<PAGE>
Allmerica Financial Services
JUNE 30, 2000
Semi-Annual Report
. Variable Annuity
. Allmerica Advantage
Variable Annuity/ ExecAnnuity Plus
. Allmerica Immediate Advantage
. Vari-Exceptional Life
. Variable Inheiritage
. Estate Optimizer
. Allmerica VUL 2001
[PICTURE]
SOLUTIONS THAT TRANSCEND TIME
[LOGO OF ALLMERICA FINANCIAL]
<PAGE>
Table of Contents
General Information .............................................3
A Letter from the Chairman ......................................4
Fund Performance Summary ........................................5
Product Performance Summaries ...................................7
Variable Annuity ................................................7
Allmerica Advantage Variable
Annuity/ExecAnnuity Plus (FAFLIC) ...............................8
Allmerica Advantage Variable
Annuity/ExecAnnuity Plus (AFLIAC) ...............................9
Allmerica Immediate
Advantage Variable Annuity (AFLIAC) ............................10
Vari-Exceptional Life '87 ......................................11
Vari-Exceptional Life '91 ......................................12
Vari-Exceptional Life '93 (FAFLIC) .............................13
Vari-Exceptional Life '93 (AFLIAC) .............................14
Variable Inheiritage (FAFLIC) ..................................15
Variable Inheiritage (AFLIAC) ..................................16
Allmerica Estate Optimizer (AFLIAC) ............................17
Allmerica VUL 2001 (AFLIAC) ....................................18
Variable Life Insurance Product Information ....................19
Domestic & International Equity Market Overview ................22
Select Emerging Markets Fund ...................................24
Select Aggressive Growth Fund ..................................25
Select Capital Appreciation Fund ...............................26
Select Value Opportunity Fund ..................................27
Select International Equity Fund ...............................28
Fidelity VIP Overseas Portfolio ................................29
T. Rowe Price International Stock Portfolio ....................30
DGPF1 International Equity Series ..............................31
Fidelity VIP Growth Portfolio ..................................32
Janus Aspen Growth Portfolio ...................................33
Kemper Technology Growth Portfolio .............................34
Select Growth Fund .............................................35
Select Strategic Growth Fund ...................................36
Core Equity Fund* ..............................................37
Equity Index Fund ..............................................38
Select Growth and Income Fund ..................................39
Fidelity VIP Equity-Income Portfolio ...........................40
Fidelity VIP II Asset Manager Portfolio ........................41
1
<PAGE>
Table of Contents
Bond & Money Market Overview ...................................42
Fidelity VIP High Income Portfolio .............................44
Select Income Fund .............................................45
Select Investment Grade Income Fund** ..........................46
Government Bond Fund ...........................................47
Money Market Fund ..............................................48
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-66.
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.
**Fund's name has been changed from Growth to Core Equity, effective 5-1-00.
**Fund's name has been changed from Investment Grade Income to Select Investment
Grade Income, effective 5-1-00.
2
<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
1 Independent Trustees
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Equity Index Fund
Select 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
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
TCW Investment Management Company
865 South Figueroa, Los Angeles, CA 90017
Select Strategic Growth 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
Janus Capital
100 Fillmore Street, Denver, CO 80206
Janus Aspen Growth Portfolio
Scudder Kemper Investments, Inc.
345 Park Avenue, New York, NY 10154
Kemper Technology Growth Portfolio
Rowe Price-Fleming International, Inc.
100 East Pratt Street, Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
3
<PAGE>
A Letter from the Chairman
[PHOTO]
Dear Client:
The first half of 2000 was another volatile period in the U.S and international
equity markets. Major equity indices struggled and most were unable to break
even, as concerns about inflation prompted the Federal Reserve to raise interest
rates three times. These actions by the Federal Reserve were, in part,
responsible for partially reversing the momentum of the technology-heavy NASDAQ
from an 85% gain in 1999 to a -2.46% loss for the first six months of the year.
This decline was comprised of a series of turbulent months where the NASDAQ fell
as much as 30% before recovering in June. Even the S&P 500 Index and Dow Jones
Industrial Average, comprised of better known and larger companies, suffered and
fluctuated wildly on a daily basis. As disappointing as the U.S. equity market
was, international equity markets fared worse. Economic expansion throughout the
world, and the corresponding fears of inflation contributed to losses in both
developed and emerging markets. The bond market overall has been lackluster
during the period partially due to interest rate increases, but also due to
credit concerns at companies in both the investment grade and high yield
markets.
The first half of the year appeared to be a textbook example of the benefits of
diversification and long term strategic asset allocation. A balanced allocation
to both growth and value stocks, along with international stocks and domestic
bonds proved beneficial to our clients as the 1999 success of high growth, high
momentum stocks wavered. Our funds performed just as we would have expected.
Domestically, our more aggressive funds reacted negatively to interest rate
increases while our value focused funds performed well. Our international funds
reacted similarly to our U.S. funds as those that had suffered in 1999 due to
their value bias finally received some well-deserved market attention. Overall,
we remain pleased with our fund managers and our disciplined approach.
As part of Allmerica's continued fund monitoring, we are pleased to have added a
new sub-advisor to our investment lineup. On April 1, 2000, we changed both the
sub-advisor and the focus of the Select Strategic Growth Fund. The Fund changed
from a large-cap core equity fund to a small-cap growth fund. After an
exhaustive search with our consultant, Barra RogersCasey, we determined that the
best money manager for this new focus would be Trust Company of the West, or TCW
Investment Management Company. TCW's addition is a terrific complement to the
other investment managers we offer you.
As usual, we encourage you to work with your financial advisor to build and
maintain a diversified investment portfolio so that you may continue to enjoy
all that Allmerica has to offer.
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
4
<PAGE>
Fund Performance Summary
Average Annual Total Returns as of 6/30/00
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 7.
<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 02/20/98 11.19% N/A 6.60%
Select Aggressive Growth Fund 08/21/92 24.32% 20.39% 19.59%
Select Capital Appreciation Fund 04/28/95 18.37% 18.27% 20.54%
Select Value Opportunity Fund 04/30/93 -0.69% 13.75% 12.23%
Select International Equity Fund 05/02/94 21.55% 16.13% 13.93%
Select Growth Fund 08/21/92 15.68% 24.17% 18.82%
Select Strategic Growth Fund 02/20/98 1.34% N/A 4.63%
Core Equity Fund 04/29/85 9.65% 21.32% 16.80%
Equity Index Fund 09/28/90 6.86% 23.23% 19.51%
Select Growth and Income Fund 08/21/92 2.70% 18.13% 14.66%
Select Income Fund 08/21/92 3.55% 5.50% 5.60%
Select Investment Grade Income Fund 04/29/85 3.76% 5.75% 7.76%
Government Bond Fund 08/26/91 3.98% 5.26% 6.18%
Money Market Fund 04/29/85 5.73% 5.51% 5.15%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 10/29/92 7.45% 12.31% 11.05%
T. Rowe Price International Equity Series, Inc.
T. Rowe Price International Stock Portfolio 03/31/94 22.38% 13.25% 11.46%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 01/28/87 25.24% 15.19% 9.85%
Fidelity VIP Growth Portfolio 10/09/86 26.26% 25.56% 20.08%
Fidelity VIP Equity-Income Portfolio 10/09/86 -8.20% 14.29% 14.68%
Fidelity VIP II Asset Manager Portfolio 09/06/89 4.82% 14.10% 12.61%
Fidelity VIP High Income Portfolio 09/19/85 -4.59% 7.30% 11.98%
Fidelity VIP Money Market Portfolio 04/01/82 5.73% 5.49% 5.19%
Janus Aspen Series
Janus Aspen Growth Portfolio 09/13/93 25.54% 26.98% 22.63%
Kemper Variable Series
Kemper Technology Growth Portfolio 05/03/99 84.33% N/A 83.78%
</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.
5
<PAGE>
Intentionally Left Blank
<PAGE>
Product Performance Summary
Variable Annuity
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
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 24.
<TABLE>
<CAPTION>
Without Surrender Charge With Surrender Charge
and Contract Fee and Contract Fee
1 5 10 1 5 10
Sub-Accounts Year Years Years Sub-Accounts Year Years Years
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Core Equity Fund* - Single/Elective Payment Core Equity Fund - Elective Payment
Tax Qualified Account 8.66% 20.55% 15.73% Tax Qualified Account 0.52% 18.68% 15.00%
Non Tax Qualified Account 8.66% 20.55% 15.73% Non Tax Qualified Account 0.95% 19.31% 15.61%
Select Investment Grade Income Fund** - Select Investment Grade Income Fund -
Single/Elective Payment Elective Payment
Tax Qualified Account 2.49% 4.43% 6.44% Tax Qualified Account -4.80% 3.25% 6.25%
Non Tax Qualified Account 2.49% 4.43% 6.45% Non Tax Qualified Account -4.71% 3.43% 6.41%
Money Market Fund - Money Market Fund -
Single/Elective Payment Elective Payment
Tax Qualified Account 4.47% 4.19% 3.85% Tax Qualified Account -2.88% 3.18% 3.80%
Non Tax Qualified Account 4.47% 4.19% 3.85% Non Tax Qualified Account -2.85% 3.22% 3.84%
Core Equity Fund - Single Payment
Tax Qualified Account 3.23% 19.90% 15.73%
Non Tax Qualified Account 3.23% 19.90% 15.73%
Select Investment Grade Income Fund -
Single Payment
Tax Qualified Account -2.64% 3.86% 6.44%
Non Tax Qualified Account -2.64% 3.86% 6.45%
Money Market Fund - Single Payment
Tax Qualified Account -0.76% 3.62% 3.85%
Non Tax Qualified Account -0.76% 3.62% 3.85%
</TABLE>
**Fund's name has been changed from Growth to Core Equity, effective 5/1/00.
**Fund's name has been changed from Investment Grade Income to Select Investment
Grade Income, effective 5/1/00.
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.
7
<PAGE>
Product Performance Summary
Allmerica Advantage Variable Annuity/ExecAnnuity Plus (FAFLIC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
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 24.
<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>
Allmerica Investment Trust
Select Aggressive Growth Fund 4/20/94 22.52% 18.63% 17.81% 17.69% 14.25% 17.91% 17.55% 17.26%
Select Capital Appreciation Fund 4/28/95 16.65% 16.55% 18.75% 18.75% 8.51% 15.88% 18.25% 18.25%
Select Value Opportunity Fund 4/20/94 -2.13% 12.10% 10.60% 10.63% -9.35% 11.33% 10.31% 10.19%
Select International Equity Fund 5/3/94 19.78% 14.44% 12.28% 12.29% 11.59% 13.70% 11.84% 11.85%
Select Growth Fund 4/20/94 14.00% 22.35% 17.06% 21.91% 5.73% 21.76% 16.84% 21.60%
Core Equity Fund 4/20/94 8.06% 19.55% 15.10% 19.23% 0.07% 18.90% 14.97% 18.88%
Equity Index Fund 4/21/94 5.31% 21.43% 17.75% 20.93% -2.49% 20.85% 17.67% 20.64%
Select Growth and Income Fund 4/20/94 1.21% 16.41% 12.98% 15.96% -6.24% 15.74% 12.74% 15.61%
Select Investment Grade Income Fund 4/21/94 2.28% 4.23% 6.20% 4.92% -5.13% 3.31% 6.16% 4.48%
Government Bond Fund 4/20/94 2.47% 3.74% 4.69% 4.14% -4.93% 2.84% 4.58% 3.72%
Money Market Fund 4/10/94 4.26% 3.98% 3.63% 3.87% -3.29% 3.06% 3.57% 3.41%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 4/20/94 5.89% 10.71% 9.76% 9.12% -1.83% 9.95% 9.53% 8.71%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock 5/1/95 20.61% 11.61% 9.85% 11.26% 12.48% 10.86% 9.45% 10.64%
Portfolio
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 4/20/94 23.42% 13.57% 8.28% 11.02% 15.31% 12.86% 8.17% 10.62%
Fidelity VIP Growth Portfolio 4/20/94 24.42% 23.77% 18.37% 24.22% 16.09% 23.09% 18.13% 23.82%
Fidelity VIP Equity-Income Portfolio 4/20/94 -9.50% 12.66% 13.13% 14.12% -16.29% 11.79% 12.92% 13.63%
Fidelity VIP II Asset Manager Portfolio 5/11/94 3.29% 12.47% 11.00% 10.73% -4.20% 11.78% 10.96% 10.38%
Fidelity VIP High Income Portfolio 4/20/94 -6.06% 5.77% 10.38% 6.36% -12.98% 4.80% 10.28% 5.84%
</TABLE>
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.
8
<PAGE>
Product Performance Summary
Allmerica Advantage Variable Annuity/ExecAnnuity Plus (AFLIAC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
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 24.
<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>
Allmerica Investment Trust
Select Aggressive Growth Fund 9/16/92 22.52% 18.63% 17.82% 17.30% 14.26% 17.92% 17.57% 17.05%
Select Capital Appreciation Fund 4/28/95 16.65% 16.55% 18.75% 18.75% 8.52% 15.90% 18.27% 18.27%
Select Value Opportunity Fund 5/2/93 -2.14% 12.10% 10.62% 10.63% -9.33% 11.34% 10.34% 10.35%
Select International Equity Fund 5/3/94 19.78% 14.44% 12.28% 12.28% 11.59% 13.70% 11.84% 11.85%
Select Growth Fund 9/16/92 14.00% 22.35% 17.06% 16.61% 5.77% 21.78% 16.86% 16.39%
Core Equity Fund 9/4/91 8.06% 19.55% 15.14% 15.25% 0.03% 18.86% 14.96% 15.02%
Equity Index Fund 9/4/91 5.31% 21.43% 17.76% 16.44% -2.48% 20.85% 17.67% 16.30%
Select Growth and Income Fund 9/16/92 1.21% 16.41% 12.98% 13.01% -6.24% 15.74% 12.75% 12.77%
Select Investment Grade Income Fund 9/5/91 2.28% 4.23% 6.20% 5.67% -5.17% 3.26% 6.11% 5.50%
Government Bond Fund 9/8/91 2.47% 3.74% 4.41% 4.58% -4.94% 2.83% 4.30% 4.47%
Money Market Fund 9/9/91 4.26% 3.98% 3.63% 3.36% -3.29% 3.07% 3.60% 3.24%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/6/93 5.89% 10.71% 9.45% 9.99% -1.83% 9.94% 9.21% 9.74%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock 5/1/95 20.61% 11.62% 9.85% 11.26% 12.51% 10.89% 9.47% 10.67%
Portfolio
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 9/5/91 23.42% 13.57% 8.28% 10.45% 15.30% 12.85% 8.16% 10.29%
Fidelity VIP Growth Portfolio 9/5/91 24.42% 23.77% 18.38% 20.21% 16.11% 23.09% 18.15% 19.97%
Fidelity VIP Equity-Income Portfolio 9/5/91 -9.50% 12.66% 13.05% 13.88% -16.30% 11.78% 12.83% 13.62%
Fidelity VIP II Asset Manager Portfolio 5/4/94 3.29% 12.47% 11.00% 10.54% -4.21% 11.78% 10.96% 10.19%
Fidelity VIP High Income Portfolio 9/24/91 -6.06% 5.77% 10.39% 9.17% -12.96% 4.83% 10.30% 9.01%
</TABLE>
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.
9
<PAGE>
Product Performance Summary
Allmerica Immediate Advantage Variable Annuity (AFLIAC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
For easy reference, the total returns for the Allmerica Immediate Advantage
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 24.
<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 2/1/00 N/A N/A 5.23% -10.83% N/A N/A 5.23% -10.83%
Select Aggressive Growth Fund 2/1/00 N/A N/A 18.03% 3.63% N/A N/A 18.03% 3.63%
Select Capital Appreciation Fund 2/1/00 N/A N/A 18.97% 8.50% N/A N/A 18.97% 8.50%
Select Value Opportunity Fund 2/1/00 N/A N/A 10.81% 17.07% N/A N/A 10.81% 17.07%
Select International Equity Fund 2/1/00 N/A N/A 12.49% 3.82% N/A N/A 12.49% 3.82%
Select Growth Fund 2/1/00 N/A N/A 17.28% 1.45% N/A N/A 17.28% 1.45%
Select Strategic Growth Fund 2/1/00 N/A N/A 3.30% 2.03% N/A N/A 3.30% 2.03%
Core Equity Fund 2/1/00 N/A N/A 15.32% 3.37% N/A N/A 15.32% 3.37%
Equity Index Fund 2/1/00 N/A N/A 17.97% 3.12% N/A N/A 17.97% 3.12%
Select Growth and Income Fund 2/1/00 N/A N/A 13.19% 2.37% N/A N/A 13.19% 2.37%
Select Investment Grade Income Fund 2/1/00 N/A N/A 6.40% 2.54% N/A N/A 6.40% 2.54%
Government Bond Fund 2/1/00 N/A N/A 4.85% 2.71% N/A N/A 4.85% 2.71%
Money Market Fund 2/1/00 N/A N/A 3.83% 1.89% N/A N/A 3.83% 1.89%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 2/1/00 N/A N/A 9.67% 8.86% N/A N/A 9.67% 8.86%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 2/1/00 N/A N/A 10.07% 0.29% N/A N/A 10.07% 0.29%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 2/1/00 N/A N/A 8.48% -0.33% N/A N/A 8.48% -0.33%
Fidelity VIP Growth Portfolio 2/1/00 N/A N/A 18.59% 5.61% N/A N/A 18.59% 5.61%
Fidelity VIP Equity-Income Portfolio 2/1/00 N/A N/A 13.25% 1.20% N/A N/A 13.25% 1.20%
Fidelity VIP II Asset Manager Portfolio 2/1/00 N/A N/A 11.21% 1.55% N/A N/A 11.21% 1.55%
Fidelity VIP High Income Portfolio 2/1/00 N/A N/A 10.71% -3.72% N/A N/A 10.71% -3.72%
</TABLE>
Performance returns given above are for the Allmerica Immediate Advantage
Variable Annuity 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
<PAGE>
Product Performance Summary
Vari-Exceptional Life '87
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
For easy reference, the total returns for the Vari-Exceptional Life '87 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 24.
<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 10.19% N/A 5.63% 11.05% -79.59% N/A -29.42% -28.11%
Select Aggressive Growth Fund 9/17/92 23.21% 19.27% 18.45% 17.97% -68.52% 8.49% 12.67% 12.09%
Select Capital Appreciation Fund 4/28/95 17.31% 17.18% 19.40% 19.40% -73.54% 6.25% 9.07% 9.07%
Select Value Opportunity Fund 5/6/93 -1.59% 12.71% 11.22% 11.08% -89.55% 1.42% 4.27% 4.10%
Select International Equity Fund 5/3/94 20.45% 15.06% 12.89% 12.89% -70.87% 3.97% 4.48% 4.47%
Select Growth Fund 9/17/92 14.63% 23.01% 17.70% 17.20% -75.82% 12.47% 11.89% 11.29%
Select Strategic Growth Fund 6/4/98 0.43% N/A 3.68% 4.13% -87.85% N/A -31.62% -35.81%
Core Equity Fund 11/19/87 8.66% 20.20% 15.72% 15.72% -80.89% 9.48% 11.38% 11.38%
Equity Index Fund 10/25/90 5.89% 22.09% 18.39% 18.34% -83.23% 11.49% 14.01% 13.92%
Select Growth and Income Fund 9/17/92 1.78% 17.04% 13.59% 13.69% -86.71% 6.10% 7.57% 7.59%
Select Investment Grade Income Fund 12/2/87 2.85% 4.79% 6.78% 6.78% -85.80% -7.32% 1.93% 1.93%
Government Bond Fund 11/6/91 3.04% 4.31% 5.26% 4.90% -85.64% -7.86% -0.46% -1.02%
Money Market Fund 12/22/87 4.84% 4.55% 4.19% 4.19% -84.12% -7.59% -0.86% -0.86%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/18/93 6.48% 11.31% 10.04% 10.70% -82.73% -0.11% 3.58% 3.66%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/25/95 21.28% 12.23% 10.45% 11.93% -70.16% 0.90% 2.00% 0.62%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 11/19/87 24.11% 14.18% 8.86% 8.86% -67.75% 3.02% 4.15% 4.15%
Fidelity VIP Growth Portfolio 11/16/87 25.12% 24.44% 19.01% 19.01% -66.89% 13.98% 14.80% 14.80%
Fidelity VIP Equity-Income Portfolio 11/16/87 -9.00% 13.27% 13.66% 13.66% -95.80% 2.03% 9.22% 9.22%
Fidelity VIP II Asset Manager Portfolio 5/11/94 3.87% 13.08% 11.60% 11.33% -84.94% 1.82% 7.05% 2.76%
Fidelity VIP High Income Portfolio 11/19/87 -5.54% 6.34% 10.98% 10.98% -92.88% -5.59% 6.40% 6.40%
Fidelity VIP Money Market Portfolio 12/10/87 4.78% 4.54% 4.24% 4.24% -84.17% -7.60% -0.81% -0.81%
</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.
11
<PAGE>
Product Performance Summary
Vari-Exceptional Life '91
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
For easy reference, the total returns for the Vari-Exceptional Life '91 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 24.
<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 10.19% N/A 5.63% 11.05% -100.00% N/A -43.40% -43.60%
Select Aggressive Growth Fund 9/17/92 23.21% 19.27% 18.45% 17.97% -100.00% 6.83% 12.37% 11.77%
Select Capital Appreciation Fund 4/28/95 17.31% 17.18% 19.40% 19.40% -100.00% 4.49% 7.56% 7.56%
Select Value Opportunity Fund 5/6/93 -1.59% 12.71% 11.22% 11.08% -100.00% -0.59% 3.65% 3.47%
Select International Equity Fund 5/3/94 20.45% 15.06% 12.89% 12.89% -100.00% 2.09% 3.46% 3.45%
Select Growth Fund 9/17/92 14.63% 23.01% 17.70% 17.20% -100.00% 10.97% 11.58% 10.95%
Select Strategic Growth Fund 6/4/98 0.43% N/A 3.68% 4.13% -100.00% N/A -45.97% -52.57%
Core Equity Fund 11/19/87 8.66% 20.20% 15.72% 15.72% -100.00% 7.86% 11.30% 11.30%
Equity Index Fund 10/25/90 5.89% 22.09% 18.39% 18.34% -100.00% 9.95% 13.93% 13.83%
Select Growth and Income Fund 9/17/92 1.78% 17.04% 13.59% 13.69% -100.00% 4.33% 7.19% 7.20%
Select Investment Grade Income Fund 12/2/87 2.85% 4.79% 6.78% 6.78% -100.00% -9.89% 1.79% 1.79%
Government Bond Fund 11/6/91 3.04% 4.31% 5.26% 4.90% -100.00% -10.47% -0.79% -1.40%
Money Market Fund 12/22/87 4.84% 4.55% 4.19% 4.19% -100.00% -10.18% -1.03% -1.03%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/18/93 6.48% 11.31% 10.04% 10.70% -100.00% -2.20% 3.08% 3.01%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/25/95 21.28% 12.23% 10.45% 11.93% -100.00% -1.14% 0.93% -1.42%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 11/19/87 24.11% 14.18% 8.86% 8.86% -100.00% 1.09% 4.03% 4.03%
Fidelity VIP Growth Portfolio 11/16/87 25.12% 24.44% 19.01% 19.01% -100.00% 12.54% 14.73% 14.73%
Fidelity VIP Equity-Income Portfolio 11/16/87 -9.00% 13.27% 13.66% 13.66% -100.00% 0.05% 9.13% 9.13%
Fidelity VIP II Asset Manager Portfolio 5/11/94 3.87% 13.08% 11.60% 11.33% -100.00% -0.17% 6.95% 1.67%
Fidelity VIP High Income Portfolio 11/19/87 -5.54% 6.34% 10.98% 10.98% -100.00% -8.03% 6.29% 6.29%
Fidelity VIP Money Market Portfolio 12/10/87 4.78% 4.54% 4.24% 4.24% -100.00% -10.19% -0.98% -0.98%
</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.
12
<PAGE>
Product Performance Summary
Vari-Exceptional Life '93 (FAFLIC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
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 24.
<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 10.30% N/A 5.65% 35.78% -100.00% N/A -43.01% -22.84%
Select Aggressive Growth Fund 4/6/94 23.33% 19.34% 18.66% 16.62% -93.03% 7.04% 12.86% 7.80%
Select Capital Appreciation Fund 4/28/95 17.42% 17.24% 19.45% 19.45% -98.39% 4.56% 7.77% 7.77%
Select Value Opportunity Fund 4/6/94 -1.49% 12.77% 11.16% 10.51% -100.00% -0.81% 3.45% 0.68%
Select International Equity Fund 5/3/94 20.57% 15.12% 12.88% 12.89% -95.53% 2.03% 3.32% 3.32%
Select Growth Fund 4/10/94 14.75% 23.08% 17.63% 21.26% -100.00% 11.38% 11.72% 13.02%
Select Strategic Growth Fund 8/27/98 0.53% N/A 3.71% 16.84% -100.00% N/A -45.75% -45.27%
Core Equity Fund 4/7/94 8.77% 20.26% 15.61% 19.29% -100.00% 8.12% 11.38% 10.83%
Equity Index Fund 4/20/94 6.00% 22.15% 18.28% 21.85% -100.00% 10.31% 14.09% 13.63%
Select Growth and Income Fund 4/18/94 1.88% 17.10% 13.53% 16.53% -100.00% 4.40% 7.17% 7.63%
Select Investment Grade Income Fund 4/20/94 2.95% 4.85% 6.68% 5.58% -100.00% -10.77% 1.48% -5.38%
Government Bond Fund 5/10/94 3.15% 4.36% 5.19% 5.02% -100.00% -11.41% -1.25% -6.20%
Money Market Fund 5/4/94 4.94% 4.60% 4.09% 4.45% -100.00% -11.10% -1.51% -6.87%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 4/6/94 6.59% 11.37% 10.30% 9.87% -100.00% -2.53% 3.22% -0.08%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/26/95 21.40% 12.16% 10.35% 12.01% -94.78% -1.56% 0.53% -1.68%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 4/6/94 24.24% 14.24% 8.76% 11.69% -92.21% 0.97% 3.83% 2.08%
Fidelity VIP Growth Portfolio 4/6/94 25.25% 24.50% 18.89% 23.29% -91.29% 13.01% 14.91% 15.31%
Fidelity VIP Equity-Income Portfolio 4/6/94 -8.91% 13.33% 13.63% 14.70% -100.00% -0.13% 9.22% 5.59%
Fidelity VIP II Asset Manager Portfolio 5/11/94 3.98% 13.14% 11.50% 11.33% -100.00% -0.36% 6.88% 1.44%
Fidelity VIP High Income Portfolio 4/6/94 -5.44% 6.40% 10.87% 6.69% -100.00% -8.77% 6.18% -3.92%
</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.
13
<PAGE>
Product Performance Summary
Vari-Exceptional Life '93 (AFLIAC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
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 24.
<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 10.30% N/A 5.70% 11.07% -100.00% N/A -45.95% -42.86%
Select Aggressive Growth Fund 7/20/93 23.33% 19.34% 18.39% 16.76% -94.81% 5.56% 11.98% 8.69%
Select Capital Appreciation Fund 4/28/95 17.42% 17.24% 19.45% 19.45% -100.00% 3.02% 6.37% 6.37%
Select Value Opportunity Fund 7/18/93 -1.49% 12.77% 11.17% 11.29% -100.00% -2.51% 2.63% 2.36%
Select International Equity Fund 5/3/94 20.58% 15.12% 12.88% 12.89% -97.27% 0.42% 2.22% 2.23%
Select Growth Fund 7/20/93 14.75% 23.08% 17.63% 19.31% -100.00% 10.00% 11.14% 11.58%
Select Strategic Growth Fund 5/29/98 0.53% N/A 3.75% 3.90% -100.00% N/A -48.80% -52.71%
Core Equity Fund 7/6/93 8.77% 20.26% 15.61% 17.83% -100.00% 6.66% 11.00% 10.00%
Equity Index Fund 7/18/93 6.00% 22.15% 18.28% 19.18% -100.00% 8.90% 13.71% 11.45%
Select Growth and Income Fund 7/26/93 1.88% 17.10% 13.53% 14.72% -100.00% 2.85% 6.52% 6.31%
Select Investment Grade Income Fund 7/19/93 2.96% 4.85% 6.68% 4.49% -100.00% -12.84% 0.99% -5.91%
Government Bond Fund 7/22/93 3.15% 4.36% 5.18% 4.07% -100.00% -13.51% -1.91% -6.46%
Money Market Fund 7/18/93 4.94% 4.60% 4.09% 4.16% -100.00% -13.18% -2.03% -6.32%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 7/18/93 6.59% 11.37% 10.00% 10.89% -100.00% -4.28% 2.12% 1.89%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 6/21/95 21.40% 12.28% 10.44% 12.04% -96.53% -3.13% -0.49% -3.30%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 7/20/93 24.23% 14.24% 8.77% 12.44% -94.00% -0.67% 3.39% 3.70%
Fidelity VIP Growth Portfolio 7/18/93 25.25% 24.50% 18.89% 21.75% -93.09% 11.66% 14.55% 14.32%
Fidelity VIP Equity-Income Portfolio 7/6/93 -8.91% 13.33% 13.64% 13.85% -100.00% -1.81% 8.84% 5.44%
Fidelity VIP II Asset Manager Portfolio 5/10/94 3.98% 13.14% 11.50% 11.29% -100.00% -2.05% 6.46% 0.25%
Fidelity VIP High Income Portfolio 7/18/93 -5.44% 6.40% 10.88% 6.66% -100.00% -10.76% 5.77% -3.21%
</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.
14
<PAGE>
Product Performance Summary
Variable Inheiritage (FAFLIC)
Average Annual Total Returns as of 6/30/00
--------------------------------------------------------------------------------
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 24.
<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 9.89% N/A 5.39% 5.39% -91.05% N/A -29.06% -29.06%
Select Aggressive Growth Fund 8/28/95 22.89% N/A 18.16% 17.26% -78.56% N/A 15.70% 9.31%
Select Capital Appreciation Fund 4/28/95 17.01% 16.90% 19.11% 19.11% -84.21% 9.66% 12.61% 12.61%
Select Value Opportunity Fund 9/17/95 -1.84% N/A 10.93% 11.55% -100.00% N/A 7.25% 2.35%
Select International Equity Fund 5/3/94 20.15% 14.79% 12.61% 12.62% -81.20% 7.23% 7.64% 7.65%
Select Growth Fund 8/28/95 14.34% N/A 17.40% 22.36% -86.78% N/A 14.89% 15.13%
Select Strategic Growth Fund 2/20/98 0.20% N/A 3.44% 3.44% -100.00% N/A -31.64% -31.64%
Core Equity Fund 9/17/95 8.39% N/A 15.44% 19.22% -92.49% N/A 13.90% 11.30%
Equity Index Fund 10/19/95 5.63% N/A 18.10% 21.16% -95.14% N/A 16.58% 13.11%
Select Growth and Income Fund 9/10/95 1.52% N/A 13.31% 15.58% -99.09% N/A 10.52% 7.19%
Select Income Fund 9/11/98 2.33% N/A 4.38% 0.62% -98.31% N/A 0.70% -51.68%
Select Investment Grade Income Fund 12/15/96 2.59% N/A 6.52% 4.25% -98.06% N/A 4.47% -16.26%
Government Bond Fund 10/19/95 -1.15% N/A 3.90% 1.82% -100.00% N/A 0.98% -10.11%
Money Market Fund 11/20/95 4.57% N/A 3.94% 4.26% -96.16% N/A 1.68% -7.52%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 10/19/95 6.22% N/A 10.10% 10.72% -94.57% N/A 6.84% 0.90%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 8/28/95 20.97% N/A 10.18% 11.63% -80.41% N/A 5.04% 2.73%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 9/10/95 23.80% N/A 8.60% 13.92% -77.69% N/A 6.69% 5.25%
Fidelity VIP Growth Portfolio 8/28/95 24.80% N/A 18.71% 22.64% -76.73% N/A 17.29% 15.44%
Fidelity VIP Equity-Income Portfolio 8/28/95 -9.23% N/A 13.46% 12.42% -100.00% N/A 11.83% 3.66%
Fidelity VIP II Asset Manager Portfolio 5/11/94 3.61% 12.81% 11.34% 11.08% -97.08% 4.92% 9.60% 5.88%
Fidelity VIP High Income Portfolio 12/4/95 -5.77% N/A 10.71% 5.28% -100.00% N/A 8.93% -6.46%
</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.
15
<PAGE>
Product Performance Summary
Variable Inheiritage (AFLIAC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
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 24.
<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 9.91% N/A 5.35% 5.35% -92.65% N/A -30.49% -30.49%
Select Aggressive Growth Fund 4/25/94 22.89% 18.98% 18.23% 17.06% -80.34% 11.38% 15.43% 12.13%
Select Capital Appreciation Fund 4/28/95 17.01% 16.89% 19.10% 19.10% -85.92% 8.99% 11.98% 11.98%
Select Value Opportunity Fund 6/1/94 -1.84% 12.43% 10.93% 11.11% -100.00% 3.80% 6.84% 5.30%
Select International Equity Fund 5/3/94 20.15% 14.78% 12.61% 12.62% -82.94% 6.55% 7.14% 7.14%
Select Growth Fund 5/19/94 14.34% 22.71% 17.41% 21.68% -88.45% 15.60% 14.56% 17.10%
Select Strategic Growth Fund 2/20/98 0.18% N/A 3.43% 3.43% -100.00% N/A -33.03% -33.03%
Core Equity Fund 5/11/94 8.39% 19.90% 15.44% 19.72% -94.09% 12.43% 13.65% 15.00%
Equity Index Fund 9/19/94 5.63% 21.79% 18.10% 21.76% -96.70% 14.56% 16.32% 16.48%
Select Growth and Income Fund 5/1/94 1.52% 16.75% 13.31% 16.15% -100.00% 8.83% 10.16% 11.10%
Select Investment Grade Income Fund 5/1/94 2.59% 4.54% 6.52% 5.32% -99.58% -5.72% 4.19% -1.24%
Government Bond Fund 6/30/94 2.78% 4.05% 5.00% 4.61% -99.40% -6.32% 1.86% -2.40%
Money Market Fund 5/26/94 4.57% 4.29% 4.04% 4.22% -97.71% -6.03% 1.50% -2.67%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 5/11/94 6.22% 11.03% 10.08% 9.27% -96.14% 2.14% 6.44% 3.29%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 7/2/95 20.97% N/A 10.16% 11.93% -82.17% N/A 4.51% 3.21%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 4/28/94 23.80% 13.90% 8.61% 10.98% -79.48% 5.52% 6.44% 5.31%
Fidelity VIP Growth Portfolio 5/11/94 24.80% 24.13% 18.72% 24.55% -78.53% 17.19% 17.06% 20.24%
Fidelity VIP Equity-Income Portfolio 5/1/94 -9.23% 12.99% 13.46% 14.15% -100.00% 4.46% 11.57% 8.87%
Fidelity VIP II Asset Manager Portfolio5/11/94 3.61% 12.80% 11.33% 11.06% -98.62% 4.23% 9.33% 5.34%
Fidelity VIP High Income Portfolio 5/12/94 -5.77% 6.08% 10.71% 6.61% -100.00% -3.82% 8.67% 0.21%
</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.
16
<PAGE>
Product Performance Summary
Allmerica Estate Optimizer (AFLIAC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
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 24.
<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 10.19% N/A 5.63% 31.51% -3.18% N/A -0.65% 20.36%
Select Aggressive Growth Fund 12/15/98 23.21% N/A 18.45% 32.31% 9.45% N/A 16.21% 22.25%
Select Capital Appreciation Fund 12/15/98 17.31% N/A 19.40% 28.46% 3.73% N/A 16.46% 18.44%
Select Value Opportunity Fund 12/15/98 -1.59% N/A 11.20% 6.48% -14.60% N/A 8.83% -3.39%
Select International Equity Fund 12/15/98 20.45% N/A 12.89% 21.56% 6.77% N/A 10.24% 11.60%
Select Growth Fund 12/15/98 14.63% N/A 17.70% 22.15% 1.13% N/A 15.46% 12.19%
Select Strategic Growth Fund 12/15/98 0.43% N/A 3.68% 10.93% -12.64% N/A -2.65% 1.04%
Core Equity Fund 12/15/98 8.66% N/A 15.72% 23.02% -4.66% N/A 13.73% 13.05%
Equity Index Fund 12/15/98 5.89% N/A 18.39% 15.67% -7.35% N/A 16.35% 5.76%
Select Growth and Income Fund 12/15/98 1.78% N/A 13.59% 14.47% -11.33% N/A 11.36% 4.56%
Select Income Fund 2/19/99 2.59% N/A 4.64% 1.00% -10.54% N/A 2.41% -9.94%
Select Investment Grade Income Fund 12/15/98 2.85% N/A 6.78% 0.51% -10.29% N/A 4.93% -9.36%
Government Bond 3/15/99 3.04% N/A 5.22% 1.81% -10.11% N/A 3.22% -9.53%
Money Market Fund 1/11/99 4.84% N/A 4.20% 4.57% -8.36% N/A 2.39% -5.75%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 12/15/98 6.48% N/A 10.06% 12.62% -6.77% N/A 7.80% 2.72%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 12/15/98 21.28% N/A 10.46% 19.80% 7.57% N/A 7.81% 9.86%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 12/15/98 24.11% N/A 8.87% 24.27% 10.32% N/A 6.98% 14.29%
Fidelity VIP Growth Portfolio 12/15/98 25.12% N/A 19.01% 31.63% 11.30% N/A 16.98% 21.58%
Fidelity VIP Equity-Income Portfolio 12/15/98 -9.00% N/A 13.75% 5.02% -21.78% N/A 11.78% -4.85%
Fidelity VIP II Asset Manager Portfolio 12/15/98 3.87% N/A 11.61% 8.44% -9.30% N/A 9.67% -1.44%
Fidelity VIP High Income Portfolio 12/15/98 -5.54% N/A 10.98% 1.60% -18.43% N/A 9.05% -8.27%
</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.
17
<PAGE>
Product Performance Summary
Allmerica VUL 2001 (AFLIAC)
--------------------------------------------------------------------------------
Average Annual Total Returns as of 6/30/00
For easy reference, the total returns for the Allmerica VUL 2001 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 24.
<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 1/10/00 N/A N/A 6.58% -13.20% N/A N/A -85.12% -100.00%
Select Aggressive Growth Fund 1/10/00 N/A N/A 19.52% 2.01% N/A N/A 8.35% -100.00%
Select Capital Appreciation Fund 1/10/00 N/A N/A 20.47% 5.55% N/A N/A -0.69% -100.00%
Select Value Opportunity Fund 1/10/00 N/A N/A 12.21% 10.90% N/A N/A -1.49% -100.00%
Select International Equity Fund 1/10/00 N/A N/A 13.90% 3.10% N/A N/A -3.09% -100.00%
Select Growth Fund 1/10/00 N/A N/A 18.75% -0.47% N/A N/A 7.51% -100.00%
Select Strategic Growth Fund 1/10/00 N/A N/A 4.62% -1.64% N/A N/A -86.54% -100.00%
Equity Index Fund 1/10/00 N/A N/A 19.46% 0.33% N/A N/A 11.09% -100.00%
Select Growth and Income Fund 1/10/00 N/A N/A 14.61% -0.25% N/A N/A 2.94% -100.00%
Select Investment Grade Income Fund 1/10/00 N/A N/A 7.73% 3.25% N/A N/A -1.24% -100.00%
Money Market Fund 1/10/00 N/A N/A 5.14% 2.86% N/A N/A -4.10% -100.00%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock
Portfolio 1/10/00 N/A N/A 11.46% -2.11% N/A N/A -5.69% -100.00%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Growth Portfolio 1/10/00 N/A N/A 20.08% 4.94% N/A N/A 12.02% -100.00%
Fidelity VIP Equity-Income Portfolio 1/10/00 N/A N/A 14.77% -1.64% N/A N/A 6.39% -100.00%
Fidelity VIP High Income Portfolio 1/10/00 N/A N/A 11.90% -3.91% N/A N/A 3.30% -100.00%
Janus Aspen Series
Janus Aspen Growth Portfolio 5/1/00 N/A N/A 22.81% -2.85% N/A N/A 9.34% -100.00%
Kemper Variable Series
Kemper Technology Growth Portfolio 5/1/00 N/A N/A 88.44% 4.97% N/A N/A -83.23% -100.00%
</TABLE>
Performance returns given above are for the Allmerica VUL 2001 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.
