200 Briggs & Stratton Corp. 69,300
3,700 Case Corp. 178,063
17,600 Caterpillar, Inc. 1,056,000
2,100 Cummins Engine Co., Inc. 119,963
11,400 Deere & Co. 451,725
10,400 Dover Corp. 364,000
3,800 Harris Corp., Inc. 148,913
8,200 Ingersoll Rand Co. 529,925
1,700 Milacron, Inc. 31,450
6,000 Pall Corp. 133,125
5,375 Parker-Hannifin Corp. 245,906
4,400 Stanley Works 141,625
2,900 Timken Co. 56,550
23,800 United Technologies Corp. 1,706,163
4,600 W.W. Grainger, Inc. 247,538
----------
7,646,314
----------
Securities Broker - 1.4%
5,755 Bear Stearns Cos., Inc. 269,046
20,150 Charles Schwab Corp. 2,213,981
5,800 Lehman Brothers Holdings, Inc. 361,050
18,200 Merrill Lynch & Co., Inc. 1,454,863
28,017 Morgan Stanley Dean Witter & Co. 2,871,743
7,200 Paine Webber Group, Inc. 336,600
----------
7,507,283
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-24
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Communications - 1.3%
4,000 Andrew Corp.* $ 75,750
8,500 General Instrument Corp.* 361,250
20,082 Lucent Technologies, Inc. 1,354,280
3,600 Network Appliance, Inc.* 201,150
14,600 Nextel Communications, Inc., Class A* 732,738
32,740 Nortel Networks Corp. 2,842,241
3,600 Scientific Atlanta, Inc. 129,600
19,200 Tellabs, Inc.* 1,297,200
----------
6,994,209
----------
Aerospace & Defense - 1.0%
27,200 AlliedSignal, Inc. 1,713,600
47,838 Boeing Co. 2,113,842
6,200 General Dynamics Corp. 424,700
19,282 Lockheed Martin Corp. 718,255
3,500 Northrop Grumman Corp. 232,094
7,500 Textron, Inc. 617,344
----------
5,819,835
----------
Forest Products & Paper - 1.0%
2,600 Bemis Co. 103,350
2,800 Boise Cascade Corp. 120,400
4,800 Champion International Corp. 229,800
10,800 Fort James Corp. 409,050
8,400 Georgia-Pacific Corp. 397,950
7,200 Ikon Office Solutions, Inc. 108,000
20,192 International Paper Co. 1,019,696
26,240 Kimberly-Clark Corp. 1,495,680
5,200 Louisiana Pacific Corp. 123,500
5,000 Mead Corp. 208,750
1,400 Potlatch Corp. 61,513
2,700 Temple Inland, Inc. 184,275
8,300 Tenneco, Inc. 198,163
4,950 Westvaco Corp. 143,550
9,800 Weyerhaeuser Co. 673,750
5,400 Willamette Industries, Inc. 248,738
----------
5,726,165
----------
Entertainment & Leisure - 1.0%
30,200 Carnival Corp. 1,464,700
6,200 Harrah's Entertainment, Inc.* 136,400
9,550 Hasbro, Inc. 266,803
3,400 King World Productions, Inc.* 118,363
20,412 Mattel, Inc. 539,642
101,229 Walt Disney Co. 3,119,119
----------
5,645,027
----------
Electrical Equipment - 0.9%
15,900 Eastman Kodak Co. 1,077,225
21,400 Emerson Electric Co. 1,345,525
1,900 National Service Industries, Inc. 68,400
2,100 Polaroid Corp. 58,013
3,800 Raychem Corp. 140,600
2,800 Thomas & Betts Corp. 132,300
32,600 Xerox Corp. 1,925,438
----------
4,747,501
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Metals - 0.9%
11,000 Alcan Aluminum, Ltd. $ 351,313
18,200 Alcoa, Inc. 1,126,125
9,302 Allegheny Teledyne, Inc. 210,458
1,800 Asarco, Inc. 33,863
19,000 Barrick Gold Corp. 368,125
11,300 Battle Mountain Gold Co. 27,544
6,300 Bethlehem Steel Corp.* 48,431
4,700 Cooper Industries, Inc. 244,400
3,350 Crane Co. 105,316
4,300 Cyprus Amax Minerals Co. 65,306
6,050 Engelhard Corp. 136,881
7,900 Freeport-McMoRan Copper & Gold, Inc. 141,706
12,700 Homestake Mining Co. 103,981
9,400 Inco, Ltd. 169,200
16,400 Masco Corp. 473,550
8,211 Newmont Mining Corp. 163,194
4,300 Nucor Corp. 203,981
2,900 Phelps Dodge Corp. 179,619
15,900 Placer Dome, Inc. 187,819
3,200 Reynolds Metals Co. 188,800
4,220 USX - U.S. Steel Group 113,940
4,400 Worthington Industries, Inc. 72,325
----------
4,715,877
----------
Household Products - 0.7%
12,100 Corning, Inc. 848,513
8,100 Fortune Brands, Inc. 335,138
12,400 Illinois Tool Works, Inc. 1,016,800
13,933 Newell Rubbermaid, Inc. 647,885
7,600 Owens-Illinois, Inc.* 248,425
10,476 Rohm & Haas Co. 449,149
3,200 Snap-On, Inc. 115,800
2,700 Tupperware Corp. 68,850
----------
3,730,560
----------
Restaurants - 0.6%
6,500 Darden Restaurants, Inc. 141,781
66,800 McDonald's Corp. 2,759,675
7,610 Tricon Global Restaurants, Inc.* 411,891
6,000 Wendy's International, Inc. 169,875
----------
3,483,222
----------
Transportation - 0.6%
4,500 Brunswick Corp. 125,438
22,952 Burlington Northern Santa Fe Corp. 711,512
10,700 CSX Corp. 484,844
1,600 Fleetwood Enterprises, Inc. 42,300
1,600 FMC Corp.* 109,300
5,400 Kansas City Southern Industries, Inc. 344,588
16,100 Laidlaw, Inc., Class B 118,738
18,600 Norfolk Southern Corp. 560,325
3,300 Ryder System, Inc. 85,800
12,100 Union Pacific Corp. 705,581
----------
3,288,426
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-25
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------------------
Health Care Providers - 0.5%
13,400 Cardinal Health, Inc. $ 859,275
27,800 Columbia/HCA Healthcare Corp. 634,188
5,300 HCR Manor Care, Inc.* 128,194
20,200 Healthsouth Corp.* 301,738
13,614 McKesson Corp. 437,350
15,200 Tenet Healthcare Corp.* 282,150
----------
2,642,895
----------
Textiles, Clothing & Fabrics - 0.4%
3,500 Fruit of the Loom, Inc.* 34,125
3,000 Liz Claiborne, Inc. 109,500
13,900 Nike, Inc., Class B 880,044
2,700 Reebok International, Ltd.* 50,288
1,600 Russell Corp. 31,200
44,400 Sara Lee Corp. 1,007,325
900 Springs Industries, Inc. 39,263
5,800 V.F. Corp. 247,950
----------
2,399,695
----------
Airlines - 0.4%
7,600 AMR Corp.* 518,700
7,000 Delta Air Lines, Inc. 403,375
14,600 FDX Corp.* 792,050
16,475 Southwest Airlines, Inc. 512,784
3,600 U.S. Airways Group, Inc.* 156,825
----------
2,383,734
----------
Home Construction, Furnishings & Appliances - 0.4%
4,200 Johnson Controls, Inc. 291,113
18,200 Lowes Cos., Inc. 1,031,713
4,300 Maytag Corp. 299,656
2,600 Owens Corning 89,375
2,000 Pulte Corp. 46,125
3,700 Whirlpool Corp. 273,800
----------
2,031,782
----------
Lodging - 0.1%
12,600 Hilton Hotels Corp. 178,763
12,300 Marriott International, Inc., Class A 459,713
9,700 Mirage Resorts, Inc.* 162,475
----------
800,951
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- --------------------------------------------------------
Heavy Construction - 0.0%
2,800 Centex Corp. $ 105,175
2,000 Foster Wheeler Corp. 28,250
2,300 Kaufman And Broad Home Corp. 57,213
2,800 McDermott International, Inc. 79,100
------------
269,738
------------
Containers & Packaging - 0.0%
1,400 Ball Corp. 59,150
5,900 Crown Cork & Seal Co., Inc. 168,150
------------
227,300
------------
Total Common Stocks 545,895,550
------------
(Cost $357,986,417)
INVESTMENT COMPANY - 0.5%
2,898,028 SSgA Prime Money Market Fund 2,898,028
------------
Total Investment Company 2,898,028
------------
(Cost $2,898,028)
Total Investments - 99.0% 548,793,578
------------
(Cost $360,884,445)
Net Other Assets and Liabilities - 1.0% 5,534,056
------------
Total Net Assets - 100.0% $554,327,634
============
</TABLE>
- ------------------
* Non-income producing security.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
<TABLE>
<CAPTION>
Number of
Contracts Contract Expiration Current Opening Market Value at
Purchased Type Date Position June 30, 1999
- --------- -------- ---------- --------------- ---------------
<S> <C> <C> <C> <C>
6 S & P 500 Sep-99 $1,976,699 $2,072,550
<CAPTION>
=============== ===============
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $361,438,663. Net unrealized appreciation (depreciation) aggregated
$187,354,915, of which $193,597,626 related to appreciated investment securi-
ties and $6,242,711 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $69,524,654
and $116,874,698 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $9,952,420.
The value of collateral amounted to $10,145,280 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
------------------------------------------------------
F-26
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ----------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 98.0%
Banking - 9.9%
5,800 Associated Banc Corp. $ 240,700
74,700 Associates First Capital Corp., Class A 3,310,144
5,500 Astoria Financial Corp. 241,656
197,700 Bank of America Corp. 14,493,881
300 Bank One Corp. 17,869
59,900 BankBoston Corp. 3,062,388
16,200 Charter One Financial Inc. 450,563
346,500 Citigroup, Inc. 16,458,750
11,100 Compass Bancshares, Inc. 302,475
8,600 C.I.T. Group, Inc., Class A 248,325
10,900 Dime Bancorp, Inc. 219,363
22,300 First American Corp. 926,844
99,200 First Union Corp. 4,662,400
8,700 FirstMerit Corp. 244,144
5,800 Golden West Financial Corp. 568,400
10,500 Greenpoint Financial Corp. 344,531
15,600 Hibernia Corp., Class A 244,725
48,200 Household International, Inc. 2,283,475
12,100 Huntington Bancshares, Inc. 423,500
46,000 KeyCorp 1,477,750
800 M&T Bank Corp. 440,000
93,700 Mellon Bank Corp. 3,408,338
6,300 Mercantile Bankshares Corp. 222,863
3,700 National City Corp. 242,350
14,500 North Fork Bancorporation, Inc. 309,031
9,300 Peoples Heritage Financial Group, Inc. 174,956
31,000 PNC Bank Corp. 1,786,375
22,800 Regions Financial Corp. 876,375
17,000 Southtrust Corp. 652,375
15,600 Sovereign Bancorp, Inc. 189,150
17,900 Summit Bancorp 748,444
33,000 Suntrust Banks, Inc. 2,291,438
8,100 TCF Financial Corp. 225,788
14,600 Union Planters Corp. 652,438
76,400 U.S. Bancorp. 2,597,600
62,000 Washington Mutual, Inc. 2,193,250
169,700 Wells Fargo Co. 7,254,675
----------
74,487,329
----------
Telephone Systems - 9.1%
110,400 Ameritech Corp. 8,114,400
80,300 AT&T Corp. 4,481,744
11,200 AT&T Corp. - Liberty Media Group, Class A* 411,600
183,600 Bell Atlantic Corp. 12,002,850
2,900 Exodus Communications, Inc.* 347,819
106,200 GTE Corp. 8,044,650
35,800 Level 3 Communications, Inc.* 2,150,238
202,700 MCI WorldCom, Inc.* 17,482,875
213,400 SBC Communications, Inc. 12,377,200
45,400 U.S. West, Inc. 2,667,250
----------
68,080,626
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Pharmaceuticals - 8.5%
17,500 Alza Corp., Class A* $ 890,283
212,800 American Home Products Corp. 12,236,000
77,100 Amgen, Inc.* 4,693,463
211,500 Bristol-Myers Squibb Co. 14,897,531
28,400 Chiron Corp.* 589,300
12,800 Forest Laboratories, Inc.* 592,000
14,500 Genzyme Corp.* 703,250
2,596 Genzyme Surgical Products* 11,437
7,700 Johnson & Johnson Co. 754,600
172,900 Lilly (Eli) & Co. 12,383,963
8,400 Medimmune, Inc.* 569,100
50,900 Merck & Co., Inc. 3,766,600
18,100 Pfizer, Inc. 1,986,475
133,300 Warner-Lambert Co. 9,247,688
15,500 Watson Pharmaceuticals, Inc.* 543,469
----------
63,865,159
----------
Computers & Information - 7.7%
20,000 Apple Computer, Inc.* 926,250
295,300 Cisco Systems, Inc.* 19,046,850
182,000 Dell Computer Corp.* 6,734,000
102,800 EMC Corp.* 5,654,000
14,000 Gateway 2000, Inc.* 826,000
175,400 International Business Machines Corp. 22,670,450
32,400 Quantum Corp.* 781,650
21,800 Seagate Technology, Inc.* 558,625
22,650 Symbol Technologies, Inc. 835,219
----------
58,033,044
----------
Beverages, Food & Tobacco - 6.4%
26,900 Bestfoods 1,331,550
136,900 Coca-Cola Co. 8,556,250
2,500 Hershey Foods Corp. 148,438
38,800 H. J. Heinz Co. 1,944,850
59,400 Nabisco Group Holdings Corp., Class A 2,569,050
159,300 PepsiCo, Inc. 6,162,919
16,700 Pepsi Bottling Group, Inc. 385,144
230,300 Philip Morris Companies, Inc. 9,255,181
78,200 Ralston Purina Co. 2,380,213
63,400 Safeway, Inc.* 3,138,300
78,500 Sara Lee Corp. 1,780,969
126,400 Seagram Co., Ltd. 6,367,400
60,300 Unilever NV 4,205,925
----------
48,226,189
----------
Oil & Gas - 6.2%
46,000 Chevron Corp. 4,378,625
13,100 Columbia Energy Group 821,206
96,200 Conoco Inc., Class A 2,681,575
14,800 Consolidated Natural Gas Co. 899,100
4,400 Diamond Offshore Drilling, Inc. 124,850
19,700 El Paso Energy Corp. 693,194
9,500 Ensco International, Inc. 189,406
171,000 Exxon Corp. 13,188,375
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-27
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- -----------------------------------------------------------
Oil & Gas (continued)
13,400 Global Marine, Inc.* $ 206,863
92,100 Mobil Corp. 9,117,900
18,200 Phillips Petroleum Co. 915,688
172,500 Royal Dutch Petroleum Co. 10,393,125
14,900 R&B Falcon Corp.* 139,688
45,200 Texaco, Inc. 2,825,000
12,500 Tosco Corp. 324,219
6,900 Ultramar Diamond Shamrock Corp. 150,506
----------
47,049,320
----------
Retailers - 5.8%
15,200 Abercrombie & Fitch Co., Class A* 729,600
28,413 Albertson's, Inc. 1,465,045
26,700 Autozone, Inc.* 804,338
7,000 Circuit City Stores, Inc. 651,000
6,100 Costco Cos., Inc.* 488,381
15,600 Dayton-Hudson Corp. 1,014,000
16,500 Dillards, Inc., Class A 579,563
37,400 Federated Department Stores, Inc.* 1,979,863
33,450 Gap, Inc.* 1,685,044
7,400 Hannaford Brothers Co. 395,900
62,300 Home Depot, Inc. 4,014,456
44,000 J.C. Penney Co., Inc. 2,136,750
92,500 K Mart Corp.* 1,520,469
83,000 Kroger Co.* 2,318,813
54,300 May Department Stores Co. 2,219,513
23,200 Nordstrom, Inc. 777,200
62,500 Sears Roebuck & Co. 2,785,156
34,800 Sherwin Williams Co. 965,700
60,600 TJX Cos., Inc. 2,018,738
47,100 Toys "R" Us, Inc.* 974,381
300,900 Wal-Mart Stores, Inc. 14,518,425
----------
44,042,335
----------
Computer Software & Processing - 5.5%
30,700 3Com Corp.* 819,306
74,400 America Online, Inc.* 8,221,200
56,000 Automatic Data Processing, Inc. 2,464,000
2,300 BMC Software, Inc.* 124,200
5,200 Electronic Arts, Inc.* 282,100
17,400 Electronic Data Systems Corp. 984,188
242,400 Microsoft Corp.* 21,861,450
28,100 Oracle Corp.* 1,043,213
87,900 Sun Microsystems, Inc.* 6,054,113
----------
41,853,770
----------
Electronics - 4.5%
336,000 Intel Corp. 19,992,000
53,900 Motorola, Inc. 5,107,025
13,900 National Semiconductor Corp.* 351,844
100 Raytheon Co., Class A 6,888
54,800 Texas Instruments, Inc. 7,946,000
12,000 Xilinx, Inc.* 687,000
----------
34,090,757
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ---------------------------------------------------------------
<C> <S> <C>
Insurance - 4.2%
32,700 Aetna, Inc. $2,924,606