18
<PAGE>
Variable Life Insurance Product Information
--------------------------------------------------------------------------------
VEL 87, VEL 91, VEL 93,Variable Inheiritage and VUL 2001*
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 partial withdrawal, a full
surrender of the policy or 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.
Charge for Increase/Decrease in the Face Amount: For each increase or decrease
in Face Amount, a transaction charge of $40 may be deducted from Policy Value.
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 to $25 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 may apply.
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.
*Monthly expense charge for the VUL 2001 product varies from the expense charges
of the other variable products. See product prospectus for further
information.
19
<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 reduce the death benefit by the amount borrowed.
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 to $25 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% will be assessed against each
sub-account plus the fixed account on an annual basis for administrative
expenses of the contract.
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, which is waived if the policy value
exceeds $100.
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.
20
<PAGE>
Overview
<PAGE>
Domestic & International Equity Market Overview
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: Booming technology and Internet stocks help drive the Dow and NASDAQ to
record highs. Investors flock to large-cap stocks. The Fed hikes interest rates
in an effort to slow the economy and prevent inflation.
2000: Technology stocks correct in U.S. and international markets. Losses
stemmed somewhat by investments in other sectors. Technology rebounds but major
indices finish down. Three interest rate hikes signal that inflation is still a
concern.
The first six months of 2000 were an extremely volatile period in which U.S. and
foreign equity markets closely tracked each other. The period began on a high
note here and abroad with record high markets at the end of 1999 providing a
positive beginning for the first year of a new century. The period ended,
however, on a low note with the S&P 500 Stock Index returning -0.42% and the
Morgan Stanley Capital International's EAFE Index returning -3.95%.
The markets in January got off to a good start when the doomsday prediction of
computer systems catapulting global equity markets back to the year 1900 failed
to materialize. The successful transition seemed to release pent-up demand for
new technologies and investors poured money into high tech stocks. Demand was,
and continues to be, high for wireless telecommunications services and products,
whose backbone is semiconductors and specifically computer chips. Leading
companies were Samsung Electronics (Korea), U.K.-based Vodaphone AirTouch, which
claims the largest number of mobile phone subscribers in the world, and Nokia
(Finland), the number one seller of mobile handsets.
Adding to the favorable investment climate was the fact that the major foreign
countries were experiencing relative political and economic stability. Latin
America, especially Mexico and Brazil, the Far East (except Japan), and Russia
were turnaround stories from such events as the 1994 devaluation of Mexico's
peso, the Asian debacle in 1997, and the 1998 default of the Russian government.
The increasing relative prosperity of many major countries, whose citizens had
new money to spend, provided another boost to the global economy. A decline in
the euro and in the yen did weaken returns denominated in U.S. dollars, however,
exchange rate fluctuations did not have a significant impact on overall returns
in the international funds due to currency hedging and diversification.
Japan was a notable exception to this scenario, and the only industrialized
country reporting high unemployed and low consumer spending during the early
part of the year. In fact, Japan was officially in a recession according to data
on gross domestic product in the last quarter of 1999.
Nevertheless, the robust economic growth meant increasing concern
[GRAPHIC]
2000 JAN
The new year sees the global markets function without the much-feared Y2K
disruptions. Robust global growth continues amid rising interest rates. Japan is
an exception.
[GRAPHIC]
FEB
[GRAPHIC]
Investors are still fascinated by technology, including the speculative Internet
companies. The Federal Reserve raises short-term interest rates by .25%.
The technology-dominated NASDAQ starts its decline, with European and Asian
stocks quickly following suit. Japan's economy officially falls back into a
recession on news of a 1.4% decline in gross domestic product in the previous
quarter. The Federal Reserve again raises short-term interest rates another
.25%.
MAR
22
<PAGE>
Domestic & International Equity Market Overview
about inflationary pressures. Central banks worldwide tried to allay concern by
raising interest rates. In the United States, the Federal Reserve Board raised
rates in early February, late March, and again in May.
Another concern was the growing awareness that many Internet stocks, considered
a subsector of technology, were probably highly speculative and overvalued
investments. The bursting of the Internet bubble seemed all but inevitable,
however, huge numbers of investors, many of them day traders, continued to pour
money into technology generally, and dot-coms specifically. With gas prices
rising and greater need for more drilling and exploring, energy stocks were one
of the few alternatives to technology that investors considered. Total Fina Elf
(France) offered positive performance.
The bubble burst in March, with Internet stocks falling first. They took with
them many of what global equity analysts call "TMT," technology, media, and
telecommunication stocks. The NASDAQ stock index fell precipitously, and
Europe's and Asia's technology-dominated equity markets quickly followed suit.
The effects of the steep decline of TMT worldwide were offset somewhat by
investors moving into other sectors, including those representing the old
economy. These were especially attractive for their stable, reasonable prices
and predictable earnings. In fact, several global old economy, blue chip company
stocks gained 20% to 30% toward the end of March. Value stocks offered another
refuge during the technology sell-off. Especially attractive were the stocks of
energy, basic materials, communications, industrials, cyclicals, healthcare, and
some technology companies. Generally, careful stock selection across a range of
industries helped stem losses in investment portfolios overweighted in
technology.
Although in retrospect the sector rotation lasted a relatively short time, the
market change was significant as only the second time in the preceding seven
quarters when value stocks with their low price earnings ratios outperformed
growth stocks. Additionally, the rotation out of technology helped to weed out
"concept" stocks with big ideas but small revenues and no profits from more
mainstream new economy stocks. For example, although new economy stocks Nokia*
and Vodaphone AirTouch* lost value during the technology rout, they had
rebounded by the end of June.
In the third week of May the NASDAQ hit bottom and started to climb. Economic
reports of rising unemployment and declining consumer spending likely reassured
investors that growth was being controlled. The NASDAQ ended the first half of
the year down 2.5%, but the broader S&P 500 Stock Index fared better, down only
0.5%. International equity indices showed a similar pattern, although with
greater declines.
The global equity markets survived the period's volatility reasonably well, and
looking ahead, continued growth offers the potential for good returns. And
although the period's correction showed that technology can lead investors to
the edge, technology also offers businesses in every industry the tools needed
to increase productivity, reduce costs, and expand and penetrate markets.
Counterbalancing this optimism for better earnings and profits leading to higher
share prices are the inevitable inflationary pressures. Equity markets will be
watching to see if monetary policy can forestall inflation without pushing the
economy toward a recession.
* These are examples only and not representative of any particular portfolio
holdings.
Many investors flee technology and turn toward value investing. Select old
economy, blue chip stocks are up. Consumer spending rises only 0.2% suggesting
growth is slowing.
[GRAPHIC]
APR
MAY
[GRAPHIC]
NASDAQ starts to recover after hitting bottom. Unemployment rate rises 4.1% from
its 30-year low of 3.9% in April, possibly indicating the economy is cooling
down. The Federal Reserve again raises short-term interest rates, but this time
by .50%, its sixth such action over the past 12 months.
The period ends mostly down, with skilled stock selection helping to stem
portfolio losses. The NASDAQ, in spite of a 30% drop mid period, recovers to end
the first half of 2000 down only 2.5%. The Federal Reserve decides against
raising interest rates.
JUN
23
<PAGE>
Select Emerging Markets Fund
The Select Emerging Markets Fund returned -10.71% for the first half of 2000,
underperforming its benchmark, the MSCI Emerging Markets Free Index, which
returned -7.99%
After the strong end to 1999, Emerging Markets consolidated during the first few
months of 2000. Upgrades to economic and earnings numbers helped them to offset
the negative effect of rising interest rates in developed markets, particularly
in the U.S. The global strength of technology stocks was a major contributor to
performance in markets with a high concentration in this sector, notably Israel.
Furthermore, business cycles and interest rates varied, with interest rates
moving higher in Asia and generally falling in Latin America.
During the second quarter, Emerging Market performance was driven by perception
about the direction of the U.S. economy and interest rates. Volatility in the
developed markets caused Emerging Markets to underperform due to the high
proportion of technology stocks and the fact that higher risk assets tend to
suffer during periods of uncertainty. Performance towards the end of the period
improved, however, as U.S. economic data suggested the economy was slowing and
may achieve a soft landing.
The Fund's manager reduced the portfolio's exposure to Mexico given its high
degree of integration with the U.S. economy. The manager continues to favor
Brazil, where interest rates are expected to fall further and valuations are
compelling. The Fund remains overweight in Taiwan, which is relatively defensive
despite its high technology weighting. A major position in computer hardware
stocks in Taiwan and South Korea have benefited Fund performance, as there is
currently a global shortage of components. The manager remains underweight in
Europe, Middle East, Africa, particularly in Greece and South Africa.
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, 2000, the country allocation of net assets was:
[GRAPH]
South Korea 14%
Taiwan 14%
Mexico 10%
Brazil 10%
India 7%
South Africa 6%
Hong Kong 6%
Turkey 5%
Israel 5%
Other 23%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Emerging Markets Fund 11.19% N/A 6.60%
MSCI Emerging Markets Free Index 9.48% 0.99% 5.11%
Lipper Emerging Markets Funds Average 15.81% 2.93% 4.96%
Growth of a $10,000 Investment Since 1998
[GRAPH]
Select Emerging Markets Fund MSCI Emerging Markets Free Index
Feb-98 10,000 10,000
Dec-98 7,854 7,584
Dec-99 13,016 12,622
Jun-00 11,622 11,614
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
186 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.
24
<PAGE>
Select Aggressive Growth Fund
The Select Aggressive Growth Funded returned 1.65% for the first half of the
year, underperforming its benchmark, the Russell 2500 Growth Index, which
returned 5.69% for the same period.
Uncertainty about the market's short-term direction contributed to volatility
during the period. At the period's mid-point, technology and small- and mid-cap
growth stocks, as measured by relevant indexes, showed declines, only to recover
in June. Economic reports issued during that month helped allay investor
concerns about inflation, and the Federal Reserve's decision to not raise
short-term rates late in the month was welcome news. Uncertainty about future
increases prevailed, however.
The portfolio underperformed the Index during the first quarter and outperformed
it during the second. Stocks in the technology sector, the largest sector in the
Fund, hurt performance the most. Within the sector, semiconductor and
computer/office automation industries stocks declined. Also stocks in the
financial services and utilities sectors performed poorly. The relatively small
allocation to the better performing producers/manufacturing products sector was
another negative factor. Select issues in technology, particularly software and
semiconductor/electronic component companies, helped performance. Similarly,
some pharmaceutical and medical supply stocks rose within the health care
sector, as did some commercial/industrial services stocks.
The outlook for growth stocks remains encouraging, and the Fund's manager
believes that its approach will respond well to market changes affecting the
investment climate. The focus of the portfolio will continue to be on stocks
whose earnings suggest positive change that can be sustained.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 24.32% 20.39% 19.59%
Russell 2500 Index 18.34% 17.03% 17.00%
Lipper Capital Appreciation Funds Average 29.28% 20.48% 16.70%
Growth of a $10,000 Investment Since 1992
[GRAPH]
Select Aggressive Growth Fund Russell 2500 Index
21-Aug-92 10,000 10,000
31-Dec-92 11,985 11,554
31-Dec-93 14,324 13,466
31-Dec-94 13,993 13,323
31-Dec-95 18,511 17,547
31-Dec-96 21,944 20,886
31-Dec-97 26,049 25,974
31-Dec-98 28,801 26,072
31-Dec-99 39,995 32,379
6/30/00 40,655 34,221
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 287 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, 2000, the sector allocation of net assets was:
[GRAPH]
Electronics 19%
Computer Software & Processing 12%
Pharmaceuticals 10%
Communications 7%
Computers & Information 7%
Medical Supplies 7%
Commercial Services 5%
Oil & Gas 5%
Retailers 4%
Other 24%
25
<PAGE>
Select Capital Appreciation Fund
The Select Capital Appreciation Fund returned 5.80% for the first half of the
year, slightly outperforming its benchmark, the Russell 2500 Index, which
returned 5.69%.
Investors continued to be concerned about ongoing interest rate increases. The
Federal Reserve's rate hikes in February and March likely contributed to the
severe correction in the dominant technology sector. After a third rate increase
in May, the economy began to show signs of a slowdown. Satisfied that the
interest rate increases were having the desired effect, the Federal Reserve
decided to forego another rate hike at their June meeting. As a result,
investors left retailing and other cyclical stocks and returned to high
technology stocks. Amid these gyrations, mid-cap stocks rose, ultimately
outperforming both large- and small-cap stocks over the period.
The portfolio performed slightly better than its stated benchmark, but slightly
to moderately worse than other mid-cap measures. Two reasons were lower
weightings in technology stocks relative to the benchmark and the Fund's
relative value focus in an environment where growth stocks were favored. The
best performers were certain stocks in the electronics and drug sectors, while
the worst performers were certain stocks in the leisure, diversified services,
and electronics sectors. Holdings in the electronics sector were increased based
on expected high demand.
The outlook for mid-cap stocks, particularly in neglected sectors, is positive,
provided the shift toward earnings-at-a-reasonable price and away from
growth-at-any-price is sustained. Mid-cap investing requires the patience to
wait for rising earnings and for price surges that result when mid-size
companies are courted by large companies looking for growth opportunities. The
manager believes, however, that a disciplined investment approach applied to a
diversified portfolio should reward the Fund with the potential for attractive
returns over time.
Investment Sub-Adviser
T. Rowe Price Associates, Inc.
About the Fund
The Fund seeks to construct a diversified portfolio of mid-cap growth stocks
selling at a reasonable price.
Portfolio Composition
As of June 30, 2000, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 14%
Electronics 12%
Pharmaceuticals 11%
Communicational Services 8%
Retailers 8%
Telephone Systems 6%
Financial Services 6%
Oil & Gas 6%
Medical Supplies 4%
Other 25%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Capital Appreciation Fund 18.37% 18.27% 20.54%
Russell 2500 Index 18.34% 17.03% 17.98%
Lipper Capital Appreciation Funds Average 29.28% 20.48% 21.30%
Growth of a $10,000 Investment Since 1995
[GRAPH]
Select Capital Appreciation Fund Russell 2500 Index
4/28/95 10,000 10,000
12/31/95 13,956 12,176
12/31/96 15,184 14,493
12/31/97 17,352 18,023
12/31/98 19,760 18,091
12/31/99 24,819 22,464
6/30/00 26,259 23,742
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 287 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.
26
<PAGE>
Select Value Opportunity Fund
The Select Value Opportunity Fund returned 9.95% for the first half of the year,
outperforming its benchmark, the Russell 2500 Index, which returned 5.69% for
the same period.
By the end of the period, the Federal Reserve's interest rate increases seemed
to have slowed the economy. Evidence of a slowdown included decreasing auto and
home sales and rising unemployment. From a market perspective, investors lost
their affection for the brand recognition and potential high revenues associated
with Internet or "e-tailing" companies, turning instead to strong corporate
earnings typical of companies with positive cash flows, good management of
working capital, and controlled debt costs. At the beginning of the second
quarter, value stocks outperformed growth stocks for only the second time in the
last seven quarters.
The Fund's best performance came from insurance companies that took advantage of
industry trends such as consolidation and pricing changes. Holdings in a range
of other industries--publishing, consumer nondurables, medical equipment--also
helped. Hurting performance were disappointing earnings from a tax services
provider and a printer component supplier. New stocks to the portfolio were an
additional publishing firm and a wire/cable manufacturer, both of which should
benefit also from growing demand.
Looking ahead, investors seem to be hoping for growth rates high enough to avoid
recession but low enough to prevent inflation. During the rest of 2000, the
Fund's manager will continue to focus on finding attractively-priced small- and
mid-cap companies with good balance sheets, strong management teams, and
products and services in demand by large markets.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Value Opportunity Fund (0.69%) 13.75% 12.23%
Russell 2500 Index 18.34% 17.03% 16.07%
Lipper Small Company Growth Funds Average 31.06% 18.07% 16.43%
Growth of a $10,000 Investment Since 1993
[GRAPH]
Select Value Opportunity Fund Russell 2500 Index
4/30/93 10,000 10,000
12/31/93 11,774 11,454
12/31/94 11,007 11,333
12/31/95 12,944 14,925
12/31/96 16,637 17,765
12/31/97 20,772 22,093
12/31/98 21,783 22,177
12/31/99 20,797 27,542
6/30/00 22,866 29,109
The Select Value Opportunity 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 Small-Cap Funds Average is a non-weighted
average of 792 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, 2000, the sector allocation of net assets was:
[GRAPH]
Insurance 16%
Oil & Gas 10%
Computer Software & Processing 9%
Commercial Services 8%
Medical Supplies 6%
Retailers 5%
Electric Utilities 4%
Heavy Machinery 4%
Electronics 3%
Beverages, Food & Tobacco 3%
Communications 3%
Other 29%
27
<PAGE>
Select International Equity Fund
The Select International Equity Fund returned -1.31% for the first half of the
year, outperforming its benchmark, the Morgan Stanley Capital International EAFE
Index, which returned -3.95% for the same period.
During the period, the average international stock fund performed poorly in a
volatile global equity market. In the first quarter, the U.S. and U.K. markets
especially struggled with interest rate rises and a bias toward overvalued
stocks and away from stocks of quality companies trading at low multiples
relative to their growth rate.
Within the portfolio, holdings in companies within the Healthcare Needs theme
were the strongest positive contributors overall. Specifically, two drug
companies oriented to genetic research reported positive earnings; these
earnings in turn were strengthened by industry alliances formed to accelerate
product development. The Fund also benefited from holding a company within the
Growth in Financial Services theme, as its management convinced the market of
the effectiveness of its global strategy. A third theme, Restructuring
Opportunities, identified a technology company that modified its management
approach to take advantage of growing demand worldwide for computer chips.
Negatively affecting performance were holdings within the Telecommunications
theme. Although the market rotated out of telecommunications toward the end of
the period, the Fund's manager believed that large cellular phone companies
should experience strong, long-term growth as they continue to penetrate global
markets. An example was Vodafone Airtouch (4.8%), the Fund's largest holding,
which became the largest cellular operator in the world after its acquisition of
Mannesmann.
For the remainder of 2000, the Fund's value-driven strategy employed within a
thematic framework should allow the manager to take advantage of global economic
growth. Any positive forecast, however, should be viewed against a backdrop of
further potential interest rate increases and high stock market ratings.
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, 2000, the country allocation of net assets was:
[GRAPH]
United Kingdom 26%
Japan 17%
Netherlands 12%
France 11%
Switzerland 9%
Australia 4%
Germany 4%
Other 17%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select International Equity Fund 21.55% 16.13% 13.93%
Morgan Stanley EAFE Index 17.45% 11.63% 10.07%
Lipper International Funds Average 24.48% 13.16% 10.82%
Growth of a $10,000 Investment Since 1994
[GRAPH]
Select International Equity Fund Morgan Stanley EAFE Index
5/2/94 10,000 10,000
12/31/94 9,651 10,008
12/31/95 11,545 11,164
12/31/96 14,078 11,874
12/31/97 14,733 12,118
12/31/98 17,161 14,582
12/31/99 22,643 18,565
6/30/00 22,345 17,832
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 653 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.
28
<PAGE>
Fidelity VIP Overseas Portfolio
The Fidelity VIP Overseas Portfolio returned -5.07% for the first half of 2000,
underperforming the MSCI EAFE Index return of -3.95% and the Lipper
International Funds Average return of -4.55%.
The most significant detractor from performance during the first half of the
year was the Portfolio's stock selection in Japan. Profit-taking in top Japanese
holdings and lingering questions about the Japanese economy hurt the overall
market and Portfolio performance. Stock selection in European countries
contributed to performance in the first quarter. Top telecom stocks performed
well, influenced by the continued strong demand for telecommunications services.
European wireless providers also contributed to results with two holdings
outperforming the benchmark. By second quarter, an underweighted position in
select European regions aided performance as Germany, Spain, and the U.K., in
particular, were pressured by the European Central Bank which raised interest
rates to 4.25% in an effort to head off inflation. Stock selection in the
Netherlands and Finland contributed to performance across both quarters. The
energy sector helped performance throughout the first half of the year,
primarily due to rising crude oil prices.
As of June 30, 2000, the Portfolio's largest sector commitments were in
technology, utilities, energy, and financial services, accounting for 60.7% of
the Portfolio. The energy sector was increased by 5.2% while allocation to the
utilities sector was decreased by 4.8%. Relative to the Index, the Portfolio was
overweight in the United Kingdom, France, and the Netherlands and underweight in
Japan and Finland. At quarter end, the Portfolio held 7.5% of net assets in
cash.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Fidelity VIP Overseas Portfolio 25.24% 15.19% 9.85%
Morgan Stanley EAFE Index 17.45% 11.63% 8.27%
Lipper International Funds Average 24.48% 13.16% 9.19%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Fidelity VIP Overseas Portfolio Morgan Stanley EAFE Index
6/30/90 10,000 10,000
6/30/91 8,811 8,878
6/30/92 10,244 8,849
6/30/93 10,318 10,682
6/30/94 12,254 12,532
6/30/95 12,616 12,776
6/30/96 14,259 14,517
6/30/97 17,493 16,429
6/30/98 19,433 17,477
6/30/99 20,429 18,862
6/30/00 25,582 22,152
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 653 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, 2000, the country allocation of net assets was:
[GRAPH]
Japan 23%
United Kingdom 17%
France 10%
USA 9%
Netherlands 8%
Germany 4%
Korea 4%
Switzerland 4%
Canada 3%
Mexico 3%
Other 15%
29
<PAGE>
T. Rowe Price International Stock Portfolio
The T. Rowe Price International Stock Portfolio returned -4.73% for the first
half of the year, underperforming its benchmark, the Morgan Stanley Capital
International's EAFE Index, which returned -3.95% for the same period.
During the period, the international markets, particularly in the Pacific
(excluding Japan) and Latin America, suffered from concerns about rising
interest rates and U.S. market volatility. Heavy stock issuance detracted from
international returns, yet with the exception of Japan, global economic growth
was robust.
Within the Portfolio, individual stock selection and sector weightings hurt
performance. Snagged in the second quarter's market correction, the
telecommunications and media sectors were the dominant negative contributors.
The manager took advantage of the market correction by increasing positions in
established telecom companies and leaders in the telecom infrastructure
industry. Although many telecommunications companies lost value during the
correction, the manager believes this sector offers a worldwide potential of
relatively untapped global markets.
Due to its vast potential, the Portfolio participated in an IPO of a wireless
service company based in Hong-Kong.
Looking ahead, the global market is likely to be affected by two related trends:
consolidation among new economy stocks, especially Internet-related stocks; and
volatility, which was masked by the U.S. market's broadening late in the
quarter. If the U.S. economy continues to slow down, the relative prospects
for international markets, especially those dominated by the euro currency, may
improve. The Portfolio's manager believes Latin America offers some promise, but
that many Asian markets will require greater economic and business reforms to
attract and keep foreign investment. In such an environment, stock selection and
attention to corporate revenue and earnings growth could outweigh country and
sector considerations as the manager seeks long-term growth within a highly
diversified portfolio.
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, 2000, the country allocation of net assets was:
[GRAPH]
Europe 60%
Japan 19%
Pacific Rim 10%
Latin America 4%
Other & Reserves 7%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
T.Rowe Price International Stock Portfolio 22.38% 13.25% 11.46%
Morgan Stanley EAFE Index 17.45% 11.63% 10.43%
Lipper International Funds Average 24.48 13.16% 10.71%
Growth of a $10,000 Investment Since 1994
[GRAPH]
T. Rowe Price Morgan
International Stanley
Inception Stock EAFE
Date Portfolio Index
3/31/94 10,000 10,000
6/30/95 10,573 10,724
6/30/96 12,340 12,185
6/30/97 14,490 13,790
6/30/98 15,220 14,670
6/30/99 16,093 15,832
6/30/00 19,693 18,594
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 653 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.
30
<PAGE>
DGPF* International Equity Series
The Delaware Group Premium Fund International Equity Series returned 0.53% for
the six months ended June 30, 2000, outperforming its benchmark, the Morgan
Stanley EAFE Index, which returned -3.95%.
A focus on "old economy" companies with reasonable valuations, including
investments in such countries as France, Hong Kong, and Australia, benefited the
portfolio. For the first half of the year, Europe mirrored the U.S. market,
showing gains among the technology, telecommunications and media sectors.
However, the exceedingly high valuations of these stocks came crashing down in
March, causing international investors to move away from overvalued growth
stocks.
It is anticipated that European markets may begin to stabilize once the U.S.
economy shows clear signs of a gradual slowdown and a possible end to interest
rate hikes. The manager expects the U.S. dollar to continue its softening
against the yen and the euro while the rash of mergers and acquisitions in
Europe suggests the increasing possibility of a market resurgence.
Despite some recent underperformance, the manager believes that both the U.K.
and Australia offer good value and growth potential, and will likely continue to
emphasize holdings in Japan, France, and in Germany. Japan's economy, while
still shaky, will be closely watched and could offer opportunities going
forward. Hong Kong has been gaining economic momentum, benefiting from improved
factors supporting export growth and commodity prices. The portfolio manager
made only slight adjustments to the country weightings and believes the
portfolio is well positioned to benefit should this international economic
recovery continue.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
DGPF* International Equity Series 7.45% 12.31% 11.05%
Morgan Stanley EAFE Index 17.45% 11.63% 13.26%
Lipper International Funds Average 24.48% 13.16% 13.69%
Growth of a $10,000 Investment Since 1992
[GRAPH]
DGPF* Morgan
International Stanley
Equity EAFE
Series Series
10/29/92 10,000 10,000
6/30/93 10,141 12,525
6/30/94 11,811 14,693
6/30/95 12,499 14,980
6/30/96 14,863 17,021
6/30/97 18,599 19,263
6/30/98 19,560 20,492
6/30/99 20,791 22,115
6/30/00 22,342 25,973
*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 653 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, 2000, the country allocation of net assets was:
[GRAPH]
United Kingdom 30%
Japan 16%
France 12%
Australia 10%
Germany 9%
Netherlands 8%
Spain 7%
Hong Kong 4%
Other 4%
31
<PAGE>
Fidelity VIP Growth Portfolio
Fidelity Growth Portfolio returned 5.11% for the first half of the year,
outperforming both the Lipper Growth Funds Average return of 3.04% and the
Russell 3000 Growth Index return of 4.05%.
The Portfolio's strong performance to date can be attributed to both astute
stock selection and sector allocation. Throughout both first and second quarter,
overexposure to the energy sector benefited performance due to rising crude oil
prices. First quarter's weak stock selection in health care strengthened and
offset any disadvantages of a lesser allocation to this leading sector in the
second quarter.
While a lesser allocation to technology hampered performance in the first
quarter, it helped results in the second, as investors reassessed prospects
within the technology sector in an environment of rising interest rates. Still,
the Portfolio's technology holdings fared better than the overall sector in the
second quarter.
Stock selection continued to focus on companies with better than average
earnings growth potential and discounted valuations relative to the stock
market. By the end of the second quarter, the Portfolio had approximately 43% of
its assets in technology, which represents an underexposure relative to the
benchmark. Health care and finance are the next biggest sectors with an
underexposure in the former and greater allocation in the latter. Health care
and non-durables positions were increased while the technology and
telecommunications positions decreased.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Technology 43%
Health 15%
Finance 8%
Media & Leisure 7%
Utilities 7%
Energy 4%
Non-Durables 4%
Retail & Wholesale 4%
Industrial Machinery 3%
Other 5%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Fidelity VIP Growth Portfolio 26.26% 25.56% 20.08%
Russell 3000 Growth 25.86% 27.44% 19.48%
Lipper Growth Funds Average 19.61% 21.69% 16.20%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Fidelity VIP Russell
Growth 3000
Portfolio Growth
6/30/90 10,000 10,000
6/30/91 9,749 10,930
6/30/92 11,517 12,387
6/30/93 15,085 13,596
6/30/94 14,583 13,569
6/30/95 19,976 17,647
6/30/96 24,191 22,531
6/30/97 28,523 28,957
6/30/98 36,862 37,527
6/30/99 49,384 47,126
6/30/00 62,347 59,318
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 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 1,270
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.
32
<PAGE>
Janus Aspen Growth Portfolio
The Janus Aspen Growth Portfolio returned 1.61% for the period ended June 30,
2000, outperforming its benchmark the S&P 500 Index, which returned -0.42%.
After three rate hikes in the first six months of the year, signs of an economic
slowdown emerged in early June. By late June, the Federal Reserve decided
another rate increase wasn't necessary, although it expressed continued wariness
over the low unemployment rate. In this unpredictable market, the stocks that
have enjoyed demand for their products and services have been extremely strong
this year. For example, the Portfolio's semiconductor holdings, boosted by
steady and strong demand, significantly benefited performance.
In the midst of rapid consolidation, the Portfolio's media holdings continued
to be recognized as industry leaders, effectively boosting the performance
together with holdings within the financial services sector.
Certain pharmaceutical stocks detracted from the Portfolio's performance
partially due to the increasing possibility that drug pricing may come under
pressure. Consequently, the Portfolio's exposure to this particular industry has
been reduced.
Over the next six months, it is anticipated that market volatility will
continue. The Portfolio's manager will continue to focus on uncovering companies
that are finding ways to grow their earnings faster than their peers and the
rest of the market. By investing time in getting to know companies, the manager
believes that it is possible to eliminate surprises and increase the potential
for delivering positive long-term results.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Janus Aspen Growth Fund* 25.54% 26.98% 22.24%
S&P 500(R) Index 7.25% 23.80% 21.02%
Lipper Growth Funds Average 19.61% 21.69% 18.70%
Growth of a $10,000 Investment Since 1993
[GRAPH]
Janus Aspen S&P 500(R)
Growth Fund Index
Jun-93 10,000 10,000
Jun-94 10,240 9,886
Jun-95 12,020 12,463
Jun-96 15,184 15,705
Jun-97 18,344 21,155
Jun-98 23,667 27,535
Jun-99 31,343 33,800
Jun-00 39,126 36,249
*New fund as of 5/1/00. 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) is a
registered trademark of the Standard & Poor's Corporation. The Lipper Growth
Funds Average is a non-weighted average of 1,270 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
Janus Capital
About the Fund
Seeks long term growth of capital in a manner consistent with the preservation
of capital.
Portfolio Composition
As of June 30, 2000, the sector allocation of net assets was:
[GRAPH]
Technology 34%
Consumer Cyclicals 32%
Finance 15%
Industrial 7%
Energy 4%
Consumer Non-Cyclicals 3%
Diversified 3%
Utilities 2%
33
<PAGE>
Kemper Technology Growth Portfolio
The Kemper Technology Growth Portfolio returned 14.25%, for the first half of
the year, outperforming the benchmark, the S&P 500 Index return of -0.42%.
The Kemper Technology Growth Portfolio's semiannual period was characterized by
volatility brought about by a market propelled by the explosive growth of
technology stocks, particularly those of Internet-related companies. The
Portfolio's overall gain does not reflect the degree of volatility present
during this period. As momentum in this sector increased, new, smaller
high-flying stocks demonstrated strong performance in the first quarter.
However, by April, investors began to debate whether the high valuations in this
group of companies were justified. Although the entire technology sector
suffered, it was the Internet-related companies that declined most dramatically.
Larger, more established technology companies held in the Portfolio experienced
much less of a decline.
Contributing to performance were investments in semiconductors and
component-based technology companies. These companies produce computer chips,
which are the building blocks for cellular and wireless telecommunications,
computers and a host of other goods. The manager continues to believe that
quality technology stocks offer excellent prospects for investors, and that over
time, companies with strong franchises, skilled management and consistent
earnings growth can produce the potential for excellent long-term returns. In
times of market turbulence, it's important to maintain a long-term outlook.
Investment Adviser
Scudder Kemper Investments, Inc.
About the Fund
The Portfolio seeks growth of capital.
Portfolio Composition
As of June 30, 2000, the country allocation of net assets was:
[GRAPH]
Technology 90%
Capital Goods 3%
Health Care 2%
Consumer Cyclicals 1%
Communication Services 1%
Consumer Staples 1%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Kemper Technology Growth Portfolio* 84.33% N/A 83.78%
S&P 500(R) Index 7.25% 23.80% 12.13%
Lipper Growth Funds Average 19.61% 21.69% 21.44%
Growth of a $10,000 Investment Since 1999
[GRAPH]
Kemper Technology
Growth Portfolio S&P 500(R) Index
May-99 10,000 10,000
Jun-99 11,014 10,133
Jul-99 20,302 10,867
*New fund as of 5/1/00.
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) is
a registered trademark of the Standard & Poor's Corporation. The Lipper Growth
Funds Average is a non-weighted average of 1,270 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.
34
<PAGE>
Select Growth Fund
The Select Growth Fund returned -2.50% for the first half of the year,
underperforming its benchmark, the S&P 500 Index, which returned -0.42% for the
same period.
Preceded by a year ending with markets at record highs, this period was
characterized by growth stocks continuing to lead value stocks. What did change
was the size of companies the market preferred: By the end, small-cap stocks had
given way to relatively stable large-cap stocks. More importantly, the booming
technology sector suffered extreme volatility, declined significantly, and
finished the second quarter at a loss. This decline occurred as the
Federal Reserve continued to raise interest rates to control growth. In late
June, however, a slowdown in retail sales and other indications of a cooling
economy enabled the Fed to forgo another rate hike. The underperformance of the
portfolio was, in part, a result of an overweighting in technology. Although
technology benefited the portfolio during the first quarter, it punished the
portfolio in the second. Small positions in the basic materials sector also hurt
performance, while overall strong stock selection somewhat offset these
negatives.
Looking ahead, the Fund's manager will monitor market volatility especially
among stocks appearing over or undervalued. High energy prices are likely to
exert some inflationary pressure. Market participants, in the manager's opinion,
expect at least one more rate change before year-end.
Given a generally positive outlook of moderating growth with low inflation, the
Fund's manager is likely to focus on communications equipment, semiconductors,
and software in the technology sector, and entertainment, cable programming,
media, and household products in consumer staples. Although the manager
intends to underweight financial and capital goods, certain subsectors within
them may present buying opportunities.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Growth Fund* 15.68% 24.17% 18.82%
S&P 500(R) Index 7.25% 23.80% 19.90%
Lipper Growth Funds Average 19.61% 21.69% 18.27%
Growth of a $10,000 Investment Since 1992
[GRAPH]
Select Growth Fund S&P 500(R) Index
Aug-92 10,000 10,000
Dec-92 11,125 10,627
Dec-93 11,219 11,698
Dec-94 11,051 11,853
Dec-95 13,768 16,307
Dec-96 16,799 20,051
Dec-97 22,522 26,715
Dec-98 30,503 34,356
Dec-99 39,642 41,571
Jun-00 38,651 41,396
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&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Funds Average is a non-weighted average of 1,270 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, 2000, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 10%
Electronics 10%
Pharmaceuticals 10%
Computers & Information 8%
Industrial - Diversified 8%
Telephone Systems 6%
Media - Broadcasting & Publishing 6%
Communications 6%
Oil & Gas 6%
Banking 5%
Other 25%
35
<PAGE>
Select Strategic Growth Fund
The TCW Investment Management Company assumed management of the Select Strategic
Growth Fund on April 1, 2000 with a change in investment focus from large-cap to
small-cap companies. The Fund returned -1.73% for the first half of the year,
underperforming the S&P 500 Index, which returned -0.42% and its new benchmark,
the Russell 2000 Index, which returned 3.03%.
During the period, the equity market reacted to overvalued stock prices and the
Federal Reserve's series of interest rate increases. Concerns over the level at
which higher interest rates would lower corporate profits contributed to
investors selling to minimize losses.
By the end of June, the Federal Reserve decided, in the wake of economic reports
of slowed growth, to not raise rates. The equity market, particularly growth
stocks, rebounded accordingly. Although the portfolio underperformed for the six
months, there was some improvement from first to second quarter. In the first,
technology holdings in particular suffered, although many technology stocks were
sold because they had achieved price targets. Proceeds went mostly toward
consumer staples. During the second quarter, the Fund's manager sold poor
performers and upgraded the portfolio with some leading growth companies. Their
weakened prices and lower capitalizations made them candidates for the Fund's
small-cap focus.
Looking ahead, the portfolio may suffer in the short term from further interest
rate increases, or, conversely, from signs of a recession. The Fund's
management is nevertheless optimistic that performance from current holdings
will benefit from continuing growth and from profits that exceed estimates
posted by equity analysts. Additionally, management will focus on identifying
companies with above-average growth prospects. Owning stock in well-managed
small-cap companies with substantial growth prospects provides the potential for
strong long-term investment results for the Fund.
Investment Sub-Adviser
TCW Investment Management Company*
About the Fund
Seeks to identify small companies with above-average growth prospects, believing
that stock prices follow sustainable earnings growth over time.
Portfolio Composition
As of June 30, 2000, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 27%
Commercial Services 16%
Computers & Information 12%
Communications 12%
Electronics 9%
Pharmaceuticals 8%
Media Broadcasting & Publishing 4%
Other 12%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Strategic Growth Fund 1.34% N/A 4.63%
S&P 500(R) Index 7.25% 23.80% 16.55%
Russell 2000 Index* 14.33% 14.27% 9.20%
Lipper Small Company Growth Funds Average 31.06% 18.07% 13.32%
Growth of a $10,000 Investment Since 1998
[GRAPH]
Select Strategic
Growth Fund S&P 500(R) Index
2/20/98 10,000 10,000
12/31/98 9,753 12,038
12/31/99 11,332 14,571
6/30/00 11,136 14,510
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&P 500(R) Index is a
registered trademark of the Standard & Poor's Corporation. The Lipper Small-Cap
Funds Average is a non-weighted average of 792 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.
*As of April 1, 2000, TCW Investment Management Company assumed sub-advisory
responsibility for the Select Strategic Growth Fund. The asset class has changed
from Growth to Aggressive Growth with a modified investment strategy that is
entirely focused on small-cap growth stocks. The benchmark has been changed to
the Russell 2000 Index, an unmanaged composite of 2000 small-cap stocks.
36
<PAGE>
Core Equity Fund*
The Core Equity Fund returned 0.60% for the first half of the year,
outperforming its benchmark, the S&P 500 Index, which returned -0.42% for the
same period.
During the six-month period, the domestic economy slowed and the stock market
experienced exceptional volatility. The slowdown appeared to result from a
tightened money supply brought on by the Federal Reserve's interest rate
increases, a pullback in consumer spending in non-energy-related goods and
services, and technical factors such as reduced purchasing power in the wake of
April 15 tax payments. The market performed better in the first quarter than in
the second, which was distinguished by a short-term but dramatic correction
mostly in the technology sector. The correction resulted in value stocks,
including some large-cap issues, outperforming growth stocks during a portion of
the quarter.
The Fund outperformed the S&P 500 Index due to the manager's selection of stocks
within the right sectors. Energy holdings were the greatest contributors to
performance, followed by holdings in such value sectors as financial services,
utilities, and basic resources. Relative to the benchmark, the Fund's slightly
higher proportion of energy stocks and slightly lower proportion of consumer
services stocks contributed to performance.
Looking ahead, the portfolio will maintain its slightly defensive allocations in
view of the recent economic slowdown and uncertainties about future rate
increases. Technology, in particular, is likely to remain underweighted as the
market searches for sustainable prices among new economy stocks. The Fund's
manager believes that the broadly diversified and rigorously managed portfolio
of large- and mid-cap stocks with both growth and value characteristics have the
potential to produce better-than-market performance over the long term.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Core Equity Fund* 9.65% 21.32% 16.80%
S&P 500(R) Index 7.25% 23.80% 17.80%
Lipper Growth and Income Funds Average 2.15% 17.45% 14.14%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Core Equity Fund S&P 500(R) Index
Jun-90 10,000 10,000
Dec-90 9,457 9,399
Dec-91 13,281 12,261
Dec-92 14,225 13,195
Dec-93 15,173 14,525
Dec-94 15,197 14,717
Dec-95 20,182 20,249
Dec-96 24,256 24,900
Dec-97 30,354 33,207
Dec-98 36,218 42,696
Dec-99 49,383 41,680
Jun-00 49,676 51,463
*The Core Equity Fund is a portfolio of the Allmerica Investment Trust.
Effective 5/1/00 the Fund's name has been changed from Growth to Core Equity.
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 and Income Funds Average is a non-weighted average of 960 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, 2000, the sector allocation of net assets was:
[GRAPH]
Computers & Information 11%
Pharmaceuticals 10%
Computer Software & Processing 9%
Telephone Systems 7%
Electronics 7%
Industrial 6%
Banking 6%
Oil & Gas 6%
Communications 5%
Beverage, Food & Tobacco 5%
Other 28%
37
<PAGE>
Equity Index Fund
The Equity Index Fund returned -0.46% for the first half of the year, closely
tracking the S&P 500 Index, which returned -0.42% for the period.
During the period, a strong growth in the U.S. economy was tempered by the
Federal Reserve's continuing interest rate raises. The rate increases reflected
concerns about inflation, the trade deficit, and the wealth effect on consumer
spending and borrowing. High gasoline prices helped contribute to the Fed's
inflationary bias, despite the labor market's immunity to pricing pressures.
Near the end of the quarter, however, the Fed decided not to raise interest
rates in view of tame price indexes on the producer and consumer levels and a
drop in retail sales.
In this economic environment the equity market experienced impressive swings and
perhaps an overdue correction in some sectors. During the first quarter new
economy stocks posted high returns, and old economy stocks also performed well.
As the period progressed, the dominance of the high-flying Internet stocks
lessened, and noncyclical stocks came back into favor. This was also the case
for one holding, which had agreed to be bought and ended the quarter among the
top performers. Cisco Systems (3.5% of the portfolio), like many of its
technology peers, declined during the sell-off in the spring, detracting from
overall Fund performance.
Overall, the direction of the market is still uncertain as the effects of six
rate increases since last June continue to filter through the economy.
Consistent with the Fund's investment objective, the manager 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, 2000, the sector allocation of net assets was:
[GRAPH]
Computers & Information 10%
Pharmaceuticals 10%
Computer Software & Processing 9%
Electronics 7%
Banking 7%
Telephone Systems 6%
Oil & Gas 6%
Industrial 5%
Communications 5%
Other 35%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Equity Index Fund 6.86% 23.23% 19.51%
S&P 500(R) Index 7.25% 23.80% 20.10%
Lipper S&P 500(R) Index Funds Average 6.58% 23.23% 19.65%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Equity Index Fund S&P 500(R) Index
Sep-90 10,000 10,000
Dec-90 10,890 10,896
Dec-91 14,065 14,216
Dec-92 15,083 15,299
Dec-93 16,522 16,841
Dec-94 16,697 17,047
Dec-95 22,735 23,476
Dec-96 27,807 28,866
Dec-97 36,819 38,437
Dec-98 47,253 49,430
Dec-99 56,886 59,908
Jun-00 56,624 59,656
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&P 500(R) Index Funds Average is a non-weighted average of 119 funds within the
S&P 500(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.
38
<PAGE>
Select Growth and Income Fund
The Select Growth and Income Fund returned -1.49%, underperforming the S&P 500
Index, which returned -0.42% for the six-month period ended June 30, 2000.
The U.S. equity market erratically cycled between growth stocks and value
stocks. While value stocks outperformed at the beginning of the second quarter,
growth came back strong by the end of June.
During the first half of the year, individual security selection contributed to
the Fund's overall performance, particularly within the computer hardware and
semi-conductor sectors. The pharmaceuticals and capital markets sectors moved
ahead as investors continued their rotation out of new economy stocks. Holdings
within the technology sector held back performance primarily due to interest
rate hikes by the Federal Reserve and subsequent corresponding stock price
reductions. However, by June, the telecommunications and technology sectors
rebounded, fueled by speculation that future tightenings by the Federal Reserve
may be on hold.
The manager believes that the market may be transitioning from the strong
momentum of 1999 to a more balanced environment. The surge in lower priced value
stocks is an indication that the economy has cooled down, and that interest rate
hikes are having the desired effect.
It is anticipated that the Federal Reserve will continue to closely monitor the
economy, and may raise interest rates again during the second half of the year.
The Fund will remain sector neutral relative to the benchmark, focusing solely
on stock selection.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Growth and Income Fund 2.70% 18.13% 14.66%
S&P 500(R) Index 7.25% 23.80% 19.90%
Lipper Growth & Income Funds Average 2.15% 17.45% 15.57%
Growth of a $10,000 Investment Since 1992
[GRAPH]
SELECT GROWTH S&P 500(R)
AND INCOME FUND INDEX
Aug-92 10,000 10,000
Dec-92 9,989 10,627
Dec-93 11,025 11,698
Dec-94 11,105 11,853
Dec-95 14,473 16,307
Dec-96 17,550 20,051
Dec-97 21,501 26,715
Dec-98 26,032 34,356
Dec-99 29,678 41,571
Jun-00 29,236 41,396
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 960 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.
Portfolio Composition
As of June 30, 2000, the sector allocation of net assets was:
[GRAPH]
Computer Software & Processing 10%
Pharmaceuticals 10%
Computers & Information 9%
Electronics 7%
Oil & Gas 6%
Telephone Systems 6%
Industrial 5%
Banking 5%
Other 42%
39
<PAGE>
Fidelity VIP Equity-Income Portfolio
The Fidelity VIP Equity-Income Portfolio returned -2.67% for the first half of
2000, outperforming the Russell 3000 Value Index return of -3.57%.
Security selection in the financial sector contributed to performance during
both the first and second quarters. Diversified sources of revenue mitigated the
effect of rising interest rates that hurt the overall performance of the
financial sector during the first half of the year. Portfolio holdings within
the media and leisure sector contributed to equity performance during both
quarters, as well.
Select holdings within the energy and health care sectors rebounded in the
second quarter, taking the Portfolio from underperformance in the first quarter
to outperforming the Index in the second quarter. The energy sector benefited
from high oil and gas prices and an ongoing expense reduction program.
Detracting from performance in the second quarter were select holdings in the
aerospace and defense sector due to poor earnings results of one company that
had recently completed a significant merger.
The Portfolio's sector focus remained essentially unchanged from the first
quarter. Finance, energy, and utilities remained the Portfolio's top sectors.
The manager is focused on individual equities across several industries that are
attractive given the Portfolio's large-cap value orientation.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Finance 24%
Energy 16%
Utilities 10%
Health 8%
Media & Leisure 7%
Industrial Machinery 6%
Basic Industries 5%
Technology 5%
Non-Durables 4%
Aerospace & Defense 3%
Other 12%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Fidelity VIP Equity-Income Portfolio (8.20%) 14.29% 14.68%
Russell 3000 Value (8.41%) 17.19% 15.03%
Lipper Equity Income Funds Average (5.32%) 14.31% 12.52%
Growth of a $10,000 Investment Since 1990
[GRAPH]
FIDELITY VIP
EQUITY-INCOME RUSSELL
PORTFOLIO 3000 VALUE
6-90 10,000 10,000
6-91 10,339 10,514
6-92 12,387 12,221
6-93 15,121 14,986
6-94 16,267 15,309
6-95 20,173 18,344
6-96 24,625 22,797
6-97 30,944 30,244
6-98 37,646 38,698
6-99 42,862 44,269
6-00 39,349 40,548
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
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 236 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.
40
<PAGE>
Fidelity VIP II Asset Manager Portfolio
The VIP II Asset Manager Portfolio returned -0.69% for the first half of 2000,
under-performing the S&P 500 Index return of -0.42%, as well as the Lipper
Flexible Portfolio Funds Average, which returned 1.95%.
Astute stock selection and an overweight position within the energy and finance
sectors drove performance during the first half of the year. The energy sector
benefited in the second quarter from rising oil prices, driving gasoline prices
to record levels in the U.S. The Portfolio's position in one of the largest
diversified financial service companies delivered strong gains in the first
quarter. Interest in financial companies continued into the second quarter on
the assumption that the Federal Reserve may be nearing an end to interest rate
increases.
While technology holdings contributed to performance in the first
quarter, poor stock selection within this sector detracted significantly from
performance in the second quarter. Weak stock selection and an underweight
position within the health sector throughout the first half of the year held
performance back, as well. Drug companies in particular were strong performers
in the second quarter, benefiting from their immunity to apparent signs of an
economic slowdown.
Relative performance was negatively affected by bonds throughout the first
half of the year, as the Federal Reserve raised interest rates three times in a
continued effort to stave off inflation.
The top four sectors in the Portfolio continue to be technology, finance,
utilities, and health. Equity exposure decreased to 53.0% (a 4.1% decrease from
the first quarter). Much of this difference was allocated to short-term/money
market instruments, which comprised 11.3% of the Portfolio by the end of the
second quarter. Bonds represented 35.7% and foreign securities represented 4.5%
of assets.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Fidelity VIP II Asset Manager Portfolio 4.82% 14.10% 12.61%
S&P 500(R) Index 7.25% 23.80% 17.80%
Lipper Flexible Portfolio Funds Average 7.57% 14.35% 12.16%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Fidelity VIP II Asset
Manager Portfolio S&P 500(R) Index
6/30/90 10,000 10,000
6/30/91 11,561 10,739
6/30/92 13,253 12,180
6/30/93 15,292 13,840
6/30/94 16,037 14,035
6/30/95 16,961 17,694
6/30/96 19,772 22,296
6/30/97 23,817 30,034
6/30/98 28,239 39,091
6/30/99 31,293 47,986
6/30/00 32,801 51,463
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 231
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, 2000, the sector allocation of net assets was:
[GRAPH]
Equities 53%
Bonds 36%
Short-Term/Money Maker 11%
41
<PAGE>
Bond & Money Market Overview
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: Inflation concerns and a booming U.S. economy prompt the Federal Reserve
to hike interest rates. Fixed income markets close the second half with the
worst performing year ever.
2000: Bond investments suffer as a result of continued interest rate hikes by
the Federal Reserve in an effort to stave off inflation.
Events occurred during the first six months of 2000, which led to one of the
worst relative performances for corporate bonds, mortgage- and asset-backed
securities, and agencies (spread sectors). However, by June signs of an economic
slowdown began to emerge. Spread sectors rebounded as the Federal Reserve Board
decided to forego another interest rate increase at its June meeting.
Taking center stage was the inversion of the yield curve at the start of the
first quarter. Usually the longer a bond's maturity, the higher its yield. An
inverted yield curve is a demonstration of the opposite where shorter bonds
(with maturities of less than two years) produce higher yields. The yield curve
began to invert as a result of low issuance of new investment grade bonds and
the Treasury's quicker-than-expected announcement to buy back as much as $30
billion in bonds during this year alone. The Treasury's announcement took the
market by surprise and investors promptly bid up the price of the longer
maturity bonds, sending its yield below the Federal Funds rate by March. The
yield on the long bond ended the first quarter at 5.84%.
The yield curve inversion gathered momentum in the first quarter as the Federal
Reserve continued its efforts to slow down the economy by raising interest
rates in February and March by a total of .50%. Lower yields on Treasury bonds
caused corporate bonds, mortgage- and asset-backed securities, and agencies
to underperform. Concerns about the future of the economy caused spread sectors
to underperform as investors became unclear about future potential for revenue
and earnings growth and the impact on coverage of interest cost. Taxable bond
mutual funds saw over $30 billion in redemptions and overall asset allocation
began to favor the equity market.
2000
JAN
[GRAPHIC]
Treasury announces buy back of $30 billion in bonds, sending bond prices up and
yields down.
FEB
[GRAPHIC]
Federal Reserve raises interest rates by 0.25%. The yield curve begins to
invert.
MAR
Federal Reserve raises interest rates again by 0.25%. Volatile conditions shut
down issuance of investment grade bonds.
42
<PAGE>
Bond & Money Market Overview
In the meantime, unusual events took place in the mortgage-backed securities
market, affecting both agencies and mortgage-backed securities. Congressional
scrutiny over Fannie Mac and Freddie Mac, two major government-sponsored
enterprises, resulted in large-scale selling in the agencies and mortgage-backed
securities market.
By March, volatile market conditions virtually shut down new issuance of
investment grade bonds as investors' appetite for risk diminished. Supply and
demand within the fixed income marked moved out of alignment causing corporates
to underperform Treasuries by 227 basis points for the first quarter with March
producing the second worst monthly performance for spread product since 1990.
The Federal Reserve Board raised interest rates again in May by an additional
.50%, bringing the total tightening to 1.75% since June 1999. However, as the
second quarter progressed, the economy began to show signs of a slowdown.
Satisfied that interest rate hikes were beginning to have the desired effect,
the Federal Reserve voted to hold off on any further rate increases at their
June meeting.
Corporate bonds, mortgage- and asset-backed securities continued to dramatically
underperform U.S. Treasuries through May. The inverted yield curve persisted as
a result of the shrinking supply of U.S. Treasury securities and tightenings by
the Federal Reserve. Positive yield spreads were offset by negative price
returns as investment banks continued to diminish earnings volatility by
reducing their exposure to spread product. As Treasuries rallied in response to
the shrinking supply, spread sectors continued to under-perform until June,
when the economy began to show signs that it may be headed for a soft landing.
Once the Federal Reserve decided to forego another interest rate hike, spread
sector performance began to gain, finally outperforming like-duration Treasuries
by 50 basis points at the end of the second quarter.
The Federal Funds rate remains at 6.50%, the highest level since January 1991.
The goal of the Federal Reserve Board is to engineer a soft landing for the
economy, which translates as a slowdown in growth without entering into a
recession. The economy has begun to show signs of moderation. Retail sales have
declined and consumer spending on big-ticket items has slowed. The outlook for
spread sector performance is optimistic, especially if the Federal Reserve's
tightening cycle is coming to a close. However, the preliminary growth rate for
the annual gross domestic product stands at 5.2% as of June 2000. The Federal
Reserve considers a rate of 3.5% to 4% to be as fast as the economy can growth
without sparking inflation. The Federal Reserve remains cautious, and depending
upon whether or not the economy shows more definitive signs of a slowdown, may
consider another rate hike at their August meeting.
APR
Spread sectors continue to dramatically underperform U.S. Treasuries.
[GRAPHIC]
MAY
Federal Reserve raises interest rates by another 0.50% to 6.50%. The inverted
yield curve persists as a result of the shrinking supply of U.S.Treasuries and
continued rate hikes.
JUN
Federal Reserve votes to hold off on additional interest rate increases.
Corporates and Mortgages outperform like-duration Treasuries due to signs of a
slowing economy.
[GRAPHIC]
43
<PAGE>
Fidelity VIP High Income Portfolio
The Fidelity VIP High Income Portfolio returned -4.93% in the first six months
of the year, underperforming both the Merrill High Yield Master Index and the
Lipper High Current Yield Funds Average, which returned -1.19% and -1.66%,
respectively.
Deterioration in credit fundamentals negatively impacted holdings within the
leisure sector for both the first and second quarters. Leisure holdings that
experienced selling pressure included movie theater chains and a large operator
of timeshare properties. Telecommunications, the Portfolio's largest sector,
boosted performance in the first quarter due to strong merger and acquisition
activity, restructurings, and robust demand for online data networking. However,
by second quarter, an overweight position in telecommunications hurt
performance. Volatility in the equity market and a reduced appetite for new
issues within the telecommunications sector resulted in selling pressure across
several classes of securities. Strong security selection within telecommunica-
tions slightly offset negative performance in the overall sector.
Other positive contributors included select holdings in the environmental and
leisure sectors, particularly during the second quarter.
The Portfolio continues to hold the majority of its assets in "B"-rated credits
with greater allocations to the telecommunications and cable sectors. By the
end of the first half of 2000, cash pay securities represented 57.1% of assets
with deferred pay credits totaling 34%. Telecom and Cable TV remain the two
largest industry holdings, amounting to a combined 54% of total assets.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Telecommunications 39%
Cable TV 16%
Chemicals 5%
Technology 5%
Diversified Financials 4%
Environmental 4%
Health Care 3%
Capital Goods 2%
Metals/Mining 2%
Paper 2%
Other 18%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Fidelity VIP High Income Portfolio (4.59%) 7.30% 11.98%
Merrill Lynch High Yield Master Index (1.36%) 6.76% 10.43%
Lipper High Current Yield Funds Average (0.77%) 6.42% 9.72%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Fidelity VIP High Merrill Lynch High
Income Portfolio Yield Master
6/30/90 10,000 10,000
6/30/91 11,826 11,296
6/30/92 15,481 14,043
6/30/93 18,387 16,449
6/30/94 19,485 16,929
6/30/95 21,802 19,450
6/30/96 25,189 21,274
6/30/97 28,832 24,319
6/30/98 33,013 27,092
6/30/99 32,508 27,344
6/30/00 30,958 26,972
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 351
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.
44
<PAGE>
Select Income Fund
The Select Income Fund returned 3.22% for the first half of the year,
underperforming its benchmark, the Lehman Brothers Aggregate Bond Index, which
returned 3.98% for the same period. During the period, the overall bond market
witnessed the Federal Reserve's series of short-term interest rate increases,
the historic surplus in the Federal budget resulting in a Treasury bond
buyback program and fewer new bond issues, and a slowing domestic economy.
These factors variously affected the portfolio's holdings of intermediate
maturity (2 to 10 years), 30-year Treasury, and mortgage-backed securities, and
of corporate bonds.
Intermediate maturity bond, which dominated the portfolio, negatively affected
performance. Usually the longer a bond's maturity, the higher its yield. During
the period, however, the opposite occurred: Shorter bonds (with maturities of
less than 2 years) produced higher yields, a phenomenon called the "inverted
yield curve." Corporate bond holdings also negatively affected performance due
to investor concerns about higher interest rates, possible earnings and growth
disappointments, and defaults. Strong performance by mortgage-backed securities
and Treasuries helped returns. Over the period the Fund's manager changed its
sector allocations.
At the beginning of the year, the portfolio's major allocations were, in
descending order, corporates, mortgages, and Treasuries. By the end of the first
half, mortgages dominated, followed by lower allocations to corporates and
Treasuries.
Effective July 1, 2000, the Select Income Fund will be combined with the Select
Investment Grade Income Fund. Allmerica Asset Management, Inc. will assume
sub-advisory responsibility for the resulting fund.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Select Income Fund 3.55% 5.50% 5.60%
Lehman Brothers Aggregate Bond Index 4.56% 6.25% 6.45%
Lipper Intermediate Investment
Grade Funds Average 3.42% 5.35% 5.83%
Growth of a $10,000 Investment Since 1992
[GRAPH]
Select Income Fund Lehman Brothers
Aggregate Bond Index
8/21/92 10,000 10,000
12/31/92 10,062 10,145
13/31/93 11,164 11,134
12/31/94 10,626 10,809
12/31/95 12,428 12,805
12/31/96 12,840 13,270
12/31/97 14,018 14,553
12/31/98 14,975 15,817
12/31/99 14,863 15,684
6/30/00 15,342 16,310
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 284 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, 2000, the sector allocation of net assets was:
[GRAPH]
U.S. Gov't Agency Mortgage-Backed Securities 42%
Corporate Notes and Bonds 36%
U.S. Gov't. & Agency Obligations 11%
Asset-backed Securities 10%
Other 1%
45
<PAGE>
Select Investment Grade Income Fund*
The Select Investment Grade Income Fund returned 3.03% for the first half of the
year, underperforming its benchmark, the Lehman Aggregate Bond Index, which
returned 3.98% for the same period.
During the period, investment-grade and intermediate-term corporate bonds, along
with the bond market in general, suffered from rising interest rates. Even
Treasuries offered little return because of an inverted yield curve, a
phenomenon in which short-term rates are higher than long-term rates.
The overweighting of corporates, asset-backed securities backed by loan paper or
accounts receivables, and agency bonds hurt the Fund's performance. In the first
quarter, the possibility of government agencies' losing their "AAA" credit
rating weakened agency bonds. In the second quarter, worries about defaults
and earnings disappointments weakened corporate bonds. Among the bonds sold to
forestall further losses were those issued by an insurance company whose bonds
had recently been upgraded only to suffer a subsequent and significant
decline. This hurt the Fund's second quarter performance.
Given the flat or declining values in the sectors, there were few opportunities
to enhance performance. Bonds offered by well-established companies carefully
researched for credit quality and spanning a range of industries were added as
strong prospects. In fact, spreads widened to the point where the Fund's manager
found value in bonds issued by such high quality companies.
Looking ahead, the Fund's manager's constructive approach faces the greatest
challenge from an economy growing too fast. Recent gains of corporates and
mortgage-backed securities, however, offer significant potential for further
relative price gains. If inflation remains more worry than reality, the Fund's
diversified portfolio and disciplined investment approach offer the potential to
achieve good returns over the long term.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Corporate Notes & Bonds 37%
U.S. Govt & Agency Obligations 24%
U.S. Govt & Agency Mortgage-
Backed Securities 20%
Asset Backed & Mortgage Backed 13%
Other 6%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Select Investment Grade Income* 3.76% 5.75% 7.76%
Lehman Brothers Aggregate Bond Index 4.56% 6.25% 7.81%
Lipper Intermediate Investment
Grade Funds Average 3.42% 5.35% 7.27%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Investment Grade Lehman Brothers
Income Fund Aggregate Bond Index
Jun-90 10,000 10,000
Dec-90 10,533 10,596
Dec-91 12,297 12,288
Dec-92 13,322 13,200
Dec-93 14,760 14,487
Dec-94 14,324 14,065
Dec-95 16,880 16,663
Dec-96 17,480 17,266
Dec-97 19,132 18,685
Dec-98 20,657 20,580
Dec-99 20,457 20,411
Jun-00 21,075 21,226
*The Select Investment Grade Income Fund is a portfolio of the Allmerica
Investment Trust. Effective 5/1/00, the Fund's name has been changed from
Investment Grade Income to Select Investment Grade Income.
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 284 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.
46
<PAGE>
Government Bond Fund
The Government Bond Fund returned 3.02% for the six month period ended June 30,
2000, underperforming its benchmark, the Lehman Intermediate Government Bond
Index return of 3.49%.
The combination of a decreasing supply of U.S. Treasuries and additional
tightenings by the Federal Reserve, resulted in an inverted yield curve at the
beginning of the year. Once the Treasury announced plans to buy back as much as
$30 billion in bonds in the first quarter, investors promptly bid up the price
of longer maturities sending yields well below short-term bonds. The inverted
yield curve persists to date, having gathered momentum as a result of further
interest rate hikes by the Federal Reserve with the third and most recent hike
occurring in May.
The Fund underperformed for both the first and second quarters as a result of
poor relative performance for spread sectors (corporate bonds and mortgage- and
asset-backed securities). Spreads widened due to the shrinking supply of U.S.
Treasuries and the withdrawal of risk capital from the market. As market
volatility virtually shut down new issuance of investment grade bonds, corporate
securities underperformed Treasuries by 227 basis points. However, in the
second quarter, the economy began showing signs of a slowdown. By June, spread
sectors outperformed U.S. Treasuries by 50 basis points on a duration-adjusted
basis.
The outlook on spread sectors is optimistic, particularly if the economy shows
more definitive signs of slowing down. Diminished market volatility would renew
investor confidence in spread product, which would bode well for the Fund's
performance going forward. In a continuing effort to keep inflation at bay, the
Federal Reserve may raise interest rates again at their August meeting.
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years Life of Fund
Government Bond Fund 3.98% 5.26% 6.18%
Lehman Intermediate Government Bond Index 4.21% 5.81% 6.56%
Lipper Short-Intermediate
U.S.Government Funds Average 3.70% 4.98% 5.81%
Growth of a $10,000 Investment Since 1991
[GRAPH]
Government Lehman Intermediate
Bond Fund Government Bond Index
8/26/91 10,000 10,000
12/31/91 10,727 10,660
12/31/92 11,434 11,399
12/31/93 12,292 12,330
12/31/94 12,184 12,114
12/31/95 13,775 13,860
12/31/96 14,259 14,423
12/31/97 15,269 15,537
12/31/98 16,441 16,856
12/31/99 16,491 16,946
6/30/00 16,989 17,536
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 91 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, 2000, the sector allocation of net assets was:
[GRAPH]
U.S. Gov't. Agency Obligations 78%
U.S. Gov't. Agency Mortgage-Backed Securities 15%
Asset Backed Securities 7%
47
<PAGE>
Money Market Fund
The Money Market Fund returned 3.02% for the first half of the year,
outperforming its benchmark, the iMoneyNet, Inc. Index*, which returned 2.71%
for the same period.
During the period, the bond market saw one of the worst relative performances
ever recorded. Early in the year the yield curve, where long-term rates usually
exceed short-term rates, began to invert. Long-term Treasury yields declined in
response to the Treasury's buy-back program and curtailment of the issue of new
Treasuries. This, in combination with the Federal Reserve's continued interest
rate hikes contributed to the yield curve inversion. Federal Reserve
policymakers acted on concerns about inflation, the trade deficit, and the
effect of rising personal wealth on consumer spending and borrowing.
During the first quarter, the Fund benefited from an increase in floating note
rates. Such notes have variable rates, which reset periodically and enable the
Fund to more fully participate in higher interest rates. Strong consumer
spending, especially in housing and cars, coupled with job growth favored supply
of these notes. In the second quarter, inflation fears lessened somewhat when
the Federal Reserve decided against raising rates, and the Fund's manager
increased holdings of corporate notes with longer maturities and commercial
paper characterized by flexibility and safety and issued by top-rated firms.
Those positions, along with government agency securities and repurchase
agreements, which have shorter maturities, were included to maximize liquidity
for the portfolio. For the remainder of 2000, the Fund's manager will maintain
these core holdings, considering possible reallocations if interest rate
policies appear to have effected a slowdown in economic growth.
* Formerly IBC Donoghue, this represents a name change only.
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, 2000, the sector allocation of net assets was:
[GRAPH]
Corporate Notes 47%
Commercial Paper 30%
U.S. Govt & Agency
Obligations 7%
Municipal 5%
Other 11%
Average Annual Total Returns
Years ended June 30, 2000 1 Year 5 Years 10 Years
Money Market Fund 5.73% 5.51% 5.15%
iMoneyNet,Inc.* 5.16% 4.97% 4.67%
Lipper Money Market Funds Average 5.06% 4.91% 4.68%
*Formerly IBC Donoghue, this represents a name change only.
Average Yield as of June 30, 2000
Money Market Fund 7-Day Yield 6.51%
Growth of a $10,000 Investment Since 1990
[GRAPH]
Money Market Fund iMoneyNet, Inc.
6/30/90 10,000 10,000
12/31/90 10,399 10,374
12/31/91 10,995 10,963
12/31/92 11,411 11,328
12/31/93 11,753 11,626
12/31/94 12,175 12,055
12/31/95 12,886 12,711
12/31/96 13,576 13,332
12/31/97 14,255 13,999
12/31/98 15,040 14,693
12/31/99 15,821 15,365
6/30/00 16,299 15,781
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. iMoneyNet, Inc. 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 364 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.
48
<PAGE>
Financials
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
----------------------------------------------------------------------------
COMMON STOCKS - 87.3%
Argentina - 1.1%
4,439 Banco de Galicia SA, Sponsored ADR $ 65,753
8,233 PC Holdings SA 150,767
76,100 Telecom Argentina Stet - France Telecom SA,
Class B 418,778
-----------
635,298
-----------
Brazil - 9.0%
8,900 Aracruz Celulose SA, Sponsored ADR 171,881
12,800 Cia Cervejaria Brahma, ADR 217,600
34,800 Cia Paranaense Enernergia-Copel, Sponsored ADR 324,075
12,900 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar, GDR 414,412
20,900 Compania Vale Do Rio Doce, Sponsored ADR 588,552
2,302,500 Eletropaulo Metropolitana - Electricidade de Sao
Paulo SA 160,945
33,300 Embratel Partipacoes SA, ADR 786,712
4,000 Petroleo Brasileiro SA 116,315
26,200 Petroleo Brasileiro SA, Sponsored ADR 791,541
9,500 Tele Celular Sul Participacoes SA, ADR 694,094
3,600 Tele Centro Sul Participacoes SA, ADR* 162,900
30,384 Tele Norte Leste Participacoes SA, ADR 714,024
2,100 Telecomunicacoes Brasileiras SA, ADR* 47
5,100 Telesp Celular Participacoes SA, ADR 228,862
8,400 Ultrapar Participacoes SA 83,475
-----------
5,455,435
-----------
Chile - 2.0%
11,400 Banco Santiago ADR 203,775
18,300 Cia de Telecomunicaciones de Chile SA 331,687
11,600 Compania Cerveceri AS Unibas SA, ADR 263,175
6,400 Distribucion y Servicio, ADR 111,200
4,000 Empresa Nacional de Electricidad SA* 44,250
7,711 Enersis SA, Sponsored ADR* 153,738
13,200 Quinenco SA, ADR 128,700
-----------
1,236,525
-----------
Czech Republic - 0.4%
43,100 Ceske Energeticke Zavody AS 113,323
7,040 Cesky Telecom AS* 117,805
1 Komercni Banka AS* 7
-----------
231,135
-----------
Egypt - 0.3%
4,960 Egyptian Co. for Mobile Services* 163,715
-----------
Greece - 2.0%
6,705 Alpha Credit Bank SA 265,147
25,970 Hellenic Telecommunication Organization 634,078
4,144 National Bank of Greece SA 164,402
5,860 STET Hellas Telecommunications SA, ADR* 116,467
-----------
1,180,094
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
------------------------------------------------------------------------------
Hong Kong - 6.3%
108,000 China Resources Enterprise, Ltd. $ 129,535
184,000 China Telecom, Ltd. 1,622,733
726,000 China Unicom Limited* 1,541,298
528,000 Founder Holdings Limited* 235,382
276,000 Legend Holdings Limited 267,306
-----------
3,796,254
-----------
Hungary - 1.5%
1,280 BorsodChem Rt. 39,706
12,550 Matav Rt., Sponsored ADR 432,191
12,390 MOL Magyar Olaj, GDR 171,502
4,725 OTP Bank Rt., GDR 247,331
-----------
890,730
-----------
India - 3.4%
20,000 Icici Bank Ltd.* 290,000
660 Infosys Technologies, Ltd., ADR 116,985
31,700 Mahanagar Telephone Nigam, Ltd., GDR 322,944
15,000 Ranbaxy Laboratories, Ltd., Sponsored GDR 243,750
4,000 Reliance Industries, Ltd., GDR (a) 84,000
61,000 Videsh Sanchar Nigam, Ltd., GDR 991,083
-----------
2,048,762
-----------
Indonesia - 0.6%
119,500 PT Hanjaya Mandala Sampoerna Tbk 173,645
162,000 PT Indofoods Sukses Makmur Tbk* 88,501
352,780 PT Telekomunikasi Indonesia 124,108
-----------
386,254
-----------
Israel - 5.0%
313,320 Bank Hapoalim 909,693
135,640 Bank Leumi Le-Israel* 280,395
13,000 Blue Square-Israel, Ltd., ADR* 130,000
3,720 Check Point Software Technologies Ltd.* 787,710
2,960 ECI Telecommunications, Ltd., ADR 105,820
1,480 Gilat Satellite Networks, Ltd.* 102,675
1,640 NICE Systems, Ltd.* 126,588
3,600 Scitex Corp., Ltd.* 39,825
9,520 Teva Pharmaceutical Industries, Ltd., Sponsored ADR 527,765
-----------
3,010,471
-----------
Luxembourg - 0.2%
9,600 Quilmes Industrial, ADR 106,800
-----------
Malaysia - 3.7%
99,000 AMMB Holdings Berhad 330,878
148,000 Digi Swisscom Berhad* 270,692
78,000 Genting Berhad 287,375
40,000 Malayan Banking Berhad 162,108
9,000 Resorts World Berhad 24,632
80,000 Telekom Malaysia Berhad 275,800
183,000 Tenaga Nasional Berhad 597,166
135,000 United Engineers (Malaysia)* 275,333
-----------
2,223,984
-----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-1
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
------------------------------------------------------------------------
Mexico - 10.4%
31,000 Carso Global Telecom* $ 88,229
16,812 Cemex SA 392,981
33,596 Cemex SA de CV 156,746
268,400 Cifra SA de CV, Series C 616,568
101,900 Consorcio ARA SA* 120,150
114,600 Fomento Economico Mexicano SA* 492,161
102,900 Grupo Financiero Banamex Accival SA, Class O* 439,301
77,000 Grupo Modelo SA de CV 172,580
13,700 Grupo Televisa SA, Sponsored GDR* 944,444
145,100 Kimberly-Clark de Mexico, Series A 410,764
43,500 Telefonos de Mexico, Sponsored ADR 2,484,938
-----------
6,318,862
-----------
Peru - 0.3%
3,300 Compania de Minas Buenaventura SA,
Sponsored ADR 57,131
13,500 Credicorp, Ltd. 121,500
-----------
178,631
-----------
Philippines - 0.4%
64,860 Manila Electirc Co., Class B 95,448
9,700 Philippine Long Distance Telephone Co. 174,218
-----------
269,666
-----------
Poland - 1.1%
3,800 Bank Rozwoju Eksportu SA 117,931
19,950 Elektrim Spolka Akcyjna SA* 229,311
12,420 KGHM Polska Miedz SA, GDR 185,950
21,200 Telekomunikacja Polska SA, GDR* 146,386
-----------
679,578
-----------
Russia - 2.9%
16,930 LUKoil Holding, Sponsored ADR 865,462
21,400 OAO Gazprom ADR 146,994
7,500 Rostelecom 102,188
36,730 Surgutneftegaz, Sponsored ADR 489,427
14,190 Unified Energy Systems, GDR 163,185
-----------
1,767,256
-----------
South Africa - 6.0%
65,584 ABSA Group, Ltd. 248,970
14,900 Anglo American Platinum Corp., Ltd. 430,053
25,150 Barlow, Ltd. 151,569
76,941 Dimension Data Holdings, Ltd.* 637,579
19,800 Fedsure Holdings, Ltd. 96,513
249,200 FirstRand, Ltd. 257,673
8,000 Johnnic Holdings Limited 109,897
42,895 LA Retail Stores, Ltd.* 10,835
113,800 Malbak, Ltd. 42,868
75,510 Nampak, Ltd. 163,404
391,675 Profurn Ltd. 231,402
241,600 Sanlam, Ltd. 285,861
48,200 Sappi, Ltd.* 363,100
63,800 Sasol, Ltd. 428,787
125,300 Theta Group, Ltd. 163,980
-----------
3,622,491
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
--------------------------------------------------------------------------
South Korea - 14.1%
1,000 H&CB, GDR(a) $ 23,325
10,000 Haansoft, Inc.* 162,346
28,756 Kookmin Bank 366,254
6,009 Kookmin Bank, Sponsored GDR(a) 76,528
30,700 Korea Electric Power Corp. 952,750
14,000 Korea Telecom Corp.* 1,233,115
1,300 Locus Corporation* 105,525
1,105 Medidas Co. Ltd. 12,042
19,310 Samsung Corp. 166,444
9,793 Samsung Electronics Co. 3,241,203
8,000 Serome Technology, Inc. 323,616
40,810 Shinhan Bank 384,345
2,000 Shinhan Bank, Sponsored GDR 37,500
4,200 Sk Telecom Co., Ltd. 1,375,011
7,437 Turbo Tek Co., Ltd. 77,378
-----------
8,537,382
-----------
Taiwan - 9.7%
80,925 Acer, Inc., GDR* 758,672
20,500 Advanced Semiconductor Engineering, Inc., GDR* 348,500
87,368 Asustek Computer, Inc., GDR 801,599
20,500 Far Eastern Textile, Ltd., GDR* 257,275
11,500 Hon Hai Precision Industry Co., Ltd* 287,500
36,000 Powerchip Semiconductor Corp.* 726,300
17,377 Siliconware Precision Industries Co., ADR* 189,409
17,000 Siliconware Precision Industries Co., GDR* 189,550
15,000 Siliconware Precision Industries Co., Temp ADR* 138,750
38,250 Synnex Technology International Corp., GDR* 819,671
2,340 Taiwan Semiconductor Manufacturing Co., ADR* 90,675
44,400 Winbond Electronics Corp., GDR* 1,276,500
-----------
5,884,401
-----------
Thailand - 1.5%
29,500 Advanced Info Service Public Co., Ltd.* 367,715
5,600 Siam Cement Co., Ltd.* 105,277
318,000 TelecomAsia Corp., Public Co., Ltd.* 353,330
120,000 Thai Farmers Bank Public Co., Ltd.* 101,148
-----------
927,470
-----------
Turkey - 4.5%
20,164,720 Akbank, TAS 155,268
3,100,000 Akcansa Cimento AS 48,360
1,758,750 Arcelik AS 86,531
3,895,000 Dogan Yayin Holding AS* 65,826
494,080 Ege Biracilik ve Malt Sanayii AS 32,263
2,898,060 Erciyas Biracilik ve Malt* 135,629
2,242,000 Eregli Demir ve Celik Fabrikalari TAS* 90,353
12,344,597 Haci Omer Sabanci Holding, AS 145,666
2,674,400 Koc Holdings AS 189,882
1,194,000 Migros Turk, TAS 221,487
25,698,810 Turkiye Garanti Bankasi AS* 310,956
17,641,600 Turkiye Is Bankasi, Class C 377,530
633,400 Vestel Electronik Sanayi ve Ticaret* 191,540
61,979,416 Yapi ve Kredi Bankasi AS* 687,972
-----------
2,739,263
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-2
<PAGE>
Select Emerging Markets Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
------------------------------------------------------------------
Zimbabwe - 0.9%
1,240,000 Econet Wireless Holdings, Ltd.* $ 534,192
-----------
Total Common Stocks 52,824,649
-----------
(Cost $49,621,611)
PREFERRED STOCKS - 1.4%
Brazil - 1.2%
68,149,574 Banco Bradesco SA 592,901
1,550,000 Banco Itau SA 135,470
-----------
728,371
-----------
South Korea - 0.2%
700 Samsung Electronics Co. 102,655
-----------
Total Preferred Stocks 831,026
-----------
(Cost $712,285)
RIGHTS - 0.3%
Taiwan - 0.3%
70,000 Winbond Electronics Corp.* 201,600
-----------
Total Rights 201,600
-----------
(Cost $188,492)
WARRANTS - 7.4%
India - 3.4%
4,500 Hindustan Lever Limited* 285,626
9,400 Infosys Technologies, Ltd., ADR* 1,749,939
-----------
2,035,565
-----------
Mexico - 0.0%
1,000 Cemex SA, ADR, Warrants* 508
818 Cemex SA, Warrants* 17,689
-----------
18,197
-----------
Taiwan - 4.0%
41,000 Hon Hai Precision Industry* 370,968
313,000 Taiwan Semiconductor Manufacturing Co.* 1,898,408
52,000 Winbond Electronics Corp.* 166,795
-----------
2,436,171
-----------
Total Warrants 4,489,933
-----------
(Cost $4,715,740)
Total Investments - 96.4% 58,347,208
-----------
(Cost $55,238,128)
Net Other Assets and Liabilities - 3.6% 2,180,072
-----------
Total Net Assets - 100.0% $60,527,280
===========
</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, 2000, these securities
amounted to $183,853 or 0.3% 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.
Industry Concentration
of Investments
as a Percentage of Net
Assets:
<TABLE>
<S> <C>
Telephone Systems 23.4%
Electronics 12.6
Banking 9.9
Computers & Information 7.3
Oil & Gas 4.3
Computer Software &
Processing 4.2
Electric Utilities 4.0
Electrical Equipment 4.0
Communications 3.4
Beverages, Food & Tobacco 3.2
Financial Services 2.8
Forest Products & Paper 1.9
Media - Broadcasting &
Publishing 1.6
Building Materials 1.4
Metals 1.4
Food Retailers 1.3
Pharmaceuticals 1.3
Retailers 1.2
Industrial - Diversified 0.9
Banking - Foreign Banks &
Branches 0.7
Entertainment & Leisure 0.7
Mining 0.7
Insurance 0.6
Diversified Financial
Assets 0.5
Heavy Machinery 0.5
Home Construction,
Furnishings & Appliances 0.5
Household Products 0.5
Real Estate 0.4
Textiles, Clothing &
Fabrics 0.4
Commercial Services 0.3
Miscellaneous 0.3
Chemicals 0.2
Net Other Assets and
Liabilities 3.6
-----
Total 100.0%
=====
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost on investment securities for tax purposes
was $55,238,128. Net unrealized appreciation (depreciation) aggregated
$3,109,080, of which $9,118,156 related to appreciated investment securities
and $(6,009,076) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $45,477,269
and $28,123,076 of non-governmental issuers, respectively.