147,600 Allstate Corp. 5,295,150
12,600 AMBAC, Inc. 719,775
19,600 American International Group, Inc. 2,294,425
46,100 AON Corp. 1,901,625
27,500 Chubb Corp. 1,911,250
30,000 Cigna Corp. 2,670,000
16,600 Equitable Cos., Inc. 1,112,200
26,200 Humana, Inc.* 338,963
48,100 Marsh & Mclennan Cos.Inc. 3,631,550
18,000 MBIA, Inc. 1,165,500
9,200 Mercury General Corp. 312,800
1,100 Pacificare Health Systems, Inc.* 79,131
59,900 Provident Companies, Inc. 2,396,000
41,400 St. Paul Cos. 1,317,038
24,000 Torchmark Corp. 819,000
11,400 Travelers Property Casualty Corp. 446,025
23,000 United Healthcare Corp. 1,440,375
10,400 Wellpoint Health Networks, Inc., Class A* 882,700
----------
31,658,113
----------
Industrial-Diversified - 3.4%
144,600 General Electric Co. 16,339,800
96,000 Tyco International, Ltd. 9,096,000
----------
25,435,800
----------
Commercial Services - 2.4%
1,300 Browning-Ferris Industries, Inc. 55,900
240,700 Cendant Corp.* 4,934,350
45,300 Equifax, Inc. 1,616,644
52,700 First Data Corp. 2,579,006
33,800 R. R. Donnelley & Sons Co. 1,252,713
85,200 Service Corp.International 1,640,100
107,400 Waste Management, Inc. 5,772,750
----------
17,851,463
----------
Chemicals - 2.3%
49,200 Dow Chemical Co. 6,242,250
26,000 IMC Global, Inc. 458,250
23,600 Lyondell Chemical Co. 486,750
163,600 Monsanto Co. 6,451,975
36,600 PPG Industries, Inc. 2,161,688
23,600 Solutia, Inc. 502,975
24,300 Union Carbide Corp. 1,184,625
----------
17,488,513
----------
Media-Broadcasting & Publishing - 2.2%
43,700 Comcast Corp., Class A 1,679,719
300 Gannett Co., Inc. 21,413
24,700 Knight-Ridder, Inc. 1,356,956
131,000 MediaOne Group, Inc.* 9,743,125
42,000 New York Times Co., Class A 1,546,125
16,700 Times Mirror Co., Class A 989,475
2,600 Washington Post Co., Class B 1,398,150
----------
16,734,963
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-28
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------
<C> <S> <C>
Electric Utilities - 2.2%
18,700 Allegheny Energy, Inc. $ 599,569
18,300 Ameren Corp. 702,263
85,200 Central & South West Corp. 1,991,550
24,300 Cinergy Corp. 777,600
17,600 CMS Energy Corp. 737,000
22,900 Constellation Energy Group, Inc. 678,413
29,600 Dominion Resources, Inc. 1,282,050
20,500 Edison International 548,375
38,100 Entergy Corp. 1,190,625
9,400 FPL Group, Inc. 513,475
14,800 NiSource, Inc. 382,025
20,100 Northeast Utilities* 355,519
23,300 Northern States Power Co. 563,569
58,600 PG&E Corp. 1,904,500
13,000 Pinnacle West Capital, Corp. 523,250
24,100 PP&L Resources, Inc. 741,075
16,700 Reliant Energy, Inc. 461,338
19,200 TECO Energy, Inc. 436,800
43,200 Texas Utilities Co. 1,782,000
18,600 Wisconsin Energy Corp. 466,163
----------
16,637,159
----------
Communications - 2.0%
227,000 Lucent Technologies, Inc. 15,308,313
----------
Electrical Equipment - 2.0%
69,000 Eastman Kodak Co. 4,674,750
66,800 Emerson Electric Co. 4,200,050
105,000 Xerox Corp. 6,201,563
----------
15,076,363
----------
Cosmetics & Personal Care - 1.8%
59,500 Gillette Co. 2,439,500
128,900 Procter & Gamble Co. 11,504,325
----------
13,943,825
----------
Automotive - 1.8%
33,900 Dana Corp. 1,561,519
118,059 Delphi Automotive Systems Corp. 2,191,475
45,200 Ford Motor Co. 2,550,975
45,500 General Motors Corp. 3,003,000
37,300 Genuine Parts Co. 1,305,500
31,800 Goodyear Tire & Rubber Co. 1,870,238
22,000 ITT Industries, Inc. 838,750
11,500 Paccar, Inc. 613,813
----------
13,935,270
----------
Securities Broker - 1.4%
11,200 Bear Stearns Cos., Inc. 523,600
45,900 Goldman Sachs and Co. 3,316,275
8,900 Lehman Brothers Holdings, Inc. 554,025
26,300 Merrill Lynch & Co., Inc. 2,102,356
33,300 Morgan Stanley Dean Witter & Co. 3,413,250
13,800 Paine Webber Group, Inc. 645,150
----------
10,554,656
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------
<C> <S> <C>
Forest Products & Paper - 1.4%
5,700 Bowater, Inc. $ 269,325
24,400 Fort James Corp. 924,150
46,500 International Paper Co. 2,348,250
50,500 Kimberly-Clark Corp. 2,878,500
11,400 Louisiana Pacific Corp. 270,750
300 Mead Corp. 12,525
22,700 Smurfit-Stone Container Corp.* 466,769
6,200 Temple Inland, Inc. 423,150
113,000 Tenneco, Inc. 2,697,875
----------
10,291,294
----------
Aerospace & Defense - 1.3%
68,700 AlliedSignal, Inc. 4,328,100
16,600 Boeing Co. 733,513
132,900 Lockheed Martin Corp. 4,950,525
----------
10,012,138
----------
Heavy Machinery - 0.9%
37,500 Applied Materials, Inc.* 2,770,313
4,100 Cooper Cameron Corp.* 151,956
34,300 Deere & Co. 1,359,138
22,100 Harris Corp., Inc. 866,044
16,000 Parker-Hannifin Corp. 732,000
11,100 Rockwell International Corp. 674,325
3,400 Smith International, Inc.* 147,688
----------
6,701,464
----------
Metals - 0.9%
14,700 Alcan Aluminum, Ltd. 469,481
41,400 Alcoa, Inc. 2,561,625
42,800 Allegheny Teledyne, Inc. 968,350
13,900 Cooper Industries, Inc. 722,800
60,700 Freeport-McMoRan Copper & Gold, Inc. 1,088,806
8,200 Hubbell Inc. 372,075
4,700 Nucor Corp. 222,956
4,100 Phelps Dodge Corp. 253,944
----------
6,660,037
----------
Financial Services - 0.8%
1,300 American Express Co. 169,163
70,200 Fannie Mae 4,799,925
6,300 Finova Group, Inc. 331,538
17,500 Franklin Resources Inc. 710,938
3,400 Wilmington Trust Corp. 195,075
----------
6,206,639
----------
Health Care Providers - 0.6%
94,600 Columbia/HCA Healthcare Corp. 2,158,063
15,200 HCR Manor Care, Inc.* 367,650
36,100 Health Management Associates, Inc., Class A* 406,125
68,400 Healthsouth Corp.* 1,021,725
49,800 Tenet Healthcare Corp.* 924,413
----------
4,877,976
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-29
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- ------------------------------------------------------------------------
<C> <S> <C>
Transportation - 0.6%
45,200 Burlington Northern Santa Fe Corp. $1,401,200
4,000 CNF Transportation, Inc. 153,500
20,300 CSX Corp. 919,844
26,100 Norfolk Southern Corp. 786,263
23,900 Union Pacific Corp. 1,393,669
----------
4,654,476
----------
Lodging - 0.6%
80,900 Hilton Hotels Corp. 1,147,769
28,300 Mandalay Resort Group* 597,838
61,600 Mirage Resorts, Inc.* 1,031,800
55,500 Starwood Hotels & Resorts Worldwide, Inc. 1,696,219
----------
4,473,626
----------
Airlines - 0.4%
43,600 AMR Corp.* 2,975,700
----------
Medical Supplies - 0.4%
10,800 Eaton Corp. 993,600
9,700 Medtronic, Inc. 755,388
8,200 PE Biosystems Group 940,950
----------
2,689,938
----------
Home Construction, Furnishings & Appliances - 0.3%
1,300 Johnson Controls, Inc. 90,106
14,800 Lear Corp.* 736,300
42,200 Leggett & Platt, Inc. 1,173,688
8,000 Whirlpool Corp. 592,000
----------
2,592,094
----------
Entertainment & Leisure - 0.2%
63,400 Mattel, Inc. 1,676,138
----------
Household Products - 0.2%
38,900 Rohm & Haas Co. 1,667,838
----------
Textiles, Clothing & Fabrics - 0.1%
22,300 Jones Apparel Group, Inc.* 765,169
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
- ------------------------------------------------------------
Building Materials - 0.0%
5,000 USG Corp. $ 280,000
------------
Total Common Stocks 740,877,494
------------
(Cost $682,118,024)
<CAPTION>
Par Value
---------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATION - 0.2%
U.S. Treasury Note
$1,500,000 5.88%, 02/15/00 (1) 1,506,095
------------
Total U.S. Government Obligation 1,506,095
------------
(Cost $1,506,152)
<CAPTION>
Shares
-------
<C> <S> <C>
INVESTMENT COMPANY - 0.0%
335,331 SSgA Prime Money Market Fund 335,331
------------
Total Investment Company 335,331
------------
(Cost $335,331)
Total Investments - 98.2% 742,718,920
------------
(Cost $683,959,507)
Net Other Assets and Liabilities - 1.8% 13,618,802
------------
Total Net Assets - 100.0% $756,337,722
============
</TABLE>
- ------------------
* Non-income producing security.
(1) Security has been deposited as initial margin on futures contracts. At June
30, 1999, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of Current
Contracts Contract Expiration Opening Market Value at
Purchased Type Date Position June 30, 1999
- --------- -------- ---------- ----------- ---------------
<S> <C> <C> <C> <C>
37 S&P 500 Sep-99 $12,426,470 $12,780,725
<CAPTION>
=========== ===============
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $684,051,567. Net unrealized appreciation (depreciation) aggregated
$58,667,353, of which $77,231,894 related to appreciated investment securities
and $18,564,541 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$667,421,117 and $649,241,991 of non-governmental issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $10,516,856.
The value of collateral amounted to $10,693,200 which consisted of cash equiva-
lents (note 2).
See Notes to Financial Statements.
------------------------------------------------------
F-30
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -----------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 52.4%
Ginnie Mae (B) - 22.9%
$9,192,223 6.50%, 03/15/29 to 06/15/29 Aaa $8,861,033
24,657,601 7.00%, 01/15/24 to 06/15/29 Aaa 24,373,965
4,500,000 8.00%, 07/01/29 (D) Aaa 4,623,750
609,696 8.00%, 08/15/25 to 11/15/25 Aaa 626,991
1,722,311 9.00%, 12/15/17 Aaa 1,835,914
----------
40,321,653
----------
Fannie Mae (B) - 15.2%
4,750,000 4.73%, 08/06/99 Aaa 4,690,711
9,074,570 6.00%, 03/01/03 to 06/01/29 Aaa 8,566,737
3,325,000 6.40%, 05/14/09 Aaa 3,207,967
8,588,709 6.50%, 06/01/14 to 03/01/29 Aaa 8,404,866
114,584 7.00%, 11/15/27 Aaa 113,269
1,561,948 9.00%, 11/01/25 Aaa 1,660,538
----------
26,644,088
----------
U.S. Treasury Bonds - 8.4%
9,625,000 8.13%, 08/15/19 to 05/15/21 Aaa 11,647,109
2,100,000 11.25%, 02/15/15 Aaa 3,135,563
----------
14,782,672
----------
U.S. Treasury Notes - 4.2%
5,875,000 4.75%, 11/15/08 (E) Aaa 5,392,151
250,000 5.63%, 12/31/99 Aaa 250,547
1,125,000 5.75%, 10/31/02 Aaa 1,127,462
525,000 6.63%, 04/30/02 Aaa 538,125
----------
7,308,285
----------
Federal Home Loan Bank - 0.9%
1,500,000 5.38%, 03/02/01 Aaa 1,489,977
----------
U.S. Treasury Inflationary Index -
0.8%
1,375,000 3.76%, 07/15/02 Aaa 1,361,680
----------
Total U.S. Government and Agency
Obligations 91,908,355
----------
(Cost $93,767,229)
CORPORATE NOTES AND BONDS - 36.8%
Banking - 7.8%
300,000 Abbey National, Plc, Yankee Bond
6.70%, 06/29/49 Aa 278,233
1,625,000 Banc One Corp., MTN 5.63%, 02/17/04 Aa 1,557,402
975,000 BB&T Corp.
6.38%, 06/30/05 A 951,435
700,000 BB&T Corp.
7.25%, 06/15/07 A 700,877
400,000 First USA Bank
7.00%, 08/20/01 Aa 404,825
750,000 Firstar Corp.
5.88%, 11/01/03 A 726,925
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- -----------------------------------------------------------------------------
<C> <S> <C> <C>
Banking (continued)
$ 250,000 Key Bank National Association
5.80%, 04/01/04 Aa $ 238,995
575,000 Key Bank National Association
6.50%, 04/15/08 A 555,011
800,000 Keystone Financial MidAtlantic
Funding, MTN
7.30%, 05/15/04 Baa 805,137
2,000,000 MBNA Credit Card Trust, CMO
5.36%, 07/17/06 A 2,001,800
1,025,000 Mellon Financial Co.
5.75%, 11/15/03 A 993,597
800,000 National City Corp.
5.75%, 02/01/09 A 729,424
1,965,000 National Westminster Bank
7.75%, 04/29/49 Aa 1,929,337
1,125,000 Union Planters Bank
6.50%, 03/15/08 Baa 1,060,623
775,000 Wells Fargo Co.
6.75%, 06/15/07 Aa 768,306
----------
13,701,927
----------
Real Estate - 4.2%
275,000 Avalon Properties, Inc., REIT
7.38%, 09/15/02 Baa 275,597
750,000 Colonial Realty, LP, MTN
6.96%, 07/26/04 Baa 705,042
300,000 Colonial Realty, LP, MTN
7.16%, 01/17/03 Baa 289,960
1,350,000 ERP Operating, LP, Senior Note
6.63%, 02/15/05 Baa 1,307,699
400,000 Franchise Finance Corp. of America,
REIT
7.00%, 11/30/00 Baa 398,410
750,000 IRT Property Co., REIT
7.25%, 08/15/07 Baa 702,575
650,000 Meditrust Cos., REIT
7.82%, 09/10/26 Ba 580,419
825,000 Regency Centers, LP, REIT
7.40%, 04/01/04 Baa 819,397
500,000 Shopping Center Associates (A)
6.75%, 01/15/04 Baa 493,608
450,000 Spieker Properties, Inc., REIT
6.65%, 12/15/00 Baa 449,168
750,000 Summit Properties Partnership, LP,
REIT
7.20%, 08/15/07 Baa 696,737
625,000 Trinet Corporate Realty Trust, Inc.,
REIT
7.30%, 05/15/01 Baa 623,357
----------
7,341,969
----------
Insurance - 3.8%
400,000 AAG Holding Co., Inc.
6.88%, 06/01/08 Baa 371,940
600,000 American Financial Group, Inc.
7.13%, 04/15/09 Baa 567,525
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-31
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- ---------------------------------------------------------------------------
<C> <S> <C> <C>
Insurance (continued)
$1,000,000 Conseco, Inc.
6.80%, 06/15/05 Ba $ 940,815
800,000 Markel Corp.
7.25%, 11/01/03 Baa 806,150
1,700,000 Marsh & Mclennan Cos. Inc.
6.63%, 06/15/04 A 1,702,613
700,000 Provident Companies, Inc.
7.00%, 07/15/18 A 669,014
750,000 Reliastar Financial Corp.
6.50%, 11/15/08 A 713,798
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 Baa 445,656
400,000 USF&G Corp.
8.38%, 06/15/01 A 413,464
----------
6,630,975
----------
Media-Broadcasting & Publishing -
3.4%
1,675,000 Cox Communications, Inc.
6.69%, 09/20/04 Baa 1,656,670
950,000 News America Holdings, Inc.
7.30%, 04/30/28 Baa 875,646
375,000 News America Holdings, Inc.
7.75%, 12/01/45 Baa 355,464
1,525,000 Time Warner, Inc.
7.75%, 06/15/05 Baa 1,570,649
1,525,000 Viacom, Inc.
7.75%, 06/01/05 Baa 1,568,789
----------
6,027,218
----------
Financial Services - 3.3%
450,000 Ahold Finance USA, Inc.
6.25%, 05/01/09 A 424,405
400,000 Ahold Finance USA, Inc.
6.88%, 05/01/29 A 370,999
1,550,000 AMVESCAP, Plc, Yankee Bond
6.60%, 05/15/05 A 1,464,601
1,500,000 Brascan, Ltd., Yankee Note
7.38%, 10/01/02 Baa 1,515,815
875,000 Homeside Lending, Inc., MTN
6.88%, 06/30/02 A 876,488
900,000 ProLogis Trust, REIT
6.70%, 04/15/04 Baa 878,283
250,000 Travelers Group, Inc., MTN
6.63%, 11/30/00 Aa 250,913
----------
5,781,504
----------
Securities Broker - 2.2%
190,000 Bear Stearns Cos., Inc.