See Notes to Financial Statements.
--------------------------------------------
F-3
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
COMMON STOCKS - 98.2%
Advertising - 2.7%
131,900 ADVO, Inc.* $ 5,539,800
341,200 TMP Worldwide, Inc.* 25,184,825
-----------
30,724,625
-----------
Apparel Retailers - 1.9%
72,600 Chico's FAS, Inc.* 1,452,000
402,830 Intimate Brands, Inc. 7,955,892
177,000 Timberland Co.* 12,533,812
-----------
21,941,704
-----------
Banking - 2.6%
159,300 City National Corp. 5,655,150
479,400 Silicon Valley Bancshares* 20,434,425
38,700 State Street Corp. 4,104,619
-----------
30,194,194
-----------
Beverages, Food & Tobacco - 0.4%
381,000 The Topps Co., Inc.* 4,381,500
-----------
Chemicals - 1.4%
191,400 Church & Dwight Co., Inc. 3,445,200
595,600 Occidental Petroleum Corp. 12,544,825
-----------
15,990,025
-----------
Commercial Services - 4.8%
20,300 Affymetrix, Inc.* 3,352,037
359,200 Danka Business Systems, Plc ADR* 1,391,900
114,400 Documentum, Inc.* 10,224,500
305,100 Manpower, Inc. 9,763,200
353,100 Robert Half International, Inc.* 10,063,350
48,900 StarTek, Inc.* 2,463,337
194,600 Teletech Holdings, Inc.* 6,044,762
250,400 The Source Information Management Co.* 3,818,600
213,200 Valassis Communications, Inc.* 8,128,250
-----------
55,249,936
-----------
Communications - 7.1%
194,450 CTC Communications Group, Inc.* 7,000,200
279,800 Digital Lightwave, Inc.* 28,119,900
466,000 Exodus Communications, Inc.* 21,465,125
215,900 Harmonic, Inc.* 5,343,525
111,750 Mastec, Inc.* 4,267,453
194,200 Network Appliance, Inc.* 15,633,100
-----------
81,829,303
-----------
Computer Software & Processing - 11.9%
313,400 BEA Systems, Inc.* 15,493,712
40,000 Broadvision, Inc.* 2,032,500
179,700 Business Objects S.A. ADR* 15,836,062
66,000 Check Point Software Technologies Ltd. 13,975,500
481,300 Comdisco, Inc. 10,739,006
50,700 I2 Technologies, Inc.* 5,286,266
58,500 ISS Group, Inc.* 5,775,962
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
--------------------------------------------------------------
Computer Software & Processing (continued)
146,800 Netopia, Inc.* $ 5,899,525
433,200 Phoenix Technologies Ltd.* 7,066,575
207,200 Remedy Corp.* 11,551,400
25,000 SERENA Software, Inc.* 1,135,157
879,700 Sybase, Inc.* 20,233,100
243,700 Symantec Corp.* 13,144,569
47,005 VeriSign, Inc.* 8,296,382
-----------
136,465,716
-----------
Computers & Information - 6.9%
753,200 Advanced Digital Information Corp.* 12,004,125
204,800 Anixter International, Inc.* 5,427,200
215,400 Infocus Corp.* 6,933,188
415,900 Infospace.com, Inc.* 22,978,475
256,000 Integrated Silicon Solution, Inc.* 9,728,000
1,001,700 Maxtor Corp.* 10,580,456
362,600 Mercury Computer Systems, Inc.* 11,716,513
-----------
79,367,957
-----------
Electronics - 18.9%
118,600 Amphenol Corp.* 7,849,838
235,500 ANADIGICS, Inc.* 8,021,719
347,500 ASM International N.V.* 9,208,750
275,300 AVX Corp. 6,314,694
346,900 Credence Systems Corp.* 19,144,544
170,700 CTS Corp. 7,681,500
188,700 Electroglas, Inc.* 4,057,050
153,350 Exar Corp.* 13,370,203
299,900 Helix Technology Corp. 11,696,100
248,500 Integrated Device Technology, Inc.* 14,878,938
434,600 International Rectifier Corp.* 24,337,600
560,300 KEMET Corp.* 14,042,519
253,000 Semtech Corp.* 19,350,553
526,200 Telcom Semiconductor, Inc.* 21,245,325
398,300 Three-Five Systems, Inc.* 23,499,700
264,100 Trimble Navigation, Ltd.* 12,891,381
-----------
217,590,414
-----------
Entertainment & Leisure - 0.2%
174,900 Argosy Gaming Company* 2,514,188
-----------
Financial Services - 2.9%
616,332 Metris Cos., Inc. 15,485,342
182,600 Southwest Securities Group 6,801,850
326,600 Waddell & Reed Financial, Class A 10,716,563
-----------
33,003,755
-----------
Health Care Providers - 1.4%
362,900 First Health Group Corp.* 11,907,656
84,400 Patterson Dental Co.* 4,299,125
-----------
16,206,781
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-4
<PAGE>
Select Aggressive Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-------------------------------------------------------------------
Heavy Machinery - 2.1%
203,500 American Standard Companies, Inc.* $ 8,343,500
341,400 Dycom Industries, Inc.* 15,704,400
-----------
24,047,900
-----------
Insurance - 1.0%
128,400 Unitedhealth Group, Inc. 11,010,300
-----------
Lodging - 0.6%
280,000 Station Casinos, Inc.* 7,000,000
-----------
Media - Broadcasting & Publishing - 2.4%
139,050 Allegiance Telecom, Inc.* 8,899,200
169,200 Hispanic Broadcasting Corp.* 5,604,750
335,800 Price Communications Corp.* 7,912,288
50,100 Univision Communications, Inc.* 5,185,350
-----------
27,601,588
-----------
Medical Supplies - 6.6%
193,200 Allergan, Inc. 14,393,400
409,300 LTX Corp.* 14,299,919
93,300 Photon Dynamics, Inc.* 6,968,344
219,300 PolyMedica Corp.* 9,484,725
287,400 ResMed, Inc.* 7,687,950
187,400 Waters Corp.* 23,389,863
-----------
76,224,201
-----------
Metals - 1.5%
262,000 CommScope, Inc.* 10,742,000
141,600 Lone Star Technologies, Inc.* 6,549,000
-----------
17,291,000
-----------
Oil & Gas - 4.7%
236,500 Dynegy, Inc. 16,155,906
118,700 Equitable Resources, Inc. 5,727,275
341,300 Ocean Energy, Inc.* 4,842,194
146,200 UTI Energy Corp.* 5,866,275
407,700 Valero Energy Corp. 12,944,475
355,400 Vintage Petroleum, Inc. 8,018,713
-----------
53,554,838
-----------
Pharmaceuticals - 9.8%
212,700 Alpharma, Inc. Class A 13,240,575
236,000 Andrx Corp.* 15,085,568
385,200 Jones Pharma, Inc. 15,383,925
377,550 King Pharmaceuticals, Inc.* 16,565,006
173,100 Medimmune, Inc.* 12,809,400
103,200 Millennium Pharmaceuticals* 11,545,500
275,600 Noven Pharmaceuticals, Inc.* 8,285,225
192,000 Priority Healthcare Corp. Class B* 14,268,000
30,000 Protein Design Labs, Inc.* 4,948,593
-----------
112,131,792
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
Restaurants - 1.1%
267,200 Applebee's International, Inc. $ 8,099,500
154,700 Brinker International, Inc.* 4,524,975
--------------
12,624,475
--------------
Retailers - 3.5%
472,900 BJ's Wholesale Club, Inc.* 15,605,700
186,500 Michaels Stores, Inc.* 8,544,031
774,900 Pier 1 Imports, Inc. 7,555,275
223,400 Zale Corp.* 8,154,100
--------------
39,859,106
--------------
Telephone Systems - 0.8%
267,500 Brightpoint, Inc.* 2,315,560
95,400 Powertel, Inc.* 6,767,438
--------------
9,082,998
--------------
Textiles, Clothing & Fabrics - 0.5%
173,700 Liz Claiborne, Inc. 6,122,925
--------------
Transportation - 0.5%
298,500 Avis Rent A Car, Inc.* 5,596,875
--------------
Total Common Stocks 1,127,608,096
--------------
(Cost $912,558,379)
Total Investments - 98.2% 1,127,608,096
--------------
(Cost $912,558,379)
Net Other Assets and Liabilities - 1.8% 20,277,569
--------------
Total Net Assets - 100.0% $1,147,885,665
==============
</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, 2000, the aggregate cost of investment securities for tax purposes
was $912,558,379. Net unrealized appreciation (depreciation) aggregated
$215,049,717, of which $274,006,566 related to appreciated investment securi-
ties and $(58,956,849) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$622,791,581 and $514,547,206 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $151,840,505.
The value of collateral amounted to $157,169,088 which consisted of cash equiv-
alents.
See Notes to Financial Statements.
--------------------------------------------
F-5
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
COMMON STOCKS - 97.0%
Advertising - 2.6%
48,300 Catalina Marketing Corp.* $ 4,926,600
78,000 DoubleClick, Inc.* 2,973,750
41,500 Lamar Advertising Company* 1,797,469
39,000 TMP Worldwide, Inc.* 2,878,687
-----------
12,576,506
-----------
Automotive - 0.4%
69,900 ITT Industries, Inc. 2,123,212
-----------
Banking - 1.2%
82,000 Capital One Financial Corp. 3,659,250
139,400 North Fork Bancorp., Inc. 2,108,425
-----------
5,767,675
-----------
Building Materials - 0.6%
68,600 Martin Marietta Materials, Inc. 2,774,012
-----------
Commercial Services - 8.2%
16,900 Affymetrix, Inc.* 2,790,612
22,000 BISYS Group, Inc.* 1,353,000
256,000 Concord EFS, Inc.* 6,656,000
43,000 eLoyalty Corp.* 548,250
24,000 Incyte Pharmaceuticals, Inc.* 1,972,500
148,000 Manpower, Inc. 4,736,000
386,500 Republic Services, Inc.* 6,184,000
256,000 Robert Half International, Inc.* 7,296,000
1,500 StorageNetworks, Inc.* 135,375
145,500 United Rentals, Inc.* 2,491,687
200,000 Viad Corp. 5,450,000
-----------
39,613,424
-----------
Communications - 1.2%
50,000 Covad Communications Group, Inc.* 806,250
15,000 Efficient Networks, Inc.* 1,103,437
96,000 McLeodUSA, Inc.* 1,986,000
22,000 Mercury Interactive Corp.* 2,128,500
-----------
6,024,187
-----------
Computer Software & Processing - 13.6%
147,800 Affiliated Computer Services, Class A* 4,886,637
83,600 Cambridge Technology Partners, Inc.* 728,892
165,100 Ceridian Corp.* 3,972,719
191,700 CIBER, Inc.* 2,540,025
87,000 CNET, Inc.* 2,136,937
33,400 Commerce One, Inc.* 1,516,046
3,200 CyberSource Corp.* 44,200
50,000 Electronic Arts, Inc.* 3,646,875
12,600 eSPEED, Inc.* 547,312
30,000 Fiserv, Inc.* 1,297,500
95,000 Homestore.com, Inc.* 2,772,812
147,000 Intuit, Inc.* 6,082,125
32,800 ISS Group, Inc.* 3,238,488
168,000 Keane, Inc.* 3,633,000
26,400 Macromedia, Inc.* 2,552,550
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-------------------------------------------------------------
Computer Software & Processing (continued)
43,000 Netiq Corp.* $ 2,563,901
233,100 NOVA Corp.* 6,512,231
130,000 Peregrine Systems, Inc.* 4,509,375
69,000 Priceline.com, Inc.* 2,620,924
85,000 Rhythms NetConnections, Inc.* 1,067,812
119,000 SunGard Data Systems, Inc.* 3,689,000
92,000 USinternetworking, Inc.* 1,880,250
44,000 Vitria Technology, Inc.* 2,689,500
37,800 Xpedior, Inc.* 522,112
-----------
65,651,223
-----------
Computers & Information - 1.2%
39,000 Digex, Inc.* 2,649,562
38,800 Informatica Corp.* 3,179,175
-----------
5,828,737
-----------
Electrical Equipment - 0.7%
85,000 Teleflex, Inc. 3,150,312
-----------
Electronics - 12.1%
132,000 Analog Devices, Inc.* 10,032,000
13,500 CTS Corp. 607,500
44,000 Flextronics International Ltd.* 3,022,250
52,000 Jabil Circuit, Inc.* 2,580,500
69,000 KLA-Tencor Corp.* 4,040,812
70,000 Lattice Semiconductor Corp.* 4,838,750
89,000 Maxim Integrated Products, Inc.* 6,046,438
33,000 Millipore Corp. 2,487,375
82,500 Molex Inc., Class A 2,887,500
33,800 PMC-Sierra, Inc.* 6,005,837
51,000 Sanmina Corp.* 4,360,500
106,900 SCI Systems, Inc.* 4,189,144
90,000 Xilinx, Inc.* 7,430,625
-----------
58,529,231
-----------
Entertainment & Leisure - 0.7%
141,500 Premier Parks, Inc.* 3,219,125
-----------
Financial Services - 5.6%
201,000 Federated Investors, Inc., Class B 7,047,563
213,000 Heller Financial, Inc. 4,366,500
86,000 Internet Capital Group, Inc.* 3,183,342
40,000 Nextcard, Inc.* 340,000
265,500 Waddell & Reed Financial, Class A 8,711,719
115,000 Waddell & Reed Financial, Class B 3,342,188
-----------
26,991,312
-----------
Food Retailers - 0.8%
115,000 Homegrocer.com, Inc.* 693,600
72,000 Whole Foods Market, Inc.* 2,974,500
-----------
3,668,100
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-6
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
------------------------------------------------------------------------------
Health Care Providers - 2.0%
174,000 Lincare Holding, Inc.* $ 4,284,750
74,000 Wellpoint Health Networks, Inc.* 5,360,375
-----------
9,645,125
-----------
Heavy Machinery - 2.0%
147,000 Pentair, Inc. 5,218,500
60,000 Smith International, Inc.* 4,368,750
-----------
9,587,250
-----------
Insurance - 3.1%
149,000 ACE, Ltd. 4,172,000
81,000 MGIC Investment Corp. 3,685,500
104,000 Protective Life Corp. 2,769,000
79,000 Radian Group, Inc. 4,088,250
-----------
14,714,750
-----------
Media - Broadcasting & Publishing - 2.0%
25,500 Allegiance Telecom, Inc.* 1,632,000
126,000 Charter Communications, Inc., Class A* 2,071,125
107,000 Rogers Communications, Inc., Class B* 3,049,500
28,000 Univision Communications, Inc.* 2,898,000
-----------
9,650,625
-----------
Medical Supplies - 4.0%
69,000 Danaher Corp. 3,411,188
381,000 Omnicare, Inc. 3,452,813
222,000 Sybron International Corp.* 4,398,375
63,800 Waters Corp.* 7,963,038
-----------
19,225,414
-----------
Metals - 0.3%
84,000 Allegheny Technologies, Inc. 1,512,000
-----------
Oil & Gas - 5.5%
92,000 BJ Services Co.* 5,750,000
137,000 Devon Energy Corp. 7,697,688
84,000 Diamond Offshore Drilling, Inc. 2,950,500
340,000 Ocean Energy, Inc.* 4,823,750
147,000 Tidewater, Inc. 5,292,000
-----------
26,513,938
-----------
Pharmaceuticals - 11.4%
17,500 Abgenix, Inc.* 2,097,540
9,000 ALZA Corp., Class A* 532,125
256,000 AmeriSource Health Corp., Class A* 7,936,000
91,000 Gilead Sciences, Inc.* 6,472,375
35,000 Idec Pharmaceuticals Corp.* 4,105,938
95,500 Medimmune, Inc.* 7,067,000
46,000 QLT Phototherapeutics, Inc.* 3,556,375
63,000 Sepracor, Inc.* 7,599,375
119,000 Shire Pharmaceuticals Group, Plc, ADR* 6,173,125
124,000 Teva Pharmaceutical Industries, Ltd., Sponsored ADR 6,874,250
44,000 Watson Pharmaceuticals, Inc.* 2,365,000
-----------
54,779,103
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------------
Restaurants - 0.9%
145,000 Outback Steakhouse, Inc.* $ 4,241,250
-----------
Retailers - 7.6%
146,500 BJ's Wholesale Club, Inc.* 4,834,500
103,000 Borders Group, Inc.* 1,602,938
192,000 Circuit City Stores-Circuit City Group 6,372,000
171,000 Consolidated Stores Corp.* 2,052,000
273,000 Family Dollar Stores, Inc. 5,340,563
114,000 MSC Industrial Co., Class A* 2,386,875
167,000 O'Reilly Automotive, Inc.* 2,317,125
82,600 Shopko Stores, Inc.* 1,269,975
130,000 Tech Data Corp.* 5,663,125
254,000 TJX Cos., Inc. 4,762,500
-----------
36,601,601
-----------
Securities Broker - 0.6%
181,000 E*TRADE Group, Inc.* 2,986,500
-----------
Telephone Systems - 5.9%
74,000 AT&T Canada, Inc.* 2,455,875
123,400 Crown Castle International Corp.* 4,504,100
76,000 Pinnacle Holdings, Inc.* 4,104,000
64,000 VoiceStream Wireless Corp.* 7,443,002
181,000 Western Wireless Corp., Class A* 9,864,500
-----------
28,371,477
-----------
Textiles, Clothing & Fabrics - 0.6%
124,500 Jones Apparel Group, Inc.* 2,925,750
-----------
Transportation - 2.2%
37,400 C.H. Robinson Worldwide, Inc. 1,851,300
35,000 Expeditors International of Washington, Inc. 1,662,500
171,000 Galileo International, Inc. 3,569,625
115,000 Hertz Corp. Class A 3,227,188
25,200 Royal Caribbean Cruises, Ltd. 466,200
-----------
10,776,813
-----------
Total Common Stocks 467,448,652
-----------
(Cost $368,689,101)
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-7
<PAGE>
Select Capital Appreciation Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Par Value
Value (Note 2)
<S> <C> <C>
-----------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (a) -
4.0%
Federal Home Loan Bank - 3.0%
$1,366,000 6.41%, 07/18/00 $ 1,361,865
5,000,000 6.45%, 09/07/00 4,939,083
2,510,000 6.46%, 07/21/00 2,500,992
2,000,000 6.48%, 07/03/00 1,999,280
3,481,000 6.50%, 07/05/00 3,478,486
------------
14,279,706
------------
Freddie Mac - 1.0%
5,030,000 6.41%, 07/14/00 5,018,348
------------
Total U.S. Government and
Agency Obligations 19,298,054
------------
(Cost $19,298,054)
Total Investments - 101.0% 486,746,706
------------
(Cost $387,987,155)
Net Other Assets and Liabilities - (1.0)% (4,963,301)
------------
Total Net Assets - 100.0% $481,783,405
============
</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.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $387,987,155. Net unrealized appreciation (depreciation) aggregated
$98,759,551, of which $136,793,004 related to appreciated investment securities
and $(38,033,453) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$172,078,954 and $123,152,512 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $60,418,547.
The value of collateral amounted to $63,173,723 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
------------------------------------------------------
F-8
<PAGE>
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-------------------------------------------------------------------
COMMON STOCKS - 96.2%
Automotive - 1.9%
195,628 Goodrich (B.F.) Co. $ 6,663,579
-----------
Banking - 1.0%
185,000 UnionBanCal Corp. 3,434,062
-----------
Beverages, Food & Tobacco - 2.6%
236,800 Keebler Food Co. 8,791,200
-----------
Chemicals - 1.6%
106,500 Sealed Air Corp.* 5,577,937
-----------
Commercial Services - 8.1%
36,500 Convergys Corp.* 1,893,437
113,800 Dun & Bradstreet Corp. 3,257,525
120,400 H&R Block, Inc. 3,897,950
314,800 Valassis Communications, Inc.* 12,001,750
240,500 Viad Corp. 6,553,625
-----------
27,604,287
-----------
Communications - 2.6%
157,500 L-3 Communications Holdings, Inc.* 8,987,344
-----------
Computer Software & Processing - 8.9%
218,950 Comdisco, Inc. 4,885,322
273,600 Electronics for Imaging, Inc.* 6,925,500
653,800 IMS Health, Inc. 11,768,400
355,300 S3, Inc.* 5,240,675
30,200 Symantec Corp.* 1,628,912
-----------
30,448,809
-----------
Computers & Information - 1.9%
250,300 Anixter International, Inc.* 6,632,950
-----------
Cosmetics & Personal Care - 1.8%
209,100 International Flavors & Fragrances, Inc. 6,312,206
-----------
Electric Utilities - 3.7%
314,100 Cinergy Corp. 7,989,919
129,800 Montana Power Co. 4,583,562
-----------
12,573,481
-----------
Electronics - 3.4%
107,600 Cypress Semiconductor Corp.* 4,546,100
115,600 Integrated Device Technology, Inc.* 6,921,550
-----------
11,467,650
-----------
Forest Products & Paper - 1.1%
109,200 Bemis Co. 3,671,850
-----------
Health Care Providers - 2.3%
106,800 Wellpoint Health Networks, Inc.* 7,736,325
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
--------------------------------------------------------------------
Heavy Machinery - 3.6%
233,600 Applied Power, Inc., Class A $ 7,825,600
236,900 Pall Corp. 4,382,650
-----------
12,208,250
-----------
Household Products - 2.2%
319,300 Fortune Brands, Inc. 7,363,856
-----------
Industrial - Diversified - 1.5%
57,300 FMC Corp.* 3,323,400
132,120 Johns Manville Corp. 1,742,332
-----------
5,065,732
-----------
Insurance - 15.9%
320,700 ACE, Ltd. 8,979,600
143,800 AMBAC Financial Group, Inc. 7,882,037
170,800 AON Corp. 5,305,475
423,100 Everest Re Group, Ltd. 13,909,412
145,400 Leucadia National Corp. 3,316,937
287,800 Reliastar Financial Corp. 15,091,512
-----------
54,484,973
-----------
Lodging - 2.3%
242,600 Starwood Hotels & Resorts Worldwide, Inc. 7,839,012
-----------
Media - Broadcasting & Publishing - 1.1%
84,200 Houghton Mifflin Co. 3,931,088
-----------
Medical Supplies - 6.4%
210,300 C.R. Bard, Inc. 10,120,688
466,500 Edwards Lifesciences Corp.* 8,921,813
135,800 Sybron International Corp.* 2,690,538
-----------
21,733,039
-----------
Metals - 1.7%
374,200 MascoTech, Inc. 4,046,038
62,300 Stillwater Mining Co.* 1,736,613
-----------
5,782,651
-----------
Oil & Gas - 10.4%
104,800 Amerada Hess Corp. 6,471,400
96,500 Columbia Energy Group 6,332,813
126,800 Dynegy, Inc. 8,662,025
99,700 Helmerich & Payne, Inc. 3,726,288
173,100 Kinder Morgan, Inc. 5,982,769
128,900 Santa Fe International Corp. 4,503,444
-----------
35,678,739
-----------
Pharmaceuticals - 0.2%
138,500 Bergen Brunswig Corp., Class A 761,750
-----------
Retailers - 4.7%
293,700 Harcourt General, Inc. 15,969,938
-----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-9
<PAGE>
Select Value Opportunity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
Securities Broker - 1.8%
145,000 Bear Stearns Cos., Inc. $ 6,035,625
------------
Telephone Systems - 1.0%
126,700 BroadWing, Inc. 3,286,281
------------
Transportation - 2.5%
98,100 Kansas City Southern Industries, Inc. 8,700,244
------------
Total Common Stocks 328,742,858
------------
(Cost $289,401,655)
<CAPTION>
Par Value
----------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATION (a) - 0.9%
U.S. Treasury Bills - 0.9%
$3,000,000 5.32%, 07/20/00 2,991,577
------------
Total U.S. Government Obligation
(Cost $2,991,577) 2,991,577
------------
Total Investments - 97.1% 331,734,435
------------
(Cost $292,393,232)
Net Other Assets and Liabilities - 2.9% 9,874,763
------------
Total Net Assets - 100.0% $341,609,198
============
</TABLE>
------------------
* Non-income producing security.
(a) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $292,393,232. Net unrealized appreciation (depreciation) aggregated
$39,341,203, of which $58,036,983 related to appreciated investment securities
and $(18,695,780) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$230,230,581 and $222,851,980 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $20,505,868.
The value of collateral amounted to $21,265,025 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
------------------------------------------------------
F-10
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
------------------------------------------------------------
COMMON STOCKS - 94.6%
Australia - 3.7%
120,830 Brambles Industries, Ltd. $ 3,709,445
369,570 National Australia Bank, Ltd. 6,165,684
740,334 News Corp., Ltd. 10,182,776
966,300 Telstra Corp. 3,917,863
414,617 Westpac Banking Corp., Ltd. 2,987,772
-----------
26,963,540
-----------
China - 0.7%
23,302,000 Petrochina Co. Ltd. * 4,842,156
-----------
Denmark - 0.6%
65,460 Tele Danmark 4,404,640
-----------
France - 10.7%
190,530 Alcatel Alsthom 12,487,508
189,743 Aventis 13,838,830
106,707 Axa 16,797,037
74,460 Michelin, Class B 2,387,523
104,980 Total SA, Class B 16,084,511
195,160 Vivendi 17,212,878
-----------
78,808,287
-----------
Germany - 3.5%
291,284 Bayerische Motoren Werke (BMW) AG 8,795,204
101,680 HypoVereinsbank 6,605,997
204,309 Veba AG 10,018,568
-----------
25,419,769
-----------
Hong Kong - 2.4%
409,000 Cheung Kong Holdings Ltd. 4,525,217
696,000 China Telecom, Ltd. 6,138,163
1,532,000 China Unicom Limited * 3,252,436
295,500 Hong Kong Electric 951,451
415,000 Sun Hung Kai Properties Ltd. 2,981,194
-----------
17,848,461
-----------
Italy - 3.1%
850,028 ENI 4,906,192
1,285,652 Telecom Italia 17,662,030
-----------
22,568,222
-----------
Japan - 17.4%
37,300 Acom Co., Ltd. 3,134,987
219,000 Bank of Tokyo Mitsubishi 2,643,352
362,000 Canon, Inc. 18,009,609
166,000 Fuji Photo Film 6,788,271
961,000 Hitachi Ltd (Hit. Seisakusho) 13,854,064
82,000 Honda Motor Co., Ltd. 2,789,222
65,000 Hoya Corp. 5,818,338
153,500 Kao Corp. 4,686,140
64,000 Murata Manufacturing Co., Ltd. 9,178,176
437,000 NEC Corp. 13,711,574
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------------------
Japan (continued)
476 Nippon Telegraph & Telephone Corp. $ 6,323,942
261 NTT Mobile Communcations Network, Inc. 7,058,042
26,200 Rohm Co., Ltd. 7,652,878
188,000 Shiseido Co., Ltd. 2,905,108
73,100 Sony Corp. 6,818,900
202,000 Takeda Chemical Industries, Ltd. 13,247,140
26,600 Takefuji Corp. 3,210,647
-----------
127,830,390
-----------
Netherlands - 11.8%
351,187 ABN-Amro Holdings 8,597,093
319,581 Elsevier NV 3,869,007
119,465 Fortis (NL) NV 3,474,998
59,020 Heineken NV 3,589,508
368,352 ING Groep NV 24,880,115
244,985 Koninklijke Ahold, NV 7,205,572
177,183 Koninklijke, NV 8,350,351
270,790 KPN NV 12,103,149
130,810 Royal Dutch Petroleum Co. 8,124,151
151,235 TNT Post Group, NV 4,075,934
46,350 VNU NV 2,392,230
-----------
86,662,108
-----------
New Zealand - 0.1%
221,966 Telecom Corp. of New Zealand, Ltd. 775,749
-----------
Portugal - 0.3%
127,317 Electricidade de Portugal 2,310,218
-----------
Singapore - 1.3%
429,075 DBS Group Holdings Ltd. 5,515,630
254,200 Overseas Chinese Banking Corp. 1,751,590
150,000 Singapore Press Holdings, Ltd. 2,345,100
-----------
9,612,320
-----------
South Korea - 0.6%
52,475 Korea Telecom Corp., Sponsored ADR 2,538,478
71,600 Pohang Iron & Steel Co., Sponsored ADR 1,718,400
-----------
4,256,878
-----------
Spain - 2.3%
695,214 Banco de Santander 7,328,876
446,347 Telefonica SA * 9,581,017
-----------
16,909,893
-----------
Sweden - 1.2%
427,980 Ericsson AB 8,475,092
-----------
Switzerland - 9.0%
4,225 Alusuisse Lonza Holdings, Registered 2,753,970
1,043 Givaudan* 317,543
4,225 Lonza AG, Registered 2,202,140
7,752 Nestle SA 15,520,162
7,338 Novartis AG 11,627,049
1,043 Roche Holdings AG 10,156,267
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-11
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
----------------------------------------------------------------------
Switzerland (continued)
6,122 Schweiz Rueckverisch, Sponsored ADR $ 12,482,003
75,480 Union Bank of Switzerland 11,061,881
------------
66,121,015
------------
United Kingdom - 25.9%
138,000 3I Group, Plc 2,840,261
548,925 Allied Zurich, Plc 6,480,169
462,515 Barclays Bank, Plc 11,487,578
148,439 British American Tobacco Industries, Plc 993,636
1,488,200 BTR Siebe, Plc, Sponsored ADR 5,583,875
751,350 Cable & Wireless, Plc 12,767,165
820,960 Cadbury Schweppes, Plc 5,399,126
912,912 Diageo, Plc 8,177,866
355,331 EMI Group, Plc 3,298,786
432,100 Glaxo Wellcome, Plc 12,597,184
1,022,542 Granada Group, Plc 10,065,903
934,200 Hilton Group, Plc 3,282,405
908,096 Lloyds TSB Group, Plc 8,609,204
615,317 Marconi, Plc 8,014,135
225,450 Old Mutual, Plc 495,945
170,720 Pearson, Plc 5,364,893
246,535 Peninsular & Oriental Steam Navigation Co. 2,113,273
838,600 Prudential Corp., Plc 12,293,876
106,260 Railtrack Group, Plc 1,647,083
326,250 Reuters Group, Plc 5,568,435
77,450 RMC Group, Plc 1,008,740
1,912,896 Shell Transportation & Trading, Plc 16,107,349
332,400 TI Group, Plc 1,794,661
8,611,366 Vodafone Airtouch, Plc 34,951,812
190,775 Zeneca Group, Plc 8,916,118
------------
189,859,478
------------
Total Common Stocks 693,668,216
------------
(Cost $557,867,371)
Total Investments - 94.6% 693,668,216
------------
(Cost $557,867,371)
Net Other Assets and Liabilities - 5.4% 39,445,021
------------
Total Net Assets - 100.0% $733,113,237
============
</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.
Industry Concentration
of Common Stocks
as a Percentage of Net
Assets:
<TABLE>
<S> <C>
Telephone Systems 16.1%
Banking 11.2
Pharmaceuticals 9.7
Electronics 7.4
Insurance 7.1
Oil & Gas 6.8
Communications 5.0
Beverages, Food & Tobacco 4.6
Media - Broadcasting &
Publishing 4.1
Industrial - Diversified 3.4
Electrical Equipment 3.1
Financial Services 2.3
Automotive 1.9
Electric Utilities 1.8
Entertainment & Leisure 1.8
Chemicals 1.6
Food Retailers 1.0
Real Estate 1.0
Transportation 1.0
Commercial Services 0.9
Medical Supplies 0.8
Cosmetics & Personal Care 0.6
Metals 0.6
Lodging 0.5
Miscellaneous 0.2
Building Materials 0.1
Net Other Assets and
Liabilities 5.4
-----
Total 100.0%
=====
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-12
<PAGE>
Select International Equity Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED:
<TABLE>
<CAPTION>
Contracts To Unrealized Appreciation
Receive Currency Settlement Dates Contracts At Value In Exchange For U.S. $ (Depreciation)
------------ -------- ---------------- ------------------ ---------------------- -----------------------
<C> <S> <C> <C> <C> <C>
3,449,215 EUR 07/03/00 $ 3,291,224 $ 3,286,067 $ 5,157
541,026 EUR 07/31/00 517,225 516,410 815
369,144,000 JPY 07/03/00 3,480,279 3,521,022 (40,743)
1,263,606 CHF 07/03/00 775,080 773,368 1,712
------------------ ---------------------- -----------------------
$ 8,063,808 $ 8,096,867 $ (33,059)
================== ====================== =======================
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<CAPTION>
Contracts To Unrealized Appreciation
Deliver Currency Settlement Dates Contracts At Value In Exchange For U.S. $ (Depreciation)
------------ -------- ---------------- ------------------ ---------------------- -----------------------
<C> <S> <C> <C> <C> <C>
247,171 GBP 07/03/00 $ 374,339 $ 370,312 $ (4,027)
235,734 GBP 07/05/00 357,033 356,760 (273)
409,678,315 JPY 07/03/00 3,862,436 3,892,610 30,174
590,570,000 JPY 07/18/00 5,584,370 5,662,224 77,854
347,056,000 JPY 07/28/00 3,288,219 3,337,077 48,858
307,605,000 JPY 08/09/00 2,920,615 2,886,142 (34,473)
584,299,000 JPY 08/21/00 5,559,235 5,543,634 (15,601)
497,728,000 JPY 08/30/00 4,742,965 4,690,900 (52,065)
371,882,000 JPY 09/05/00 3,547,549 3,587,690 40,141
------------------ ---------------------- -----------------------
$ 30,236,761 $ 30,327,349 $ 90,588
================== ====================== =======================
</TABLE>
------------------
CHFSwiss Franc
EUREuro Currency
GBPBritish Pound Sterling
JPYJapanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost on investment securities for tax purposes
was $557,867,371. Net unrealized appreciation (depreciation) aggregated
$135,800,845, of which $171,511,373 related to appreciated investment securi-
ties and $(35,710,528) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$177,149,583 and $92,575,943 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $74,044,620.
The value of collateral amounted to $78,039,259 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
--------------------------------------------
F-13
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 97.5%
Advertising - 1.4%
267,700 Interpublic Group of Companies, Inc. $11,511,100
63,200 Omnicom Group, Inc. 5,628,750
-----------
17,139,850
-----------
Apparel Retailers - 0.4%
93,600 Kohls Corp.* 5,206,500
-----------
Banking - 4.5%
84,300 Bank of America Corp. 3,624,900
6,700 Bank of New York Co., Inc. 311,550
465,050 Citigroup, Inc. 28,019,262
151,700 Fifth Third Bancorp 9,595,025
394,300 Firstar Corp. 8,304,944
50,100 Northern Trust Corp. 3,259,631
3,200 State Street Corp. 339,400
54,500 Zions Bancorp. 2,501,038
-----------
55,955,750
-----------
Beverages, Food & Tobacco - 0.8%
65,800 Anheuser-Busch Companies, Inc. 4,914,437
135,200 Sysco Corp. 5,695,300
-----------
10,609,737
-----------
Building Materials - 1.8%
462,950 Home Depot, Inc. 23,118,566
-----------
Chemicals - 1.3%
88,600 Avery Dennison Corp. 5,947,275
154,500 Praxair, Inc. 5,784,094
79,300 Sealed Air Corp.* 4,153,337
-----------
15,884,706
-----------
Communications - 5.6%
92,200 Echostar Communications Corp.* 3,052,687
250,200 Nextel Communications, Inc., Class A* 15,309,112
292,800 Nokia Oyj Corp., Sponsored ADR 14,621,700
410,600 Nortel Networks Corp. 28,023,450
131,000 Tellabs, Inc.* 8,965,312
-----------
69,972,261
-----------
Computer Software & Processing - 9.6%
185,500 America Online, Inc.* 9,785,125
93,200 BEA Systems, Inc.* 4,607,575
52,000 Brocade Communications Systems, Inc.* 9,541,189
62,500 I2 Technologies, Inc.* 6,516,600
427,700 Microsoft Corp.* 34,216,000
193,700 Oracle Corp.* 16,282,906
214,700 Sun Microsystems, Inc.* 19,524,281
131,650 VERITAS Software Corp.* 14,878,504
39,600 Yahoo!, Inc.* 4,905,450
-----------
120,257,630
-----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------------
<C> <S> <C>
Computers & Information - 8.4%
211,400 Apple Computer, Inc.* $11,072,075
694,400 Cisco Systems, Inc.* 44,137,800
82,400 Comverse Technology, Inc.* 7,663,200
264,000 EMC Corp.* 20,311,500
112,800 Hewlett-Packard Co. 14,085,900
47,900 Siebel Systems, Inc.* 7,834,644
-----------
105,105,119
-----------
Cosmetics & Personal Care - 1.8%
75,600 Avon Products, Inc. 3,364,200
163,600 Colgate-Palmolive Co. 9,795,550
203,300 Estee Lauder Cos., Inc., Class A 10,050,644
-----------
23,210,394
-----------
Electronics - 9.5%
27,100 Broadcom Corp.* 5,933,206
69,700 General Motors Corp., Class H* 6,116,175
329,300 Intel Corp. 44,023,294
172,900 Linear Technology Corp. 11,054,794
117,400 LSI Logic Corp.* 6,354,275
155,400 SCI Systems, Inc.* 6,089,737
122,100 Teradyne, Inc.* 8,974,350
279,400 Texas Instruments, Inc. 19,191,287
144,000 Xilinx, Inc.* 11,889,000
-----------
119,626,118
-----------
Financial Services - 2.4%
368,600 American Express Co. 19,213,275
339,750 Charles Schwab Corp. 11,424,094
-----------
30,637,369
-----------
Forest Products & Paper - 0.9%
206,300 Kimberly-Clark Corp. 11,836,462
-----------
Heavy Machinery - 1.4%
194,400 Applied Materials, Inc.* 17,617,500
-----------
Household Products - 1.1%
52,900 Corning, Inc. 14,276,387
-----------
Industrial - Diversified - 7.6%
956,400 General Electric Co. 50,689,200
929,400 Tyco International, Ltd. 44,030,325
-----------
94,719,525
-----------
Insurance - 2.3%
207,150 American International Group, Inc. 24,340,125
45,800 CIGNA Corp. 4,282,300
-----------
28,622,425
-----------
Media - Broadcasting & Publishing - 5.8%
227,100 Clear Channel Communications, Inc.* 17,032,500
213,500 Time Warner, Inc. 16,226,000
571,461 Viacom, Inc., Class B* 38,966,497
-----------
72,224,997
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-14
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------------------
<C> <S> <C>
Medical Supplies - 3.4%
153,500 Allergan, Inc. $ 11,435,750
94,700 Baxter International, Inc. 6,658,594
152,000 JDS Uniphase Corp.* 18,221,000
95,900 PE Corp. - PE Biosystems Group 6,317,413
-------------
42,632,757
-------------
Oil & Gas - 5.6%
138,300 Anadarko Petroleum Corp. 6,819,919
121,400 Apache Corp. 7,139,838
401,900 Conoco, Inc., Class A 8,841,800
306,700 Enron Corp. 19,782,150
209,000 Exxon Mobil Corp. 16,406,500
179,800 Royal Dutch Petroleum Co. 11,068,938
-------------
70,059,145
-------------
Pharmaceuticals - 9.5%
195,000 American Home Products Corp. 11,456,250
232,800 AMGEN, Inc.* 16,354,200
65,400 Genentech, Inc.* 11,248,800
83,900 Lilly (Eli) & Co. 8,379,513
791,175 Pfizer, Inc. 37,976,400
175,600 Pharmacia Corp. 9,076,325
480,400 Schering-Plough Corp. 24,260,200
-------------
118,751,688
-------------
Retailers - 4.6%
165,900 CVS Corp. 6,636,000
225,300 RadioShack Corp. 10,673,588
179,100 Target Corp. 10,387,800
391,600 TJX Cos., Inc. 7,342,500
402,200 Wal-Mart Stores, Inc. 23,176,775
-------------
58,216,663
-------------
Securities Broker - 1.1%
59,200 Merrill Lynch & Co., Inc. 6,808,000
77,400 Morgan Stanley Dean Witter & Co. 6,443,550
-------------
13,251,550
-------------
Telephone Systems - 6.3%
151,900 Alltel Corp. 9,408,306
985,800 AT&T Corp. - Liberty Media Group, Class A * 23,905,650
284,600 Sprint Corp. 14,514,600
203,900 Sprint Corp. (PCS Group) * 12,132,050
266,400 Vodafone AirTouch, Plc 11,038,950
71,371 VoiceStream Wireless Corp. * 8,300,226
-------------
79,299,782
-------------
Transportation - 0.4%
83,600 United Parcel Service, Class B 4,932,400
-------------
Total Common Stocks 1,223,165,281
-------------
(Cost $913,502,186)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
---------------------------------------------------------------------------
<C> <S> <C>
U.S. AGENCY OBLIGATION - 0.5%
Sallie Mae - 0.5%
$6,000,000 6.34%, 08/14/01(a) $6,000,000
----------
Total U.S. Agency Obligation 6,000,000
----------
(Cost $6,000,000)
CORPORATE NOTES AND BONDS - 0.7%
Automotive - 0.1%
1,100,000 Ford Motor Credit Corp.
6.25%, 11/08/00 1,096,552
----------
Chemicals - 0.4%
5,000,000 Du Pont (E.I.) De Nemours and Co. 6.63%, 08/29/00 4,999,500
----------
Securities Broker - 0.2%
1,000,000 Morgan Stanley Dean Witter & Co.
6.80%, 04/16/01 1,001,595
1,300,000 Paine Webber Group, Inc.
5.83%, 01/25/01 1,288,791
----------
2,290,386
----------
Total Corporate Notes and Bonds 8,386,438
----------
(Cost $8,434,534)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 0.1%
1,746,990 Huntington Auto Trust, Series 2000-A,
Class A1, CMO
6.32%, 04/15/01 1,744,260
----------
Total Asset-Backed and Mortgage-Backed Securities 1,744,260
(Cost $1,746,990) ----------
COMMERCIAL PAPER (b) - 1.8%
Banking - 0.3%
3,000,000 Christiania Bank
6.65%, 09/12/00 2,959,515
----------
Financial Services - 0.8%
10,000,000 ASAP Funding, Ltd.
7.20%, 07/05/00 9,992,000
----------
Securities Broker - 0.7%
8,900,000 Paine Webber Group, Inc.
7.10%, 07/03/00 8,896,490
----------
Total Commercial Paper 21,848,005
(Cost $21,848,005) ----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-15
<PAGE>
Select Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANY - 0.0%
432,226 SSgA Prime Money Market Fund $ 432,226
--------------
Total Investment Company 432,226
(Cost $432,226) --------------
Total Investments - 100.6% 1,261,576,210
(Cost $951,963,941) --------------
Net Other Assets and Liabilities -
(0.6)% (7,157,804)
--------------
Total Net Assets - 100.0% $1,254,418,406
==============
</TABLE>
------------------
* Non-income producing security.
(a) Variable rate security. The rate shown reflects rate in effect at June 30,
2000.
(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.
CMO Collateralized Mortgage Obligation.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $951,963,941. Net unrealized appreciation (depreciation) aggregated
$309,612,269, of which $346,439,782 related to appreciated investment securi-
ties and $(36,827,513) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$453,698,068 and $384,148,055 of non-governmental issuers, respectively, and
$6,000,000 and $9,418,867 of U.S. Government and Agency issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $133,801,138.
The value of collateral amounted to $139,415,825 which consisted of cash equiv-
alents.
See Notes to Financial Statements.
------------------------------------------------------
F-16
<PAGE>
Select Strategic Growth Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 95.3%
Advertising - 0.5%
6,900 Mypoints.com, Inc.* $ 130,776
7,200 Ventiv Health, Inc.* 80,100
----------
210,876
----------
Commercial Services - 15.9%
8,000 About.com* 252,000
2,600 Alteon Websystems, Inc.* 260,162
3,600 Celgene Corp.* 211,950
3,200 Checkfree Holdings Corp.* 165,000
10,000 Corporate Executive Board Co.* 598,750
3,500 Critical Path, Inc.* 204,094
20,700 CSG Systems International, Inc.* 1,160,494
22,500 Dendrite International, Inc.* 749,531
3,200 Diamond Technology Partners, Inc.* 281,600
8,600 eLoyalty Corp.* 109,650
400 Exult, Inc.* 4,000
10,100 Goto.com, Inc.* 154,656
18,400 Hotjobs.com, Ltd.* 254,150
300 I3 Mobile, Inc.* 5,512
5,800 Interwoven, Inc.* 637,910
11,300 Iprint.com, Inc.* 55,441
5,100 Lexicon Genetics, Inc.* 175,312
14,400 Macrovision Corp.* 920,475
3,300 Probusiness Services, Inc.* 87,656
1,700 Register.com, Inc.* 51,956
6,100 Versata, Inc.* 245,906
600 WebMethods, Inc.* 94,312
----------
6,680,517
----------
Communications - 11.8%
200 Accelerated Networks, Inc.* 8,437
1 COMSAT Corp. 24
44,400 Exodus Communications, Inc.* 2,045,175
10,000 Lifeminders, Inc.* 295,625
6,200 Mercury Interactive Corp.* 599,850
10,200 Netro Corp.* 585,225
4,200 Pegasus Communications Corp.* 206,062
5,100 Polycom, Inc.* 479,878
2,100 Powerwave Technologies, Inc.* 92,400
2,700 Sonus Networks, Inc.* 426,262
6,500 Spectrasite Holdings, Inc.* 184,437
----------
4,923,375
----------
Computer Software & Processing - 26.6%
4,700 Active Software, Inc.* 365,131
6,000 Agile Software Corp.* 424,125
1,100 Click Commerce, Inc.* 24,887
2,300 E.piphany, Inc.* 246,531
8,900 Extensity, Inc.* 304,825
17,300 HNC Software, Inc.* 1,068,275
2,300 Keynote Systems, Inc.* 162,294
3,300 Macromedia, Inc.* 319,069
7,000 Micromuse, Inc.* 1,158,391
3,300 Netiq Corp.* 196,762
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
----------------------------------------------------------------
<C> <S> <C>
Computer Software & Processing (continued)
17,000 Peregrine Systems, Inc.* $ 589,687
6,600 Quest Software, Inc.* 365,475
14,200 Razorfish, Inc.* 228,087
6,700 Retek, Inc.* 214,400
3,100 Saba Software, Inc.* 65,100
4,900 Scient Corp.* 216,213
7,200 Selectica, Inc.* 504,450
7,500 Smartforce Plc* 360,000
3,300 Software.com, Inc.* 428,588
16,800 Tibco Software, Inc.* 1,801,538
6,700 TriZetto Group, Inc.* 108,456
5,100 Verio, Inc.* 282,970
7,000 VeriSign, Inc.* 1,235,500
6,600 Viant Corp.* 195,525
5,100 Vignette Corp.* 265,280
----------
11,131,559
----------
Computers & Information - 12.4%
814 Cisco Systems, Inc.* 51,748
3,200 Cobalt Networks, Inc.* 185,200
5,300 Digex, Inc.* 360,069
7,000 Informatica Corp.* 573,563
25,600 Infospace.com, Inc.* 1,414,400
15,300 Mcafee.com Corp.* 398,756
7,000 Navisite, Inc.* 292,688
8,600 Predictive Systems, Inc.* 309,063
8,200 Proxicom, Inc.* 392,575
7,500 Siebel Systems, Inc.* 1,226,719
----------
5,204,781
----------
Electric Utilities - 0.2%
10,000 Independent Energy Holdings Plc* 83,125
----------
Electrical Equipment - 1.2%
11,200 Micrel, Inc.* 486,500
----------
Electronics - 9.2%
2,100 Exar Corp.* 183,094
29,100 Gemstar International Group, Ltd.* 1,788,285
400 Marvell Technology Group, Ltd.* 22,800
10,300 Maxim Integrated Products, Inc.* 699,756
9,000 Semtech Corp.* 688,360
5,800 Silicon Image, Inc.* 289,275
2,500 Transwitch Corp.* 192,969
----------
3,864,539
----------
Entertainment & Leisure - 0.5%
6,600 Westwood One, Inc.* 225,225
----------
Financial Services - 0.2%
8,700 Nextcard, Inc.* 73,950
----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-17
<PAGE>
Select Strategic Growth Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
----------------------------------------------------------------------
<C> <S> <C>
Heavy Machinery - 1.1%
2,900 Capstone Turbine Corp.* $ 130,681
1,400 Gasonics International Corp.* 55,213
4,600 Varian Semiconductor Equipment Associates, Inc.* 288,938
----------
474,832
----------
Media - Broadcasting & Publishing - 3.8%
3,400 Citadel Communications Corp.* 118,788
6,900 Cox Radio, Inc.* 193,200
8,600 Emmis Communications Corp.* 355,825
2,600 Entercom Communications Corp.* 126,750
10,200 Mediacom Communications Corp.* 156,825
8,500 Radio One, Inc.* 251,281
17,000 Radio One, Inc., Class D* 375,063
----------
1,577,732
----------
Medical Supplies - 0.9%
4,400 Cymer, Inc.* 210,100
1,300 Diametrics Medical, Inc.* 7,353
4,100 Emisphere Technologies, Inc.* 174,699
----------
392,152
----------
Pharmaceuticals - 7.5%
15,100 Alkermes, Inc.* 711,588
7,600 Andrx Corp.* 485,806
3,700 Aurora Biosciences Corp.* 252,294
7,000 Imclone Systems, Inc.* 535,063
5,500 Medarex, Inc.* 464,750
2,000 Protein Design Labs, Inc.* 329,906
6,100 Titan Pharmaceuticals, Inc.* 262,300
1,100 United Therapeutics Corp.* 119,213
----------
3,160,920
----------
Retailers - 1.6%
9,600 Cost Plus, Inc.* 275,400
4,600 eBay, Inc.* 249,838
5,700 Linens 'N Things, Inc.* 154,613
----------
679,851
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------
<C> <S> <C> <C>
Securities Broker - 0.9%
21,400 E*TRADE Group, Inc.* $ 353,100
-----------
Telephone Systems - 1.0%
6,300 AT&T Canada, Inc.* 209,081
14,700 Network Plus Corp.* 208,556
-----------
417,637
-----------
Total Common Stocks 39,940,671
-----------
(Cost $39,626,548)
Total Investments - 95.3% 39,940,671
-----------
(Cost $39,626,548)
Net Other Assets and
Liabilities - 4.7% 1,990,582
-----------
Total Net Assets - 100.0% $41,931,253
===========
</TABLE>
------------------
* Non-income producing security.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $39,626,548. Net unrealized appreciation (depreciation) aggregated
$314,123, of which $5,127,292 related to appreciated investment securities and
$(4,813,169) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $53,080,620
and $40,540,110 of non-governmental issuers, respectively.
See Notes to Financial Statements.
------------------------------------------------------
F-18
<PAGE>
Core Equity Fund (Formerly Growth Fund)
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 99.0%
Aerospace & Defense - 0.5%
163,050 Honeywell International, Inc. $5,492,747
----------
Apparel Retailers - 1.1%
373,500 Gap, Inc. 11,671,875
----------
Automotive - 0.4%
48,900 Ford Motor Co. 2,102,700
42,015 General Motors Corp. 2,439,496
6,403 Visteon Corp.* 77,632
----------
4,619,828
----------
Banking - 6.2%
158,100 Bank of America Corp. 6,798,300
220,100 Bank of New York Co., Inc. 10,234,650
154,650 Chase Manhattan Corp. 7,123,566
341,050 Citigroup, Inc. 20,548,262
234,600 Firstar Corp. 4,941,262
273,800 SLM Holding Corp. 10,250,387
242,200 Washington Mutual, Inc. 6,993,525
----------
66,889,952
----------
Beverages, Food & Tobacco - 4.7%
127,300 Anheuser-Busch Companies, Inc. 9,507,719
222,600 Coca-Cola Co. 12,785,587
177,200 General Mills, Inc. 6,777,900
221,300 PepsiCo, Inc. 9,834,019
210,300 Philip Morris Cos., Inc. 5,586,094
115,200 Safeway, Inc.* 5,198,400
22,300 Seagram Co., Ltd. 1,293,400
----------
50,983,119
----------
Building Materials - 0.5%
109,600 Home Depot, Inc. 5,473,150
----------
Chemicals - 1.2%
164,600 Du Pont (E.I.) De Nemours and Co. 7,201,250
473,800 Grace (W.R.) & Co.* 5,744,825
----------
12,946,075
----------
Commercial Services - 1.2%
269,500 Halliburton Co. 12,717,031
----------
Communications - 4.8%
31,200 ADC Telecommunications, Inc.* 2,616,900
32,500 Echostar Communications Corp.* 1,076,055
264,000 Lucent Technologies, Inc. 15,642,000
44,200 Network Appliance, Inc.* 3,558,100
68,800 Nokia Oyj Corp., Sponsored ADR 3,435,700
327,800 Nortel Networks Corp. 22,372,350
47,800 Qualcomm, Inc.* 2,868,000
----------
51,569,105
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------
<C> <S> <C>
Computer Software & Processing - 8.6%
197,600 America Online, Inc.* $10,423,400
117,100 Computer Associates International, Inc. 5,994,056
95,300 Electronic Data Systems Corp. 3,931,125
285,000 Genuity, Inc.* 2,609,545
438,800 Microsoft Corp.* 35,104,000
218,400 Oracle Corp.* 18,359,250
104,500 Sun Microsystems, Inc.* 9,502,969
25,200 VERITAS Software Corp.* 2,847,993
37,000 Yahoo!, Inc.* 4,583,375
-----------
93,355,713
-----------
Computers & Information - 10.9%
463,200 Cisco Systems, Inc.* 29,442,150
623,600 Compaq Computer Corp. 15,940,775
582,500 Dell Computer Corp.* 28,724,531
156,500 EMC Corp.* 12,040,719
235,100 International Business Machines Corp. 25,758,144
79,600 Minnesota Mining and Manufacturing Co. 6,567,000
-----------
118,473,319
-----------
Cosmetics & Personal Care - 1.7%
310,400 Avon Products, Inc. 13,812,800
76,900 Procter & Gamble Co. 4,402,525
-----------
18,215,325
-----------
Electrical Equipment - 0.9%
35,100 American Power Conversion Corp.* 1,432,519
144,100 Emerson Electric Co. 8,700,037
-----------
10,132,556
-----------
Electronics - 6.7%
52,400 General Motors Corp., Class H* 4,598,100
351,500 Intel Corp. 46,991,156
68,300 Micron Technology, Inc.* 6,014,669
90,590 Motorola, Inc. 2,632,772
121,000 Texas Instruments, Inc. 8,311,187
89,300 Titan Corp.* 3,996,175
-----------
72,544,059
-----------
Entertainment & Leisure - 0.5%
143,600 Walt Disney Co. 5,573,475
-----------
Financial Services - 1.9%
184,200 American Express Co. 9,601,425
145,000 Charles Schwab Corp. 4,875,625
150,900 Freddie Mac 6,111,450
-----------
20,588,500
-----------
Forest Products & Paper - 0.3%
50,300 Kimberly-Clark Corp. 2,885,962
-----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-19
<PAGE>
Core Equity Fund (Formerly Growth Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
----------------------------------------------------------------
<C> <S> <C>
Health Care Providers - 1.2%
162,000 HCA - The Healthcare Corporation $4,920,750
361,000 HEALTHSOUTH Corp.* 2,594,687
206,400 Tenet Healthcare Corp. 5,572,800
----------
13,088,237
----------
Heavy Machinery - 2.0%
109,200 Applied Materials, Inc.* 9,896,250
126,000 Dover Corp. 5,110,875
91,700 Smith International, Inc.* 6,676,906
----------
21,684,031
----------
Household Products - 1.5%
37,300 Corning, Inc. 10,066,337
173,200 Rohm & Haas Co. 5,975,400
----------
16,041,737
----------
Industrial - Diversified - 6.3%
858,300 General Electric Co. 45,489,900
491,100 Tyco International, Ltd. 23,265,862
----------
68,755,762
----------
Insurance - 2.8%
49,700 American General Corp. 3,031,700
135,000 American International Group, Inc. 15,862,500
69,000 Marsh & McLennan Cos., Inc. 7,206,188
73,300 XL Capital, Ltd. 3,967,363
----------
30,067,751
----------
Media - Broadcasting & Publishing - 2.5%
89,800 Comcast Corp., Class A* 3,636,900
255,000 News Corp., Ltd., Sponsored, Preferred ADR 12,112,500
115,800 Time Warner, Inc. 8,800,800
33,600 Viacom, Inc., Class B* 2,291,100
----------
26,841,300
----------
Medical Supplies - 1.8%
50,500 Agilent Technologies, Inc.* 3,724,375
97,200 Baxter International, Inc. 6,834,375
25,900 JDS Uniphase Corp.* 3,104,763
120,300 Medtronic, Inc. 5,992,444
----------
19,655,957
----------
Metals - 0.5%
77,808 Alcoa, Inc. 2,256,432
161,300 Masco Corp. 2,913,481
----------
5,169,913
----------
Oil & Gas - 6.2%
109,400 Coastal Corp. 6,659,725
134,700 Exxon Mobil Corp. 10,573,950
225,700 Global Marine, Inc.* 6,361,919
259,000 Nabors Industries, Inc.* 10,764,688
432,300 R&B Falcon Corp.* 10,186,069
132,400 Royal Dutch Petroleum Co. 8,150,875
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------------
<C> <S> <C>
Oil & Gas (continued)
210,500 Santa Fe International Corp. $ 7,354,344
143,400 Texaco, Inc. 7,636,050
--------------
67,687,620
--------------
Pharmaceuticals - 9.6%
196,800 Abbott Laboratories 8,769,900
161,200 American Home Products Corp. 9,470,500
40,700 AMGEN, Inc.* 2,859,175
99,800 Bristol-Myers Squibb Co. 5,813,350
121,600 Johnson & Johnson 12,388,000
57,100 Lilly (Eli) & Co. 5,702,863
126,200 Merck & Co., Inc. 9,670,075
639,750 Pfizer, Inc. 30,708,000
205,200 Pharmacia Corp. 10,606,275
156,200 Schering-Plough Corp. 7,888,100
--------------
103,876,238
--------------
Retailers - 4.5%
106,500 Circuit City Stores - Circuit City Group 3,534,469
261,300 Costco Wholesale Corp.* 8,622,900
119,500 CVS Corp. 4,780,000
270,600 RadioShack Corp. 12,819,675
333,100 Wal-Mart Stores, Inc. 19,194,888
--------------
48,951,932
--------------
Securities Broker - 0.7%
69,000 Merrill Lynch & Co., Inc. 7,935,000
--------------
Telephone Systems - 7.3%
279,385 AT&T Corp. 8,835,551
258,700 Bell Atlantic Corp. 13,145,194
121,900 Global Crossing Ltd.* 3,207,494
137,401 Qwest Communications International, Inc.* 6,827,112
406,392 SBC Communications, Inc. 17,576,454
103,900 Sprint Corp. 5,298,900
112,500 Sprint Corp. (PCS Group)* 6,693,750
105,950 Vodafone AirTouch, Plc 4,390,303
285,129 Worldcom, Inc.* 13,080,293
--------------
79,055,051
--------------
Total Common Stocks 1,072,942,320
--------------
(Cost $923,837,593)
Total Investments - 99.0% 1,072,942,320
--------------
(Cost $923,837,593)
Net Other Assets and Liabilities - 1.0% 10,829,660
--------------
Total Net Assets - 100.0% $1,083,771,980
==============
</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-20
<PAGE>
Core Equity Fund (Formerly Growth Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $923,837,593. Net unrealized appreciation (depreciation) aggregated
$149,104,727, of which $198,072,773 related to appreciated investment securi-
ties and $(48,968,046) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$1,232,051,703 and $1,212,273,447 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $49,525,949.
The value of collateral amounted to $50,994,278 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
--------------------------------------------
F-21
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 98.6%
Advertising - 0.3%
16,300 Interpublic Group of Companies, Inc. $ 700,900
9,600 Omnicom Group, Inc. 855,000
4,000 Young & Rubicam Inc. 228,750
----------
1,784,650
----------
Aerospace & Defense - 0.8%
49,138 Boeing Co. 2,054,583
10,900 General Dynamics Corp. 569,525
43,175 Honeywell International, Inc. 1,454,458
21,482 Lockheed Martin Corp. 533,022
3,900 Northrop Grumman Corp. 258,375
7,800 Textron, Inc. 423,637
----------
5,293,600
----------
Airlines - 0.3%
8,100 AMR Corp.* 214,144
6,700 Delta Air Lines, Inc. 338,769
15,700 FedEx Corp.* 596,600
26,812 Southwest Airlines, Inc. 507,752
3,600 U.S. Airways Group, Inc.* 140,400
----------
1,797,665
----------
Apparel Retailers - 0.5%
46,050 Gap, Inc. 1,439,063
17,600 Kohls Corp.* 979,000
23,200 Limited, Inc. 501,700
7,100 Nordstrom, Inc. 171,287
----------
3,091,050
----------
Automotive - 1.0%
3,800 Cooper Tire & Rubber Co. 42,275
8,209 Dana Corp. 173,928
30,428 Delphi Automotive Systems Corp. 443,108
65,200 Ford Motor Co. 2,803,600
28,900 General Motors Corp. 1,678,006
9,450 Genuine Parts Co. 189,000
5,700 Goodrich (B.F.) Co. 194,156
8,300 Goodyear Tire & Rubber Co. 166,000
16,400 Harley-Davidson, Inc. 631,400
4,800 ITT Industries, Inc. 145,800
3,300 Navistar International Corp.* 102,506
4,180 Paccar, Inc. 165,894
6,600 TRW, Inc. 286,275
8,537 Visteon Corp.* 103,509
----------
7,125,457
----------
Banking - 6.5%
21,200 Amsouth Bancorp 333,900
39,388 Associates First Capital Corp., Class A 878,845
62,075 Banc One Corp. 1,648,867
89,659 Bank of America Corp. 3,855,337
39,800 Bank of New York Co., Inc. 1,850,700
18,800 BB&T Corp. 448,850
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------
<C> <S> <C>
Banking (continued)
10,637 Capital One Financial Corp. $ 474,676
11,200 Charter One Financial, Inc. 257,600
66,878 Chase Manhattan Corp. 3,080,568
182,540 Citigroup, Inc. 10,998,035
8,550 Comerica, Inc. 383,681
16,775 Fifth Third Bancorp 1,061,019
52,896 First Union Corp. 1,312,482
52,328 Firstar Corp. 1,102,159
48,676 Fleet Boston Financial Corp. 1,654,984
8,600 Golden West Financial Corp. 350,987
11,863 Huntington Bancshares, Inc. 187,584
23,400 KeyCorp 412,425
43,318 MBNA Corp. 1,175,001
26,500 Mellon Financial Corp. 965,594
8,800 Morgan (J.P.) & Co., Inc. 969,100
32,600 National City Corp. 556,237
12,000 Northern Trust Corp. 780,750
7,350 Old Kent Financial Corp. 196,612
15,800 PNC Bank Corp. 740,625
11,900 Regions Financial Corp. 236,512
8,357 SLM Holding Corp. 312,865
9,100 Southtrust Corp. 205,887
8,800 State Street Corp. 933,350
9,400 Summit Bancorp 231,475
16,400 Suntrust Banks, Inc. 749,275
15,100 Synovus Financial Corp. 266,137
40,550 U.S. Bancorp 780,588
7,300 Union Planters Corp. 203,944
10,900 Wachovia Corp. 591,325
29,583 Washington Mutual, Inc. 854,209
87,130 Wells Fargo Co. 3,376,287
----------
44,418,472
----------
Beverages, Food & Tobacco - 4.2%
2,100 Adolph Coors Co. 127,050
24,500 Anheuser-Busch Companies, Inc. 1,829,844
32,559 Archer-Daniels-Midland Co. 319,485
14,800 Best Foods 1,024,900
3,700 Brown Forman Corp., Class B 198,875
22,900 Campbell Soup Co. 666,962
133,900 Coca-Cola Co. 7,690,881
22,700 Coca-Cola Enterprises, Inc. 370,294
26,600 Conagra, Inc 507,062
15,700 General Mills, Inc. 600,525
19,000 H.J. Heinz Co. 831,250
5,700 Hercules, Inc. 80,156
7,500 Hershey Foods Corp. 365,156
21,800 Kellogg Co. 648,550
17,500 Nabisco Group Holdings Corp. 453,906
78,000 PepsiCo, Inc. 3,466,125
123,600 Philip Morris Cos., Inc. 3,283,125
7,200 Quaker Oats Co. 540,900
16,400 Ralston Purina Group 326,975
26,800 Safeway, Inc. * 1,209,350
23,600 Seagram Co., Ltd. 1,368,800
7,000 Supervalu, Inc. 133,437
18,000 Sysco Corp. 758,250
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-22
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-----------------------------------------------------------
<C> <S> <C>
Beverages, Food & Tobacco (continued)
30,989 Unilever NV $1,332,527
8,600 UST, Inc. 126,312
6,300 Wrigley (Wm.) Jr. Co. 505,181
----------
28,765,878
----------
Building Materials - 1.1%
125,097 Home Depot, Inc. 6,247,032
20,600 Lowes Cos., Inc. 845,887
2,900 Owens Corning 26,825
5,500 Vulcan Materials Co. 234,781
----------
7,354,525
----------
Chemicals - 0.9%
12,400 Air Products & Chemicals, Inc. 382,075
6,000 Avery Dennison Corp. 402,750
36,600 Dow Chemical Co. 1,104,862
56,700 Du Pont (E.I.) De Nemours and Co. 2,480,625
4,200 Eastman Chemical Co. 200,550
3,600 Grace (W.R.) & Co.* 43,650
2,800 Great Lakes Chemical Corp. 88,200
19,900 Occidental Petroleum Corp. 419,144
9,400 PPG Industries, Inc. 416,537
8,500 Praxair, Inc. 318,219
4,608 Sealed Air Corp.* 241,344
7,200 Union Carbide Corp. 356,400
----------
6,454,356
----------
Commercial Services - 1.3%
10,100 Allied Waste Industries, Inc.* 101,000
34,000 Automatic Data Processing, Inc. 1,821,125
38,933 Cendant Corp.* 545,062
8,200 Convergys Corp.* 425,375
8,700 Dun & Bradstreet Corp. 249,037
7,000 Ecolab, Inc. 273,437
7,500 Equifax, Inc. 196,875
22,400 First Data Corp. 1,111,600
4,000 Fluor Corp. 126,500
5,200 H&R Block, Inc. 168,350
24,000 Halliburton Co. 1,132,500
20,150 Paychex, Inc. 846,300
2,700 Perkinelmer, Inc. 178,537
14,000 Pitney Bowes, Inc. 560,000
6,200 Quintiles Transnational Corp.* 87,575
6,600 R. R. Donnelley & Sons Co. 148,912
33,435 Waste Management, Inc. 635,265
----------
8,607,450
----------
Communications - 4.6%
16,600 ADC Telecommunications, Inc.* 1,392,325
4,300 Andrew Corp.* 144,319
176,182 Lucent Technologies, Inc. 10,438,783
16,600 Network Appliance, Inc.* 1,336,300
41,000 Nextel Communications, Inc., Class A* 2,508,687
160,360 Nortel Networks Corp. 10,944,570
40,100 Qualcomm, Inc.* 2,406,000
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------------
<C> <S> <C>
Communications (continued)
8,600 Scientific Atlanta, Inc. $ 640,700
22,100 Tellabs, Inc.* 1,512,469
----------
31,324,153
----------
Computer Software & Processing - 9.2%
6,600 Adobe Systems, Inc. 858,000
124,208 America Online, Inc.* 6,551,972
3,200 Autodesk, Inc. 111,000
13,200 BMC Software, Inc.* 481,594
9,800 Cabletron Systems, Inc.* 247,450
7,700 Ceridian Corp.* 185,281
10,000 Citrix Systems, Inc.* 189,375
31,850 Computer Associates International, Inc. 1,630,322
9,100 Computer Sciences Corp.* 679,656
19,300 Compuware Corp.* 200,237
3,800 Deluxe Corp. 89,537
25,200 Electronic Data Systems Corp. 1,039,500
16,000 IMS Health, Inc. 288,000
284,800 Microsoft Corp.* 22,784,000
5,200 NCR Corp.* 202,475
17,800 Novell, Inc.* 164,650
153,560 Oracle Corp.* 12,908,638
14,800 Parametric Technology Corp.* 162,800
14,900 PeopleSoft, Inc.* 249,575
1,400 Shared Medical Systems Corp. 102,112
85,900 Sun Microsystems, Inc.* 7,811,531
16,700 Unisys Corp.* 243,194
21,250 VERITAS Software Corp.* 2,401,581
29,400 Yahoo!, Inc.* 3,641,925
----------
63,224,405
----------
Computers & Information - 10.2%
18,900 3Com Corp.* 1,089,109
17,600 Apple Computer, Inc.* 921,800
376,400 Cisco Systems, Inc.* 23,924,925
91,857 Compaq Computer Corp. 2,348,095
8,400 Comverse Technology, Inc.* 781,200
139,300 Dell Computer Corp.* 6,869,231
117,500 EMC Corp.* 9,040,156
17,360 Gateway 2000* 985,180
54,200 Hewlett-Packard Co. 6,768,225
95,900 International Business Machines Corp. 10,507,044
7,000 Lexmark International Group, Inc.* 470,750
21,500 Minnesota Mining and Manufacturing Co. 1,773,750
3,200 Sapient Corp.* 342,200
12,400 Seagate Technology, Inc.* 682,000
10,800 Siebel Systems, Inc.* 1,766,475
32,200 Solectron Corp.* 1,348,375
----------
69,618,515
----------
Consumer Products - Diversified - 0.1%
46,900 Sara Lee Corp. 905,756
----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-23
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------------
<C> <S> <C>
Containers & Packaging - 0.0%
1,500 Ball Corp. $ 48,281
6,800 Crown Cork & Seal Co., Inc. 102,000
----------
150,281
----------
Cosmetics & Personal Care - 1.3%
12,800 Avon Products, Inc. 569,600
12,600 Clorox Co. 564,637
31,200 Colgate-Palmolive Co. 1,868,100
56,400 Gillette Co. 1,970,475
5,600 International Flavors & Fragrances, Inc. 169,050
70,800 Procter & Gamble Co. 4,053,300
----------
9,195,162
----------
Electric Utilities - 1.6%
23,000 AES Corp.* 1,049,375
7,300 Ameren Corp. 246,375
17,440 American Electric Power, Inc. 516,660
8,443 Cinergy Corp. 214,769
5,800 CMS Energy Corp. 128,325
11,400 Consolidated Edison, Inc. 337,725
8,150 Constellation Energy Group, Inc. 265,384
8,500 CP&L, Inc. 271,469
12,950 Dominion Resources, Inc. 555,231
7,700 DTE Energy Co. 235,331
19,917 Duke Energy Corp. 1,122,821
17,800 Edison International 364,900
12,300 Entergy Corp. 334,406
12,400 FirstEnergy Corp. 289,850
9,700 Florida Power & Light Group Capital, Inc. 480,150
5,400 Florida Progress Corp. 253,125
6,500 GPU, Inc. 175,906
6,200 New Century Energies, Inc. 186,000
9,300 Niagara Mohawk Power Corp.* 129,619
8,400 Northern States Power Co. 169,575
9,100 Peco Energy Co. 366,844
20,700 PG&E Corp. 509,737
4,500 Pinnacle West Capital Corp. 152,437
7,800 PPL Resources, Inc. 171,112
11,700 Public Service Enterprise Group, Inc. 405,112
15,998 Reliant Energy, Inc. 472,941
11,013 Sempra Energy 187,221
35,100 Southern Co. 818,269
14,240 TXU Corp. 420,080
9,600 Unicom Corp. 371,400
----------
11,202,149
----------
Electrical Equipment - 0.6%
10,400 American Power Conversion Corp.* 424,450
16,700 Eastman Kodak Co. 993,650
23,100 Emerson Electric Co. 1,394,662
2,200 National Service Industries, Inc. 42,900
2,400 Polaroid Corp. 43,350
10,100 Rockwell International Corp. 318,150
3,100 Thomas & Betts Corp. 59,287
35,900 Xerox Corp. 744,925
----------
4,021,374
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------
<C> <S> <C>
Electronics - 7.1%
5,500 Adaptec, Inc.* $ 125,125
8,400 Advanced Micro Devices* 648,900
10,800 Altera Corp.* 1,100,925
19,200 Analog Devices, Inc.* 1,459,200
11,800 Conexant Systems, Inc.* 573,775
181,300 Intel Corp. 24,237,544
10,000 KLA-Tencor Corp.* 585,625
16,800 Linear Technology Corp. 1,074,150
16,600 LSI Logic Corp.* 898,475
15,400 Maxim Integrated Products, Inc.* 1,046,237
30,000 Micron Technology, Inc.* 2,641,875
2,500 Millipore Corp. 188,437
10,625 Molex, Inc. 511,328
116,435 Motorola, Inc. 3,383,892
9,500 National Semiconductor Corp.* 539,125
7,000 Novellus Systems, Inc.* 395,937
18,300 Raytheon Co., Class B 352,275
7,000 Sanmina Corp.* 598,500
9,500 Teradyne, Inc.* 698,250
88,600 Texas Instruments, Inc. 6,085,712
17,500 Xilinx, Inc.* 1,444,844
----------
48,590,131
----------
Entertainment & Leisure - 0.8%
32,600 Carnival Corp. 635,700
6,500 Harrah's Entertainment, Inc.* 136,094
9,250 Hasbro, Inc. 139,328
22,912 Mattel, Inc. 302,152
112,429 Walt Disney Co. 4,363,651
----------
5,576,925
----------
Financial Services - 1.9%
72,200 American Express Co. 3,763,425
73,600 Charles Schwab Corp. 2,474,800
6,100 Countrywide Credit Industries, Inc. 184,906
54,600 Fannie Mae 2,849,437
13,030 Franklin Resources, Inc. 395,786
37,600 Freddie Mac 1,522,800
25,659 Household International, Inc. 1,066,452
7,850 Providian Financial Corp. 706,500
----------
12,964,106
----------
Food Retailers - 0.3%
22,942 Albertson's, Inc. 762,821
1,900 Great Atlantic & Pacific Tea Co. 31,587
45,100 Kroger Co.* 995,019
10,000 Starbucks Corporation* 381,875
7,700 Winn-Dixie Stores, Inc. 110,206
----------
2,281,508
----------
Forest Products & Paper - 0.7%
2,800 Bemis Co. 94,150
3,100 Boise Cascade Corp. 80,212
11,000 Fort James Corp. 254,375
9,100 Georgia-Pacific Corp. 238,875
7,900 Ikon Office Solutions, Inc. 30,612
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-24
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------------------
<C> <S> <C>
Forest Products & Paper (continued)
26,141 International Paper Co. $ 779,319
30,140 Kimberly-Clark Corp. 1,729,282
5,600 Louisiana Pacific Corp. 60,900
5,400 Mead Corp. 136,350
9,000 Pactiv Corp.* 70,875
1,500 Potlatch Corp. 49,687
2,800 Temple Inland, Inc. 117,600
5,450 Westvaco Corp. 135,228
12,600 Weyerhaeuser Co. 541,800
5,900 Willamette Industries, Inc. 160,775
----------
4,480,040
----------
Health Care Providers - 0.3%
30,200 HCA - The Healthcare Corporation 917,325
20,800 HEALTHSOUTH Corp.* 149,500
5,400 Manor Care, Inc.* 37,800
16,900 Tenet Healthcare Corp. 456,300
3,300 Wellpoint Health Networks, Inc.* 239,044
----------
1,799,969
----------
Heavy Construction - 0.0%
2,600 Kaufman and Broad Home Corp. 51,512
3,200 McDermott International, Inc. 28,200
----------
79,712
----------
Heavy Machinery - 1.3%
43,800 Applied Materials, Inc.* 3,969,375
17,880 Baker Hughes, Inc. 572,160
4,600 Black & Decker Corp. 180,837
1,200 Briggs & Stratton Corp. 41,100
18,900 Caterpillar, Inc. 640,237
2,100 Cummins Engine Co., Inc. 57,225
12,700 Deere & Co. 469,900
11,000 Dover Corp. 446,188
8,800 Ingersoll-Rand Co. 354,200
1,800 Milacron, Inc. 26,100
6,500 Pall Corp. 120,250
6,075 Parker-Hannifin Corp. 208,069
4,700 Stanley Works 111,625
3,100 Timken Co. 57,738
25,400 United Technologies Corp. 1,495,425
5,100 W.W. Grainger, Inc. 157,144
----------
8,907,573
----------
Home Construction, Furnishings & Appliances - 0.1%
3,200 Centex Corp. 75,200
4,700 Johnson Controls, Inc. 241,169
10,500 Leggett & Platt, Inc. 173,250
4,200 Maytag Corp. 154,875
2,100 Pulte Corp. 45,413
4,000 Whirlpool Corp. 186,500
----------
876,407
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------
<C> <S> <C>
Household Products - 0.9%
15,100 Corning, Inc. $4,075,113
8,400 Fortune Brands, Inc. 193,725
16,300 Illinois Tool Works, Inc. 929,100
14,333 Newell Rubbermaid, Inc. 369,075
7,900 Owens-Illinois, Inc.* 92,331
11,675 Rohm & Haas Co. 402,788
3,100 Snap-On, Inc. 82,538
4,000 Tiffany & Co. 270,000
3,100 Tupperware Corp. 68,200
----------
6,482,870
----------
Industrial - Diversified - 4.8%
2,000 Armstrong Holdings, Inc. 30,625
1,600 FMC Corp.* 92,800
535,100 General Electric Co. 28,360,300
91,342 Tyco International, Ltd. 4,327,327
----------
32,811,052
----------
Insurance - 3.0%
7,598 Aetna, Inc. 487,697
14,300 AFLAC, Inc. 656,906
40,138 Allstate Corp. 893,071
13,517 American General Corp. 824,537
83,390 American International Group, Inc. 9,798,325
13,750 AON Corp. 427,109
9,400 Chubb Corp. 578,100
8,900 CIGNA Corp. 832,150
8,600 Cincinnati Financial Corp. 270,363
17,407 Conseco, Inc. 169,718
11,700 Hartford Financial Services Group, Inc. 654,469
8,900 Humana, Inc.* 43,388
5,600 Jefferson Pilot Corp. 316,050
10,300 Lincoln National Corp. 372,088
5,300 Loews Corp. 318,000
14,650 Marsh & McLennan Cos., Inc. 1,530,009
5,300 MBIA, Inc. 255,394
5,800 MGIC Investment Corp. 263,900
3,900 Progressive Corp. 288,600
6,800 SAFECO Corp. 135,150
11,500 St. Paul Cos. 392,438
6,900 Torchmark Corp. 170,344
8,800 Unitedhealth Group, Inc. 754,600
12,918 UnumProvident Corp. 259,167
----------
20,691,573
----------
Lodging - 0.1%
19,900 Hilton Hotels Corp. 186,563
13,000 Marriott International, Inc., Class A 468,813
----------
655,376
----------
Media - Broadcasting & Publishing - 2.6%
3,400 American Greetings Corp., Class A 64,600
18,400 Clear Channel Communications, Inc.* 1,380,000
48,600 Comcast Corp., Class A* 1,968,300
4,800 Dow Jones & Company, Inc. 351,600
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-25
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
--------------------------------------------------------------------
<C> <S> <C>
Media - Broadcasting & Publishing (continued)
14,400 Gannett Co., Inc. $ 861,300
4,300 Knight-Ridder, Inc. 228,706
10,600 McGraw-Hill Cos., Inc. 572,400
2,800 Meredith Corp. 94,500
9,200 New York Times Co., Class A 363,400
71,260 Time Warner, Inc. 5,415,760
3,200 Times Mirror Co., Class A 290,000
13,000 Tribune Co. 455,000
82,428 Viacom, Inc., Class B* 5,620,559
----------
17,666,125
----------
Medical Supplies - 1.6%
24,424 Agilent Technologies, Inc.* 1,801,270
7,000 Allergan, Inc. 521,500
2,900 Bausch & Lomb, Inc. 224,388
15,800 Baxter International, Inc. 1,110,938
13,500 Becton, Dickinson & Co. 387,281
6,300 Biomet, Inc. 242,156
22,000 Boston Scientific Corp.* 482,625
2,800 C.R. Bard, Inc. 134,750
7,600 Danaher Corp. 375,725
3,900 Eaton Corp. 261,300
16,600 Guidant Corp.* 821,700
3,600 Mallinckrodt, Inc. 156,375
64,700 Medtronic, Inc. 3,222,869
11,200 PE Corp. - PE Biosystems Group 737,800
4,500 St. Jude Medical, Inc.* 206,438
2,550 Tektronix, Inc. 188,700
8,400 Thermo Electron Corp.* 176,925
----------
11,052,740
----------
Metals - 0.6%
11,700 Alcan Aluminum, Ltd. 362,700
46,608 Alcoa, Inc. 1,351,632
4,351 Allegheny Technologies, Inc. 78,318
21,400 Barrick Gold Corp. 389,213
7,000 Bethlehem Steel Corp.* 24,938
5,000 Cooper Industries, Inc. 162,813
3,150 Crane Co. 76,584
6,750 Engelhard Corp. 115,172
8,500 Freeport-McMoRan Copper & Gold, Inc., Class B* 78,625
14,000 Homestake Mining Co. 96,250
9,700 Inco, Ltd.* 149,138
24,100 Masco Corp. 435,306
8,911 Newmont Mining Corp. 192,700
4,600 Nucor Corp. 152,663
4,200 Phelps Dodge Corp. 156,188
17,700 Placer Dome, Inc. 169,256
4,620 USX - U.S. Steel Group 85,759
4,600 Worthington Industries, Inc. 48,300
----------
4,125,555
----------
Oil & Gas - 5.8%
5,000 Amerada Hess Corp. 308,750
7,000 Anadarko Petroleum Corp. 345,188
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------
<C> <S> <C>
Oil & Gas (continued)
6,200 Apache Corp. $ 364,638
3,800 Ashland, Inc. 133,238
11,582 Burlington Resources, Inc. 443,012
35,300 Chevron Corp. 2,993,881
11,600 Coastal Corp. 706,150
4,400 Columbia Energy Group 288,750
33,600 Conoco, Inc., Class B 825,300
1,400 Eastern Enterprises 88,200
12,600 El Paso Energy Corp. 641,813
39,600 Enron Corp. 2,554,200
188,430 Exxon Mobil Corp. 14,791,755
5,181 Kerr-Mcgee Corp. 305,355
2,400 Nicor, Inc. 78,300
1,600 Oneok, Inc. 41,500
1,800 Peoples Energy Corp. 58,275
13,700 Phillips Petroleum Co. 694,419
5,100 Rowan Cos., Inc.* 154,913
116,000 Royal Dutch Petroleum Co. 7,141,250
30,900 Schlumberger, Ltd. 2,305,913
4,800 Sunoco, Inc. 141,300
29,800 Texaco, Inc. 1,586,850
7,700 Tosco Corp. 218,006
11,427 Transocean Sedco Forex Inc. 610,630
13,581 Union Pacific Resources Group, Inc. 298,782
13,100 Unocal Corp. 433,938
16,800 USX-Marathon Group 421,050
23,800 Williams Cos., Inc. 992,163
----------
39,967,519
----------
Pharmaceuticals - 10.0%
83,800 Abbott Laboratories 3,734,338
5,500 ALZA Corp., Class A* 325,188
70,500 American Home Products Corp. 4,141,875
55,500 AMGEN, Inc.* 3,898,875
8,000 Biogen, Inc.* 516,000
106,700 Bristol-Myers Squibb Co. 6,215,275
15,000 Cardinal Health, Inc. 1,110,000
75,300 Johnson & Johnson 7,671,188
61,100 Lilly (Eli) & Co. 6,102,363
15,214 McKesson HBOC Corp. 318,543
11,400 Medimmune, Inc.* 843,600
124,400 Merck & Co., Inc. 9,532,150
340,550 Pfizer, Inc. 16,346,400
68,596 Pharmacia Corp. 3,545,556
79,300 Schering-Plough Corp. 4,004,650
4,500 Sigma Aldrich Corp. 131,625
5,300 Watson Pharmaceuticals, Inc.* 284,875
----------
68,722,501
----------
Restaurants - 0.4%
6,500 Darden Restaurants, Inc. 105,625
72,300 McDonald's Corp. 2,381,381
7,810 Tricon Global Restaurants, Inc.* 220,633
6,100 Wendy's International, Inc. 108,656
----------
2,816,295
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-26
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------
<C> <S> <C>
Retailers - 3.6%
3,000 Alberto-Culver Co., Class B $ 91,688
7,100 AutoZone, Inc.* 156,200
7,500 Bed Bath & Beyond Inc.* 271,875
11,000 Best Buy Co., Inc.* 695,750
11,000 Circuit City Stores-Circuit City Group 365,063
5,900 Consolidated Stores Corp.* 70,800
24,112 Costco Wholesale Corp.* 795,696
21,100 CVS Corp. 844,000
5,000 Dillards, Inc., Class A 61,250
17,687 Dollar General Corp. 344,897
11,600 Federated Department Stores, Inc.* 391,500
3,800 Harcourt General, Inc. 206,625
14,100 J.C. Penney Co., Inc. 259,969
26,000 K Mart Corp.* 177,125
2,100 Longs Drug Stores Corp. 45,675
17,900 May Department Stores Co. 429,600
17,000 Office Depot, Inc.* 106,250
10,000 RadioShack Corp. 473,750
13,900 Rite Aid Corp. 91,219
19,100 Sears Roebuck & Co. 623,138
8,800 Sherwin Williams Co. 186,450
26,000 Staples, Inc.* 399,750
24,600 Target Corp. 1,426,800
16,100 TJX Cos., Inc. 301,875
11,500 Toys "R" Us, Inc.* 167,469
54,500 Walgreen Co. 1,754,219
241,100 Wal-Mart Stores, Inc. 13,893,388
----------
24,632,021
----------
Securities Broker - 1.3%
5,952 Bear Stearns Cos., Inc. 247,752
6,500 Lehman Brothers Holdings, Inc. 614,656
21,100 Merrill Lynch & Co., Inc. 2,426,500
61,334 Morgan Stanley Dean Witter & Co. 5,106,056
7,800 Paine Webber Group, Inc. 354,900
6,600 T. Rowe Price Associates, Inc. 280,500
----------
9,030,364
----------
Telephone Systems - 6.4%
17,000 Alltel Corp. 1,052,938
202,940 AT&T Corp. 6,417,978
83,646 Bell Atlantic Corp. 4,250,262
101,700 BellSouth Corp. 4,334,963
7,500 CenturyTel, Inc. 215,625
47,635 Global Crossing Ltd.* 1,253,396
52,200 GTE Corp. 3,249,450
183,998 SBC Communications, Inc. 7,957,914
47,400 Sprint Corp. 2,417,400
49,500 Sprint Corp. (PCS Group)* 2,945,250
27,504 U.S. West, Inc. 2,358,468
154,865 Worldcom, Inc.* 7,104,432
----------
43,558,076
----------
Textiles, Clothing & Fabrics - 0.1%
2,900 Liz Claiborne, Inc. 102,225
14,700 Nike, Inc., Class B 585,244
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------------
<C> <S> <C>
Textiles, Clothing & Fabrics (continued)
3,000 Reebok International, Ltd.* $ 47,813
1,600 Russell Corp. 32,000
900 Springs Industries, Inc., Class A 28,969
6,000 V.F. Corp. 142,875
-----------
939,126
-----------
Transportation - 0.4%
4,600 Brunswick Corp. 76,188
23,152 Burlington Northern Santa Fe Corp. 531,049
11,800 CSX Corp. 250,013
6,000 Kansas City Southern Industries, Inc. 532,125
20,700 Norfolk Southern Corp. 307,913
3,200 Ryder System, Inc. 60,600
6,908 Sabre Group Holdings, Inc. 196,878
13,400 Union Pacific Corp. 498,313
-----------
2,453,079
-----------
Total Common Stocks 675,495,541
-----------
(Cost $481,003,748)
<CAPTION>
Par Value
---------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS (a) - 0.2%
U.S. Treasury Bills - 0.2%
$ 235,000 5.33%, 12/07/00(b) 229,467
430,000 5.51%, 12/07/00(b) 419,544
535,000 5.56%, 12/07/00(b) 521,874
175,000 5.66%, 12/07/00(b) 170,625
-----------
Total U.S. Government Obligations 1,341,510
-----------
(Cost $1,341,510)
COMMERCIAL PAPER (a) - 0.7%
Financial Services - 0.3%
2,500,000 ASAP Funding, Ltd.