6.75%, 08/15/00 A 191,010
1,150,000 Goldman Sachs and Co. (A)
7.20%, 03/01/07 A 1,157,086
575,000 Merrill Lynch & Co., Inc.
6.00%, 01/15/01 Aa 572,765
675,000 Morgan Stanley Dean Witter & Co.
5.63%, 01/20/04 Aa 648,181
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
Securities Broker (continued)
$ 375,000 Paine Webber Group, Inc.
6.38%, 05/15/04 Baa $ 364,518
575,000 Salomon Smith Barney Holdings, Inc.
6.25%, 06/15/05 Aa 553,949
100,000 Salomon Smith Barney Holdings, Inc.
7.13%, 08/01/99 Aa 100,088
350,000 Salomon Smith Barney Holdings, Inc.
7.88%, 10/01/99 Aa 351,592
----------
3,939,189
----------
Forest Products & Paper - 1.6%
1,275,000 Abitibi-Consolidated,
Yankee Debenture
7.50%, 04/01/28 Baa 1,140,406
425,000 Abitibi-Consolidated,
Yankee Debenture
7.40%, 04/01/18 Baa 385,957
775,000 Georgia-Pacific Corp.
9.95%, 06/15/02 Baa 830,196
425,000 Nexfor, Inc., Yankee Debenture 8.88%,
10/15/99 Baa 427,703
----------
2,784,262
----------
Commercial Services - 1.6%
1,250,000 Blount International, Inc.
7.00%, 06/15/05 Ba 1,196,994
550,000 Waste Management, Inc.
6.13%, 07/15/01 Baa 546,310
625,000 Waste Management, Inc.
6.38%, 12/01/03 Baa 617,246
450,000 Waste Management, Inc.
7.00%, 07/15/28 Baa 414,952
----------
2,775,502
----------
Oil & Gas - 1.2%
900,000 Coastal Corp.
6.20%, 05/15/04 Baa 879,753
925,000 Canadian Occidental Petroleum, Yankee
Bond
7.40%, 05/01/28 Baa 837,317
400,000 Enron Corp.
6.45%, 11/15/01 Baa 399,282
----------
2,116,352
----------
Industrial-Diversified - 0.9%
1,625,000 Tyco International Group S.A. 6.38%,
06/15/05 Baa 1,583,576
----------
Entertainment & Leisure - 0.9%
1,325,000 Royal Caribbean Cruises, Ltd., Yankee
Debenture 7.50%, 10/15/27 Baa 1,230,804
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-32
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- ----------------------------------------------------------------------------
<C> <S> <C> <C>
Entertainment & Leisure (continued)
$ 375,000 Time Warner, Inc. 6.63%, 05/15/29 Baa $ 330,334
----------
1,561,138
----------
Communications - 0.9%
1,225,000 PanAmSat Corp. 6.13%, 01/15/05 Baa 1,181,956
325,000 PanAmSat Corp. 6.00%, 01/15/03 Baa 318,116
----------
1,500,072
----------
Beverages, Food &
Tobacco - 0.8%
1,425,000 Diageo Plc
6.63%, 06/24/04 A 1,427,403
----------
Restaurants - 0.7%
1,350,000 Aramark Services, Inc.
6.75%, 08/01/04 Baa 1,309,823
----------
Chemicals - 0.7%
1,200,000 IMC Global, Inc. 7.63%, 11/01/05 Baa 1,221,592
----------
Metals - 0.6%
1,250,000 Cominco, Ltd.
6.88%, 02/15/06 Baa 1,095,489
----------
Heavy Machinery - 0.6%
1,075,000 Idex Corp.
6.88%, 02/15/08 Baa 991,123
----------
Transportation - 0.5%
1,000,000 Wisconsin Central
Transportation Corp.
6.63%, 04/15/08 Baa 955,896
----------
Telephone Systems - 0.4%
700,000 Telephone and Data Systems, Inc.
7.00%, 08/01/06 Baa 658,541
----------
Retailers - 0.4%
625,000 Sears Roebuck Acceptance Corp., MTN
6.69%, 04/30/01 A 626,964
----------
Lodging - 0.3%
500,000 La Quinta Inns, Inc., MTN 7.11%,
10/17/01 Ba 472,817
----------
Total Corporate Notes
and Bonds 64,503,332
----------
(Cost $66,888,810)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 8.4%
$1,522,200 Bear Stearns Mortgage Securities,
Inc. Series 1998-2, Class B, CMO
6.75%, 04/30/30 Aa $1,490,645
700,000 Chase Commercial Mortgage Securities
Corp. Series 1997-1, Class D, CMO
7.37%, 05/19/07 (C) BBB 687,862
999,819 Chase Commercial Mortgage Securities
Corp. Series 1996-1, Class E, CMO
7.60%, 06/18/06 (C) BBB 963,166
1,104,258 Citicorp Mortgage Securities, Inc.,
Series 1995-3, Class B3, CMO 7.50%,
11/25/25 (C) BBB 1,051,242
1,675,000 Delta Funding Home Equity Loan Trust
Series 1999-1, Class A6F, CMO 6.34%,
10/15/28 Aaa 1,608,134
53,030 Fund America Investors Corp. II,
Series 1993-F, Class A1, CMO 5.40%,
09/25/09 Aaa 52,207
1,675,000 General Electric Capital Mortgage
Services, Inc. Series 1999-HE1,
Class A-2, CMO
6.27%, 04/25/29 Aaa 1,630,680
900,000 GMAC Commercial Mortgage Securities
Corp. Series 1997-C1, Class E, CMO
7.09%, 11/15/10 Baa 865,355
350,000 Green Tree Financial Corp., Series
1998-8, Class B-1, CMO 7.69%,
09/01/30 Baa 336,158
504,505 Housing Securities, Inc.,
Series 1994-2, Class A-1, CMO
6.50%, 07/25/09 Aaa 496,175
1,000,000 Merrill Lynch Mortgage Investors,
Inc. Series 1996-C2, Class E, CMO
6.96%, 11/21/28 Aa 896,460
825,000 Merrill Lynch Mortgage Investors,
Inc. Series 1997-C1, Class D, CMO
7.12%, 06/18/29 Baa 795,704
575,000 Mortgage Capital Funding, Inc.,
Series 1996-MC1, Class A2B, CMO
7.90%, 07/15/28 (C) AAA 614,434
700,000 Preferred Credit Corp., Series 1997-
1, Class A6, CMO
7.59%, 07/25/26 Aaa 716,625
180,715 Resolution Trust Corp., Series 1995-
2, Class C-1, CMO
7.45%, 05/25/29 Baa 178,487
113,694 Resolution Trust Corp., Series 1994-
C2, Class D, CMO
8.00%, 04/25/25 (C) BBB 115,008
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-33
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (continued)
$ 625,000 Resolution Trust Corp.,
Series 1994-C1, Class C, CMO
8.00%, 06/25/26 (C) AA $ 635,838
1,650,000 UCFC Home Equity Loan, Series 1998-
D, Class AF7, CMO 6.32%, 04/15/30 Aaa 1,583,538
--- ------------
Total Asset-Backed and Mortgage-
Backed Securities 14,717,718
--- ------------
(Cost $15,043,826)
Total Investments - 97.6% 171,129,405
--- ------------
(Cost $175,699,865)
Net Other Assets and Liabilities - 2.4% 4,225,964
--- ------------
Total Net Assets - 100.0% $175,355,369
=== ============
</TABLE>
- ------------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At June 30, 1999, these securities
amounted to $1,650,694 or 0.94% of net assets.
(B) Pass Through Certificates
(C) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(D) Forward Commitment
(E) Designated as Collateral on Forward Commitment
MTN Medium Term Note
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $175,707,927. Net unrealized appreciation (depreciation) aggregated
$(4,578,522), of which $208,633 related to appreciated investment securities
and $4,787,155 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $41,164,470
and $46,933,839 of non-governmental issuers, respectively, and $140,880,785 and
$116,666,471 from U.S. Government and Agency issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $6,489,797.
The value of collateral amounted to $6,667,438 which consisted of cash equiva-
lents (note 2).
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings S&P Ratings
<S> <C> <C> <C>
Aaa 57.4% AAA 0.4%
Aa 5.7 AA 0.4
A 9.8 BBB 1.6
Baa 22.8
Ba 1.9
--------- -------
97.6% 2.4%
========= =======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-34
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ---------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 49.5%
Fannie Mae (A) - 22.6%
$ 1,000,000 4.92%, 07/19/99 Aaa $ 996,583
13,389,576 6.00%, 05/01/01 to 02/01/29 Aaa 12,800,071
16,918,983 6.50%, 05/01/08 to 06/01/29 Aaa 16,393,388
2,500,000 7.00%, 07/01/29 (D) Aaa 2,473,438
12,268,232 7.00%, 05/01/17 to 07/14/29 Aaa 12,162,178
592,968 7.39%, 08/17/03 Aaa 595,612
7,616,324 7.50%, 10/01/25 to 10/01/28 Aaa 7,720,631
2,224,477 8.00%, 04/01/09 to 04/01/23 Aaa 2,291,424
393,735 8.50%, 07/01/08 Aaa 409,366
361,708 9.00%, 02/01/10 Aaa 377,392
------------
56,220,083
------------
U.S. Treasury Notes - 10.1%
10,850,000 5.63%, 02/28/01 Aaa 10,873,733
9,415,000 5.75%, 08/15/03 Aaa 9,415,000
300,000 6.25%, 02/15/07 Aaa 305,625
250,000 6.50%, 08/15/05 Aaa 257,735
3,530,000 6.63%, 03/31/02 (E) Aaa 3,618,250
670,000 6.88%, 05/15/06 Aaa 705,385
------------
25,175,728
------------
U.S. Treasury Bonds - 9.2%
4,835,000 5.50%, 08/15/28 Aaa 4,414,959
9,905,000 7.13%, 02/15/23 Aaa 10,941,935
4,565,000 7.25%, 05/15/16 Aaa 5,010,088
1,500,000 7.50%, 11/15/16 Aaa 1,686,095
650,000 7.63%, 11/15/22 Aaa 756,031
90,000 7.75%, 01/31/00 Aaa 91,350
------------
22,900,458
------------
Ginnie Mae (A) - 4.5%
8,251,344 6.50%, 09/15/08 to 02/15/29 Aaa 7,980,162
1,499,875 7.00%, 05/15/23 to 06/15/23 Aaa 1,486,361
903,720 8.00%, 08/15/22 to 09/15/26 Aaa 929,659
179,948 9.00%, 08/15/16 Aaa 191,824
711,440 9.50%, 02/15/06 Aaa 753,302
------------
11,341,308
------------
Freddie Mac (A) - 3.1%
137,945 6.50%, 06/01/04 to 08/01/04 Aaa 136,272
3,197,499 7.00%, 08/01/10 to 12/01/11 Aaa 3,214,850
1,018,422 7.50%, 01/01/07 to 10/01/18 Aaa 1,035,644
1,248,422 7.90%, 07/01/16 Aaa 1,281,583
802,200 8.00%, 04/01/07 to 08/01/09 Aaa 821,995
282,996 8.75%, 05/01/17 Aaa 302,432
712,383 9.50%, 03/01/01 to 02/01/21 Aaa 759,005
210,964 10.00%, 10/01/20 to 12/01/20 Aaa 228,997
------------
7,780,778
------------
Total U.S. Government and
Agency Obligations 123,418,355
------------
(Cost $126,019,789)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 34.9%
Banking - 4.6%
$ 925,000 BankBoston Corp., MTN
6.38%, 04/15/08 A $ 873,080
1,450,000 BCH Cayman Islands, Ltd., Yankee
Subordinated Note, Guaranteed
6.50%, 02/15/06 A 1,391,549
1,000,000 Centura Banks, Inc.
6.50%, 03/15/09 Baa 933,498
2,000,000 Chase Manhattan Corp.
6.38%, 02/15/08 A 1,903,062
1,000,000 Compass Trust I, Series A
8.23%, 01/15/27 A 998,334
2,000,000 Firstar Corp., MTN
6.97%, 05/01/00 A 2,009,190
1,750,000 MBNA Corp.
6.96%, 09/12/02 Baa 1,722,833
1,775,000 Providian National Bank
6.75%, 03/15/02 Baa 1,758,771
------------
11,590,317
------------
Securities Broker - 3.3%
2,500,000 Bear Stearns Cos., Inc.,
Senior Note
6.15%, 03/02/04 A 2,424,118
2,045,000 Donaldson, Lufkin & Jenrette, Inc.,
Senior Note
6.88%, 11/01/05 A 2,015,366
2,275,000 Morgan Stanley Dean Witter & Co.,
MTN
5.63%, 02/28/01 Aa 2,249,506
1,700,000 Paine Webber Group, Inc., Senior
Note
6.55%, 04/15/08 Baa 1,596,261
------------
8,285,251
------------
Telephone Systems - 3.3%
1,500,000 AT&T Capital Corp., MTN
6.25%, 05/15/01 Baa 1,475,871
1,225,000 LCI International, Inc.,
Senior Note
7.25%, 06/15/07 Ba 1,206,298
2,275,000 MCI WorldCom, Inc.
7.75%, 04/01/07 A 2,377,498
1,800,000 Sprint Capital Corp.
5.70%, 11/15/03 Baa 1,731,339
1,500,000 U.S. West Capital Funding, Inc.
6.13%, 07/15/02 Baa 1,469,273
------------
8,260,279
------------
Media-Broadcasting & Publishing -
3.2%
1,675,000 Comcast Cable Communications, Inc.
8.13%, 05/01/04 Baa 1,759,083
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-35
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------------
Media-Broadcasting & Publishing
(continued)
$ 1,125,000 Hearst-Argyle Television, Inc.,
Senior Note
7.00%, 01/15/18 Baa $ 1,038,924
2,275,000 News America Holdings, Inc. 7.38%,
10/17/08 Baa 2,259,587
675,000 Time Warner Entertainment Co., LP,
Senior Debenture
8.38%, 03/15/23 Baa 730,461
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Baa 1,286,943
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Baa 864,458
-----------
7,939,456
-----------
Oil & Gas - 2.7%
2,325,000 K.N. Energy, Inc., Senior Note
6.45%, 03/01/03 Baa 2,243,741
700,000 Southwest Gas Corp., Debenture,
Series F
9.75%, 06/15/02 Baa 747,541
1,500,000 Tennessee Gas Pipeline Co.,
Debentures
7.50%, 04/01/17 Baa 1,488,896
800,000 Union Pacific Resources
Group, Inc.
6.50%, 05/15/05 Baa 760,373
1,500,000 Valero Energy Corp., MTN 7.50%,
05/31/01 (B) BBB 1,508,739
-----------
6,749,290
-----------
Electric Utilities - 2.7%
2,195,000 Connecticut Light & Power Co.,
First Mortgage, Series 94D
7.88%, 10/01/24 Baa 2,248,273
1,000,000 Empresa Electrica Pehuenche SA,
Yankee Note
7.30%, 05/01/03 Baa 947,999
1,000,000 Ohio Edison Co.
7.38%, 09/15/02 Baa 1,020,715
1,100,000 Sithe/Independence Funding Corp.,
Guaranteed, Series A 9.00%,
12/30/13 Baa 1,186,416
580,000 Texas Utilities Electric Co.
7.38%, 10/01/25 A 556,522
800,000 Texas-New Mexico Power Co., Senior
Note
6.25%, 01/15/09 Baa 705,083
-----------
6,665,008
-----------
Financial Services - 2.4%
1,750,000 Homeside Lending, Inc., MTN 6.88%,
05/15/00 A 1,757,973
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa 1,452,110
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------------
Financial Services (continued)
$ 1,700,000 The Money Store, Inc.
8.05%, 04/15/02 A $ 1,769,734
1,000,000 Travelers Group, Inc.
7.25%, 05/01/01 Aa 1,017,375
-----------
5,997,192
-----------
Beverages, Food & Tobacco - 1.7%
1,700,000 J. Seagram & Sons, Inc.
7.60%, 12/15/28 Baa 1,639,715
1,500,000 Ralston Purina Co., Debenture
7.75%, 10/01/15 Baa 1,566,876
1,000,000 Safeway, Inc.
6.50%, 11/15/08 Baa 958,313
-----------
4,164,904
-----------
Airlines - 1.6%
1,300,000 AMR Corp., Debenture
9.50%, 05/15/01 Baa 1,360,510
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa 2,122,217
415,080 United Air Lines, Inc.
9.30%, 03/22/08 Baa 451,951
-----------
3,934,678
-----------
Forest Products & Paper - 1.6%
1,900,000 Abitibi-Consolidated,
Yankee Debenture
7.40%, 04/01/18 Baa 1,725,455
1,225,000 Chesapeake Corp.
7.20%, 03/15/05 Baa 1,236,279
1,000,000 International Paper Co.
6.88%, 04/15/29 A 918,610
-----------
3,880,344
-----------
Automotive - 1.4%
400,000 Ford Motor Credit Corp.
5.80%, 01/12/09 A 365,720
1,300,000 Ford Motor Credit Corp.