7.20%, 07/05/00 2,498,000
-----------
Securities Broker - 0.4%
2,500,000 Paine Webber Group, Inc.
7.10%, 07/03/00 2,499,014
-----------
Total Commercial Paper 4,997,014
-----------
(Cost $4,997,014)
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-27
<PAGE>
Equity Index Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANY - 0.2%
1,467,135 SSgA Prime Money Market Fund $ 1,467,135
------------
Total Investment Company 1,467,135
------------
(Cost $1,467,135)
Total Investments - 99.7% 683,301,200
------------
(Cost $488,809,407)
Net Other Assets and Liabilities - 0.3% 2,097,484
------------
Total Net Assets - 100.0% $685,398,684
============
</TABLE>
------------------
* Non-income producing security.
(a) Effective yield at time of purchase.
(b) Security has been deposited as initial margin on futures contracts. At
June 30, 2000, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Contract Aggregate Market Value at
Purchased Type Expiration Date Cost June 30, 2000
--------- -------- --------------- --------- ---------------
<S> <C> <C> <C> <C>
14 S&P 500 September - 2000 $5,173,825 $5,138,350
<CAPTION>
========== ===============
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $488,809,407. Net unrealized appreciation (depreciation) aggregated
$194,491,793, of which $232,915,661 related to appreciated investment securi-
ties and $(38,423,868) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $92,452,200
and $16,929,492 of non-governmental issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $45,999,415.
The value of collateral amounted to $47,338,606 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
------------------------------------------------------
F-28
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 97.1%
Advertising - 0.1%
16,100 DoubleClick, Inc.* $ 613,812
----------
Aerospace & Defense - 0.9%
48,100 Boeing Co. 2,011,181
159,500 Honeywell International, Inc. 5,373,156
48,500 Lockheed Martin Corp. 1,203,406
----------
8,587,743
----------
Apparel Retailers - 0.7%
148,900 Gap, Inc. 4,653,125
64,000 Limited, Inc. 1,384,000
10,400 Nordstrom, Inc. 250,900
----------
6,288,025
----------
Automotive - 1.9%
40,800 Dana Corp. 864,450
74,500 Delphi Automotive Systems Corp. 1,084,906
180,200 Ford Motor Co. 7,748,600
81,900 General Motors Corp. 4,755,319
21,700 Goodrich (B.F.) Co. 739,156
38,800 Goodyear Tire & Rubber Co. 776,000
17,000 ITT Industries, Inc. 516,375
15,600 Paccar, Inc. 619,125
23,594 Visteon Corp.* 286,079
----------
17,390,010
----------
Banking - 4.9%
6,500 Associated Banc Corp. 141,781
99,800 Associates First Capital Corp., Class A 2,226,787
2,400 Banc One Corp. 63,750
14,400 Banknorth Group, Inc. 220,500
16,700 Capital One Financial Corp. 745,237
31,000 Charter One Financial, Inc. 713,000
52,650 Chase Manhattan Corp. 2,425,191
36,600 CIT Group, Inc., Class A 594,750
267,700 Citigroup, Inc. 16,128,925
20,400 Comerica, Inc. 915,450
28,900 Dime Bancorp, Inc. 455,175
17,600 First Tennessee National Corp. 291,500
144,800 First Union Corp. 3,592,850
2,100 Firstar Corp. 44,231
11,800 FirstMerit Corp. 252,225
111,800 Fleet Boston Financial Corp. 3,801,200
16,500 Golden West Financial Corp. 673,406
17,600 Greenpoint Financial Corp. 330,000
22,000 Hibernia Corp., Class A 239,250
69,200 KeyCorp 1,219,650
16,500 Marshall & Ilsley Corp. 684,750
9,300 Mercantile Bankshares Corp. 277,256
22,200 North Fork Bancorp., Inc. 335,775
46,700 PNC Bank Corp. 2,189,062
21,600 Regions Financial Corp. 429,300
24,900 Southtrust Corp. 563,362
15,300 Sovereign Bancorp, Inc. 107,579
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------
<C> <S> <C>
Banking (continued)
24,400 Summit Bancorp $ 600,850
11,000 TCF Financial Corp. 282,562
102,600 U.S. Bancorp 1,975,050
74,800 Washington Mutual, Inc. 2,159,850
----------
44,680,254
----------
Beverages, Food & Tobacco - 4.1%
39,700 Best Foods 2,749,225
51,300 Coca-Cola Co. 2,946,544
58,200 H.J. Heinz Co. 2,546,250
52,900 Kellogg Co. 1,573,775
52,700 Nabisco Group Holdings Corp., Class A 2,766,750
425,600 Philip Morris Cos., Inc. 11,305,000
23,900 Quaker Oats Co. 1,795,487
26,900 Ralston Purina Group 536,319
16,900 Safeway, Inc.* 762,612
126,400 Seagram Co., Ltd. 7,331,200
68,900 Unilever NV 2,962,700
----------
37,275,862
----------
Building Materials - 0.9%
118,400 Home Depot, Inc. 5,912,600
50,000 Lowes Cos., Inc. 2,053,125
5,000 USG Corp. 151,875
----------
8,117,600
----------
Chemicals - 0.7%
73,000 Air Products & Chemicals, Inc. 2,249,312
36,800 Dow Chemical Co. 1,110,900
300 IMC Global, Inc. 3,900
31,700 PPG Industries, Inc. 1,404,706
45,400 Praxair, Inc. 1,699,662
----------
6,468,480
----------
Commercial Services - 0.4%
1,500 Automatic Data Processing, Inc. 80,344
240,700 Cendant Corp.* 3,369,800
300 Equifax, Inc. 7,875
2,600 Incyte Pharmaceuticals, Inc.* 213,687
----------
3,671,706
----------
Communications - 3.7%
80,800 Lucent Technologies, Inc. 4,787,400
347,300 Nortel Networks Corp. 23,703,225
17,600 Qualcomm, Inc.* 1,056,000
52,300 Tellabs, Inc.* 3,579,281
----------
33,125,906
----------
Computer Software & Processing - 10.4%
16,100 Adobe Systems, Inc. 2,093,000
248,600 America Online, Inc.* 13,113,650
5,100 Autodesk, Inc. 176,906
33,500 BMC Software, Inc.* 1,222,227
26,600 Citrix Systems, Inc.* 503,737
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-29
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
----------------------------------------------------------------
<C> <S> <C>
Computer Software & Processing (continued)
88,700 Computer Associates International, Inc. $4,540,331
17,200 Electronic Data Systems Corp. 709,500
500,000 Microsoft Corp.* 40,000,000
12,800 Networks Associates, Inc.* 260,800
84,500 Oracle Corp.* 7,103,281
200,900 Sun Microsystems, Inc.* 18,269,344
7,800 Symantec Corp.* 420,712
6,900 Tibco Software, Inc.* 739,917
21,500 VERITAS Software Corp.* 2,429,835
22,800 Yahoo!, Inc.* 2,824,350
----------
94,407,590
----------
Computers & Information - 9.0%
38,600 Apple Computer, Inc.* 2,021,675
628,900 Cisco Systems, Inc.* 39,974,456
116,500 Compaq Computer Corp. 2,978,031
261,100 Dell Computer Corp.* 12,875,494
50,200 EMC Corp.* 3,862,262
58,400 Hewlett-Packard Co. 7,292,700
45,100 International Business Machines Corp. 4,941,269
15,400 Lexmark International Group, Inc.* 1,035,650
12,800 Quantum Corp.* 124,000
55,200 Seagate Technology, Inc.* 3,036,000
18,400 Siebel Systems, Inc.* 3,009,550
----------
81,151,087
----------
Cosmetics & Personal Care - 2.0%
38,500 Clorox Co. 1,725,281
13,500 Estee Lauder Cos., Inc., Class A 667,406
134,500 Gillette Co. 4,699,094
186,900 Procter & Gamble Co. 10,700,025
----------
17,791,806
----------
Electric Utilities - 1.6%
17,200 Allegheny Energy, Inc. 470,850
23,700 American Electric Power, Inc. 702,112
25,200 Cinergy Corp. 641,025
21,900 CMS Energy Corp. 484,537
33,700 Consolidated Edison, Inc. 998,362
47,800 CP&L, Inc. 1,526,612
9,200 Dominion Resources, Inc. 394,450
30,300 DTE Energy Co. 926,044
52,700 Edison International 1,080,350
35,600 Entergy Corp. 967,875
11,600 Florida Power & Light Group Capital, Inc. 574,200
23,100 GPU, Inc. 625,144
19,900 NiSource, Inc. 370,637
61,100 PG&E Corp. 1,504,587
17,000 Pinnacle West Capital Corp. 575,875
24,600 PPL Resources, Inc. 539,662
55,500 TXU Corp. 1,637,250
21,200 Wisconsin Energy Corp. 420,025
----------
14,439,597
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
---------------------------------------------------------
<C> <S> <C>
Electrical Equipment - 0.5%
63,400 Eastman Kodak Co. $3,772,300
23,300 Rockwell International Corp. 733,950
2,300 Xerox Corp. 47,725
----------
4,553,975
----------
Electronics - 7.4%
16,000 Advanced Micro Devices* 1,236,000
10,000 Altera Corp.* 1,019,375
305,100 Intel Corp. 40,788,056
5,800 Lattice Semiconductor Corp.* 400,925
252,000 Motorola, Inc. 7,323,750
20,600 National Semiconductor Corp.* 1,169,050
214,800 Texas Instruments, Inc. 14,754,075
----------
66,691,231
----------
Entertainment & Leisure - 0.2%
28,000 Hasbro, Inc. 421,750
90,800 Mattel, Inc. 1,197,425
----------
1,619,175
----------
Financial Services - 2.7%
6,400 A.G. Edwards, Inc. 249,600
218,103 Charles Schwab Corp. 7,333,726
15,500 Countrywide Credit Industries, Inc. 469,844
139,200 Fannie Mae 7,264,500
36,700 Franklin Resources, Inc. 1,114,762
95,100 Freddie Mac 3,851,550
64,600 Household International, Inc. 2,684,937
16,500 Providian Financial Corp. 1,485,000
3,400 Wilmington Trust Corp. 145,350
----------
24,599,269
----------
Food Retailers - 0.3%
141,300 Kroger Co.* 3,117,431
----------
Forest Products & Paper - 0.6%
41,000 Fort James Corp. 948,125
27,500 Georgia-Pacific Corp. 721,875
71,900 International Paper Co. 2,143,519
18,200 Kimberly-Clark Corp. 1,044,225
41,900 Smurfit-Stone Container Corp.* 539,463
10,400 Temple Inland, Inc. 436,800
----------
5,834,007
----------
Health Care Providers - 0.6%
90,500 HCA - The Healthcare Corporation 2,748,938
65,200 Tenet Healthcare Corp. 1,760,400
13,600 Wellpoint Health Networks, Inc.* 985,150
----------
5,494,488
----------
Heavy Machinery - 1.4%
97,100 Applied Materials, Inc.* 8,799,688
30,600 Baker Hughes, Inc. 979,200
51,900 Caterpillar, Inc. 1,758,113
4,400 Cooper Cameron Corp.* 290,400
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-30
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------------------
<C> <S> <C>
Heavy Machinery (continued)
25,300 Ingersoll-Rand Co. $1,018,325
1,900 W.W. Grainger, Inc. 58,544
----------
12,904,270
----------
Home Construction, Furnishings & Appliances - 0.1%
13,700 Johnson Controls, Inc. 702,981
----------
Household Products - 0.4%
1,300 Corning, Inc. 350,838
89,300 Rohm & Haas Co. 3,080,850
----------
3,431,688
----------
Industrial - Diversified - 5.2%
686,400 General Electric Co. 36,379,200
227,300 Tyco International, Ltd. 10,768,338
----------
47,147,538
----------
Insurance - 3.4%
32,700 Aetna, Inc. 2,098,931
225,400 Allstate Corp. 5,015,150
19,400 AMBAC Financial Group, Inc. 1,063,363
31,400 American International Group, Inc. 3,689,500
46,100 AON Corp. 1,431,981
47,300 AXA Financial, Inc. 1,608,200
29,100 CIGNA Corp. 2,720,850
42,700 Hartford Financial Services Group, Inc. 2,388,531
65,600 John Hancock Financial Services, Inc.* 1,553,900
33,700 Lincoln National Corp. 1,217,413
27,800 MBIA, Inc. 1,339,613
162,600 Metlife, Inc.* 3,424,763
36,500 Torchmark Corp. 901,094
21,500 Unitedhealth Group, Inc. 1,843,625
----------
30,296,914
----------
Lodging - 0.3%
31,600 Marriott International, Inc., Class A 1,139,575
55,500 Starwood Hotels & Resorts Worldwide, Inc. 1,793,344
----------
2,932,919
----------
Media - Broadcasting & Publishing - 2.2%
10,900 Allegiance Telecom, Inc.* 697,600
100,200 Comcast Corp., Class A* 4,058,100
35,300 Fox Entertainment Group, Class A* 1,072,238
54,300 Gannett Co., Inc. 3,247,819
12,400 Knight-Ridder, Inc. 659,525
18,500 New York Times Co., Class A 730,750
122,000 Time Warner, Inc. 9,272,000
----------
19,738,032
----------
Medical Supplies - 1.0%
26,087 Agilent Technologies, Inc.* 1,923,916
600 Baxter International, Inc. 42,188
44,000 Becton, Dickinson & Co. 1,262,250
5,900 C.R. Bard, Inc. 283,938
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
------------------------------------------------------------
<C> <S> <C>
Medical Supplies (continued)
15,000 Eaton Corp. $1,005,000
3,200 Guidant Corp.* 158,400
900 JDS Uniphase Corp.* 107,888
60,100 Medtronic, Inc. 2,993,731
2,700 PE Corp. - PE Biosystems Group 177,863
17,500 St. Jude Medical, Inc.* 802,813
----------
8,757,987
----------
Metals - 0.7%
7,700 Alcan Aluminum, Ltd. 238,700
162,800 Alcoa, Inc. 4,721,200
21,400 Allegheny Technologies, Inc. 385,200
21,100 Cooper Industries, Inc. 687,069
12,900 Phelps Dodge Corp. 479,719
----------
6,511,888
----------
Oil & Gas - 5.9%
7,800 Apache Corp. 458,738
60,200 Chevron Corp. 5,105,713
13,100 Columbia Energy Group 859,688
16,300 Conoco, Inc., Class A 358,600
41,100 Conoco, Inc., Class B 1,009,519
7,800 Devon Energy Corp. 438,263
13,900 Dynegy, Inc. 949,544
20,800 El Paso Energy Corp. 1,059,500
500 Enron Corp. 32,250
320,000 Exxon Mobil Corp. 25,120,000
20,400 Global Marine, Inc.* 575,025
196,600 Royal Dutch Petroleum Co. 12,103,188
50,900 Texaco, Inc. 2,710,425
48,400 Union Pacific Resources Group, Inc. 1,064,800
39,500 Williams Cos., Inc. 1,646,656
----------
53,491,909
----------
Pharmaceuticals - 9.7%
136,000 Abbott Laboratories 6,060,500
17,500 ALZA Corp., Class A* 1,034,688
200,800 American Home Products Corp. 11,797,000
248,600 Bristol-Myers Squibb Co. 14,480,950
6,800 Forest Laboratories, Inc.* 686,800
8,700 Genzyme Corp.* 517,106
5,300 Human Genome Sciences Inc.* 706,888
173,900 Lilly (Eli) & Co. 17,368,263
56,000 Merck & Co., Inc. 4,291,000
243,650 Pfizer, Inc. 11,695,200
215,100 Pharmacia Corp. 11,117,981
146,400 Schering-Plough Corp. 7,393,200
7,400 Watson Pharmaceuticals, Inc.* 397,750
----------
87,547,326
----------
Restaurants - 0.2%
53,900 McDonald's Corp. 1,775,331
----------
Retailers - 3.4%
29,600 Circuit City Stores-Circuit City Group 982,350
37,400 Federated Department Stores, Inc.* 1,262,250
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-31
<PAGE>
Select Growth and Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
-----------------------------------------------------------------
<C> <S> <C>
Retailers (continued)
43,200 J.C. Penney Co., Inc. $ 796,500
57,300 May Department Stores Co. 1,375,200
42,700 Sears Roebuck & Co. 1,393,088
76,700 Target Corp. 4,448,600
60,600 TJX Cos., Inc. 1,136,250
340,400 Wal-Mart Stores, Inc. 19,615,550
-----------
31,009,788
-----------
Securities Broker - 2.6%
18,200 Ameritrade Holding Corp.* 211,575
18,600 Bear Stearns Cos., Inc. 774,225
44,200 E*TRADE Group, Inc.* 729,300
66,500 Goldman Sachs and Co. 6,309,188
17,900 Lehman Brothers Holdings, Inc. 1,692,669
58,400 Merrill Lynch & Co., Inc. 6,716,000
62,300 Morgan Stanley Dean Witter & Co. 5,186,475
14,500 Paine Webber Group, Inc. 659,750
51,800 TD Waterhouse Group, Inc.* 896,788
-----------
23,175,970
-----------
Telephone Systems - 6.4%
30,100 Alltel Corp. 1,864,319
267,335 AT&T Corp. 8,454,469
40,200 AT&T Corp. - Liberty Media Group, Class A* 974,850
72,600 Bell Atlantic Corp. 3,688,988
114,900 Global Crossing Ltd.* 3,023,306
132,600 GTE Corp. 8,254,350
294,600 SBC Communications, Inc. 12,741,450
32,700 Sprint Corp. (PCS Group)* 1,945,650
30,600 U.S. West, Inc. 2,623,950
306,000 Worldcom, Inc.* 14,037,750
-----------
57,609,082
-----------
Textiles, Clothing & Fabrics - 0.1%
32,000 Jones Apparel Group, Inc.* 752,000
600 Nike, Inc., Class B 23,888
-----------
775,888
-----------
Transportation - 0.5%
62,700 Burlington Northern Santa Fe Corp. 1,438,181
3,700 C.H. Robinson Worldwide, Inc. 183,150
22,300 CSX Corp. 472,481
40,500 Norfolk Southern Corp. 602,438
46,100 Union Pacific Corp. 1,714,344
-----------
4,410,594
-----------
Total Common Stocks 878,139,159
-----------
(Cost $817,725,322)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATION - 0.2%
U.S. Treasury Note - 0.2%
S1,805,000 5.63%, 02/28/01(a) $ 1,795,412
------------
Total U.S. Government Obligation 1,795,412
------------
(Cost $1,794,068)
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANY - 0.0%
354,056 SSgA Prime Money Market Fund 354,056
------------
Total Investment Company 354,056
------------
(Cost $354,056)
Total Investments - 97.3% 880,288,627
------------
(Cost $819,873,446)
Net Other Assets and Liabilities - 2.7% 24,172,484
------------
Total Net Assets - 100.0% $904,461,111
============
</TABLE>
------------------
* Non-income producing security.
(a) Security has been deposited as initial margin on futures contracts. At
June 30, 2000, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Contract Expiration Aggregate Market Value at
Purchased Type Date Cost June 30, 2000
--------- -------- ---------- --------- ---------------
<S> <C> <C> <C> <C>
48 S & P 500 September-2000 $18,634,150 $18,351,250
<CAPTION>
=========== ===============
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $819,873,446. Net unrealized appreciation (depreciation) aggregated
$60,415,181, of which $149,089,678 related to appreciated investment securities
and $(88,674,497) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included
$296,816,597 and $219,686,833 of non-governmental issuers, respectively, and
$2,563,780 and $2,270,133 of U.S. Government and Agency issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $60,330,848.
The value of collateral amounted to $62,261,667 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
------------------------------------------------------
F-32
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
---------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
OBLIGATIONS (e) - 42.4%
Fannie Mae - 27.1%
$2,139,327 6.00%, 03/01/03 - 08/01/29 Aaa $1,964,116
5,700,000 6.50%, 07/01/30, TBA(a) Aaa 5,370,472
15,250,593 6.50%, 03/01/29 - 12/01/29 Aaa 14,380,009
9,271,573 7.00%, 11/01/14 - 06/01/30 Aaa 8,950,228
10,981,963 7.50%, 09/01/29 - 05/01/30 Aaa 10,830,060
4,400,000 8.13%, 08/15/19 Aaa 5,307,500
1,250,000 8.50%, 08/01/30, TBA(a) Aaa 1,270,702
1,153,949 9.00%, 11/01/25 Aaa 1,188,993
----------
49,262,080
----------
Freddie Mac - 3.0%
5,509,035 7.50%, 12/01/29 - 01/01/30 Aaa 5,438,393
----------
Ginnie Mae - 12.3%
7,232,223 7.00%, 10/15/25 - 05/15/28 Aaa 7,042,860
1,282,293 7.50%, 08/15/29 Aaa 1,274,037
12,530,781 8.00%, 08/15/25 - 12/15/29 Aaa 12,672,049
1,341,995 9.00%, 12/15/17 Aaa 1,393,919
----------
22,382,865
----------
Total U.S. Government Agency Mortgage-Backed
Obligations 77,083,338
----------
(Cost $77,778,808)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 11.0%
Fannie Mae - 2.8%
2,575,000 6.44%, 07/17/00 Aaa 2,567,630
1,925,001 6.50%, 10/01/29 Aaa 1,815,636
685,072 7.50%, 01/01/30 Aaa 675,645
----------
5,058,911
----------
Freddie Mac - 1.0%
2,025,000 5.75%, 03/15/09 Aaa 1,838,591
----------
U.S. Treasury Bond - 5.2%
500,000 5.25%, 02/15/29 Aaa 443,594
3,075,000 8.13%, 05/15/21(b) Aaa 3,743,812
1,750,000 9.25%, 02/15/16 Aaa 2,267,344
2,100,000 11.25%, 02/15/15(b) Aaa 3,090,938
----------
9,545,688
----------
U.S. Treasury Inflationary
Index - 0.8%
1,375,000 3.80%, 07/15/02 Aaa 1,460,148
----------
U.S. Treasury Note - 1.2%
2,025,000 6.25%, 05/15/30 Aaa 2,125,618
----------
Total U.S. Government and
Agency Obligations 20,028,956
----------
(Cost $19,798,281)
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
--------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 36.0%
Automotive - 6.2%
$1,000,000 DaimlerChrysler North America
Holding Corp.
6.90%, 09/01/04 A1 $ 979,705
2,625,000 DaimlerChrysler North America
Holding Corp.
7.40%, 01/20/05 A1 2,618,611
75,000 DaimlerChrysler North America
Holding Corp.
7.23%, 01/06/05 Aaa 75,226
2,300,000 Ford Motor Co.
7.37%, 07/15/04 A2 2,305,934
3,700,000 Ford Motor Credit Corp.
6.70%, 07/16/04 A2 3,571,702
1,750,000 TRW, Inc.
6.63%, 06/01/04 Baa1 1,660,435
----------
11,211,613
----------
Banking - 6.6%
1,900,000 Abbey National, Plc, Yankee Bond
6.70%, 06/29/49 Aa3 1,695,180
850,000 Ahold Finance USA, Inc.
6.25%, 05/01/09 A3 754,409
975,000 BB&T Corp.
6.38%, 06/30/05 A3 920,400
700,000 BB&T Corp.
7.25%, 06/15/07 A3 661,798
800,000 Firstar Corp.
7.13%, 12/01/09 A1 758,578
1,600,000 National Australia Bank
8.60%, 05/19/10 A1 1,676,453
800,000 National City Corp.
5.75%, 02/01/09 A2 687,218
1,090,000 National Westminster Bank
7.75%, 04/29/49 Aa3 977,054
1,000,000 U.S. Bancorp
6.00%, 05/15/04 A1 947,351
1,125,000 Union Planters Bank
6.50%, 03/15/08 Baa1 984,840
1,275,000 Wells Fargo Co.
6.63%, 07/15/04 Aa2 1,243,669
775,000 Wells Fargo Co.
6.75%, 06/15/07 Aa2 740,695
----------
12,047,645
----------
Beverages, Food & Tobacco - 1.1%
2,000,000 Safeway, Inc.
7.25%, 09/15/04 Baa2 1,976,884
----------
Chemicals - 1.1%
2,100,000 Great Lakes Chemical Corp.
7.00%, 07/15/09 A2 1,979,548
----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-33
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
--------------------------------------------------------------------------
Commercial Services - 0.8%
$ 550,000 Waste Management, Inc.
6.13%, 07/15/01 Ba1 $ 532,563
625,000 Waste Management, Inc.
6.38%, 12/01/03 Ba1 575,051
450,000 Waste Management, Inc.
7.00%, 07/15/28 Ba1 338,625
----------
1,446,239
----------
Communications - 0.8%
325,000 PanAmSat Corp.
6.00%, 01/15/03 Baa2 309,010
1,225,000 PanAmSat Corp.
6.13%, 01/15/05 Baa2 1,127,898
----------
1,436,908
----------
Computer Software & Processing - 0.3%
650,000 Electronic Data Systems Corp.
7.45%, 10/15/29 A1 624,972
----------
Electrical Equipment - 0.3%
450,000 Emerson Electric Co.
7.88%, 06/01/05 Aa2 462,639
----------
Entertainment & Leisure - 0.5%
600,000 Royal Caribbean Cruises, Ltd.
7.00%, 10/15/07 Baa2 503,400
675,000 Royal Caribbean Cruises, Ltd.,
Yankee Debenture
7.50%, 10/15/27 Baa2 498,487
----------
1,001,887
----------
Financial Services - 2.6%
1,550,000 AMVESCAP, Plc, Yankee Bond 6.60%,
05/15/05 A3 1,457,555
1,500,000 Brascan Ltd. - Yankee Note
7.38%, 10/01/02 Baa3 1,458,330
1,775,000 Goldman Sachs Group, Inc.
7.50%, 01/28/05 A1 1,766,755
----------
4,682,640
----------
Forest Products & Paper - 0.7%
800,000 Fort James Corp.
6.88%, 09/15/07 Baa2 746,415
600,000 International Paper Co.
8.00%, 07/08/03(c) Baa1 601,985
----------
1,348,400
----------
Industrial - Diversified - 1.4%
1,725,000 General Electric Credit Corp.
6.27%, 07/23/03 Aaa 1,681,085
825,000 Tyco International Group SA
6.88%, 09/05/02(c) Baa1 816,536
----------
2,497,621
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
---------------------------------------------------------------------------
Insurance - 1.6%
$ 400,000 AAG Holding Co., Inc.
6.88%, 06/01/08 Baa2 $ 322,988
600,000 American Financial Group, Inc.
7.13%, 04/15/09 Baa2 490,926
1,000,000 Conseco, Inc.
6.80%, 06/15/05 Ba3 660,000
800,000 Markel Corp.
7.25%, 11/01/03 Baa2 741,072
725,000 Marsh & Mclennan Cos., Inc.
6.63%, 06/15/04 A2 700,546
----------
2,915,532
----------
Lodging - 0.2%
500,000 La Quinta Inns, Inc., MTN
7.11%, 10/17/01 B1 420,000
----------
Media - Broadcasting &
Publishing - 3.3%
1,675,000 Cox Communications, Inc.
6.69%, 09/20/04 Baa2 1,604,287
1,325,000 News America Holdings, Inc.
7.30%, 04/30/28 Baa3 1,137,926
375,000 News America Holdings, Inc.
7.75%, 12/01/45 Baa3 325,723
1,800,000 Time Warner, Inc.
7.75%, 06/15/05 Baa3 1,813,093
500,000 Times Mirror Co.
7.45%, 10/15/09 A2 488,190
700,000 Viacom, Inc.
7.75%, 06/01/05 Baa1 704,878
----------
6,074,097
----------
Oil & Gas - 0.7%
400,000 Coastal Corp.
6.20%, 05/15/04 Baa2 382,698
875,000 Enron Corp.
7.88%, 06/15/03 Baa1 880,968
----------
1,263,666
----------
Pharmaceuticals - 1.2%
1,700,000 Merck & Co., Inc.
5.76%, 05/03/37 Aaa 1,698,638
450,000 Merck & Co., Inc.
6.40%, 03/01/28 Aaa 405,493
----------
2,104,131
----------
Real Estate - 2.0%
275,000 Avalon Properties, Inc.,
REIT
7.38%, 09/15/02 Baa1 271,383
1,350,000 ERP Operating, LP,
Senior Note
6.63%, 02/15/05 Baa1 1,276,479
650,000 Meditrust Cos., REIT
7.82%, 09/10/26 B1 494,000
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-34
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
-------------------------------------------------------------------------------
Real Estate - (continued)
$ 900,000 ProLogis Trust, REIT
6.70%, 04/15/04 Baa1 $ 857,656
825,000 Regency Centers, LP, REIT
7.40%, 04/01/04 Baa2 791,592
----------
3,691,110
----------
Retailers - 0.4%
800,000 CVS Corp.
5.50%, 02/15/04 A3 750,632
----------
Securities Broker - 1.0%
1,800,000 Morgan Stanley Dean Witter
7.13%, 01/15/03 Aa3 1,788,025
----------
Telephone Systems - 1.5%
650,000 Sprint Capital Corp.
5.70%, 11/15/03 Baa1 613,919
700,000 Telephone and Data Systems, Inc.
7.00%, 08/01/06 A3 660,169
1,450,000 Vodafone AirTouch Plc
7.63%, 02/15/05(c) A2 1,452,005
----------
2,726,093
----------
Transportation - 1.7%
1,200,000 CSX Corp.
6.25%, 10/15/08 Baa2 1,060,511
1,200,000 CSX Corp.
7.25%, 05/01/04 Baa2 1,171,510
1,000,000 Wisconsin Central Transportation Corp.
6.63%, 04/15/08 Baa2 855,530
----------
3,087,551
----------
Total Corporate Notes and Bonds 65,537,833
----------
(Cost $68,883,629)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (e) - 9.6%
1,725,000 ANRC Auto Owner Trust, CMO
6.94%, 04/17/06 Aaa 1,711,614
1,413,730 Bear Stearns Mortgage Securities,
Inc., Series 1998-2, Class B, CMO
6.75%, 04/30/30 Aa2 1,229,945
1,399,819 Chase Commercial Mortgage Securities
Corp., Series 1996-1, Class E, CMO
7.60%, 06/18/06(d) BBB 1,293,965
700,000 Chase Commercial Mortgage Securities
Corp., Series 1997-1, Class D
7.37%, 05/19/07(d) BBB 644,000
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (e) -
(continued)
$1,300,000 Chase Credit Card Master Trust,
Series 1999-3, Class B
6.95%, 01/15/07 A2 $1,281,059
1,088,212 Citicorp Mortgage Securities, Inc.,
Series 1995-3, Class B3, CMO
7.50%, 11/25/25(d) BBB 1,010,895
1,675,000 Delta Funding Home Equity Loan
Trust, Series 1999-1, Class A6F, CMO
6.34%, 12/15/28 Aaa 1,524,250
900,000 GMAC Commercial Mortgage Securities
Corp., Series 1997-C1, Class E, CMO
7.09%, 11/15/10 Baa2 811,827
422,642 Housing Securities, Inc., Series
1994-2, Class A-1
6.50%, 07/25/09 Aaa 409,227
2,000,000 MBNA Master Credit Card Trust, CMO
6.60%, 12/15/06 A2 1,947,900
1,000,000 Merrill Lynch Mortgage Investors,
Inc., Series 1996-C2, Class E, CMO
6.96%, 11/21/28(d) BBB 843,130
825,000 Merrill Lynch Mortgage Investors,
Inc., Series 1997-C1, Class D, CMO
7.12%, 06/18/29 Baa2 737,088
575,000 Mortgage Capital Funding, Inc.,
Series 1996-MC1, Class A2B 7.90%,
07/15/28(d) AAA 588,438
149,126 Resolution Trust Corp., Series 1995-
2, Class C-1
7.45%, 05/25/29 Baa2 137,429
1,750,000 Toyota Auto Receivables Grantor
Trust, CMO
7.21%, 04/15/07 Aaa 1,754,200
1,650,000 UCFC Home Equity Loan, Series 1998-
D, Class AF7
6.32%, 04/15/30 Aaa 1,528,824
----------
Total Asset-Backed and Mortgage-
Backed Securities 17,453,791
----------
(Cost $18,430,113)
FOREIGN GOVERNMENT OBLIGATIONS - 0.8%
1,300,000 Quebec Province
8.80%, 04/15/03 A2 1,355,250
----------
Total Foreign Government Obligations 1,355,250
----------
(Cost $1,363,957)
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-35
<PAGE>
Select Income Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
----------------------------------------------------------------------
COMMERCIAL PAPER (f) - 2.2%
Banking - 0.7%
$1,250,000 Variable Funding Corp.
6.56%, 08/16/00 NR $ 1,239,522
------------
Securities Broker - 1.5%
2,750,000 Merrill Lynch & Co., Inc.
6.55%, 07/17/00 Aa3 2,741,995
------------
Total Commercial Paper 3,981,517
------------
(Cost $3,981,517)
Total Investments - 102.0% 185,440,685
------------
(Cost $190,236,305)
Net Other Assets and Liabilities - (2.0)% (3,601,187)
------------
Total Net Assets - 100.0% $181,839,498
============
</TABLE>
------------------
(a) Forward Commitment
(b) Designated as Collateral on Forward Commitment
(c) 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, 2000, these securities
amounted to $2,870,526 or 1.6% of net assets.
(d) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(e) Pass Through Certificates.
(f) Effective yield at time of purchase.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $190,236,305. Net unrealized appreciation (depreciation) aggregated
$(4,795,620), of which $948,224 related to appreciated investment securities
and $(5,743,844) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $30,656,767
and $27,584,716 of non-governmental issuers, respectively, and $115,344,211 and
$106,749,156 of U.S. Government and Agency issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $3,865,451.
The value of collateral amounted to $3,945,000 which consisted of cash equiva-
lents.
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 58.2%
Aa2 2.0
Aa3 3.9
A1 5.0
A2 8.5
A3 2.8
Baa1 4.7
Baa2 7.7
Baa3 2.5
Ba1 0.8
Ba3 0.4
B1 0.5
NR (Not Rated) 0.7
-----
97.7%
=====
</TABLE>
<TABLE>
<CAPTION>
S&P Ratings
<S> <C>
AAA 0.3%
BBB 2.0
------
2.3%
======
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-36
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
----------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (f) -
20.2%
Fannie Mae - 15.0%
$5,666,517 6.00%, 05/01/01 - 03/01/29 Aaa $5,201,128
7,574,778 6.50%, 04/29/09 - 10/01/28 Aaa 7,089,714
5,691,305 6.50%, 05/01/08 - 06/01/29 Aaa 5,398,718
9,054,799 7.00%, 08/01/10 - 01/01/28 Aaa 8,815,988
235,078 7.39%, 08/17/03 Aaa 234,912
7,273,422 7.50%, 01/01/07 - 10/01/28 Aaa 7,217,747
1,742,193 8.00%, 04/01/09 - 04/01/23 Aaa 1,758,289
285,279 8.50%, 07/01/08 Aaa 290,158
244,665 9.00%, 02/01/10 Aaa 252,139
191,998 10.00%, 10/01/20 - 12/01/20 Aaa 204,586
----------
36,463,379
----------
Freddie Mac - 1.1%
76,302 6.50%, 06/01/04 - 08/01/04 Aaa 73,176
1,215,308 7.90%, 07/01/16 Aaa 1,230,262
679,171 8.00%, 04/01/07 - 08/01/09 Aaa 680,827
234,156 8.75%, 05/01/17 Aaa 243,237
471,060 9.50%, 03/01/01 - 02/01/21 Aaa 488,121
----------
2,715,623
----------
Ginnie Mae - 4.1%
7,426,501 6.50%, 09/15/08 - 02/15/29 Aaa 7,066,496
1,310,441 7.00%, 05/15/23 - 06/15/23 Aaa 1,279,426
751,138 8.00%, 08/15/22 - 09/15/26 Aaa 761,462
129,275 9.00%, 08/15/16 Aaa 134,308
500,926 9.50%, 02/15/06 Aaa 521,351
----------
9,763,043
----------
Total U.S. Government Agency Mortgage-Backed
Obligations 48,942,045
----------
(Cost $50,790,517)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 24.1%
Fannie Mae - 10.5%
3,400,000 6.00%, 05/15/08 Aaa 3,164,485
4,175,000 6.50%, 07/19/14, TBA(a) Aaa 4,023,656
1,142,652 6.50%, 09/01/10 Aaa 1,108,936
12,813,268 7.00%, 07/01/15 - 07/01/30, TBA(a) Aaa 12,404,951
2,500,000 7.50%, 07/01/30, TBA(a) Aaa 2,462,500
2,240,000 8.00%, 07/01/30, TBA(a) Aaa 2,248,400
----------
25,412,928
----------
Federal Home Loan Bank - 0.6%
1,725,000 6.50%, 11/18/13 Aaa 1,565,438
----------
Freddie Mac - 1.6%
4,100,000 6.50%, 07/01/29, TBA(a) Aaa 3,866,813
----------
Sallie Mae - 0.8%
2,000,000 6.34%, 08/14/01(b) Aaa 2,000,000
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
--------------------------------------------------------------------------
U.S. Treasury Bond - 8.9%
$4,835,000 5.50%, 08/15/28(c) Aaa $4,434,604
9,905,000 7.13%, 02/15/23(c) Aaa 10,988,359
3,215,000 7.25%, 05/15/16(c) Aaa 3,537,506
2,150,000 7.63%, 11/15/22(c) Aaa 2,510,798
----------
21,471,267
----------
U.S. Treasury Note - 1.7%
990,000 5.75%, 08/15/03(c) Aaa 972,985
3,250,000 6.00%, 08/15/09(c) Aaa 3,223,594
----------
4,196,579
----------
Total U.S. Government and Agency
Obligations 58,513,025
----------
(Cost $59,656,740)
CORPORATE NOTES AND BONDS - 36.5%
Airlines - 1.5%
1,300,000 AMR Corp., Debenture
9.50%, 05/15/01 Baa2 1,309,840
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa3 1,979,258
394,111 United Air Lines, Inc.
9.30%, 03/22/08 Baa1 408,240
----------
3,697,338
----------
Automotive - 0.8%
725,000 Ford Motor Credit Co.
5.80%, 01/12/09 A2 630,699
1,300,000 Ford Motor Credit Corp.
6.25%, 12/08/05 A2 1,224,531
----------
1,855,230
----------
Banking - 4.2%
1,500,000 BCH Cayman Islands, Ltd., Yankee
Subordinated Note, Guaranteed
6.50%, 02/15/06 A1 1,398,967
1,000,000 Centura Banks, Inc.
6.50%, 03/15/09 Baa1 906,566
2,000,000 Chase Manhattan Corp.
6.38%, 02/15/08 A1 1,831,464
1,000,000 Compass Trust I, Series A
8.23%, 01/15/27 A3 820,920
1,750,000 MBNA Corp., Senior Notes, MTN
6.96%, 09/12/02 Baa2 1,711,062
1,775,000 Providian National Bank
6.75%, 03/15/02 Baa3 1,742,745
1,850,000 Wells Fargo Bank NA
7.55%, 06/21/10 Aa2 1,825,210
----------
10,236,934
----------
Beverages, Food & Tobacco - 0.7%
1,700,000 J. Seagrahm & Sons, Inc.
7.60%, 12/15/28 Baa3 1,607,778
----------
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-37
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Chemicals - 0.5%
$1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba1 $1,292,659
----------
Commercial Services - 0.8%
2,000,000 Cox Communications, Inc.
6.63%, 06/14/02(d) Baa1 1,962,276
----------
Communications - 0.8%
2,275,000 Lucent Technologies, Inc.
6.45%, 03/15/29 A2 2,009,300
----------
Computer Software & Processing -
0.8%
1,850,000 Sun Microsystems
7.35%, 08/15/04 Baa1 1,845,915
----------
Computers & Information - 1.4%
1,750,000 Hewlett-Packard Co.
7.15%, 06/15/05 Aa2 1,756,373
1,475,000 International Business Machines
Corp.
8.38%, 11/01/19 A1 1,619,728
----------
3,376,101
----------
Electric Utilities - 1.8%
2,195,000 Connecticut Light & Power Co., First
Mortgage, Series D
7.88%, 10/01/24 Baa3 2,194,991
1,000,000 Ohio Edison Co.
7.38%, 09/15/02 Baa2 1,000,247
580,000 Texas Utilities Co.
7.38%, 10/01/25 A3 524,255
800,000 Texas-New Mexico Power Co., Senior
Note
6.25%, 01/15/09 Baa3 691,383
----------
4,410,876
----------
Electronics - 0.5%
1,300,000 Raytheon Co.
6.45%, 08/15/02 Baa2 1,269,645
----------
Entertainment & Leisure - 0.4%
1,200,000 Royal Caribbean Cruises, Ltd.
6.75%, 03/15/08 Baa2 1,032,679
----------
Financial Services - 2.3%
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa2 1,399,702
1,750,000 Money Store, Inc., Senior Notes,
Guaranteed
8.05%, 04/15/02 A1 1,764,849
1,575,000 Newcourt Credit
6.88%, 02/16/05 A1 1,508,126
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
-----------------------------------------------------------------------------
Financial Services - (continued)
$1,035,000 Travelers Group, Inc.
7.25%, 05/01/01 Aa3 $1,034,422
----------
5,707,099
----------
Forest Products & Paper - 1.9%
1,900,000 Abitibi-Consolidated,
Yankee Debenture
7.40%, 04/01/18 Baa3 1,634,219
900,000 Chesapeake Corp.
7.20%, 03/15/05 Ba2 838,610
800,000 Georgia-Pacific Corp.
9.95%, 06/15/02 Baa2 830,850
1,500,000 Tennessee Gas Pipeline Co.,
Debenture
7.50%, 04/01/17 Baa1 1,424,376
----------
4,728,055
----------
Heavy Machinery - 0.6%
1,550,000 Black & Decker Corp.
6.63%, 11/15/00 Baa2 1,547,320
----------
Home Construction, Furnishings & Appliances - 0.3%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa3 794,154
----------
Industrial - Diversified - 1.2%
1,500,000 General Electric Capital Corp.
7.50%, 05/15/05 Aaa 1,517,987
1,500,000 Tyco International Group, S.A.,
Yankee Subordinated Note
6.25%, 06/15/03 Baa1 1,427,793
----------
2,945,780
----------
Insurance - 0.4%
1,000,000 AON Capital Trust, Series A
8.21%, 01/01/27 A3 915,932
----------
Media - Broadcasting & Publishing -
3.9%
1,675,000 Lenfest Communications, Inc.
8.38%, 11/01/05 Baa2 1,710,247
2,000,000 Liberty Media Group
7.88%, 07/15/09 Baa3 1,925,562
2,275,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa3 2,174,779
675,000 Time Warner Entertainment Co., LP,
Debenture
8.38%, 03/15/23 Baa2 689,610
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Baa3 1,235,091
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Baa3 822,320
1,000,000 USA Networks, Inc.
6.75%, 11/15/05 Baa3 949,098
----------
9,506,707
----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-38
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Metals - 1.1%
$2,500,000 USX Corp.
9.80%, 07/01/01 Baa1 $2,555,888
----------
Oil & Gas - 1.7%
1,700,000 Phillips Petroleum
8.50%, 05/25/05 Baa2 1,759,255
800,000 Union Pacific Resources Group, Inc.
6.50%, 05/15/05 Baa3 762,835
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 NR 1,492,911
----------
4,015,001
----------
Pharmaceuticals - 0.6%
1,500,000 Watson Pharmaceuticals, Inc., Senior
Note
7.13%, 05/15/08 Ba1 1,339,493
----------
Retailers - 2.1%
1,250,000 Federated Department Stores
8.50%, 06/01/10 Baa1 1,272,909
2,000,000 Meyer (Fred), Inc.
7.45%, 03/01/08 Baa3 1,912,834
2,000,000 Saks, Inc.
7.00%, 07/15/04 Baa3 1,795,254
----------
4,980,997
----------
Securities Broker - 2.5%
2,500,000 Bear Stearns Cos., Inc., Senior Note
6.15%, 03/02/04 A2 2,368,958
2,200,000 Morgan Stanley Dean Witter & Co.
7.75%, 06/15/05 Aa3 2,211,471
1,700,000 Paine Webber Group, Inc., Senior
Note
6.55%, 04/15/08 Baa1 1,515,606
----------
6,096,035
----------
Telephone Systems - 3.2%
2,275,000 AT & T Corp.
6.00%, 03/15/09 A1 2,028,479
1,300,000 AT & T Corp.
7.65%, 09/15/06 Baa3 1,287,277
1,225,000 LCI International, Inc., Senior Note
7.25%, 06/15/07 Baa1 1,177,748
1,800,000 Sprint Capital Corp.
7.63%, 06/10/02 Baa1 1,806,687
1,575,000 US West Communications, Inc.
6.38%, 10/15/02 A2 1,536,534
----------
7,836,725
----------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Transportation - 0.5%
$1,250,000 CSX Corp.
6.25%, 10/15/08 Baa2 $1,104,699
----------
Total Corporate Notes and Bonds 88,670,616
----------
(Cost $91,799,897)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (f) - 12.8%
2,350,000 BankBoston RV Asset Backed Trust,
Series 1997-1, Class A8, CMO
6.54%, 02/15/09 Aaa 2,319,849
2,100,000 Bear Stearns Mortgage Securities,
Inc., CMO
7.06%, 06/15/09 Aaa 2,050,192
1,053,158 Bear Stearns Mortgage Securities,
Inc., Series 1995-1, Class 1A
6.45%, 05/25/10 Aaa 1,020,679
1,250,000 Bear Stearns Mortgage Securities,
Inc., Series 1996-3, Class A10
7.75%, 06/25/27(e) AAA 1,238,087
382,104 Carco Auto Loan Master Trust, Series
1997-1, Class A, CMO
6.69%, 08/15/04 Aaa 380,683
1,575,000 Chase Credit Card Master Trust,
Series 1997-5, Class A, CMO
6.19%, 08/15/05 Aaa 1,543,547
1,020,618 COMM, Series 1999-1, Class A1, CMO
6.15%, 02/15/08 Aaa 975,362
1,000,000 Copelco Capital Funding Corp.,
Series 1999-A, Class A4
5.80%, 04/15/03 Aaa 975,580
2,200,000 Discover Card Master Trust I, Series
1993-3, Class A, CMO
6.20%, 05/16/06 Aaa 2,128,720
2,500,000 Diversified REIT Trust, Series 1999-
1A, Class A2
6.78%, 03/18/11(d) Aaa 2,337,109
1,128,417 DLJ Commercial Mortgage Corp.,
Series 1998-CF2, Class A1A
5.88%, 11/12/31 Aaa 1,063,579
1,654,284 Financial Asset Securitization,
Inc., Series 1999-1, Class A4, CMO
7.75%, 05/25/27(e) AAA 1,636,335
1,500,000 First Security Auto Owner Trust,
Series 1999-1, Class A4,
5.74%, 06/15/04 Aaa 1,464,375
1,047,051 GMAC Commercial Mortgage Securities,
Inc., Series 1996-C1, Class A2A, CMO
6.79%, 09/15/03 Aaa 1,037,042
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-39
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (f) - (continued)
$ 117,946 Green Tree Recreation Equipment &
Consumer Trust, Series 1996-A, Class
A1, CMO
5.55%, 02/15/18 Aaa $ 114,163
474,093 Green Tree Recreation Equipment &
Consumer Trust,
Series 1997-B, Class A1, CMO 6.55%,
07/15/28(e) AAA 467,024
1,792,900 Morgan Stanley Dean Witter & Co.
7.43%, 12/03/05(d) Aaa 1,792,340
2,500,000 Residential Funding Mortgage
Securities I, Series 1999-S7, Class
A11, CMO
6.50%, 03/25/29(e) AAA 2,379,275
1,100,000 Sithe/Independence Funding Corp.,
Series A
9.00%, 12/30/13 Baa3 1,136,366
700,000 Southwest Gas Corp., Debenture,
Series F
9.75%, 06/15/02 Baa2 723,022
2,750,000 Toyota Auto Receivables Owner Trust,
CMO
6.15%, 08/16/04 Aaa 2,715,158
1,575,000 WFS Financial Owner Trust, Series
1998-B, Class A4
6.05%, 04/20/03 Aaa 1,555,155
----------
Total Asset-Backed and Mortgage-
Backed Securities 31,053,642
----------
(Cost $31,903,252)
FOREIGN GOVERNMENT OBLIGATIONS - 0.8%
1,975,000 Province Of Ontario
7.38%, 01/27/03 Aa3 1,983,724
----------
Total Foreign Government Obligations 1,983,724
----------
(Cost $1,978,061)
COMMERCIAL PAPER (g) - 13.2%
Automotive - 2.5%
6,000,000 Harley Davidson Funding
6.61%, 07/10/00 NR 5,990,085
----------
Commercial Services - 2.5%
6,000,000 Block Financial Corp. 6.63%, 07/10/00 A3 5,990,055
----------
Financial Services - 7.1%
2,500,000 ASAP Funding, Ltd. 7.20%, 07/05/00 NR 2,498,000
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
<C> <S> <C> <C>
------------------------------------------------------------------------------
Financial Services - (continued)
$10,000,000 Omnicom Finance, Inc. 6.73%,
08/01/00(e) A $ 9,942,047
5,000,000 Westways Funding IV
6.67%, 09/07/00(e) AA 4,937,006
------------
17,377,053
------------
Securities Broker - 1.1%
2,700,000 Paine Webber Group, Inc. 7.10%,
07/03/00 Baa1 2,698,935
------------
Total Commercial Paper 32,056,128
------------
(Cost $32,056,128)
<CAPTION>
Shares
------
<C> <S> <C> <C>
INVESTMENT COMPANY - 0.8%
1,874,971 SSgA Prime Money Market Fund NR 1,874,971
------------
Total Investment Company 1,874,971
------------
(Cost $1,874,971)
Total Investments - 108.4% 263,094,151
------------
(Cost $270,059,566)
Net Other Assets and Liabilities - (8.4)% (20,357,745)
------------
Total Net Assets - 100.0% $242,736,406
============
</TABLE>
------------------
(a) Forward Commitment
(b) Variable rate security. The rate shown reflects rate in effect at June 30,
2000.
(c) Designated as Collateral on Forward Commitment
(d) 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, 2000, these securities
amounted to $6,091,725 or 2.5% of net assets.
(e) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
(f) Pass Through Certificates.
(g) Effective yield at time of purchase.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REIT Real Estate Investment Trust
See Notes to Financial Statements.
------------------------------------------------------
F-40
<PAGE>
Select Investment Grade Income Fund (Formerly Investment Grade Income Fund)
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $270,059,566. Net unrealized appreciation (depreciation) aggregated
$(6,965,415), of which $796,238 related to appreciated investment securities
and $(7,761,653) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $33,755,130
and $31,866,936 of non-governmental issuers, respectively, and $149,687,659 and
$152,131,457 of U.S. Government and Agency issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $18,293,928.
The value of collateral amounted to $18,520,813 which consisted of cash equiva-
lents.
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 50.3%
Aa2 1.4
Aa3 2.0
A1 3.9
A2 2.9
A3 3.1
Baa1 7.2
Baa2 6.1
Baa3 9.4
Ba1 1.0
Ba2 0.3
NR (Not Rated) 4.5
-----
92.1%
=====
</TABLE>
<TABLE>
<S> <C>
S&P
Ratings
AAA 2.2%
AA 1.9
A 3.8
-----
7.9%
=====
</TABLE>
See Notes to Financial Statements.
--------------------------------------------
F-41
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
----------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED OBLIGATIONS (a) -
15.4%
Fannie Mae - 8.6%
$1,250,000 6.15%, 06/25/20 $1,229,212
3,252,266 6.50%, 05/01/08 - 09/01/14 3,142,540
311,907 7.00%, 01/01/10 - 05/01/17 307,752
141,613 7.39%, 08/17/03 141,513
578,926 7.50%, 03/01/07 579,742
373,612 8.00%, 04/01/09 - 09/01/21 377,058
815,705 8.40%, 02/25/09 825,591
----------
6,603,408
----------
Freddie Mac - 4.3%
1,500,000 5.75%, 06/15/01 1,484,124
565,889 6.50%, 06/01/04 - 06/01/23 543,466
216,687 7.50%, 02/01/07 217,085
319,808 7.90%, 07/01/16 323,743
539,289 8.00%, 09/01/08 - 06/01/19 541,233
34,326 9.50%, 03/01/01 34,706
116,064 10.00%, 03/01/21 123,558
----------
3,267,915
----------
Ginnie Mae - 2.5%
58,989 6.50%, 06/15/09 57,813
1,697,516 7.00%, 06/15/09 - 06/15/12 1,685,259
149,257 9.50%, 02/15/06 155,343
----------
1,898,415
----------
Total U.S. Government Agency Mortgage-Backed
Obligations 11,769,738
----------
(Cost $12,017,044)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 77.9%
Fannie Mae - 16.2%
4,078,000 5.13%, 02/13/04 3,831,273
550,000 5.84%, 03/15/01 546,321
1,425,000 6.18%, 03/15/01 1,418,692
3,213,000 6.38%, 06/15/09 3,044,860
3,500,000 6.63%, 01/15/02 3,484,950
----------
12,326,096
----------
Federal Farm Credit Bank - 8.1%
1,125,000 5.72%, 02/04/03 1,091,211
1,600,000 5.75%, 02/20/03 1,552,054
1,550,000 6.65%, 08/08/03 1,532,795
2,000,000 6.71%, 04/25/01 1,998,008
----------
6,174,068
----------
Federal Home Loan Bank - 13.4%
1,500,000 5.25%, 04/25/02 1,459,491
1,500,000 5.61%, 01/23/03 1,453,161
1,500,000 5.95%, 01/19/06 1,425,427
1,350,000 6.19%, 05/06/08 1,271,695
1,629,284 6.28%, 06/15/09 1,558,100
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
--------------------------------------------------------------------------
Federal Home Loan Bank - (continued)
$ 550,000 6.55%, 03/07/05 $ 539,515
2,500,000 7.31%, 11/16/01 2,500,835
----------
10,208,224
----------
Freddie Mac - 9.3%
2,500,000 5.13%, 10/15/08 2,176,880
700,000 5.75%, 07/15/03 676,173
1,300,000 6.25%, 07/15/04 1,263,998
1,000,000 6.87%, 03/03/03 997,229
2,000,000 7.13%, 07/13/01 1,999,200
----------
7,113,480
----------
U.S. Treasury Note - 30.9%
750,000 5.25%, 08/15/03 727,266
5,750,000 5.75%, 11/30/02 - 08/15/03 5,658,612
3,250,000 6.00%, 07/31/02 - 08/15/09 3,222,656
1,250,000 6.25%, 02/28/02 1,245,312
5,100,000 6.50%, 08/31/01 - 10/15/06 5,132,625
6,100,000 6.88%, 05/15/06 6,277,284
1,100,000 10.75%, 08/15/05 1,311,063
----------
23,574,818
----------
Total U.S. Government and
Agency Obligations 59,396,686
----------
(Cost $61,397,064)
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES (a) - 6.9%
1,250,000 American Express Credit Account Master Trust,
Series 1999-1, Class A
5.60%, 11/15/06 1,184,888
1,500,000 American Express Master Trust,
Series 1998-1, Class A, CMO
5.90%, 04/15/04 1,454,490
1,500,000 Discover Card Master Trust I,
Series 1998-2, Class A, CMO
5.80%, 09/16/03 1,483,950
18,871 Green Tree Recreation Equipment & Consumer Trust,
Series 1996-A, Class A1, CMO 5.55%, 02/15/18 18,266
1,000,000 NationsBank Corp., Series 1993-2, CMO
6.00%, 12/15/05 965,520
155,244 Premier Auto Trust, Series 1996-4, Class A4, CMO
6.40%, 10/06/01 155,213
----------
Total Asset-Backed and Mortgage-Backed Securities 5,262,327
----------
(Cost $5,363,875)
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-42
<PAGE>
Government Bond Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
<C> <S> <C>
-----------------------------------------------------
INVESTMENT COMPANY - 1.1%
843,488 SSgA Prime Money Market Fund $ 843,488
-----------
Total Investment Company 843,488
-----------
(Cost $843,488)
Total Investments - 101.3% 77,272,239
-----------
(Cost $79,621,471)
Net Other Assets and Liabilities -
(1.3)% (1,003,509)
-----------
Total Net Assets - 100.0% $76,268,730
===========
</TABLE>
------------------
(a) Pass Through Certificates.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $79,621,471. Net unrealized appreciation (depreciation) aggregated
$(2,349,232), of which $38,706 related to appreciated investment securities and
$(2,387,938) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 2000, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $955,664
and $2,297,215 of non-governmental issuers, respectively, and $14,927,849 and
$26,918,268 of U.S. Government and Agency issuers, respectively.
At June 30, 2000, the value of the securities loaned amounted to $13,313,990.
The value of collateral amounted to $13,577,687 which consisted of cash equiva-
lents.
See Notes to Financial Statements.
--------------------------------------------
F-43
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
--------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (c) -
7.1%
Fannie Mae - 4.6%
$5,000,000 5.62%, 09/01/00 $4,951,607
10,000,000 6.53%, 09/01/00 9,887,539
5,000,000 6.57%, 09/01/00 4,943,425
----------
19,782,571
----------
Federal Farm Credit Bank - 0.2%
1,000,000 6.34%, 05/07/01(a) 1,000,000
----------
Sallie Mae - 2.3%
10,000,000 6.28%, 03/09/01(a) 10,002,563
----------
Total U.S. Government and
Agency Obligations 30,785,134
----------
CORPORATE NOTES - 46.8%
Automotive - 3.2%
6,000,000 American Honda Finance Corp.
6.78%, 08/02/00(b) 5,999,899
5,000,000 General Motors Acceptance Corp., MTN
6.80%, 04/17/01 4,981,271
3,000,000 Paccar Financial Corp., MTN
6.08%, 05/15/01 2,967,816
----------
13,948,986
----------
Banking - 6.8%
2,500,000 African Development Bank
8.73%, 05/01/01 2,536,157
10,000,000 Asset Backed Capital Financial
6.44%, 03/15/01(a) 10,000,000
9,000,000 First Union National Bank
6.86%, 09/27/00(a) 8,998,367
2,750,000 FleetBoston Financial Corp., MTN
6.38%, 08/11/00 2,750,270
5,000,000 PNC Funding Corp.
9.88%, 03/01/01 5,092,735
----------
29,377,529
----------
Electric Utilities - 0.2%
1,000,000 National Rural Utilities, MTN
5.88%, 07/28/00 999,655
----------
Financial Services - 19.2%
1,000,000 Countrywide Funding Corp.
7.31%, 08/28/00 1,001,628
5,000,000 Countrywide Home Loans
5.62%, 10/16/00 4,984,954
10,000,000 Countrywide Home Loans, MTN
6.77%, 05/22/01(a) 9,997,832
7,000,000 Heller Financial, Inc.
6.49%, 09/18/00 6,998,527
10,000,000 Heller Financial, Inc.
6.90%, 08/07/00(a) 9,999,466
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
-------------------------------------------------------------------
Financial Services - (continued)
$2,500,000 Heller Financial, Inc.
7.10%, 09/25/00(a) $ 2,501,802
12,000,000 Household Finance Corp., MTN
6.37%, 03/30/01(a) 12,000,000
1,000,000 Household Finance Corp., MTN
6.89%, 06/21/01(a) 1,000,690
10,000,000 Links Finance LLC
6.66%, 03/30/01(a) 9,997,759
10,000,000 Links Finance LLC, MTN
7.00%, 06/04/01(b) 10,000,000
10,000,000 Sigma Finance, Inc.
6.39%, 03/30/01(a) 10,000,000
5,000,000 Syndicated Loan Fund Trust
6.53%, 03/30/01(a) 5,000,000
-----------
83,482,658
-----------
Real Estate - 5.3%
23,000,000 Homeside Lending, Inc., MTN
6.93%, 08/16/00(a) 23,000,578
-----------
Securities Broker - 11.5%
5,000,000 Bear Stearns Cos., Inc., MTN
6.39%, 02/02/01(a) 5,000,000
1,300,000 Goldman Sachs and Co.
5.56%, 01/11/01(b) 1,294,926
10,000,000 Goldman Sachs Group, Inc.
6.82%, 08/16/00 10,000,000
7,000,000 Lehman Brothers Holdings, Inc.
7.29%, 09/25/00 7,012,175
675,000 Merrill Lynch & Co., Inc.
6.70%, 08/01/00 675,372
5,000,000 Merrill Lynch & Co., Inc., MTN
7.32%, 11/20/00(a) 5,009,866
10,000,000 Morgan Stanley Dean Witter & Co., MTN
6.88%, 08/09/00(a) 10,004,076
10,000,000 Paine Webber Group, Inc.
6.82%, 12/12/00(a) 10,000,000
1,000,000 Salomon Smith Barney Holdings, Inc., MTN
6.63%, 11/30/00 1,001,262
-----------
49,997,677
-----------
Telephone Systems - 0.6%
2,356,000 GTE Corp.
9.38%, 12/01/00 2,381,616
-----------
Total Corporate Notes 203,188,699
-----------
COMMERCIAL PAPER (c) - 29.5%
Banking - 4.5%
10,000,000 Bank of America Corp.
6.65%, 08/23/00 9,902,097
10,000,000 Christiania Capital Corp.
6.66%, 09/12/00 9,865,051
-----------
19,767,148
-----------
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-44
<PAGE>
Money Market Fund
PORTFOLIO OF INVESTMENTS, Continued . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
----------------------------------------------------------------
Electric Utilities - 6.6%
$10,000,000 Carolina Power & Light Co.
6.70%, 08/14/00 $ 9,918,111
8,899,000 Oglethorpe Power Corp.
6.61%, 07/06/00 8,890,830
10,000,000 Oglethorpe Power Corp.
6.75%, 08/01/00 9,941,875
------------
28,750,816
------------
Electrical Equipment - 3.9%
17,000,000 Xerox Corp.
7.25%, 07/05/00 16,986,306
------------
Financial Services - 3.2%
5,000,000 Govco, Inc.
6.70%, 08/11/00 4,961,847
9,000,000 Westways Funding IV
6.67%, 09/07/00 8,886,610
------------
13,848,457
------------
Insurance - 3.4%
15,000,000 Aetna Services, Inc.
6.80%, 08/21/00 14,855,500
------------
Real Estate - 3.4%
15,000,000 Weyerhaeuser Real Estate
7.22%, 07/05/00(b) 14,987,967
------------
Securities Broker - 3.3%
6,000,000 Bear Stearns Cos., Inc.
6.89%, 02/12/01 5,740,477
7,000,000 Donaldson, Lufkin & Jenrette, Inc.
6.77%, 08/14/00 6,942,079
1,500,000 Paine Webber Group, Inc.
7.10%, 07/03/00 1,499,408
------------
14,181,964
------------
Telephone Systems - 1.2%
5,000,000 AT & T Corp.
7.27%, 06/14/01 5,000,000
------------
Total Commercial Paper 128,378,158
------------
CERTIFICATES OF DEPOSIT - 3.9%
10,000,000 CIC Floating Rate CD
6.82%, 08/02/00(a) 9,999,829
7,000,000 Wilmington Trust Corp.
6.02%, 10/02/00 6,998,987
------------
Total Certificates of Deposit 16,998,816
------------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
<C> <S> <C>
---------------------------------------------------------------------------
ASSET-BACKED AND MORTGAGE-BACKED SECURITIES - 1.3%
$ 676,417 Fidelity Equipment Lease Trust,
Series 1999-2, Class A-1, CMO
6.13%, 12/15/00 $ 676,417
1,941,812 Household Automotive Trust IV,
Series 2000-1, Class A1, CMO
6.09%, 03/19/01 1,941,812
3,012,052 Huntington Auto Trust,
Series 2000-A, Class A1, CMO
6.32%, 04/15/01 3,012,052
------------
Total Asset-Backed and
Mortgage-Backed Securities 5,630,281
------------
MUNICIPAL OBLIGATIONS - 4.8%
20,000,000 California Housing Finance Agency,
Revenue Bond
6.68%, 08/01/31(a) 20,000,000
1,000,000 New Jersey State Municipal
6.38%, 08/01/00 1,000,585
------------
Total Municipal Obligations 21,000,585
------------
<CAPTION>
Shares
------
<C> <S> <C>
INVESTMENT COMPANIES - 1.3%
5,479,035 Scudder Institutional Money Market Fund 5,479,035
10,990 SSgA Prime Money Market Fund 10,990
------------
Total Investment Companies 5,490,025
------------
<CAPTION>
Maturity
Amount
--------
<C> <S> <C>
REPURCHASE AGREEMENTS - 4.6%
$20,011,917 First Union Securities, Inc. Repurchase
Agreement, dated 06/30/00, due 07/03/00, at
7.15%, collateralized by First Union National
Bank, 7.70%, 02/15/05 with a market value of
$20,000,000. 20,000,000
------------
Total Investments - 99.3% 431,471,698
------------
Net Other Assets and Liabilities - 0.7% 3,024,880
------------
Total Net Assets - 100.0% $434,496,578
============
</TABLE>
------------------
(a) Variable rate security. The rate shown reflects rate in effect at June 30,
2000.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
to qualified institutional buyers. At June 30, 2000, these securities
amounted to $32,282,792 or 7.4% of net assets.
(c) Effective yield at time of purchase.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 2000, the aggregate cost of investment securities for tax purposes
was $431,471,698.
See Notes to Financial Statements.
--------------------------------------------
F-45
<PAGE>
Allmerica Investment Trust
STATEMENTS OF ASSETS AND LIABILITIES (in 000's) . June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select
Emerging Aggressive Select Select Select
Markets Growth Capital Value Opportunity International
Fund Fund Appreciation Fund Fund Equity Fund
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments:
Investments at cost.......... $ 55,238 $ 912,558 $ 387,987 $ 292,393 $ 557,867
Net unrealized appreciation
(depreciation).............. 3,109 215,050 98,760 39,341 135,801
--------- ---------- ---------- ---------- ----------
Total investments at value... 58,347 1,127,608 486,747 331,734 693,668
Cash and foreign currency*.... 2,036 1,273 1 7,511 32,973
Short-term investments held as
collateral for securities
loaned....................... -- 157,169 63,174 21,265 78,039
Receivable for investments
sold......................... 841 12,801 2,099 2,313 1,847
Receivable for shares sold.... 25 7,766 156 105 10,296
Receivable for variation
margin....................... -- -- -- -- --
Interest and dividend
receivables.................. 108 361 39 423 978
Dividend tax reclaim
receivables.................. 1 -- 10 -- 570
Net unrealized appreciation on
forward currency contracts... -- -- -- -- 57
--------- ---------- ---------- ---------- ----------
Total Assets................. 61,358 1,306,978 552,226 363,351 818,428
--------- ---------- ---------- ---------- ----------
LIABILITIES:
Payable for investments
purchased.................... 719 1,044 6,820 146 6,579
Payable for shares
repurchased.................. -- -- 33 -- --
Collateral for securities
loaned....................... -- 157,169 63,174 21,265 78,039
Advisory fee payable.......... 67 709 350 250 528
Dividends payable............. -- -- -- -- --
Accrued expenses and other
payables..................... 45 170 66 81 169
--------- ---------- ---------- ---------- ----------
Total Liabilities............ 831 159,092 70,443 21,742 85,315
--------- ---------- ---------- ---------- ----------
NET ASSETS.................... $ 60,527 $1,147,886 $ 481,783 $ 341,609 $ 733,113
========= ========== ========== ========== ==========
NET ASSETS consist of
Paid-in capital............... $ 55,113 $ 850,892 $ 360,248 $ 308,221 $ 508,576
Undistributed (distribution in
excess of)
net investment income (loss).. (162) (2,011) (893) 1,347 3,970
Accumulated (distribution in
excess of) net realized gain
(loss) on investments sold,
foreign currency transactions
and futures contracts........ 2,467 83,955 23,668 (7,300) 85,102
Net unrealized appreciation
(depreciation) of
investments, assets and
liabilities in foreign
currency and futures
contracts.................... 3,109 215,050 98,760 39,341 135,465
--------- ---------- ---------- ---------- ----------
TOTAL NET ASSETS.............. $ 60,527 $1,147,886 $ 481,783 $ 341,609 $ 733,113
========= ========== ========== ========== ==========
Shares of beneficial interest
outstanding (unlimited
authorization, no par value)
(in 000's)................... 52,563 402,524 229,189 206,896 379,520
NET ASSET VALUE,
Offering and redemption price
per share
(Net Assets/Shares
Outstanding)................. $ 1.152 $ 2.852 $ 2.102 $ 1.651 $ 1.932
========= ========== ========== ========== ==========
</TABLE>
------------------------------------
* Cost $18 and $1,471 for Select Emerging Markets Fund and Select Interna-
tional Equity Fund, respectively.
See Notes to Financial Statements.