6.25%, 12/08/05 A 1,255,521
1,805,000 General Motors Acceptance Corp.
5.88%, 01/22/03 A 1,764,003
-----------
3,385,244
-----------
Insurance - 1.0%
1,000,000 AON Capital Trust, Series A 8.21%,
01/01/27 A 1,052,022
1,500,000 Conseco Finance Trust III
8.80%, 04/01/27 Ba 1,377,257
-----------
2,429,279
-----------
Retailers - 0.9%
2,450,000 Dillards, Inc.
6.13%, 11/01/03 Baa 2,366,879
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-36
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
Communications - 0.8%
$ 2,275,000 Lucent Technologies, Inc. 6.45%,
03/15/29 A $ 2,078,786
------------
Computers & Information - 0.7%
2,000,000 International Business
Machines Corp.
6.50%, 01/15/28 A 1,847,556
------------
Heavy Machinery - 0.6%
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 Baa 1,507,677
------------
Industrial-Diversified - 0.6%
1,500,000 Tyco International Group S.A.,
Yankee Subordinated Note 6.25%,
06/15/03 Baa 1,476,305
------------
Pharmaceuticals - 0.6%
1,500,000 Watson Pharmaceuticals, Inc.,
Senior Note
7.13%, 05/15/08 Ba 1,435,785
------------
Chemicals - 0.5%
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba 1,336,218
------------
Transportation - 0.4%
900,000 CNF Transportation, Inc.,
Debenture
9.13%, 08/15/99 Baa 901,144
------------
Home Construction, Furnishings & Appliances -
0.3%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa 816,912
------------
Total Corporate Notes and Bonds 87,048,504
------------
(Cost $89,065,094)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) - 13.2%
277,849 Associates Manufactured Housing,
Series 1996-1, Class A2,
6.70%, 03/15/27 Aaa 278,210
2,350,000 BankBoston RV Asset Backed
Trust, Series 1997-1, Class A8,
6.54%, 02/15/09 Aaa 2,360,011
1,489,606 Barnett Auto Trust,
Series 1997-A, Class A-3,
6.03%, 11/15/01 Aaa 1,493,404
1,288,054 Bear Stearns Mortgage
Securities, Inc., Series 1995-1,
Class 1A, CMO
6.48%, 05/25/10 Aaa 1,266,646
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- ------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) (continued)
$2,100,000 Bear Stears Mortgage
Securities, Inc.,
7.08%, 06/15/09 Aaa $ 2,118,375
1,250,000 Bear Stearns Mortgage Securities,
Inc., Series 1996-3, Class A10,
CMO
7.75%, 06/25/27 Aaa 1,262,751
750,000 Carco Auto Loan Master Trust,
Series 1997-1, Class A,
6.69%, 08/15/04 Aaa 751,343
1,575,000 Chase Credit Card Master Trust,
Series 1997-5, Class A,
6.19%, 08/15/05 Aaa 1,570,606
3,000,000 Chase Manhattan Auto Owner Trust,
Series 1998-A, Class 3, 5.70%,
09/17/01 Aaa 3,002,760
1,106,327 COMM, Series 1999-1, Class A1,
6.15%, 02/15/08 Aaa 1,084,189
1,000,000 Copelco Capital Funding Corp.,
Series 1999-A, Class A4,
5.80%, 04/15/03 Aaa 992,990
2,500,000 Diversified REIT Trust, Series
1999-1A, Class A2 (A)(F),
6.78%, 03/18/11 Aaa 2,434,766
1,210,144 Donaldson Lufkin & Jennrette
Commercial Mortgage Corp., Series
1998-CF2, Class A1A, 5.88%,
01/12/31 Aaa 1,168,212
1,669,660 Financial Asset Securitization,
Inc., Series 1997-NAM1, Class
FXA2, CMO
7.75%, 05/25/27 (B) AAA 1,687,113
1,166,465 First Plus Home Loan Trust, Series
1996-2, Class A5, 7.47%, 02/20/11 Aaa 1,168,366
1,500,000 First Security Auto Owner Trust,
Series 1999-1, Class A4,
5.74%, 06/15/04 Aaa 1,477,635
1,228,051 General Motors Acceptance Corp.
Commercial Mortgage Securities,
Inc., Series 1996-C1, Class A2A,
CMO,
6.79%, 09/15/03 Aaa 1,237,335
60,413 Green Tree Financial Corp., Series
1992-1, Class A3, 6.70%, 10/15/17 Aaa 60,479
686,151 Green Tree Financial Corp., Series
1994-1, Class A3, 6.90%, 04/15/19 Aa 688,978
205,965 Green Tree Recreation Equipment &
Consumer Trust, Series 1996-A,
Class A1, 5.55%, 02/15/18 Aaa 204,029
722,913 Green Tree Recreation Equipment &
Consumer Trust, Series1997-B,
Class A1,
6.55%, 07/15/28 (B) AAA 729,246
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-37
<PAGE>
Investment Grade Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -----------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (A) - (continued)
$ 66,447 NationsBank Auto Grantor Trust,
Series 1995-A, Class B, 6.00%,
06/15/02 A $ 66,504
706,127 Olympic Automobile Receivables
Trust, Series 1996-A, Class A4,
5.85%, 07/15/01 Aaa 707,214
56,642 Residential Asset Securitization
Trust, Series 1996-A10, Class A3,
7.50%, 11/25/11 Aaa 56,480
2,500,000 Residential Funding Mortgage
Securities I, Series 1999-S7,
Class A11,
6.50%, 03/25/29 Aaa 2,460,450
375,754 Resolution Trust Corp.,
Series 1995-C1, Class A4C, CMO
6.85%, 02/25/27 Aaa 375,122
435,356 Vendee Mortgage Trust,
Series 1997-1, Class 2B, CMO
7.50%, 03/15/13 NR 436,792
59,293 Western Financial Grantor Trust,
Series 1995-2, Class A2, 7.10%,
07/01/00 Aaa 59,391
1,575,000 WFS Financial Owner Trust, Series
1998-B, Class A4, 6.05%, 04/20/03 Aaa 1,569,803
----------
Total Asset-Backed and Mortgage-
Backed Securities
(Cost $33,006,866) 32,769,200
----------
COMMERCIAL PAPER (C) - 2.0%
Automotive - 2.0%
2,000,000 Ford Motor Credit Corp.
4.87%, 07/01/99 A 1,995,942
3,000,000 Republic Industrial Funding Corp.
4.95%, 07/14/99 NR 2,985,563
----------
Total Commercial Paper 4,981,505
(Cost $4,981,505) ----------
<CAPTION>
Value
Shares Moody's Ratings (Note 2)
<C> <S> <C> <C>
- -------------------------------------------------------------------------
INVESTMENT COMPANY - 0.9%
$2,285,204 SSgA Prime Money Market Fund $ 2,285,204
------------
Total Investment Company 2,285,204
------------
(Cost $2,285,204)
Total Investments - 100.5% 250,502,768
------------
(Cost $255,358,458)
Net Other Assets and Liabilities -
(0.5)% (1,171,637)
------------
Total Net Assets - 100.0% $249,331,131
============
</TABLE>
- ------------------
(A) Pass Through Certificates
(B) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(C) Effective yield at time of purchase
(D) Forward Commitment
(E) Designated as Collateral on Forward Commitment
(F) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At June 30, 1999, these securities
amounted to $2,434,766 or 1.0% of net assets.
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $255,359,259. Net unrealized appreciation (depreciation) aggregated
$(4,856,491), of which $1,244,049 related to appreciated investment securities
and $6,100,540 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $52,923,747
and $26,178,822 of non-governmental issuers, respectively, and $75,570,133 and
$72,067,859 of U.S. Government and Agency issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $47,189,536.
The value of collateral amounted to $48,195,450 which consisted of cash equiva-
lents (note 2).
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings S&P Ratings
<S> <C> <C> <C>
Aaa 61.3% AAA 1.0%
Aa 1.6 BBB 0.6
A 11.9
Baa 20.0
Ba 2.2
NR (Not Rated) 1.4
------ -------
98.4% 1.6%
====== =======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-38
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 90.5%
U.S. Treasury Notes - 46.4%
$ 750,000 5.25%, 08/15/03 $ 736,875
2,450,000 5.63%, 11/30/00 2,455,361
7,000,000 5.75%, 11/30/02 to 08/15/03 7,003,719
3,000,000 6.00%, 07/31/02 3,030,000
1,725,000 6.13%, 08/15/07 1,743,868
5,975,000 6.25%, 02/28/02 to 02/15/07 6,065,469
5,775,000 6.38%, 09/30/01 5,870,651
9,865,000 6.50%, 05/31/01 to 10/15/06 10,082,826
750,000 6.63%, 04/30/02 768,750
6,350,000 6.88%, 05/15/06 (B) 6,685,363
750,000 7.25%, 05/15/04 795,704
----------
45,238,586
----------
Fannie Mae - 20.7%
1,600,000 4.85%, 07/19/99 1,594,180
1,000,000 4.92%, 07/19/99 996,583
4,078,000 5.13%, 02/13/04 3,907,442
550,000 5.84%, 03/15/01 549,945
1,250,000 6.15%, 06/25/20 1,240,788
1,425,000 6.18%, 03/15/01 1,432,568
1,850,000 6.45%, 04/23/01 1,868,034
2,750,000 6.50%, 07/19/14 (A) 2,709,608
827,565 6.50%, 05/01/08 819,157
1,250,000 6.57%, 08/22/07 1,251,994
400,000 6.96%, 04/02/07 409,376
396,201 7.00%, 01/01/10 to 05/01/17 398,490
357,209 7.39%, 08/17/03 358,803
759,375 7.50%, 03/01/07 772,019
561,001 8.00%, 04/01/09 to 09/01/21 577,720
1,200,208 8.40%, 02/25/09 1,237,222
----------
20,123,929
----------
Freddie Mac - 7.5%
2,500,000 5.13%, 10/15/08 2,268,335
700,000 5.75%, 07/15/03 694,441
1,566,873 6.50%, 06/01/04 to 06/01/23 1,542,248
1,000,000 6.87%, 03/03/03 1,025,437
283,204 7.50%, 02/01/07 288,290
328,522 7.90%, 07/01/16 337,248
889,849 8.00%, 09/01/08 to 06/01/19 911,843
116,924 9.50%, 03/01/01 120,485
159,485 10.00%, 03/01/21 173,056
----------
7,361,383
----------
Federal Farm Credit Bank - 6.4%
1,125,000 5.72%, 02/04/03 1,108,308
1,600,000 5.75%, 02/20/03 1,577,310
1,550,000 6.65%, 08/08/03 1,573,681
2,000,000 6.71%, 04/25/01 2,028,424
----------
6,287,723
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
Federal Home Loan Bank - 3.4%
$1,500,000 5.61%, 01/23/03 $1,478,349
1,350,000 6.19%, 05/06/08 1,322,266
550,000 6.55%, 03/07/05 557,210
----------
3,357,825
----------
U.S. Treasury Bonds - 2.6%
1,250,000 5.25%, 02/15/29 1,121,875
1,100,000 10.75%, 08/15/05 1,367,782
----------
2,489,657
----------
Ginnie Mae - 2.4%
75,053 6.50%, 06/15/09 74,822
1,997,559 7.00%, 06/15/09 to 06/15/12 2,023,301
59,144 8.00%, 12/15/06 61,518
211,983 9.50%, 02/15/06 224,456
----------
2,384,097
----------
Tennessee Valley Authority, Series D - 1.1%
1,100,000 6.00%, 11/01/00 1,103,902
----------
Total U.S. Government and Agency Obligations 88,347,102
----------
(Cost $90,046,924)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 8.8%
1,250,000 American Express Credit Account Master Trust, Series
1999-1, Class A,
5.60%, 11/15/06 1,212,888
1,500,000 American Express Master Trust,
Series 1998-1, Class A,
5.90%, 04/15/04 1,478,580
186,556 Associates Manufactured Housing,
Series 1996-1, Class A2,
6.70%, 03/15/27 186,799
2,800,000 Chase Credit Card Master Trust,
Series 1997-2, Class A,
6.30%, 04/15/03 2,819,012
1,500,000 Discover Card Master Trust I,
Series 1998-2, Class A, 5.80%, 09/16/03 1,496,100
32,954 Green Tree Recreation Equipment & Consumer Trust,
Series 1996-A, Class A1,
5.55%, 02/15/18 32,645
1,400,000 Premier Auto Trust, Series 1996-4, Class A4, 6.40%,
10/06/01 1,405,684
----------
Total Asset-Backed and
Mortgage-Backed Securities 8,631,708
----------
(Cost $8,694,379)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-39
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANY - 2.1%
2,053,191 SSgA Prime Money Market Fund $ 2,053,191
-----------
Total Investment Company 2,053,191
-----------
(Cost $2,053,191)
Total Investments - 101.4% 99,032,001
-----------
(Cost $100,794,494)
Net Other Assets and Liabilities -
(1.4)% (1,344,167)
-----------
Total Net Assets - 100.0% $97,687,834
===========
</TABLE>
- ------------------
(A) Forward Commitment
(B) Designated as Collateral on Forward Commitment, par value of $2,810,000.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $100,846,189. Net unrealized appreciation (depreciation) aggregated
$(1,814,188), of which $56,779 related to appreciated investment securities and
$1,870,967 related to depreciated investment securities.
OTHER INFORMATION
For the period ended June 30, 1999, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $11,126,383
and $8,697,438 of non-governmental issuers, respectively, and $31,364,946 and
$14,508,537 of U.S. Government and Agency issuers, respectively.
At June 30, 1999, the value of the securities loaned amounted to $25,662,821.
The value of collateral amounted to $26,208,563 which consisted of cash equiva-
lents (note 2).
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
<CAPTION>
Moody's Ratings
<S> <C>
Aaa 97.9%
NR (Not Rated) 2.1
-------
100.0%
=======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-40
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------------
<C> <S> <C>
COMMERCIAL PAPER (B) - 38.9%
Financial Services - 14.3%
$14,000,000 Finova Capital Corp.
5.08%, 02/25/00 $14,000,000
7,000,000 Heller Financial, Inc.
4.90%, 07/26/99 6,886,619
5,000,000 Heller Financial, Inc.
4.90%, 08/30/99 4,923,778
7,000,000 Lexington Parker Capital Corp. (A)
4.88%, 07/07/99 6,961,096
11,041,000 Pegasus Two Ltd Corp.
5.05%, 08/23/99 10,924,839
7,923,000 Transamerica Asset Funding
5.18%, 08/16/99 7,863,718
7,000,000 Westways Funding II, Ltd. (A)
4.90%, 07/14/99 6,952,361
-----------
58,512,411
-----------
Insurance - 6.0%
5,000,000 Aetna Services, Inc.
5.00%, 07/21/99 4,971,528
2,700,000 Aetna Services, Inc.
5.03%, 07/19/99 2,686,796
10,000,000 Prudential Funding Corp.
4.84%, 07/12/99 9,930,089
6,900,000 Swiss RE Financial Products
4.90%, 08/16/99 6,816,414
-----------
24,404,827
-----------
Education - 4.3%
13,783,000 Iowa Student Loan Co.
4.98%, 07/21/99 13,704,827
3,800,000 Southwest Student Services
4.98%, 07/06/99 3,786,333
-----------
17,491,160
-----------
Automotive - 4.2%
6,000,000 American Honda Finance Corp. (A)
5.00%, 01/20/00 5,998,332
3,608,000 Enterprise Funding Corp. (A)
4.93%, 08/09/99 3,577,366
4,000,000 General Motors Acceptance Corp.
8.00%, 10/01/99 4,026,467
3,600,000 Republic Industrial Funding Corp.
4.95%, 07/06/99 3,586,635
-----------
17,188,800
-----------
Transportation - 2.3%
9,500,000 Los Angeles Metropolitan Transportation Authority
5.05%, 07/12/99 9,499,845
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ------------------------------------------------------------------------
<C> <S> <C>
Chemicals - 1.9%
$2,000,000 Akzo Nobel, Inc.
4.95%, 09/17/99 $ 1,972,225
5,925,000 CIBA Specialty Chemicals Corp.
4.83%, 08/24/99 5,824,838
-----------
7,797,063
-----------
Securities Broker - 1.6%
1,575,000 Bear Stearns Cos., Inc.
6.50%, 05/15/00 1,589,121
5,050,000 Lehman Brothers Holdings, Inc.
7.63%, 07/15/99 5,052,183
-----------
6,641,304
-----------
Electric Utilities - 1.4%
1,000,000 Cogentrix of Richmond, Inc.
5.05%, 07/14/99 996,213
5,000,000 Florida Power & Light Group Capital, Inc. (A)
4.91%, 08/18/99 4,908,619
-----------
5,904,832
-----------
Heavy Machinery - 1.4%
1,246,000 Cooperative Association Tractor Dealers
5.05%, 07/13/99 to 07/16/99 1,241,302
4,500,000 John Deere Capital Corp.
5.68%, 04/10/00 4,507,025
-----------
5,748,327
-----------
Banking - 0.9%
1,265,000 Bank of Scotland
5.00%, 08/23/99 1,251,647
2,500,000 Den Norske Bank ASA
4.91%, 12/24/99 2,408,278
-----------
3,659,925
-----------
Telephone Systems - 0.4%
1,500,000 Nynex Capital Funding Corp.
9.40%, 06/01/00 1,549,498
-----------
Beverages, Food & Tobacco - 0.2%
1,000,000 Diageo Plc
6.50%, 09/15/99 1,002,262
-----------
Total Commercial Paper 159,400,254
-----------
(Cost $159,400,254)
CORPORATE NOTES - 31.0%
Securities Broker - 11.1%
6,000,000 Bear Stearns Cos., Inc.
4.99%, 08/25/99 6,000,000
3,965,000 Bear Stearns Cos., Inc.
7.63%, 09/15/99 3,982,901
7,000,000 Donaldson, Lufkin & Jenrette, Inc., MTN
5.25%, 10/05/99 7,000,000
2,000,000 Donaldson, Lufkin & Jenrette, Inc.
6.31%, 05/26/00 2,007,405
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------
F-41
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ---------------------------------------------------------------------
<C> <S> <C>
CORPORATE NOTES (continued)
Securities Broker (continued)
$14,000,000 Morgan Stanley Dean Witter & Co.
5.06%, 02/14/00 $14,000,000
6,750,000 Paine Webber Group, Inc.
7.00%, 03/01/00 6,808,226
5,500,000 Paine Webber Group, Inc., MTN
5.85%, 10/21/99 5,500,000
-----------
45,298,532
-----------
Banking - 8.1%
4,000,000 Bankers Trust Corp.
9.50%, 05/14/00 4,139,466
1,691,000 Chase Manhattan Corp.
7.75%, 11/01/99 1,705,177
2,500,000 Chase Manhattan Corp., MTN
5.37%, 10/26/99 2,502,292
6,000,000 Chase Manhattan Corp., MTN
4.96%, 01/20/00 6,000,516
1,000,000 First Chicago NBD Corp., MTN
5.39%, 12/14/99 1,001,109
5,000,000 First National Bank of Chicago, Euro MTN
7.00%, 04/30/00 5,068,982
7,000,000 Key Bank National Association
5.13%, 03/24/00 6,997,781
2,000,000 Norwest Financial, Inc.
6.88%, 06/15/00 2,020,142
3,500,000 Shawmut National Corp.
8.63%, 12/15/99 3,554,635
-----------
32,990,100
-----------
Financial Services - 3.6%
1,000,000 Beneficial Corp., MTN
5.09%, 01/10/00 1,000,507
2,000,000 Household Finance Corp.
6.75%, 05/01/00 2,022,014
6,000,000 Liberty Lighthouse U.S. Capital
5.09%, 09/15/99 6,000,000
6,000,000 Liberty Lighthouse U.S. Capital (A)
5.05%, 08/16/99 6,000,000
-----------
15,022,521
-----------
Telephone Systems - 2.0%
8,000,000 GTE Corp.
5.14%, 05/12/00 7,995,143
-----------
Automotive - 1.2%
4,000,000 Ford Motor Credit Corp.
6.38%, 09/15/99 4,009,251
715,000 General Motors Acceptance Corp.
5.04%, 12/09/99 714,619
-----------
4,723,870
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -----------------------------------------------------------------------------
<C> <S> <C>
Industrial - Diversified - 1.2%
$5,000,000 General Electric Capital Corp., MTN
4.95%, 04/13/00 $ 5,000,000
-----------
Electric Utilities - 1.2%
5,000,000 National Rural Utilities Cooperative Finance Corp.
5.18%, 06/26/00 5,000,000
-----------
Heavy Machinery - 1.0%
4,000,000 Caterpillar Financial Services Corp., MTN
6.28%, 05/01/00 4,026,427
-----------
Commercial Services - 0.7%
3,000,000 International Lease Finance Corp.
6.63%, 05/01/00 3,034,261
-----------
Transportation - 0.7%
3,000,000 Richmond County Development Authority
5.65%, 06/01/00 2,995,431
-----------
Retailers - 0.2%
1,000,000 Wal-Mart Stores, Inc.
5.85%, 06/01/00 1,001,680
-----------
Total Corporate Notes 127,087,965
-----------
(Cost $127,087,965)
U.S. GOVERNMENT AGENCY OBLIGATIONS (B) - 11.0%
Federal Home Loan Bank - 6.8%
15,000,000 4.75%, 11/03/99 15,000,000
8,000,000 5.15%, 03/24/00 8,002,153
5,000,000 5.22%, 03/17/00 5,000,000
-----------
28,002,153
-----------
Sallie Mae - 2.2%
9,018,000 5.47%, 07/15/99 9,018,000
-----------
Fannie Mae - 2.0%
8,000,000 4.84%, 07/01/99 7,907,502
-----------
Total U.S. Government Agency Obligations 44,927,655
-----------
(Cost $44,927,655)
CERTIFICATES OF DEPOSIT - 9.8%
3,000,000 Bankers Trust Corp. (A)
5.07%, 08/09/99 2,997,496
10,000,000 Barclays Bank, Plc, Yankee CD
4.89%, 05/12/00 9,994,923
5,000,000 Bear Stearns Cos., Inc.
5.00%, 02/02/00 5,000,000
3,000,000 Commerzbank, AG, Yankee CD
4.99%, 01/25/00 2,999,789
8,000,000 European American Bank
5.28%, 05/12/00 7,998,001
4,000,000 Goldman Sachs and Co. (A)
5.04%, 02/07/00 4,000,000
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-42
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- ----------------------------------------------------------------------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (continued)
$4,236,000 Merrill Lynch & Co., Inc.
5.40%, 02/15/00 $4,246,801
3,000,000 Rabobank Nederland NV
6.45%, 08/16/99 3,002,015
----------
Total Certificates Of Deposit 40,239,025
----------
(Cost $40,239,025)
MUNICIPAL BONDS - 4.1%
Virginia - 2.4%
10,000,000 Virginia State Housing Development Authority
5.25%, 08/05/99 9,998,628
----------
Connecticut - 1.7%
6,900,000 Connecticut State Housing, AMBAC
5.10%, 11/15/16 6,900,000
----------
Total Municipal Bonds 16,898,628
----------
(Cost $16,898,628)
<CAPTION>
Par Value
Value (Note 2)
- -------------------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 2.4%
$ 308,087 Copelco Capital Funding Corp.
5.68%, 08/16/99 $ 308,087
4,399,778 Fidelity Equipment Lease Trust, Series 1999-1,
Class A1 (A), CMO
5.16%, 06/16/00 4,399,820
5,000,000 SMM Trust, 1999-C (A)
5.20%, 01/26/00 5,000,000
------------
Total Asset-Backed and
Mortgage-Backed Securities 9,707,907
------------
(Cost $9,707,907)
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANIES - 0.0%
4,383 Scudder Institutional Money Market Fund 4,383
3,461 SSgA Prime Money Market Fund 3,461
------------
Total Investment Companies 7,844
------------
(Cost $7,844)
Total Investments - 97.2% 398,269,278
------------
(Cost $398,269,278)
Net Other Assets and Liabilities - 2.8% 11,343,066
------------
Total Net Assets - 100.0% $409,612,344
============
</TABLE>
- ------------------
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold, in transactions exempt from registra-
tion, to qualified institutional buyers. At June 30, 1999, these securities
amounted to $50,795,090 or 12.40% of net assets.
(B) Effective yield at time of purchase
AMBAC American Municipal Bond Assurance Corporation
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1999, the aggregate cost on investment securities for tax purposes
was $398,269,278.
See Notes to Financial Statements.
- --------------------------------------------
F-43
<PAGE>
Allmerica Investment Trust
STATEMENTS OF ASSETS AND LIABILITIES (in 000's) . June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select Select Select
Emerging Aggressive Capital Value Opportunity International
Markets Fund Growth Fund Appreciation Fund Fund Equity Fund
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments:
Investments at cost.... $ 26,270 $ 561,180 $ 298,279 $ 281,763 $ 401,782
Net unrealized
appreciation
(depreciation)........ 5,639 265,817 59,657 30,303 124,059
--------- --------- --------- --------- ---------
Total investments at
value................. 31,909 826,997 357,936 312,066 525,841
Cash and foreign
currency*.............. 2,753 2 -- 3,912 25,437
Short-term investments
held as collateral for
securities loaned...... -- 56,382 39,406 1,976 12,865
Receivable for
investments sold....... 25 -- 484 1,496 584
Receivable for shares
sold................... 58 -- 276 -- 288
Receivable for variation
margin................. -- -- -- -- --
Interest and dividend
receivables............ 177 459 283 216 2,037
Receivable for expense
reimbursement.......... 9 -- -- -- --
Deferred organizational
expense................ -- -- 1 -- --
Dividend tax reclaim
receivables............ 1 -- 10 -- 793
Net unrealized
appreciation on forward
currency contracts..... -- -- -- -- 497
--------- --------- --------- --------- ---------
Total Assets........... 34,932 883,840 398,396 319,666 568,342
--------- --------- --------- --------- ---------
LIABILITIES:
Payable for investments
purchased.............. 1,090 -- 4,706 2,296 1,522
Payable for shares
repurchased............ -- 2,955 786 276 1,872
Payable to custodian.... -- -- -- -- --
Collateral for
securities loaned...... -- 56,382 39,406 1,976 12,865
Net unrealized
depreciation on forward
currency contracts..... 6 -- -- -- --
Advisory fee payable.... 35 564 256 224 399
Accrued expenses and
other payables......... 182 352 199 123 174
--------- --------- --------- --------- ---------
Total Liabilities...... 1,313 60,253 45,353 4,895 16,832
--------- --------- --------- --------- ---------
NET ASSETS.............. $ 33,619 $ 823,587 $ 353,043 $ 314,771 $ 551,510
========= ========= ========= ========= =========
NET ASSETS consist of
Paid-in capital......... $ 30,545 $ 528,540 $ 286,131 $ 278,973 $ 423,492
Undistributed
(distribution in excess
of)
net investment income
(loss)................. 237 (1,710) (1,134) 610 472
Accumulated
(distribution in excess
of) net realized
gain (loss) on
investments sold,
foreign currency
transactions and
futures contracts...... (2,794) 30,940 8,389 4,885 2,972
Net unrealized
appreciation
(depreciation) of
investments, assets and
liabilities in foreign
currency and futures
contracts.............. 5,631 265,817 59,657 30,303 124,574
--------- --------- --------- --------- ---------
TOTAL NET ASSETS........ $ 33,619 $ 823,587 $ 353,043 $ 314,771 $ 551,510
========= ========= ========= ========= =========
Shares of beneficial
interest outstanding
(unlimited
authorization, no par
value) (in 000's)....... 32,176 295,324 192,355 186,883 334,505
NET ASSET VALUE,
Offering and redemption
price per share
(Net Assets/Shares
Outstanding)............ $ 1.045 $ 2.789 $ 1.835 $ 1.684 $ 1.649
========= ========= ========= ========= =========
</TABLE>
- ------------------------------------
* Cost $2,715 and $25,421, for Select Emerging Markets Fund and Select Inter-
national Equity Fund, respectively.
See Notes to Financial Statements.
------------------------------------------------------
F-44
<PAGE>
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Equity Select Growth Select Investment Grade Government Money
Growth Strategic Growth Index and Income Income Income Bond Market
Fund Growth Fund Fund Fund Fund Fund Fund Fund Fund
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$745,719 $ 19,159 $ 738,741 $360,884 $683,960 $175,700 $255,358 $100,794 $398,269
253,334 2,465 251,422 187,910 58,759 (4,571) (4,855) (1,762) --
--------- ------- --------- -------- -------- -------- -------- -------- --------
999,053 21,624 990,163 548,794 742,719 171,129 250,503 99,032 398,269
48 1,993 -- -- 8,240 6,781 77 85 20
21,305 -- 73,204 10,145 10,693 6,667 48,195 26,209 --
10,357 -- 12,588 10,066 8,915 384 -- 1 --
-- 54 31 32 90 146 406 57 7,830
-- -- -- 38 225 -- -- -- --
713 50 1,126 613 1,239 2,027 3,255 1,378 3,638
-- 1 -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- 1 24 52 -- -- -- --
-- -- -- -- -- -- -- -- --
--------- ------- --------- -------- -------- -------- -------- -------- --------
1,031,476 23,722 1,077,113 569,712 772,173 187,134 302,436 126,762 409,757
--------- ------- --------- -------- -------- -------- -------- -------- --------
10,065 146 9,825 4,952 4,524 4,965 4,610 2,707 --
6,220 -- 271 -- -- 7 -- -- --
-- -- 3,004 -- -- -- -- -- --
21,305 -- 73,204 10,145 10,693 6,667 48,195 26,209 --
-- -- -- -- -- -- -- -- --
601 18 339 125 403 74 88 40 80
269 45 467 162 215 66 212 118 65
--------- ------- --------- -------- -------- -------- -------- -------- --------
38,460 209 87,110 15,384 15,835 11,779 53,105 29,074 145
--------- ------- --------- -------- -------- -------- -------- -------- --------
$ $ $ $ $ $
$993,016 23,513 $ 990,003 554,328 756,338 175,355 249,331 $ 97,688 409,612
========= ======= ========= ======== ======== ======== ======== ======== ========
$ $ $ $ $ $ $
$658,463 21,178 $ 665,024 327,643 573,927 181,626 253,686 101,813 409,709
(371) 30 47 (686) 31 60 82 29 --
81,590 (160) 73,510 39,365 123,162 (1,760) 418 (2,392) (97)
253,334 2,465 251,422 188,006 59,218 (4,571) (4,855) (1,762) --
--------- ------- --------- -------- -------- -------- -------- -------- --------
$ $ $ $ $ $
$993,016 23,513 $ 990,003 554,328 756,338 175,355 249,331 $ 97,688 409,612
========= ======= ========= ======== ======== ======== ======== ======== ========
386,333 21,480 325,011 146,353 406,609 178,828 231,351 94,648 409,711
$ 2.570 $ 1.095 $ 3.046 $ 3.788 $ 1.860 $ 0.981 $ 1.078 $ 1.032 $ 1.000
========= ======= ========= ======== ======== ======== ======== ======== ========
</TABLE>
- --------------------------------------------
F-45
<PAGE>
Allmerica Investment Trust
STATEMENTS OF OPERATIONS (in 000's) . For the Six Months Ended June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Select Select Select
Emerging Aggressive Capital Value Opportunity International
Markets Fund Growth Fund Appreciation Fund Fund Equity Fund
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest............... $ 85 $ 307 $ 243 $ 322 $ 373
Dividends.............. 348 1,256 445 1,490 5,787
Securities lending
income................ -- 100 4 1 49
Less net foreign taxes
withheld.............. (8) -- (2) -- (705)
--------- --------- --------- --------- ---------
Total investment
income................ 425 1,663 690 1,813 5,504
--------- --------- --------- --------- ---------
EXPENSES
Investment advisory
fees.................. 173 3,299 1,450 1,225 2,343
Custodian and Fund
accounting fees....... 82 89 49 41 110
Legal fees............. 1 6 2 2 4
Audit fees............. 19 15 12 11 16
Trustees' fees and
expenses.............. 1 8 3 3 5
Reports to
shareholders.......... 9 78 41 36 51
Amortization of
organization costs.... -- -- 1 -- --
Miscellaneous.......... 3 6 2 1 5
--------- --------- --------- --------- ---------
Total expenses before
reductions and
waiver................ 288 3,501 1,560 1,319 2,534
Less reductions........ (5) (128) -- (116) (24)
Less
reimbursement/waiver.. (40) -- -- -- --
--------- --------- --------- --------- ---------
Total expenses net of
reductions and
waiver................ 243 3,373 1,560 1,203 2,510
--------- --------- --------- --------- ---------
NET INVESTMENT INCOME
(LOSS)................. 182 (1,710) (870) 610 2,994
--------- --------- --------- --------- ---------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS:
Net realized gain
(loss) on investments
sold.................. 121 33,231 9,137 4,959 4,887
Net realized gain
(loss) on futures
contracts............. -- -- -- -- --
Net realized gain
(loss) on foreign
currency
transactions.......... (132) -- -- -- 6,577
Net change in
unrealized
appreciation
(depreciation) of
assets and liabilities
in foreign currency... 70 -- -- -- 2,053
Net change in
unrealized
appreciation
(depreciation)
of investments and
futures contracts..... 7,661 66,547 29,800 11,421 20,009
--------- --------- --------- --------- ---------
NET GAIN (LOSS) ON
INVESTMENTS............ 7,720 99,778 38,937 16,380 33,526
--------- --------- --------- --------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS............. $ 7,902 $ 98,068 $ 38,067 $ 16,990 $ 36,520
========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-46
<PAGE>
Allmerica Investment Trust
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select Equity Select Growth Select Investment Grade Government Money
Growth Strategic Growth Index and Income Income Income Bond Market
Fund Growth Fund Fund Fund Fund Fund Fund Fund Fund
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 743 $ 38 $ 299 $ 105 $ 2,395 $ 5,800 $ 8,060 $ 2,822 $ 9,269
2,410 99 5,135 3,607 5,845 -- 19 15 25
3 -- 12 1 2 1 3 2 --
-- -- (48) (55) (103) -- -- -- --
------- ------- -------- ------- ------- ------- ------- ------- -------
3,156 137 5,398 3,658 8,139 5,801 8,082 2,839 9,294
------- ------- -------- ------- ------- ------- ------- ------- -------
3,472 78 1,970 735 2,302 440 520 231 449
95 27 101 80 77 39 43 35 45
5 -- 6 3 4 1 2 1 2
15 9 16 13 14 9 10 8 10
8 -- 9 5 7 2 2 1 3
62 5 64 40 46 15 26 12 26
-- -- -- -- -- -- -- -- --
4 4 11 3 3 1 2 -- 3
------- ------- -------- ------- ------- ------- ------- ------- -------
3,661 123 2,177 879 2,453 507 605 288 538
(134) (3) (190) -- (25) -- -- -- --
-- (13) -- -- -- -- -- -- --
------- ------- -------- ------- ------- ------- ------- ------- -------
3,527 107 1,987 879 2,428 507 605 288 538
------- ------- -------- ------- ------- ------- ------- ------- -------
(371) 30 3,411 2,779 5,711 5,294 7,477 2,551 8,756
------- ------- -------- ------- ------- ------- ------- ------- -------
81,997 296 75,381 39,555 123,348 (1,752) 419 (123) --
-- -- -- 365 (94) -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
652 2,040 78,842 17,779 (40,138) (5,572) (11,626) (3,062) --
------- ------- -------- ------- ------- ------- ------- ------- -------
82,649 2,336 154,223 57,699 83,116 (7,324) (11,207) (3,185) --
------- ------- -------- ------- ------- ------- ------- ------- -------
$82,278 $ 2,366 $157,634 $60,478 $ 88,827 $(2,030) $(3,730) $ (634) $ 8,756
======= ======= ======== ======= ======= ======= ======= ======= =======
</TABLE>
- --------------------------------------------
F-47
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Emerging Select Aggressive Select Capital
Markets Fund* Growth Fund Appreciation Fund
- ---------------------------------------------------------------------------------------------------------------------
Six Months Ended Period Ended Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning
of period.............. $ 20,873 $ 20,000(A) $ 752,741 $ 604,123 $ 310,582 $ 240,526
--------- --------- --------- --------- --------- ---------
Increase (decrease) in
net assets
resulting from
operations:
Net investment income
(loss)................ 182 161 (1,710) (2,428) (870) (1,215)
Net realized gain
(loss) on investments
sold and foreign
currency
transactions.......... (11) (2,714) 33,231 (367) 9,137 49,583
Net change in
unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency...... 7,731 (2,100) 66,547 71,945 29,800 (11,429)
--------- --------- --------- --------- --------- ---------
Net increase in net
assets resulting from
operations............ 7,902 (4,653) 98,068 69,150 38,067 36,939
--------- --------- --------- --------- --------- ---------
Distributions to
shareholders from:
Net investment income.. (138) (37) -- -- -- --
Distribution in excess
of net investment
income................ -- -- -- -- -- --
Net realized gain on
investments........... -- -- -- -- (511) (47,014)
--------- --------- --------- --------- --------- ---------
Total distributions... (138) (37) -- -- (511) (47,014)
--------- --------- --------- --------- --------- ---------
Capital share
transactions:
Net proceeds from sales
of shares............. 5,187 5,729 43,557 102,931 16,087 52,851
Issued to shareholders
in reinvestment of
distributions......... 138 37 -- -- 511 47,014
Cost of shares
repurchased........... (343) (203) (70,779) (23,463) (11,693) (19,734)
--------- --------- --------- --------- --------- ---------
Net increase from
capital share
transactions......... 4,982 5,563 (27,222) 79,468 4,905 80,131
--------- --------- --------- --------- --------- ---------
Total increase
(decrease) in net
assets............... 12,746 873 70,846 148,618 42,461 70,056
--------- --------- --------- --------- --------- ---------
NET ASSETS at the end of
period................. $ 33,619 $ 20,873 $ 823,587 $ 752,741 $ 353,043 $ 310,582
========= ========= ========= ========= ========= =========
Undistributed
(distribution in
excess of) net
investment income
(loss)................ $ 237 $ 193 $ (1,710) $ -- $ (1,134) $ (264)
========= ========= ========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold .................. 5,801 6,831 17,552 46,519 9,631 31,712
Issued to shareholders
in reinvestment of
distributions......... 133 48 -- -- 278 28,667
Repurchased............ (378) (259) (28,210) (12,098) (6,908) (12,704)
--------- --------- --------- --------- --------- ---------
Net increase
(decrease) in shares
outstanding.......... 5,556 6,620 (10,658) 34,421 3,001 47,675
========= ========= ========= ========= ========= =========
</TABLE>
- ------------------
* The Select Emerging Markets Fund and the Select Strategic Growth Fund com-
menced operations on February 20, 1998.
(A) Represents initial seed money and shares. Original shares were priced at
$1.00.
See Notes to Financial Statements.
------------------------------------------------------
F-48
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select Value Select International Select Growth Select Strategic
Opportunity Fund Equity Fund Fund Growth Fund*
- -------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Period Ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 268,405 $ 202,139 $ 505,553 $ 397,915 $ 815,390 $ 470,356 $ 14,839 $ 5,000(A)
--------- --------- --------- --------- --------- --------- --------- ---------
610 2,231 2,994 4,550 (371) 504 30 34
4,959 16,620 11,464 (7,626) 81,997 32,636 296 (456)
11,421 (8,160) 22,062 70,083 652 159,491 2,040 425
--------- --------- --------- --------- --------- --------- --------- ---------
16,990 10,691 36,520 67,007 82,278 192,631 2,366 3
--------- --------- --------- --------- --------- --------- --------- ---------
(2) (2,255) -- (6,430) (504) (94) -- (34)
-- -- -- -- -- -- -- (1)
(16,638) (835) -- -- (32,039) (6,735) -- --
--------- --------- --------- --------- --------- --------- --------- ---------
(16,640) (3,090) -- (6,430) (32,543) (6,829) -- (35)
--------- --------- --------- --------- --------- --------- --------- ---------
41,543 59,689 197,260 141,035 109,700 167,762 6,818 10,823
16,640 3,090 -- 6,430 32,543 6,829 -- 35
(12,167) (4,114) (187,823) (100,404) (14,352) (15,359) (510) (987)
--------- --------- --------- --------- --------- --------- --------- ---------
46,016 58,665 9,437 47,061 127,891 159,232 6,308 9,871
--------- --------- --------- --------- --------- --------- --------- ---------
46,366 66,266 45,957 107,638 177,626 345,034 8,674 9,839
--------- --------- --------- --------- --------- --------- --------- ---------
$ 314,771 $ 268,405 $ 551,510 $ 505,553 $ 993,016 $ 815,390 $ 23,513 $ 14,839
========= ========= ========= ========= ========= ========= ========= =========
$ 610 $ 2 $ 472 $ (2,522) $ (371) $ 504 $ 30 $ --
========= ========= ========= ========= ========= ========= ========= =========
24,977 35,634 123,607 94,467 43,519 80,682 6,747 11,408
9,881 1,828 -- 4,119 12,663 3,082 -- 36
(7,202) (2,586) (117,061) (67,343) (5,643) (7,661) (515) (1,196)
--------- --------- --------- --------- --------- --------- --------- ---------
27,656 34,876 6,546 31,243 50,539 76,103 6,232 10,248
========= ========= ========= ========= ========= ========= ========= =========
</TABLE>
- --------------------------------------------
F-49
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Index Select Growth and
Growth Fund Fund Income Fund
- ---------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning of
period................... $ 860,333 $ 728,679 $ 481,877 $ 297,191 $ 646,086 $ 473,553
--------- --------- --------- --------- --------- ---------
Increase (decrease) in net
assets
resulting from operations:
Net investment income
(loss).................. 3,411 8,521 2,779 4,376 5,711 6,986
Net realized gain (loss)
on investments sold and
foreign currency
transactions............ 75,381 86,003 39,920 11,411 123,254 54,948
Net change in unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency........ 78,842 45,169 17,779 80,293 (40,138) 21,673
--------- --------- --------- --------- --------- ---------
Net increase in net
assets resulting from
operations.............. 157,634 139,693 60,478 96,080 88,827 83,607
--------- --------- --------- --------- --------- ---------
Distributions to
shareholders from:
Net investment income.... (3,504) (8,516) (3,465) (4,471) (5,738) (7,005)
Distribution in excess
of net investment
income.................. -- -- -- -- -- --
Net realized gain on
investments............. (86,927) (8,113) (811) (11,585) (54,380) (2,017)
--------- --------- --------- --------- --------- ---------
Total distributions..... (90,431) (16,629) (4,276) (16,056) (60,118) (9,022)
--------- --------- --------- --------- --------- ---------
Capital share
transactions:
Net proceeds from sales
of shares............... 9,310 28,087 63,845 115,271 34,873 101,277
Issued to shareholders
in reinvestment of
distributions........... 90,431 16,629 4,276 16,056 60,118 9,022
Cost of shares
repurchased............. (37,274) (36,126) (51,872) (26,665) (13,448) (12,351)
--------- --------- --------- --------- --------- ---------
Net increase from
capital share
transactions........... 62,467 8,590 16,249 104,662 81,543 97,948
--------- --------- --------- --------- --------- ---------
Total increase
(decrease) in net
assets................. 129,670 131,654 72,451 184,686 110,252 172,533
--------- --------- --------- --------- --------- ---------
NET ASSETS at the end of
period................... $ 990,003 $ 860,333 $ 554,328 $ 481,877 $ 756,338 $ 646,086
========= ========= ========= ========= ========= =========
Undistributed
(distribution in excess
of) net investment income
(loss)................... $ 47 $ 140 $ (686) $ -- $ 31 $ 58
========= ========= ========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold..................... 3,046 11,374 17,870 39,162 18,489 60,638
Issued to shareholders
in reinvestment of
distributions........... 29,693 6,073 1,148 4,832 32,333 5,339
Repurchased.............. (12,239) (14,496) (14,056) (10,552) (7,351) (8,018)
--------- --------- --------- --------- --------- ---------
Net increase in shares
outstanding............ 20,500 2,951 4,962 33,442 43,471 57,959
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-50
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select Investment Grade Government Money Market
Income Fund Income Fund Bond Fund Fund
- ------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 160,450 $ 104,253 $ 230,623 $ 189,503 $ 81,018 $ 55,513 $ 336,253 $ 260,619
--------- --------- --------- --------- --------- --------- --------- ---------
5,294 7,849 7,477 12,894 2,551 3,812 8,756 14,920
(1,752) 2,478 419 1,767 (123) 434 -- (52)
(5,572) (1,811) (11,626) 1,626 (3,062) 654 -- --
--------- --------- --------- --------- --------- --------- --------- ---------
(2,030) 8,516 (3,730) 16,287 (634) 4,900 8,756 14,868
--------- --------- --------- --------- --------- --------- --------- ---------
(5,333) (7,821) (7,619) (12,840) (2,604) (3,785) (8,756) (14,920)
-- -- -- -- -- -- -- (2)
(1,346) -- (202) -- -- -- -- --
--------- --------- --------- --------- --------- --------- --------- ---------
(6,679) (7,821) (7,821) (12,840) (2,604) (3,785) (8,756) (14,922)
--------- --------- --------- --------- --------- --------- --------- ---------
24,279 57,084 27,757 39,047 23,304 29,432 350,582 327,728
6,679 7,821 7,821 12,840 2,604 3,785 8,756 14,922
(7,344) (9,403) (5,319) (14,214) (6,000) (8,827) (285,979) (266,962)
--------- --------- --------- --------- --------- --------- --------- ---------
23,614 55,502 30,259 37,673 19,908 24,390 73,359 75,688
--------- --------- --------- --------- --------- --------- --------- ---------
14,905 56,197 18,708 41,120 16,670 25,505 73,359 75,634
--------- --------- --------- --------- --------- --------- --------- ---------
$ 175,355 $ 160,450 $ 249,331 $ 230,623 $ 97,688 $ 81,018 $ 409,612 $ 336,253
========= ========= ========= ========= ========= ========= ========= =========
$ 60 $ 99 $ 82 $ 224 $ 29 $ 82 $ -- $ --
========= ========= ========= ========= ========= ========= ========= =========
23,590 55,529 25,230 34,443 21,955 27,717 350,581 327,728
6,725 7,565 7,161 11,381 2,500 3,562 8,756 14,922
(7,035) (9,521) (4,824) (12,431) (5,691) (8,436) (285,978) (266,962)
--------- --------- --------- --------- --------- --------- --------- ---------
23,280 53,573 27,567 33,393 18,764 22,843 73,359 75,688
========= ========= ========= ========= ========= ========= ========= =========
</TABLE>
- --------------------------------------------
F-51
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
-------------------------------------------- -----------------------------------------------------------------
Net Realized
Net and Distributions
Asset Net Unrealized Dividends from Net
Value Investment Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Income on Investment Investment Capital in Return of Total
December 31, of Period (Loss) (2) Investments Operations Income Gains Excess Capital Distributions
------------ --------- ---------- ------------ ---------- ---------- ------------- ------------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Emerging
Markets
Fund(/1/)
1999(D) $ 0.784 $ 0.004 $ 0.261 $ 0.265 $ (0.004) $ -- $ -- $ -- $ (0.004)
1998 1.000 0.006 (0.221) (0.215) (0.001) -- -- -- (0.001)
Select
Aggressive
Growth Fund
1999(D) 2.460 (0.006) 0.335 0.329 -- -- -- -- --
1998 2.225 (0.008) 0.243 0.235 -- -- -- -- --
1997 2.037 (0.009) 0.387 0.378 -- (0.182) (0.008)(/3/) -- (0.190)
1996 1.848 (0.009) 0.351 0.342 -- (0.153) -- -- (0.153)
1995 1.397 (0.001) 0.452 0.451 -- -- -- -- --
1994 1.431 (0.002) (0.032) (0.034) -- -- -- -- --
Select Capital
Appreciation
Fund(/1/)
1999(D) 1.640 (0.005) 0.203 0.198 -- (0.003) -- -- (0.003)
1998 1.698 (0.006) 0.241 0.235 -- (0.293) -- -- (0.293)
1997 1.485 (0.005) 0.218 0.213 -- -- -- -- --
1996 1.369 (0.003) 0.124 0.121 -- (0.005) -- -- (0.005)
1995 1.000 (0.001) 0.397 0.396 -- (0.027) -- -- (0.027)
Select Value
Opportunity
Fund(/1/)
1999(D) 1.686 0.003 0.089 0.092 -- (0.094) -- -- (0.094)
1998 1.626 0.014 0.066 0.080 (0.014) (0.006) -- -- (0.020)
1997 1.511 0.010 0.364 0.374 (0.010) (0.249) -- -- (0.259)
1996 1.238 0.011 0.342 0.353 (0.011) (0.069) -- -- (0.080)
1995 1.089 0.009 0.183 0.192 (0.009) (0.033) (0.001)(/3/) -- (0.043)
1994 1.170 0.005 (0.081) (0.076) (0.005) -- -- -- (0.005)
Select
International
Equity Fund(/1/)
1999(D) 1.542 0.009 0.098 0.107 -- -- -- -- --
1998 1.341 0.014 0.207 0.221 (0.020) -- -- -- (0.020)
1997 1.356 0.015 0.049 0.064 (0.019) (0.046) (0.014)(/4/) -- (0.079)
1996 1.136 0.011 0.238 0.249 (0.012) (0.003) (0.014)(/4/) -- (0.029)
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) -- -- (0.016)
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) -- -- (0.002)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
------------ ----------
<S> <C>
Select Emerging
Markets
Fund(/1/)
1999(D) $ 0.261
1998 (0.216)
Select
Aggressive
Growth Fund
1999(D) 0.329
1998 0.235
1997 0.188
1996 0.189
1995 0.451
1994 (0.034)
Select Capital
Appreciation
Fund(/1/)
1999(D) 0.195
1998 (0.058)
1997 0.213
1996 0.116
1995 0.369
Select Value
Opportunity
Fund(/1/)
1999(D) (0.002)
1998 0.060
1997 0.115
1996 0.273
1995 0.149
1994 (0.081)
Select
International
Equity Fund(/1/)
1999(D) 0.107
1998 0.201
1997 (0.015)
1996 0.220
1995 0.173
1994 (0.037)
</TABLE>
- ------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements, waivers, and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1999 (Unaudited)
(1) The Select Emerging Markets Fund commenced operations on February 20, 1998.
The Select Capital Appreciation Fund commenced operations on April 28, 1995
and changed sub-advisers on April 1, 1998. The Select Value Opportunity
Fund changed sub-advisers on January 1, 1997. The Select International
Equity Fund commenced operations on May 2, 1994.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $0.003 for the six months ended June
30, 1999, $0.004 in 1998 for Select Emerging Markets Fund; $(0.006) for the
six months ended June 30, 1999, $(0.009) in 1998 and $(0.010) in 1997 for
Select Aggressive Growth Fund; $0.003 for the six months ended June 30,
1999, $0.013 in 1998, $0.009 in 1997, $0.010 in 1996 and $0.005 in 1994 for
Select Value Opportunity Fund; and $0.009 for the six months ended June 30,
1999, $0.014 in 1998, $0.015 in 1997, $0.011 in 1996 and $0.002 in 1994 for
Select International Equity Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
------------------------------------------------------
F-52
<PAGE>
Allmerica Investment Trust
Ratios/Supplemental Data
--------------------------------------------------
Ratios To Average Net Assets
------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
End of Total Period Investment Operating Expenses Management Fee Turnover
Period Return (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------ ---------- ------------- ------ ------ ------ -------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1.045 33.08%** $ 33,619 1.42%* 1.89%* 1.93%* 2.24%* 1.35%* 1.03%* 30%**
0.784 (21.46)%** 20,873 0.96%* 2.19%* 2.19%* 2.54%* 1.35%* 1.00%* 62%**
2.789 13.37%** 823,587 (0.46)%* 0.90%* 0.93%* 0.93%* 0.88%* 0.88%* 27%**
2.460 10.56% 752,741 (0.36)% 0.92% 0.95% 0.95% 0.88% 0.88% 99%
2.225 18.71% 604,123 (0.45)% 0.99% 1.04% 1.04% 0.95% 0.95% 95%
2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08% 1.00% 1.00% 113%
1.848 32.28% 254,872 (0.07)% 1.09% -- 1.09% 1.00% 1.00% 104%
1.397 (2.31)% 136,573 (0.21)% 1.16% -- 1.16% 1.00% 1.00% 100%
1.835 12.05%** 353,043 (0.55)%* 0.99%* 0.99%* 0.99%* 0.92%* 0.92%* 31%**
1.640 13.88% 310,582 (0.47)% 1.02% 1.04% 1.04% 0.94% 0.94% 141%
1.698 14.28% 240,526 (0.38)% 1.13% 1.13% 1.13% 0.98% 0.98% 133%
1.485 8.80% 142,680 (0.32)% 1.13% 1.13% 1.13% 1.00% 1.00% 98%
1.369 39.56%** 41,376 (0.25)%* 1.35%* -- 1.42%* 1.00%* 0.93%* 95%**
1.684 5.51%** 314,771 0.45%* 0.88%* 0.97%* 0.97%* 0.90%* 0.90%* 48%**
1.686 4.87% 268,405 0.95% 0.94% 0.98% 0.99% 0.91% 0.90% 73%
1.626 24.85% 202,139 0.73% 0.98% 1.04% 1.06% 0.92% 0.90% 110%
1.511 28.53% 113,969 0.91% 0.95% 0.97% 0.97% 0.85% 0.85% 20%
1.238 17.60% 64,575 0.86% 1.01% -- 1.01% 0.85% 0.85% 17%
1.089 (6.51)% 41,342 0.64% 1.08% -- 1.09% 0.85% 0.84% 4%
1.649 6.94%** 551,510 1.14%* 0.96%* 0.97%* 0.97%* 0.89%* 0.89%* 6%**
1.542 16.48% 505,553 0.99% 1.01% 1.02% 1.02% 0.90% 0.90% 27%
1.341 4.65% 397,915 1.17% 1.15% 1.17% 1.17% 0.97% 0.97% 20%
1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23% 1.00% 1.00% 18%
1.136 19.63% 104,312 1.68% 1.24% -- 1.24% 1.00% 1.00% 24%
0.963 (3.49)%** 40,498 0.87%* 1.50%* -- 1.78%* 1.00%* 0.72%* 19%**
</TABLE>
- --------------------------------------------
F-53
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
---------------------------------------------
Net Realized
Net and
Asset Net Unrealized
Value Investment Gain (Loss) Total from
Beginning Income on Investment
Year Ended December 31, of Period (Loss)(/2/) Investments Operations
- ----------------------- --------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
Select Growth Fund(/1/)
1999(D) $ 2.428 $ (0.001) $ 0.229 $ 0.228
1998 1.811 0.002 0.638 0.640
1997 1.430 0.006 0.480 0.486
1996 1.369 0.005 0.297 0.302
1995 1.099 -- 0.270 0.270
1994 1.119 0.003 (0.020) (0.017)
Select Strategic
Growth Fund(/1/)
1999(D) 0.973 0.001 0.121 0.122
1998 1.000 0.002 (0.027) (0.025)
Growth Fund
1999(D) 2.825 0.011 0.516 0.527
1998 2.416 0.028 0.436 0.464
1997 2.333 0.039 0.540 0.579
1996 2.176 0.047 0.386 0.433
1995 1.814 0.049 0.539 0.588
1994 1.939 0.043 (0.041) 0.002
Equity Index Fund
1999(D) 3.408 0.019 0.393 0.412
1998 2.753 0.035 0.741 0.776
1997 2.165 0.034 0.664 0.698
1996 1.827 0.035 0.370 0.405
1995 1.468 0.035 0.474 0.509
1994 1.505 0.033 (0.018) 0.015
Select Growth and
Income Fund(/5/)
1999(D) 1.779 0.015 0.226 0.241
1998 1.552 0.020 0.233 0.253
1997 1.405 0.020 0.293 0.313
1996 1.268 0.020 0.246 0.266
1995 1.027 0.019 0.290 0.309
1994 1.069 0.025 (0.018) 0.007
<CAPTION>
Less Distributions
--------------------------------------------------------------------
Net
Increase
Dividends Distributions (Decrease)
from Net from Net Distributions Return in
Investment Realized in of Total Net Asset
Year Ended December 31, Income Capital Gains Excess Capital Distributions Value
- ------------------------ -------------- ------------- ---------------- -------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
Select Growth Fund(/1/)
1999(D) $ (0.001) $ (0.085) $ -- $ -- $ (0.086) $ 0.142
1998 --(/3/) (0.023) -- -- (0.023) 0.617
1997 (0.006) (0.099) -- -- (0.105) 0.381
1996 (0.005) (0.236) -- -- (0.241) 0.061
1995 -- -- -- -- -- 0.270
1994 (0.003) -- -- -- (0.003) (0.020)
Select Strategic
Growth Fund(/1/)
1999(D) -- -- -- -- -- 0.122
1998 (0.002) -- -- -- (0.002) (0.027)
Growth Fund
1999(D) (0.012) (0.294) -- -- (0.306) 0.221
1998 (0.028) (0.027) -- -- (0.055) 0.409
1997 (0.038) (0.458) -- -- (0.496) 0.083
1996 (0.048) (0.228) -- -- (0.276) 0.157
1995 (0.049) (0.177) -- -- (0.226) 0.362
1994 (0.043) (0.084) -- -- (0.127) (0.125)
Equity Index Fund
1999(D) (0.024) (0.008) -- -- (0.032) 0.380
1998 (0.034) (0.087) -- -- (0.121) 0.655
1997 (0.033) (0.077) -- -- (0.110) 0.588
1996 (0.035) (0.032) -- -- (0.067) 0.338
1995 (0.035) (0.047) (0.002)(/4/) (0.066) (0.150) 0.359
1994 (0.033) (0.019) (0.052) (0.037)
Select Growth and
Income Fund(/5/)
1999(D) (0.015) (0.145) -- -- (0.160) 0.081
1998 (0.020) (0.006) -- -- (0.026) 0.227
1997 (0.020) (0.146) -- -- (0.166) 0.147
1996 (0.020) (0.109) -- -- (0.129) 0.137
1995 (0.019) (0.049) -- -- (0.068) 0.241
1994 (0.025) (0.017) (0.007)(/4/) (0.049) (0.042)
</TABLE>
- ------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1999 (Unaudited)
(1) The Select Growth Fund changed sub-advisers on July 1, 1996. The Select
Strategic Growth Fund commenced operations on February 20, 1998.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $(0.001) for the six months ended
June 30, 1999, $0.001 in 1998, $0.006 in 1997 and $0.005 in 1996 for Select
Growth Fund; $0.001 for the six months ended June 30, 1999, $(0.001) in
1998 for Select Strategic Growth Fund; $0.011 for the six months ended June
30, 1999, $0.027 in 1998, $0.038 in 1997 and $0.046 in 1996 for Growth Fund
and $0.015 for the six months ended June 30, 1999, $0.019 in 1998, $0.019
in 1997 and $0.019 in 1996 for the Select Growth and Income Fund.
(3) Dividends from net investment income are less than $0.0005.
(4) Distributions in excess of net realized capital gains.
(5) The Select Growth and Income Fund changed sub-advisers on April 1, 1999.
See Notes to Financial Statements.
---------------------------------------------------
F-54
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Ratios/Supplemental Data
---------------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------------
Net Assets
Net Asset End of Net Operating Management Portfolio
Value End Total Period Investment Expenses Fee Turnover
of Period Returns (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------- ---------- ------------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 2.570 9.41%** $ 993,016 (0.08)%* 0.80%* 0.83%* 0.83%* 0.78%* 0.78%* 43%**
2.428 35.44% 815,390 0.08% 0.85% 0.87% 0.87% 0.82% 0.82% 86%
1.811 34.06% 470,356 0.42% 0.91% 0.93% 0.93% 0.85% 0.85% 75%
1.430 22.02% 228,551 0.38% 0.92% 0.93% 0.93% 0.85% 0.85% 159%
1.369 24.59% 143,125 0.02% 0.97% -- 0.97% 0.85% 0.85% 51%
1.099 (1.49)% 88,263 0.37% 1.03% -- 1.03% 0.85% 0.85% 55%
1.095 12.54%** 23,513 0.33%* 1.17%* 1.20%* 1.34%* 0.85%* 0.71%* 25%**
0.973 (2.47)%** 14,839 0.41%* 1.14%* 1.20%* 1.66%* 0.85%* 0.39%* 24%**
3.046 18.66%** 990,003 0.75%* 0.44%* 0.48%* 0.48%* 0.43%* 0.43%* 53%**
2.825 19.32% 860,333 1.08% 0.46% 0.49% 0.49% 0.44% 0.44% 100%
2.416 25.14% 728,679 1.48% 0.47% 0.49% 0.49% 0.43% 0.43% 79%
2.333 20.19% 556,751 2.04% 0.48% 0.51% 0.51% 0.44% 0.44% 72%
2.176 32.80% 444,871 2.34% 0.54% -- 0.54% 0.46% 0.46% 64%
1.814 0.16% 335,714 2.25% 0.56% -- 0.56% 0.48% 0.48% 46%
3.788 12.17%** 554,328 1.05%* 0.33%* 0.33%* 0.33%* 0.28%* 0.28%* 13%**
3.408 28.33% 481,877 1.17% 0.36% 0.36% 0.36% 0.29% 0.29% 6%
2.753 32.41% 297,191 1.38% 0.44% 0.44% 0.44% 0.31% 0.31% 9%
2.165 22.30% 151,130 1.79% 0.46% 0.46% 0.46% 0.32% 0.32% 12%
1.827 36.18% 90,889 1.96% 0.55% -- 0.55% 0.34% 0.34% 8%
1.468 1.06% 52,246 2.25% 0.57% -- 0.57% 0.35% 0.35% 7%
1.860 13.60%** 756,338 1.68%* 0.71%* 0.72%* 0.72%* 0.68%* 0.68%* 97%**
1.779 16.43% 646,086 1.26% 0.70% 0.73% 0.73% 0.68% 0.68% 112%
1.552 22.51% 473,552 1.34% 0.77% 0.80% 0.80% 0.73% 0.73% 71%
1.405 21.26% 295,638 1.44% 0.80% 0.83% 0.83% 0.75% 0.75% 78%
1.268 30.32% 191,610 1.69% 0.85% -- 0.85% 0.75% 0.75% 112%
1.027 0.73% 110,213 2.51% 0.91% -- 0.91% 0.75% 0.75% 107%
</TABLE>
- --------------------------------------------
F-55
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
--------------------------------------------------------
Net Realized
Net and
Asset Net Unrealized Dividends
Value Investment Gain (Loss) Total from from Net
Year Ended Beginning Income on Investment Investment
December 31, of Period (Loss)(/1/) Investments Operations Income
------------ --------- ----------- ------------ ---------- ----------
<S> <C> <C> <C> <C> <C>
Select Income Fund
1999(D) $ 1.032 $ 0.031 $ (0.043) $ (0.012) $ (0.031)
1998 1.022 0.059 0.010 0.069 (0.059)
1997 0.995 0.060 0.028 0.088 (0.061)
1996 1.024 0.061 (0.029) 0.032 (0.061)
1995 0.930 0.060 0.095 0.155 (0.060)
1994 1.035 0.055 (0.105) (0.050) (0.055)
Investment Grade
Income Fund
1999(D) 1.132 0.034 (0.053) (0.019) (0.034)
1998 1.112 0.067 0.020 0.087 (0.067)
1997 1.084 0.071 0.028 0.099 (0.071)
1996 1.117 0.070 (0.033) 0.037 (0.070)
1995 1.012 0.071 0.106 0.177 (0.071)
1994 1.111 0.066 (0.099) (0.033) (0.066)
Government
Bond Fund
1999(D) 1.068 0.028 (0.035) (0.007) (0.029)
1998 1.047 0.058 0.021 0.079 (0.058)
1997 1.036 0.061 0.011 0.072 (0.061)
1996 1.062 0.062 (0.026) 0.036 (0.062)
1995 0.997 0.062 0.066 0.128 (0.062)
1994 1.070 0.063 (0.073) (0.010) (0.063)
Money Market
Fund
1999(D) 1.000 0.024 -- 0.024 (0.024)
1998 1.000 0.054 -- 0.054 (0.054)
1997 1.000 0.053 -- 0.053 (0.053)
1996 1.000 0.052 -- 0.052 (0.052)
1995 1.000 0.057 -- 0.057 (0.057)
1994 1.000 0.039 -- 0.039 (0.039)
<CAPTION>
Less Distributions
-------------------------------------------------------
Net
Increase
Distributions (Decrease)
from Net Distributions in
Year Ended Realized in Return of Total Net Asset
December 31, Capital Gains Excess Capital Distributions Value
------------ ------------- ----------------- --------- ------------- ----------
<S> <C> <C> <C> <C> <C>
Select Income Fund
1999(D) $ (0.008) $ -- $ --- $ (0.039) $ (0.051)
1998 -- -- -- (0.059) 0.010
1997 -- -- -- (0.061) 0.027
1996 -- -- -- (0.061) (0.029)
1995 -- (0.001)(/2/) -- (0.061) 0.094
1994 -- -- -- (0.055) (0.105)
Investment Grade
Income Fund
1999(D) (0.001) -- -- (0.035) (0.054)
1998 -- -- -- (0.067) 0.020
1997 -- -- -- (0.071) 0.028
1996 -- -- -- (0.070) (0.033)
1995 -- (0.001)(/2/) -- (0.072) 0.105
1994 -- -- -- (0.066) (0.099)
Government
Bond Fund
1999(D) -- -- -- (0.029) (0.036)
1998 -- -- -- (0.058) 0.021
1997 -- -- -- (0.061) 0.011
1996 -- -- -- (0.062) (0.026)
1995 -- (0.001)(/2/) -- (0.063) 0.065
1994 -- -- -- (0.063) (0.073)
Money Market
Fund
1999(D) -- -- -- (0.024) --
1998 -- -- -- (0.054) --
1997 -- -- -- (0.053) --
1996 -- -- -- (0.052) --
1995 -- -- -- (0.057) --
1994 -- -- -- (0.039) --
</TABLE>
- ------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying arrange-
ments with brokers who reduced a portion of the Portfolio's expenses.
(C) Excluding reimbursements and reductions.
(D) For six months ended June 30, 1999 (Unaudited)
(1) Net investment income (loss) per share before reimbursement of fees by the
investment advisers or reductions were $0.060 in 1995 and $0.055 in 1994
for Select Income Fund.
(2) Distributions in excess of net investment income.
See Notes to Financial Statements.
---------------------------------------------------
F-56
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Ratios/Supplemental Data
---------------------------------------------------------------------
Ratios To Average Net Assets
---------------------------------------------------
Net Assets
Net Asset End of Net Operating Management Portfolio
Value End Total Period Investment Expenses Fee Turnover
of Period Returns (000's) Income (Loss) (A) (B) (C) Gross Net Rate
- --------- ------- ---------- ------------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 0.981 (1.17)%** $175,355 6.30%* 0.60%* 0.60%* 0.60%* 0.52%* 0.52%* 101%**
1.032 6.83% 160,450 5.92% 0.64% 0.64% 0.64% 0.54% 0.54% 130%
1.022 9.17% 104,253 6.12% 0.72% 0.72% 0.72% 0.59% 0.59% 79%
0.995 3.32% 77,498 6.29% 0.74% 0.74% 0.74% 0.60% 0.60% 108%
1.024 16.96% 60,368 6.24% 0.79% -- 0.80% 0.60% 0.59% 131%
0.930 (4.82)% 40,784 6.07% 0.83% -- 0.85% 0.60% 0.58% 105%
1.078 (1.67)%** 249,331 6.20%* 0.50%* 0.50%* 0.50%* 0.43%* 0.43%* 41%**
1.132 7.97% 230,623 6.01% 0.52% 0.52% 0.52% 0.43% 0.43% 158%
1.112 9.45% 189,503 6.48% 0.51% 0.51% 0.51% 0.41% 0.41% 48%
1.084 3.56% 157,327 6.50% 0.52% 0.52% 0.52% 0.40% 0.40% 108%
1.117 17.84% 141,625 6.66% 0.53% -- 0.53% 0.41% 0.41% 126%
1.012 (2.96)% 109,972 6.25% 0.58% -- 0.58% 0.42% 0.42% 129%
1.032 (0.69)%** 97,688 5.56%* 0.63%* 0.63%* 0.63%* 0.50%* 0.50%* 26%**
1.068 7.67% 81,018 5.63% 0.64% 0.64% 0.64% 0.50% 0.50% 61%
1.047 7.08% 55,513 5.92% 0.67% 0.67% 0.67% 0.50% 0.50% 56%
1.036 3.51% 46,396 5.90% 0.66% 0.66% 0.66% 0.50% 0.50% 112%
1.062 13.06% 45,778 5.91% 0.69% -- 0.69% 0.50% 0.50% 180%
0.997 (0.88)% 42,078 5.60% 0.70% -- 0.70% 0.50% 0.50% 106%
1.000 2.43%** 409,612 4.84%* 0.30%* 0.30%* 0.30%* 0.25%* 0.25%* N/A
1.000 5.51% 336,253 5.36% 0.32% 0.32% 0.32% 0.26% 0.26% N/A
1.000 5.47% 260,620 5.33% 0.35% 0.35% 0.35% 0.27% 0.27% N/A
1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34% 0.28% 0.28% N/A
1.000 5.84% 155,211 5.68% 0.36% -- 0.36% 0.29% 0.29% N/A
1.000 3.93% 95,991 3.94% 0.45% -- 0.45% 0.31% 0.31% N/A
</TABLE>
- --------------------------------------------
F-57
<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 ("the 1940 Act"), 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 sep-
arate accounts established by Allmerica Financial Life Insurance and Annuity
Company ("Allmerica Financial"), a wholly-owned subsidiary of First Allmerica
Financial Life Insurance Company ("First Allmerica") or other affiliated insur-
ance companies. As of the date of this report, the Trust offered fourteen man-
aged investment portfolios. The accompanying financial statements and financial
highlights are those of the Select Emerging Markets, Select Aggressive Growth,
Select Capital Appreciation, Select Value Opportunity, Select International
Equity, Select Growth, Select Strategic Growth, Growth, Equity Index, Select
Growth and Income, Select Income, Investment Grade Income, Government Bond and
Money Market Funds (individually a "Portfolio", collectively, the "Portfo-
lios").
2.SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions at
the date of the financial statements. Actual results could differ from those
estimates.
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
Security Valuation: Securities which are traded on a recognized exchange (in-
cluding securities traded through the National Market System) are valued at the
last sale price on the securities exchange on which 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 util-
izes 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 bro-
kers. 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 invest-
ments of the Money Market Fund are valued utilizing the amortized cost valua-
tion method, permitted in accordance with Rule 2a-7 under the 1940 Act. This
method involves valuing a portfolio security initially at its cost and thereaf-
ter assuming a constant amortization to maturity of any discount or premium.
Forward Foreign Currency Contracts: The Select Emerging Markets, Select Capital
Appreciation, Select International Equity, and Select Income Funds may enter
into forward foreign currency contracts whereby the Portfolios agree to
exchange 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 cer-
tain 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. Receivables and payables of forward
foreign currency contracts are presented on a net basis in the Statements of
Assets and Liabilities. Gains or losses on the purchase or sale of forward for-
eign currency contracts having the same settlement date and broker are recog-
nized on the date of offset, otherwise gains and losses are recognized on the
settlement date.
The use of forward currency contracts does not eliminate fluctuations in the
underlying prices of the Portfolios, but it does establish a rate of exchange
that can be achieved in the future. Although forward foreign currency contracts
used for hedging purposes limit the risk of loss due to a decline in the value
of the hedged currency, they also limit any potential gain that might result
should the value of the currency increase. In addition, the Portfolios could be
exposed to risks if the counterparties to the contracts are unable to meet the
terms of their contracts.
------------------------------------------------------
F-58
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
Foreign Currency Translation: Investment valuations, other assets and liabili-
ties 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.
Security Transactions and Investment Income: Security transactions are recorded
on trade date. Realized gains and losses from security transactions are deter-
mined on the basis of identified cost. Interest income, including amortization
of premium and accretion of discount on securities, is accrued daily. Dividend
income is recorded on ex-dividend date, except that certain dividends from for-
eign securities are recorded as soon as the Portfolios are informed of 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 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, if any, for its fiscal year. 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.
Distributions to Shareholders: Dividends from net investment income are
declared and reinvested daily for the Money Market Fund, declared and distrib-
uted quarterly for the Growth, Equity Index, Select Growth and Income, Select
Income, Investment Grade Income and Government Bond Funds, and annually for the
Select Emerging Markets, Select Aggressive Growth, Select Capital Appreciation,
Select Value Opportunity, Select International Equity, Select Growth and Select
Strategic Growth Funds. All Portfolios declare and distribute all net realized
capital gains, if any, at least annually. The distributions are recorded on ex-
dividend date. Income and capital gains distributions are determined in accor-
dance 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 for-
wards, including "Post-October Losses" and losses deferred due to wash sales;
and permanent differences due to differing treatments for paydown gains/losses
on certain securities, foreign currency transactions, market discount, and non-
taxable dividends. Any taxable income or gain remaining at fiscal year end is
distributed in the following year.
Futures Contracts: All Portfolios, except the Money Market Fund, 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 the brokers in
order to establish and maintain a position. Subsequent payments made or
received by the Portfolio 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: For the Select Capital Appreciation Fund, costs incurred in
connection with its organization, including the fees and expenses of register-
ing and qualifying its shares for distribution under applicable securities reg-
ulations were capitalized and are being amortized using the straight-line
method over a period of five years beginning with the commencement of the Port-
folio's operation.
Securities Lending: Each Portfolio, using Investors Bank & Trust Company ("In-
vestors Bank & Trust") as its agent, may loan securities to brokers who pay the
Portfolio negotiated lenders' fees. These fees are disclosed as "securities
lending income" in the Statements of Operations. Each applicable Portfolio
receives obligations of the U.S. government and its agencies, cash and/or cash
equivalents and/or letters of credit as collateral against the loaned securi-
ties, in an amount at least equal to 102% of the market value of the loaned
securities at the inception of each loan. This collateral must be maintained at
not less than 102% of the market value of the loaned securities during the
period of the loan. Information regarding the value of the securities loaned
and the value of the collateral at period end is included under
- --------------------------------------------
F-59
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
the caption "Other Information" at the end of each applicable Portfolio's
schedule of investments. Prior to April 1, 1999 Bankers Trust Company was the
Portfolios agent.
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: The Select Capital Appreciation Fund, Select Income Fund,
Investment Grade Income Fund, Government Bond Fund and Money Market Fund may
enter into contracts to purchase securities for a fixed price at a specified
future date beyond customary settlement time ("forward commitments"). If the
Portfolios do so, they will maintain cash or other liquid obligations having a
value in an amount at all times sufficient to meet the purchase price. Forward
commitments involve a risk of loss if the value of the security to be purchased
declines prior to the settlement date. Although the Portfolios generally will
enter into forward commitments with the intention of acquiring the securities
for their portfolio, they may dispose of a commitment prior to settlement if
their Sub-Adviser deems it appropriate to do so.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement trans-
actions with institutions that the Sub-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 trans-
ferred 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.
3. INVESTMENT ADVISORY, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Financial Investment Management Services, 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 schedules:
<TABLE>
<CAPTION>
Percentage of Average Daily Net Assets
First Next Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $750,000,000
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Select Emerging Markets 1.35% 1.35% 1.35% 1.35% 1.35%
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85% 0.85%
Select Capital
Appreciation 1.00% 0.90% 0.85% 0.85% 0.85%
Select Value Opportunity 1.00% 0.85% 0.80% 0.75% 0.70%
Select International
Equity 1.00% 0.90% 0.85% 0.85% 0.85%
Select Growth 0.85% 0.85% 0.80% 0.75% 0.70%
Select Strategic Growth 0.85% 0.85% 0.85% 0.85% 0.85%
Growth 0.60% 0.60% 0.40% 0.35% 0.35%
Select Growth and Income 0.75% 0.70% 0.65% 0.65% 0.65%
</TABLE>
<TABLE>
<CAPTION>
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Equity Index 0.35% 0.30% 0.25%
Government Bond 0.50% 0.50% 0.50%
Money Market 0.35% 0.25% 0.20%
</TABLE>
------------------------------------------------------
F-60
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
First Next Over
Portfolio $50,000,000 $50,000,000 $100,000,000
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
Select Income 0.60% 0.55% 0.45%
Investment Grade Income 0.50% 0.45% 0.40%
</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. The Sub-Advisers for each of the
Portfolios are as follows:
<TABLE>
<S> <C>
Select Emerging Markets Schroder Investment Management North America Inc. ("Schroder")
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Select Capital
Appreciation T. Rowe Price Associates, Inc.
Select Value Opportunity Cramer Rosenthal McGlynn, LLC
Select International
Equity Bank of Ireland Asset Management (U.S.) Limited
Select Growth Putnam Investment Management, Inc.
Select Strategic Growth Cambiar Investors, Inc.
Growth Miller Anderson & Sherrerd, LLP
Equity Index Allmerica Asset Management, Inc.
Select Growth and Income J.P. Morgan Investment Management Inc.
Select Income Standish, Ayer & Wood, Inc.
Investment Grade Income Allmerica Asset Management, Inc.
Government Bond Allmerica Asset Management, Inc.
Money Market Allmerica Asset Management, Inc.
</TABLE>
Effective April 1, 1999, J.P. Morgan Investment Management Inc. assumed sub-
adviser responsibilities from John A. Levin & Co., Inc. for the Select Growth
and Income Fund. T. Rowe Price International Series, Inc., an investment com-
pany managed by an affiliate of T. Rowe Price Associates, Inc., is currently
used as an investment vehicle for certain insurance products sponsored by
Allmerica Financial and First Allmerica. In addition, the same affiliate cur-
rently serves as investment adviser to a corporate investment account of
Allmerica Financial Corporation ("AFC"). Miller Anderson & Sherrerd, LLP also
manages certain assets for First Allmerica and its affiliates. Standish, Ayer &
Wood, Inc. also currently serves as investment adviser to an institutional
account sponsored by First Allmerica.
Effective April 1, 1999, Investors Bank & Trust provides transfer agency, port-
folio accounting and custody services to the Trust and receives fees and reim-
bursement of certain out-of-pocket expenses for its services. The Manager has
entered into an Administrative Services Agreement with Investors Bank & Trust,
whereby Investors Bank & Trust performs certain 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
administrative fee to Investors Bank & Trust. Prior to April 1, 1999, First
Data Investor Services Group, Inc. performed fund administration and fund
accounting services for the Trust, and custodian services were performed by
Bankers Trust.
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 AND WAIVER OF FEES
In the event normal operating expenses of each Portfolio, except for the Select
Emerging Markets Fund, excluding taxes, interest, broker commissions, and
extraordinary expenses, but including the advisory fee, exceed certain volun-
tary expense limitations by a percentage of average net assets (Select Aggres-
sive Growth Fund - 1.35%, Select Capital Appreciation Fund - 1.35%, Select
Value Opportunity Fund - 1.25%, Select International Equity Fund - 1.50%,
Select Growth Fund - 1.20%, Select Strategic Growth Fund - 1.20%, Growth Fund -
1.20%, Equity Index Fund - 0.60%, Select Growth and Income Fund - 1.10%,
Select Income Fund - 1.00%, Investment Grade Income Fund - 1.00%, Government
- --------------------------------------------
F-61
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
Bond Fund - 1.00%, and Money Market Fund - 0.60%), the Manager will voluntarily
reimburse fees and any expenses in excess of the expense limitations. Expense
limitations may be removed or revised at any time after a Portfolio's first
fiscal year of operations without prior notice to existing shareholders. For
the six months ended June 30, 1999, the operating expenses of the Select Stra-
tegic Growth Fund exceeded the amount of its expense limitations by $12,553.
The Manager has voluntarily agreed until further notice to waive its management
fee to the extent that expenses of the Select Emerging Markets Fund exceed
2.00% of the Fund's average daily net assets. The amount of such waiver will be
limited to the net amount of management fees earned by the Manager from the
Fund after subtracting the fees paid by the Manager to Schroder for sub-advi-
sory services. The Manager has also voluntarily agreed to limit its management
fee from the Select Value Opportunity Fund to an annual rate of 0.90% of aver-
age daily net assets. For the six months ended June 30, 1999, management fees
waived with respect to the Select Emerging Markets Fund amounted to $40,052.
5.REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the bro-
kers will rebate a portion of brokerage 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. At June 30, 1999, First Allmerica owned 20,119,038 shares of Select
Emerging Markets Fund and 5,011,839 shares of Select Strategic Growth Fund.
7.FOREIGN SECURITIES AND EMERGING MARKETS
All Portfolios except the Government Bond Fund may purchase securities of for-
eign issuers. The Money Market Fund may invest in only U.S. dollar denominated
foreign securities. Investing in foreign 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 of many foreign issuers and their
markets may be less liquid and their prices more volatile than those of securi-
ties of comparable U.S. issuers.
Investing in emerging markets may involve special risks and considerations not
typically associated with investing in the developed markets. These risks
include revaluation of currencies, high rates of inflation, repatriation
restrictions on income and capital, and future adverse political and economic
developments. Moreover, securities issued in these markets may be less liquid,
subject to government ownership controls, subject to delayed settlements, and
their prices more volatile than those of comparable securities in the United
States.
8.FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options trans-
actions, and forward foreign currency contracts involves risk other than that
reflected in the Statements 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 contracts, and
changes in the value of foreign currency relative to the U.S. dollar. The
Select Emerging Market Fund, the Select Capital Appreciation Fund, the Select
International Equity Fund, the Select Growth Fund, and the Select Income Fund
may enter into these forward contracts primarily to protect the Portfolio from
adverse currency movement.
------------------------------------------------------
F-62
<PAGE>
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 invest-
or's shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is not insured or guaranteed by the Fed-
eral Deposit Insurance Corporation or any other government agency. Although the
Portfolio seeks to preserve the value of your investment at a stable net asset
value of $1.00 per share, it is possible to lose money by investing in the
Portfolio.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Portfolios and are not autho-
rized for distribution to prospective investors in the flexible premium vari-
able 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 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, Variable Insur-
ance Products Fund II, Delaware Group Premium Fund International Equity Series,
and T. Rowe Price International Stock Portfolio, which include important infor-
mation related to charges and expenses.
CLIENT NOTICES
- --------------------------------------------------------------------------------
Year 2000 (unaudited): Some computer software cannot distinguish between dates
in the year 2000 and dates in the year 1900 because of the way that the dates
are encoded and calculated. The services provided to the Trust by the Manager,
Sub-Advisers, Custodian and other external service providers depend on the
proper functioning of their computer software. Failure to correct or replace
any non-compliant software could adversely affect, among other things, the han-
dling of securities trades, the payment of interest and dividends, the pricing
of the Trust's securities and of the Trust's shares, and account services. The
Trust has requested information from its service providers with respect to
their plans to be Year 2000 compliant. The Trust has been advised by its serv-
ice providers that they either are Year 2000 compliant now or expect to be com-
pliant prior to December 31, 1999. However, there can be no guarantee that the
Trust's operations will not be adversely affected by non-compliant computer
systems of its service providers or other third parties which interact with
such service providers. The Year 2000 problem could also have an adverse effect
on issuers, including foreign issuers, whose securities are owned by the Port-
folios, potentially decreasing the value of such securities.
* * * * * *
This report includes financial statements for Allmerica Investment Trust. It
does not include financial statements for the separate accounts that correspond
to the insurance and/or annuity products included in this report.
If you would like to request additional copies of this report, please contact
either your Allmerica Financial representative or call 1-800-828-0540.
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F-63
<PAGE>
Allmerica Financial Services
Allmerica Financial is a diversified group of insurance and financial services
companies. Allmerica Financial Life Insurance and Annuity Company is a leading
provider of insurance and annuity products which was founded in 1967, and is a
wholly owned subsidiary of First Allmerica Financial Life Insurance Company.
Established in 1844, First Allmerica Financial is the fifth oldest, and one of
the most respected, life insurance companies in the nation. Our financial
expertise, combined with a range of insurance and investment products, allows us
to help you create sound financial solutions to meet your individual needs.
To be preceded or accompanied by the current prospectus. Read it carefully
before investing.
Variable Annuity * Allmerica Advantage Variable Annuity/ExecAnnuity Plus
Vari-Exceptional Life (`87, `91 & `93) * Variable Inheiritage * Estate Optimizer
Products are issued by Allmerica Financial Life Insurance and Annuity Company
(First Allmerica Financial Life Insurance Company in NY and HI) and are
distributed by Allmerica Investments, Inc.
[LOGO OF IMSA APPEARS HERE]
[LOGO OF ALLMERICA FINANCIAL(R) APPEARS HERE]
First Allmerica Financial Life Insurance Company * Allmerica Financial Life
Insurance and Annuity Company (licensed in all states except NY) Allmerica Trust
Company, N.A. * Allmerica Investments, Inc. * Allmerica Investment Management
Company, Inc. The Hanover Insurance Company * AMGRO, Inc. * Allmerica Financial
Alliance Insurance Company Allmerica Asset Management, Inc. * Allmerica
Financial Benefit Insurance Company * Sterling Risk Management Services, Inc.
Citizens Corporation * Citizens Insurance Company of America * Citizens
Management Inc. 440 Lincoln Street, Worcester, Massachusetts 01653