------------------------------------------------------
F-46
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select
Select Select Core Equity Select Growth Select Investment Grade Government Money
Growth Strategic Equity 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>
$ 951,964 $ 39,627 $ 923,838 $ 488,809 $ 819,873 $ 190,236 $ 270,059 $ 79,621 $ 431,472
309,612 314 149,105 194,492 60,415 (4,796) (6,965) (2,349) --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
1,261,576 39,941 1,072,943 683,301 880,288 185,440 263,094 77,272 431,472
25 1,838 18,201 63 17,862 259 90 2 5
139,416 -- 50,994 47,339 62,262 3,945 18,521 13,578 --
4,555 407 17,523 1,610 8,718 -- 1,791 18 --
344 52 138 434 1,321 718 1,727 -- --
-- -- -- 35 126 -- -- -- --
597 8 823 546 1,039 2,128 2,933 1,108 3,237
1 -- 15 8 13 -- -- -- --
-- -- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
1,406,514 42,246 1,160,637 733,336 971,629 192,490 288,156 91,978 434,714
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
11,715 243 25,302 321 4,294 6,591 26,749 1,999 --
14 26 24 -- -- 5 -- 65 --
139,416 -- 50,994 47,339 62,262 3,945 18,521 13,578 --
776 27 371 152 493 77 85 31 82
-- -- -- -- -- -- -- -- 78
175 19 174 125 119 33 65 36 58
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
152,096 315 76,865 47,937 67,168 10,651 45,420 15,709 218
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$1,254,418 $ 41,931 $1,083,772 $ 685,399 $ 904,461 $ 181,839 $ 242,736 $ 76,269 $ 434,496
========== ========== ========== ========== ========== ========== ========== ========== ==========
$ 904,351 $ 38,645 $ 774,203 $ 487,256 $ 853,540 $ 193,432 $ 253,764 $ 82,274 $ 434,684
(199) 9 279 188 (65) (124) 11 11 --
40,654 2,963 160,185 3,499 (9,146) (6,673) (4,074) (3,667) (188)
309,612 314 149,105 194,456 60,132 (4,796) (6,965) (2,349) --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$1,254,418 $ 41,931 $1,083,772 $ 685,399 $ 904,461 $ 181,839 $ 242,736 $ 76,269 $ 434,496
========== ========== ========== ========== ========== ========== ========== ========== ==========
477,607 38,214 361,490 188,952 571,790 191,247 231,558 75,439 434,686
$ 2.626 $ 1.097 $ 2.998 $ 3.627 $ 1.582 $ 0.951 $ 1.048 $ 1.011 $ 1.000
========== ========== ========== ========== ========== ========== ========== ========== ==========
</TABLE>
--------------------------------------------
F-47
<PAGE>
Allmerica Investment Trust
STATEMENTS OF OPERATIONS (in 000's) . For the Six Months Ended June 30, 2000
(Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Select Select
Emerging Aggressive Select Select Select
Markets Growth Capital Value Opportunity International
Fund Fund Appreciation Fund Fund Equity Fund
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.................. $ 95 $ 1,061 $ 478 $ 226 $ 873
Dividends................. 552 1,131 693 2,436 6,868
Securities lending
income................... -- 188 39 10 94
Less net foreign taxes
withheld................. (187) -- (5) -- (892)
---------- ---------- ---------- ---------- ----------
Total investment income... 460 2,380 1,205 2,672 6,943
---------- ---------- ---------- ---------- ----------
EXPENSES
Investment advisory fees.. 391 4,223 1,981 1,414 3,056
Custodian and Fund
accounting fees.......... 102 122 67 40 254
Legal fees................ 1 10 4 3 6
Audit fees................ 1 25 10 7 16
Trustees' fees and
expenses................. 1 13 5 4 8
Reports to shareholders... 3 75 36 35 57
Miscellaneous............. 3 6 1 2 6
---------- ---------- ---------- ---------- ----------
Total expenses before
reductions............... 502 4,474 2,104 1,505 3,403
Less reductions........... (7) (83) (6) (180) (45)
---------- ---------- ---------- ---------- ----------
Total expenses net of
reductions............... 495 4,391 2,098 1,325 3,358
---------- ---------- ---------- ---------- ----------
NET INVESTMENT INCOME
(LOSS).................... (35) (2,011) (893) 1,347 3,585
---------- ---------- ---------- ---------- ----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss)
on investments sold...... 3,230 80,243 26,337 (6,041) 84,029
Net realized loss on
futures contracts........ -- -- -- -- --
Net realized gain (loss)
on foreign currency
transactions............. (60) -- -- -- 1,073
Net change in unrealized
appreciation of assets
and liabilities in
foreign currency......... 7 -- -- -- 631
Net change in unrealized
appreciation
(depreciation) of
investments and futures
contracts................ (9,911) (60,564) 357 36,561 (94,697)
---------- ---------- ---------- ---------- ----------
NET GAIN (LOSS) ON
INVESTMENTS............... (6,734) 19,679 26,694 30,520 (8,964)
---------- ---------- ---------- ---------- ----------
NET INCREASE (DECREASE) IN
NET ASSETS RESULTING
FROM OPERATIONS........... $ (6,769) $ 17,668 $ 25,801 $ 31,867 $ (5,379)
========== ========== ========== ========== ==========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-48
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select
Select Select Core Equity Select Growth Select Investment Grade Government Money
Growth Strategic Equity 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>
$ 1,444 $ 93 $ 680 $ 223 $ 659 $ 6,330 $ 8,289 $ 2,518 $ 13,324
3,011 90 3,817 3,695 5,637 -- -- -- --
93 -- 203 21 59 15 17 27 --
(17) (2) (5) (10) (32) -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- --------
4,531 181 4,695 3,929 6,323 6,345 8,306 2,545 13,324
-------- -------- -------- -------- -------- -------- -------- -------- --------
4,607 143 2,237 889 2,876 459 509 196 513
158 29 148 114 133 40 39 31 59
11 -- 10 6 8 2 2 1 5
27 1 24 15 19 3 5 2 11
13 -- 12 8 10 2 3 1 6
63 3 67 44 46 11 28 9 25
10 1 8 4 4 2 2 1 4
-------- -------- -------- -------- -------- -------- -------- -------- --------
4,889 177 2,506 1,080 3,096 519 588 241 623
(159) (5) (292) (47) -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- --------
4,730 172 2,214 1,033 3,096 519 588 241 623
-------- -------- -------- -------- -------- -------- -------- -------- --------
(199) 9 2,481 2,896 3,227 5,826 7,718 2,304 12,701
-------- -------- -------- -------- -------- -------- -------- -------- --------
40,873 2,963 163,214 6,736 (6,470) (2,013) (3,442) (927) (91)
-- -- -- (243) (724) -- -- -- --
-- -- -- 1 -- -- -- -- --
-- -- -- -- -- -- -- -- --
(70,109) (2,834) (158,641) (10,926) (7,200) 1,885 2,878 916 --
-------- -------- -------- -------- -------- -------- -------- -------- --------
(29,236) 129 4,573 (4,432) (14,394) (128) (564) (11) (91)
-------- -------- -------- -------- -------- -------- -------- -------- --------
$(29,435) $ 138 $ 7,054 $ (1,536) $(11,167) $ 5,698 $ 7,154 $ 2,293 $ 12,610
======== ======== ======== ======== ======== ======== ======== ======== ========
</TABLE>
--------------------------------------------
F-49
<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 Six Months Six Months
Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended
2000 December 2000 December 2000 December
(Unaudited) 31, 1999 (Unaudited) 31, 1999 (Unaudited) 31, 1999
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSETS at beginning of
period................... $ 50,452 $ 20,873 $1,015,699 $ 752,741 $ 417,087 $ 310,582
--------- --------- ---------- ---------- --------- ---------
Increase (decrease) in net
assets
resulting from operations:
Net investment income
(loss).................. (35) 81 (2,011) (3,712) (893) (1,409)
Net realized gain (loss)
on investments sold and
foreign currency
transactions............ 3,170 2,001 80,243 208,801 26,337 15,287
Net change in unrealized
appreciation
(depreciation)
of investments and
assets and liabilities
in foreign currency..... (9,904) 15,113 (60,564) 76,344 357 68,546
--------- --------- ---------- ---------- --------- ---------
Net increase (decrease)
in net assets resulting
from operations......... (6,769) 17,195 17,668 281,433 25,801 82,424
--------- --------- ---------- ---------- --------- ---------
Distributions to
shareholders from:
Net investment income.... (82) (208) -- -- -- --
Net realized gain on
investments............. -- -- (202,798) -- (15,535) (511)
--------- --------- ---------- ---------- --------- ---------
Total distributions..... (82) (208) (202,798) -- (15,535) (511)
--------- --------- ---------- ---------- --------- ---------
Capital share
transactions:
Net proceeds from sales
of shares............... 37,558 13,372 312,380 182,716 73,412 74,290
Issued to shareholders
in reinvestment of
distributions........... 82 208 202,798 -- 15,535 511
Cost of shares
repurchased............. (20,714) (988) (197,861) (201,191) (34,517) (50,209)
--------- --------- ---------- ---------- --------- ---------
Net increase (decrease)
from capital share
transactions........... 16,926 12,592 317,317 (18,475) 54,430 24,592
--------- --------- ---------- ---------- --------- ---------
Total increase in net
assets................. 10,075 29,579 132,187 262,958 64,696 106,505
--------- --------- ---------- ---------- --------- ---------
NET ASSETS at end of
period................... $ 60,527 $ 50,452 $1,147,886 $1,015,699 $ 481,783 $ 417,087
========= ========= ========== ========== ========= =========
Undistributed
(distribution in excess
of) net investment income
(loss)................... $ (162) $ (45) $ (2,011) $ -- $ (893) $ --
========= ========= ========== ========== ========= =========
OTHER INFORMATION:
Share transactions:
Sold..................... 31,335 13,235 90,882 65,884 34,973 41,852
Issued to shareholders
in reinvestment of
distributions........... 71 189 70,983 -- 7,401 278
Repurchased.............. (17,903) (984) (57,115) (74,092) (16,380) (28,289)
--------- --------- ---------- ---------- --------- ---------
Net increase (decrease)
in shares
outstanding............ 13,503 12,440 104,750 (8,208) 25,994 13,841
========= ========= ========== ========== ========= =========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-50
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select Value Select International Select Growth Select Strategic
Opportunity Fund Equity Fund Fund Growth Fund
-----------------------------------------------------------------------------------------------------------
Six Months Six Months Six Months Six Months
Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended
2000 December 2000 December 2000 December 2000 December
(Unaudited) 31, 1999 (Unaudited) 31, 1999 (Unaudited) 31, 1999 (Unaudited) 31, 1999
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 308,331 $ 268,405 $ 679,341 $ 505,553 $1,216,365 $ 815,390 $ 31,254 $ 14,839
--------- --------- --------- --------- ---------- ---------- --------- ---------
1,347 1,208 3,585 3,842 (199) (776) 9 89
(6,041) 1,971 85,102 33,685 40,873 146,732 2,963 804
36,561 (16,101) (94,066) 127,019 (70,109) 127,039 (2,834) 2,723
--------- --------- --------- --------- ---------- ---------- --------- ---------
31,867 (12,922) (5,379) 164,546 (29,435) 272,995 138 3,616
--------- --------- --------- --------- ---------- ---------- --------- ---------
(1,208) (2) (3,337) -- -- (504) (2) (87)
(3,157) (16,638) (22,791) -- (145,767) (32,039) (348) --
--------- --------- --------- --------- ---------- ---------- --------- ---------
(4,365) (16,640) (26,128) -- (145,767) (32,543) (350) (87)
--------- --------- --------- --------- ---------- ---------- --------- ---------
25,631 82,103 373,949 402,948 88,933 175,324 14,722 14,491
4,365 16,639 26,128 -- 145,767 32,543 350 87
(24,220) (29,254) (314,798) (393,706) (21,445) (47,344) (4,183) (1,692)
--------- --------- --------- --------- ---------- ---------- --------- ---------
5,776 69,488 85,279 9,242 213,255 160,523 10,889 12,886
--------- --------- --------- --------- ---------- ---------- --------- ---------
33,278 39,926 53,772 173,788 38,053 400,975 10,677 16,415
--------- --------- --------- --------- ---------- ---------- --------- ---------
$ 341,609 $ 308,331 $ 733,113 $ 679,341 $1,254,418 $1,216,365 $ 41,931 $ 31,254
========= ========= ========= ========= ========== ========== ========= =========
$ 1,347 $ 1,208 $ 3,970 $ 3,722 $ (199) $ -- $ 9 $ 2
========= ========= ========= ========= ========== ========== ========= =========
16,476 52,425 190,386 241,959 30,278 68,437 14,240 14,098
2,638 9,881 13,504 -- 55,743 12,663 326 80
(14,974) (18,777) (158,775) (235,513) (7,382) (17,926) (4,119) (1,659)
--------- --------- --------- --------- ---------- ---------- --------- ---------
4,140 43,529 45,115 6,446 78,639 63,174 10,447 12,519
========= ========= ========= ========= ========== ========== ========= =========
<CAPTION>
Core Equity
Fund
-----------------------------------------------------------------------------------------------------------
Six Months
Ended June 30, Year Ended
2000 December
(Unaudited) 31 1999
-----------------------------------------------------------------------------------------------------------
<C> <C>
$1,076,297 $ 860,33
---------- ----------
2,481 6,081
163,214 104,952
(158,641) 135,166
---------- ----------
7,054 246,199
---------- ----------
(2,408) (6,015)
(106,111) (86,927)
---------- ----------
(108,519) (92,942)
---------- ----------
20,067 32,074
108,519 92,942
(19,646) (62,309)
---------- ----------
108,940 62,707
---------- ----------
7,475 215,964
---------- ----------
$1,083,772 $1,076,297
========== ==========
$ 279 $ 206
========== ==========
6,190 10,842
36,127 30,570
(5,944) (20,806)
---------- ----------
36,373 20,606
========== ==========
</TABLE>
--------------------------------------------
F-51
<PAGE>
Allmerica Investment Trust
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Index Select Growth and
Fund Income Fund
---------------------------------------------------------------------------------
Six Months Six Months
Ended June 30, Year Ended Ended June 30, Year Ended
2000 December 31, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning
of period.............. $ 638,230 $ 481,877 $ 844,538 $ 646,086
--------- --------- --------- ---------
Increase (decrease) in
net assets resulting
from operations:
Net investment income.. 2,896 5,413 3,227 8,534
Net realized gain
(loss) on investments
sold and foreign
currency
transactions.......... 6,494 65,106 (7,194) 147,522
Net change in
unrealized
appreciation
(depreciation) of
investments and assets
and liabilities in
foreign currency...... (10,926) 35,155 (7,200) (32,024)
--------- --------- --------- ---------
Net increase (decrease)
in net assets
resulting from
operations............ (1,536) 105,674 (11,167) 124,032
--------- --------- --------- ---------
Distributions to
shareholders from:
Net investment income.. (2,955) (5,166) (3,712) (8,173)
Net realized gain on
investments........... (67,546) (811) (149,381) (54,380)
--------- --------- --------- ---------
Total distributions... (70,501) (5,977) (153,093) (62,553)
--------- --------- --------- ---------
Capital share
transactions:
Net proceeds from sales
of shares............. 58,105 119,018 76,246 93,057
Issued to shareholders
in reinvestment of
distributions......... 70,501 5,977 153,093 62,553
Cost of shares
repurchased........... (9,400) (68,339) (5,156) (18,637)
--------- --------- --------- ---------
Net increase
(decrease) from
capital share
transactions......... 119,206 56,656 224,183 136,973
--------- --------- --------- ---------
Total increase
(decrease) in net
assets............... 47,169 156,353 59,923 198,452
--------- --------- --------- ---------
NET ASSETS at end of
period................. $ 685,399 $ 638,230 $ 904,461 $ 844,538
========= ========= ========= =========
Undistributed
(distribution in
excess of) net
investment income
(loss)................ $ 188 $ 247 $ (65) $ 420
========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold................... 14,748 32,647 41,091 50,308
Issued to shareholders
in reinvestment of
distributions......... 19,342 1,592 96,469 33,680
Repurchased............ (2,352) (18,416) (2,719) (10,177)
--------- --------- --------- ---------
Net increase
(decrease) in shares
outstanding.......... 31,738 15,823 134,841 73,811
========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
------------------------------------------------------
F-52
<PAGE>
Allmerica Investment Trust
<TABLE>
<CAPTION>
Select
Select Investment Grade Government Money Market
Income Fund Income Fund Bond Fund Fund
-----------------------------------------------------------------------------------------------------------
Six Months Six Months Six Months Six Months
Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended Ended June 30, Year Ended
2000 December 2000 December 2000 December 2000 December
(Unaudited) 31, 1999 (Unaudited) 31, 1999 (Unaudited) 31, 1999 (Unaudited) 31, 1999
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 174,037 $ 160,450 $ 240,541 $ 230,623 $ 87,247 $ 81,018 $ 513,606 $ 336,253
--------- --------- --------- --------- --------- --------- ---------- ---------
5,826 10,796 7,718 15,319 2,304 5,357 12,701 21,479
(2,013) (4,599) (3,442) (638) (927) (500) (91) --
1,885 (7,682) 2,878 (16,613) 916 (4,565) -- --
--------- --------- --------- --------- --------- --------- ---------- ---------
5,698 (1,485) 7,154 (1,932) 2,293 292 12,610 21,479
--------- --------- --------- --------- --------- --------- ---------- ---------
(6,049) (10,916) (7,707) (15,569) (2,293) (5,445) (12,701) (21,479)
-- (1,346) -- (202) -- -- -- --
--------- --------- --------- --------- --------- --------- ---------- ---------
(6,049) (12,262) (7,707) (15,771) (2,293) (5,445) (12,701) (21,479)
--------- --------- --------- --------- --------- --------- ---------- ---------
11,200 37,170 15,662 33,939 3,746 29,433 1,104,672 1,057,803
6,049 12,262 7,707 15,771 2,293 5,445 12,701 21,479
(9,096) (22,098) (20,621) (22,089) (17,017) (23,496) (1,196,392) (901,929)
--------- --------- --------- --------- --------- --------- ---------- ---------
8,153 27,334 2,748 27,621 (10,978) 11,382 (79,019) 177,353
--------- --------- --------- --------- --------- --------- ---------- ---------
7,802 13,587 2,195 9,918 (10,978) 6,229 (79,110) 177,353
--------- --------- --------- --------- --------- --------- ---------- ---------
$ 181,839 $ 174,037 $ 242,736 $ 240,541 $ 76,269 $ 87,247 $ 434,496 $ 513,606
========= ========= ========= ========= ========= ========= ========== =========
$ (124) $ 99 $ 11 $ -- $ 11 $ -- $ -- $ --
========= ========= ========= ========= ========= ========= ========== =========
11,711 36,810 14,889 30,980 3,697 27,893 1,104,672 1,057,803
6,342 12,530 7,349 14,656 2,273 5,286 12,701 21,479
(9,515) (22,179) (19,597) (20,503) (16,821) (22,773) (1,196,392) (901,929)
--------- --------- --------- --------- --------- --------- ---------- ---------
8,538 27,161 2,641 25,133 (10,851) 10,406 (79,019) 177,353
========= ========= ========= ========= ========= ========= ========== =========
</TABLE>
--------------------------------------------
F-53
<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/)
2000(d) $1.292 $ -- $(0.138) $(0.138) $(0.002) $ -- $ -- $ -- $(0.002)
1999 0.784 0.001 0.513 0.514 (0.006) -- -- -- (0.006)
1998(e) 1.000 0.006 (0.221) (0.215) (0.001) -- -- -- (0.001)
Select
Aggressive
Growth Fund
2000(d) 3.411 (0.005) 0.062 0.057 -- (0.616) -- -- (0.616)
1999 2.460 (0.012) 0.963 0.951 -- -- -- -- --
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 -- -- -- -- --
Select Capital
Appreciation
Fund(/1/)
2000(d) 2.053 (0.004) 0.123 0.119 -- (0.070) -- -- (0.070)
1999 1.640 (0.007) 0.423 0.416 -- (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(f) 1.000 (0.001) 0.397 0.396 -- (0.027) -- -- (0.027)
Select Value
Opportunity
Fund(/1/)
2000(d) 1.521 0.007 0.144 0.151 (0.006) (0.015) -- -- (0.021)
1999 1.686 0.006 (0.077) (0.071) -- (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)
Select
International
Equity Fund
2000(d) 2.031 0.008 (0.035) (0.027) (0.009) (0.063) -- -- (0.072)
1999 1.542 0.012 0.477 0.489 -- -- -- -- --
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)
<CAPTION>
Net
Increase
(Decrease)
in
Year Ended Net Asset
December 31, Value
------------ ----------
<S> <C>
Select Emerging
Markets
Fund(/1/)
2000(d) $(0.140)
1999 0.508
1998(e) (0.216)
Select
Aggressive
Growth Fund
2000(d) (0.559)
1999 0.951
1998 0.235
1997 0.188
1996 0.189
1995 0.451
Select Capital
Appreciation
Fund(/1/)
2000(d) 0.049
1999 0.413
1998 (0.058)
1997 0.213
1996 0.116
1995(f) 0.369
Select Value
Opportunity
Fund(/1/)
2000(d) 0.130
1999 (0.165)
1998 0.060
1997 0.115
1996 0.273
1995 0.149
Select
International
Equity Fund
2000(d) (0.099)
1999 0.489
1998 0.201
1997 (0.015)
1996 0.220
1995 0.173
</TABLE>
------------------
* Annualized
** Not Annualized
(a) Including reimbursements, waivers, and reductions.
(b) Excluding reductions. Certain Portfolios have entered varying arrangements
with brokers who reduced a portion of the Portfolio's expenses.
(c) Excluding reimbursements and reductions.
(d) For the six months ended June 30, 2000 (Unaudited).
(e) For the period ended December 31, 1998.
(f) For the period ended December 31, 1995.
(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.
(2) Net investment income (loss) per share before reimbursements of fees by the
investment adviser or reductions were $(0.000) for the six months ended
June 30, 2000, $0.000 in 1999 and $0.004 in 1998 for Select Emerging Mar-
kets Fund; $(0.005) for the six months ended June 30, 2000, $(0.013) in
1999, $(0.009) in 1998 and $(0.010) in 1997 for Select Aggressive Growth
Fund; $(0.006) in 1998 and $(0.001) in 1995 for Select Capital Appreciation
Fund; $0.006 for the six months ended June 30, 2000, $0.005 in 1999, $0.013
in 1998, $0.009 in 1997 and $0.010 in 1996 for Select Value Opportunity
Fund; and $0.008 for the six months ended June 30, 2000, $0.011 in 1999,
$0.014 in 1998, $0.015 in 1997 and $0.011 in 1996 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-54
<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>
$1.152 (10.71)%** $ 60,527 (0.12)%* 1.71%* 1.74%* 1.74%* 1.35%* 1.35%* 52%**
1.292 65.72% 50,452 0.25% 1.88% 1.92% 1.92% 1.35% 1.35% 60%
0.784 (21.46)%** 20,873 0.96%* 2.19%* 2.19%* 2.54%* 1.35%* 1.00%* 62%**
2.852 1.65%** 1,147,886 (0.37)%* 0.80%* 0.82%* 0.82%* 0.77%* 0.77%* 49%**
3.411 38.66% 1,015,699 (0.46)% 0.88% 0.91% 0.91% 0.85% 0.85% 101%
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%
2.102 5.80%** 481,783 (0.40)%* 0.93%* 0.93%* 0.93%* 0.88%* 0.88%* 28%**
2.053 25.36% 417,087 (0.42)% 0.98% 0.98% 0.98% 0.91% 0.91% 61%
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%**
1.651 9.95%** 341,609 0.84%* 0.83%* 0.94%* 0.94%* 0.89%* 0.89%* 71%**
1.521 (4.70)% 308,331 0.43% 0.88% 0.97% 0.97% 0.90% 0.90% 98%
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%
1.932 (1.31)%** 733,113 1.04%* 0.97%* 0.98%* 0.98%* 0.88%* 0.88%* 15%**
2.031 31.71% 679,341 0.69% 1.01% 1.02% 1.02% 0.89% 0.89% 18%
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%
</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
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/)
2000(d) $3.049 $ -- $(0.078) $(0.078)
1999 2.428 (0.002) 0.709 0.707
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
Select Strategic
Growth Fund(/1/)
2000(d) 1.126 -- (0.020)(/5/) (0.020)
1999 0.973 0.003 0.153 0.156
1998(e) 1.000 0.002 (0.027) (0.025)
Core Equity Fund
2000(d) 3.310 0.007 0.013 0.020
1999 2.825 0.020 0.779 0.799
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
Equity Index Fund
2000(d) 4.060 0.017 (0.035) (0.018)
1999 3.408 0.036 0.656 0.692
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
Select Growth and
Income Fund(/1/)
2000(d) 1.933 0.007 (0.036) (0.029)
1999 1.779 0.022 0.298 0.320
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
<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/)
2000(d) $ -- $(0.345) $ -- $ -- $(0.345) $(0.423)
1999 (0.001) (0.085) -- -- (0.086) 0.621
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
Select Strategic
Growth Fund(/1/)
2000(d) --(/3/) (0.009) -- -- (0.009) (0.029)
1999 (0.003) -- -- -- (0.003) 0.153
1998(e) (0.002) -- -- -- (0.002) (0.027)
Core Equity Fund
2000(d) (0.007) (0.325) -- -- (0.332) (0.312)
1999 (0.020) (0.294) -- -- (0.314) 0.485
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
Equity Index Fund
2000(d) (0.018) (0.397) -- -- (0.415) (0.433)
1999 (0.035) (0.005) -- -- (0.040) 0.652
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
Select Growth and
Income Fund(/1/)
2000(d) (0.008) (0.314) -- -- (0.322) (0.351)
1999 (0.021) (0.145) -- -- (0.166) 0.154
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
</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 the six months ended June 30, 2000 (Unaudited).
(e) For the period ended December 31, 1998.
(1) The Select Growth Fund changed sub-advisers on July 1, 1996. The Select
Strategic Growth Fund commenced operations on February 20, 1998 and changed
sub-advisers on April 1, 2000. The Select Growth and Income Fund changed
sub-advisers on April 1, 1999.
(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, 2000, $(0.003) in 1999, $0.001 in 1998, $0.006 in 1997 and $0.005
in 1996 for Select Growth Fund; $0.000 for the six months ended June 30,
2000, $0.003 in 1999 and $(0.001) in 1998 for Select Strategic Growth Fund;
$0.006 for the six months ended June 30, 2000, $0.019 in 1999, $0.027 in
1998, $0.038 in 1997 and $0.046 in 1996 for Core Equity Fund; $0.017 for
the six months ended June 30, 2000 for Equity Index Fund; $0.022 in 1999,
$0.019 in 1998, $0.019 in 1997 and $0.019 in 1996 for 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) Amount shown does not correspond with the net realized and unrealized gain
on investments for the period due to the timing of sales and repurchases of
fund shares in relation to fluctuating market values of the fund's invest-
ments.
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 Return (000's) Income (Loss) (a) (b) (c) Gross Net Rate
--------- ------ ---------- ------------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$2.626 (2.50)%** $1,254,418 (0.03)%* 0.78%* 0.81%* 0.81%* 0.76%* 0.76%* 33%**
3.049 29.80% 1,216,365 (0.08)% 0.81% 0.83% 0.83% 0.78% 0.78% 84%
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%
1.097 (1.73)%** 41,931 0.05%* 1.02%* 1.05%* 1.05%* 0.85%* 0.85%* 129%**
1.126 16.06% 31,254 0.41% 1.17% 1.20% 1.20% 0.85% 0.85% 58%
0.973 (2.47)%** 14,839 0.41%* 1.14%* 1.20%* 1.66%* 0.85%* 0.39%* 24%**
2.998 0.60%** 1,083,772 0.47%* 0.42%* 0.47%* 0.47%* 0.42%* 0.42%* 115%**
3.310 29.33% 1,076,297 0.65% 0.45% 0.48% 0.48% 0.43% 0.43% 116%
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%
3.627 (0.46)%** 685,399 0.89%* 0.32%* 0.33%* 0.33%* 0.27%* 0.27%* 3%**
4.060 20.41% 638,230 0.98% 0.35% 0.35% 0.35% 0.28% 0.28% 21%
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%
1.582 (1.49)%** 904,461 0.75%* 0.72%* 0.72%* 0.72%* 0.67%* 0.67%* 26%**
1.933 18.43% 844,538 1.17% 0.73% 0.74% 0.74% 0.67% 0.67% 131%
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%
</TABLE>
--------------------------------------------
F-57
<PAGE>
Allmerica Investment Trust
FINANCIAL HIGHLIGHTS . For a Share Outstanding Throughout Each Period
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations
---------------------------------------------
Net Realized
Net and
Asset Unrealized
Value Net Gain (Loss) Total from
Beginning Investment on Investment
Year Ended December 31, of Period Income(/1/) Investments Operations
----------------------- --------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
Select Income Fund
2000(d) $0.953 $0.032 $(0.001) $ 0.031
1999 1.032 0.062 (0.071) (0.009)
1998 1.022 0.059 0.010 0.069
1997 0.995 0.060 0.028 0.088
1996 1.024 0.061 (0.029) 0.032
1995 0.930 0.060 0.095 0.155
Select Investment Grade
Income Fund
2000(d) 1.051 0.035 (0.003) 0.032
1999 1.132 0.068 (0.079) (0.011)
1998 1.112 0.067 0.020 0.087
1997 1.084 0.071 0.028 0.099
1996 1.117 0.070 (0.033) 0.037
1995 1.012 0.071 0.106 0.177
Government
Bond Fund
2000(d) 1.011 0.030 -- 0.030
1999 1.068 0.058 (0.056) 0.002
1998 1.047 0.058 0.021 0.079
1997 1.036 0.061 0.011 0.072
1996 1.062 0.062 (0.026) 0.036
1995 0.997 0.062 0.066 0.128
Money Market Fund
2000(d) 1.000 0.030 -- 0.030
1999 1.000 0.051 -- 0.051
1998 1.000 0.054 -- 0.054
1997 1.000 0.053 -- 0.053
1996 1.000 0.052 -- 0.052
1995 1.000 0.057 -- 0.057
<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 Income Fund
2000(d) $(0.033) $ -- $ -- $ -- $(0.033) $(0.002)
1999 (0.063) (0.007) -- -- (0.070) (0.079)
1998 (0.059) -- -- -- (0.059) 0.010
1997 (0.061) -- -- -- (0.061) 0.027
1996 (0.061) -- -- -- (0.061) (0.029)
1995 (0.060) -- (0.001)(/2/) -- (0.061) 0.094
Select Investment Grade
Income Fund
2000(d) (0.035) -- -- -- (0.035) (0.003)
1999 (0.069) (0.001) -- -- (0.070) (0.081)
1998 (0.067) -- -- -- (0.067) 0.020
1997 (0.071) -- -- -- (0.071) 0.028
1996 (0.070) -- -- -- (0.070) (0.033)
1995 (0.071) -- (0.001)(/2/) -- (0.072) 0.105
Government
Bond Fund
2000(d) (0.030) -- -- -- (0.030) --
1999 (0.059) -- -- -- (0.059) (0.057)
1998 (0.058) -- -- -- (0.058) 0.021
1997 (0.061) -- -- -- (0.061) 0.011
1996 (0.062) -- -- -- (0.062) (0.026)
1995 (0.062) -- (0.001)(/2/) -- (0.063) 0.065
Money Market Fund
2000(d) (0.030) -- -- -- (0.030) --
1999 (0.051) -- -- -- (0.051) --
1998 (0.054) -- -- -- (0.054) --
1997 (0.053) -- -- -- (0.053) --
1996 (0.052) -- -- -- (0.052) --
1995 (0.057) -- -- -- (0.057) --
</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 the six months ended June 30, 2000 (Unaudited).
(1) Net investment income (loss) per share before reimbursement of fees by the
investment advisers or reductions was $0.060 in 1995 for Select Income
Fund.
(2) Distributions in excess of net investment income.
See Notes to Financial Statements.
------------------------------------------------------
F-58
<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 Return (000's) Income (a) (b) (c) Gross Net Rate
--------- ------ ---------- ---------- ---- ---- ---- ----- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$0.951 3.22%** $181,839 6.60%* 0.59%* 0.59%* 0.59%* 0.52%* 0.52%* 77%**
0.953 (0.85)% 174,037 6.26% 0.61% 0.61% 0.61% 0.52% 0.52% 177%
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%
1.048 3.03%** 242,736 6.54%* 0.50%* 0.50%* 0.50%* 0.43%* 0.43%* 78%**
1.051 (0.97)% 240,541 6.22% 0.50% 0.50% 0.50% 0.43% 0.43% 75%
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%
1.011 3.02%** 76,269 5.86%* 0.61%* 0.61%* 0.61%* 0.50%* 0.50%* 20%**
1.011 0.23% 87,247 5.64% 0.62% 0.62% 0.62% 0.50% 0.50% 37%
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%
1.000 3.02%** 434,496 5.96%* 0.29%* 0.29%* 0.29%* 0.24%* 0.24%* N/A
1.000 5.19% 513,606 5.09% 0.29% 0.29% 0.29% 0.24% 0.24% 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
</TABLE>
--------------------------------------------
F-59
<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.
The Trust is intended to serve as an investment medium for (i) variable life
insurance policies and variable annuity contracts offered by insurance compa-
nies, (ii) certain qualified pension and retirement plans, as permitted by
Treasury Regulations; and (iii) life insurance companies and advisers to the
Portfolios and their affiliates. The Trust is comprised of fourteen managed
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, Core Equity (formerly Growth),
Equity Index, Select Growth and Income, Select Income, Select Investment Grade
Income (formerly Investment Grade Income), Government Bond and Money Market
Funds (individually a "Portfolio", collectively, the "Portfolios").
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: Equity securities which are traded on a recognized exchange
are valued at the last quoted sales price available at the time of the closing
of the New York Stock Exchange or, if there were no sales that day, at the mean
of the closing bid and asked price. Over-the-counter securities are valued at
the last available price in the market prior to the time of valuation. 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 pric-
ing service approved by the Board of Trustees which utilizes market quotations
and transactions, quotations from dealers and various relationships among secu-
rities in determining value. If not valued by a pricing service, such securi-
ties are valued at prices obtained from independent brokers. Investments with
prices that cannot be readily obtained are carried at fair value as determined
in good faith under consistently applied procedures established by and under
the supervision of the Board of Trustees. The investments of the Money Market
Fund are valued utilizing the amortized cost valuation method, permitted in
accordance with Rule 2a-7 under the 1940 Act. This method involves valuing a
portfolio security initially at its cost and thereafter assuming a constant
amortization to maturity of any discount or premium.
Forward Foreign Currency Contracts: The Select Emerging Markets, Select Capital
Appreciation, Select International Equity, Select Growth, 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 cur-
rency of certain portfolio instruments. Forward foreign currency contracts are
valued at the daily exchange rate of the underlying currency with any fluctua-
tions recorded as unrealized gains or losses. Receivables and payables of for-
ward 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
foreign currency contracts having the same settlement date and broker are rec-
ognized on the date of offset, otherwise gains and losses are recognized on the
settlement date.
The use of forward foreign 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-60
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
--------------------------------------------------------------------------------
Foreign Currency Translation: Investment valuations, other assets and liabili-
ties denominated in foreign currencies are translated each business day into
U.S. dollars based upon current exchange rates. Purchases and sales of foreign
investments and income and expenses are translated 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
as of trade date. Realized gains and losses from security transactions are
determined on the basis of identified cost. Interest income, including amorti-
zation of premium and accretion of discount on securities, is accrued daily.
Income distributions earned by the Portfolios from investments in certain
investment companies are recorded as interest income in the accompanying finan-
cial statements. Dividend income is recorded on the ex-dividend date, except
that certain dividends from foreign 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 continue to qualify as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains, if any, for its fiscal year. In addition, by distributing
during each calendar year substantially all of its net investment income, capi-
tal 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 pro-
vided 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 Core Equity, Equity Index, Select Growth and Income,
Select Income, Select Investment Grade Income and Government Bond Funds, and
annually for the Select Emerging Markets, Select Aggressive Growth, Select Cap-
ital 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. Distribu-
tions to shareholders are recorded on ex-dividend date. Income and capital
gains distributions are determined in accordance with income tax regulations,
which may differ from generally accepted accounting principles. These differ-
ences are primarily due to differing book and tax treatments in the timing of
the recognition of gains or losses, including "Post-October Losses", foreign
currency gains and losses, and losses deferred due to wash sales; and permanent
differences due to differing treatments for paydown gains/losses on mortgage-
backed securities, foreign currency transactions, market discount, and non-tax-
able dividends. Any taxable income or gain remaining at fiscal year end is dis-
tributed in the following year. Permanent book and tax basis differences relat-
ing to shareholder distributions will result in reclassifications to paid in
capital. Undistributed net investment income may include temporary book and tax
basis differences which will reverse in a subsequent period. Permanent book-tax
differences, if any, are not included in ending undistributed net investment
income for the purpose of calculating net investment income per share in the
Financial Highlights.
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.
Securities Lending: Each Portfolio, using Investors Bank & Trust Company
("IBT") as its lending agent, may loan securities to brokers and dealers in
exchange for negotiated lenders' fees. These fees are disclosed as "securities
lending income" in the Statements of Operations. Each applicable Portfolio
receives collateral against the loaned securities which must be maintained at
not less than 102% of the market value of the loaned securities during the
period of the loan. Collateral received is generally cash, and is invested in
short term investments. Lending portfolio securities involves possible delays
in receiving additional collateral or in the recovery of the securities or pos-
sible loss of rights in
--------------------------------------------
F-61
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
--------------------------------------------------------------------------------
the collateral. Information regarding the value of the securities loaned and
the value of the collateral at period end is included under the caption "Other
Information" at the end of each applicable Portfolio's schedule of investments.
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,
Select Investment Grade Income Fund, Government Bond Fund and Money Market Fund
may enter into contracts to purchase securities for a fixed price at a speci-
fied future date beyond customary settlement time ("forward commitments"). If
the Portfolios do so, they will maintain cash or other liquid obligations hav-
ing 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 gener-
ally will enter into forward commitments with the intention of acquiring secu-
rities for their portfolio, they may dispose of a commitment prior to settle-
ment 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 Portfolio Manager has determined are credit-
worthy pursuant to guidelines established by the Trust's Board of Trustees.
Each repurchase agreement transaction is recorded at cost. Each Portfolio
requires that the securities purchased in a repurchase agreement transaction be
transferred to the Trust's Custodian in a manner that is intended to enable the
Portfolio to obtain those securities in the event of a counterparty default.
The Portfolio Manager 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 MANAGEMENT, ADMINISTRATION, AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Financial Investment Management Services, Inc. (the "Manager"), a
wholly-owned subsidiary of First Allmerica Financial Life Insurance Company
("First Allmerica"), serves as investment manager and administrator to the
Trust. Under the terms of the management agreement, the Portfolios pay a man-
agement 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 Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $250,000,000 $1,000,000,000
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Select Emerging Markets 1.35% 1.35% 1.35% 1.35% 1.35% 1.35%
Select Aggressive Growth 1.00% 0.90% 0.80% 0.70% 0.70% 0.65%
Select Capital
Appreciation 1.00% 0.90% 0.80% 0.70% 0.70% 0.65%
Select Value Opportunity 1.00% 0.85% 0.80% 0.75% 0.70% 0.70%
Select International
Equity 1.00% 0.90% 0.85% 0.85% 0.85% 0.85%
Select Growth 0.85% 0.85% 0.80% 0.75% 0.70% 0.70%
Select Strategic Growth 0.85% 0.85% 0.85% 0.85% 0.85% 0.85%
Core Equity 0.60% 0.60% 0.40% 0.35% 0.35% 0.35%
Select Growth and Income 0.75% 0.70% 0.65% 0.65% 0.65% 0.65%
</TABLE>
------------------------------------------------------
F-62
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
--------------------------------------------------------------------------------
--------------------------------------------
<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%
<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%
Select 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:
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. ("T. Rowe
Price")
Select Value Oppor-
tunity Cramer Rosenthal McGlynn, LLC
Select Interna-
tional Equity Bank of Ireland Asset Management (U.S.) Lim-
ited
Select Growth Putnam Investment Management, Inc.
Select Strategic
Growth TCW Investment Management Company
Core Equity Miller Anderson & Sherrerd, LLP
Equity Index Allmerica Asset Management, Inc. (wholly-
owned subsidiary of First Allmerica)
Select Growth and
Income J.P. Morgan Investment Management Inc.
Select Income Standish, Ayer & Wood, Inc.
Select Investment Allmerica Asset Management, Inc.
Grade Income Allmerica Asset Management, Inc.
Government Bond
Money Market Allmerica Asset Management, Inc.
Effective April 1, 2000, TCW Investment Management Company assumed sub-adviser
responsibilities from Cambiar Investors, Inc. for the Select Strategic Growth
Fund. T. Rowe Price, an investment company managed by an affiliate of T. Rowe
Price Associates, Inc., is currently used as an investment vehicle for certain
insurance products sponsored by First Allmerica and Allmerica Financial Life
Insurance and Annuity Company ("Allmerica Financial"), a wholly-owned subsidi-
ary of First Allmerica. In addition, T. Rowe Price currently serves as invest-
ment adviser to a corporate investment account of Allmerica Financial Corpora-
tion. 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.
IBT provides portfolio accounting and custody services to the Trust and
receives fees and reimbursement of certain out-of-pocket expenses for its serv-
ices from the Trust. The Manager has entered into an Administrative Services
Agreement with IBT, whereby IBT 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 IBT. 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 management fee, exceed certain volun-
tary expense limitations as a percentage of average net assets (Select Aggres-
sive Growth Fund--1.35%, Select
F-63
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
--------------------------------------------------------------------------------
Capital Appreciation Fund--1.35%, Select Value Opportunity--1.25%, Select
International Equity Fund--1.50%, Select Growth Fund--1.20%, Select Strategic
Growth Fund--1.20%, Core Equity Fund--1.20%, Equity Index Fund--0.60%, Select
Growth and Income Fund--1.10%, Select Income Fund--1.00%, Select Investment
Grade Income Fund--1.00%, Government 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.
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.
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, 2000, Allmerica Financial owned 20,148,426 shares of Select
Emerging Markets Fund and 5,026,423 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 foreign issuers and their markets
may be less liquid and their prices more volatile than those of securities 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 economical
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 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-64
<PAGE>
Allmerica Investment Trust
NOTES TO FINANCIAL STATEMENTS, Continued
--------------------------------------------------------------------------------
9.PLAN OF SUBSTITUTION
Orders have been issued by the Securities and Exchange Commission ("SEC")
approving the substitution of shares of the Select Investment Grade Income Fund
("SIGIF") for all of the shares of the Select Income Fund ("SIF") and all of
the shares of The Fulcrum Trust: Strategic Income Portfolio ("Fulcrum Strate-
gic"). Approvals of the substitutions were also obtained from state insurance
regulators in certain jurisdictions. The effect of the substitutions was to
replace SIF shares and Fulcrum Strategic shares with SIGIF shares. The substi-
tutions were effective on July 1, 2000.
On July 1, 2000, SIGIF shares were substituted for all of the shares of SIF and
all of the shares of Fulcrum Strategic. The substitutions were accomplished by
an exchange of 174,733,698 shares of SIGIF for the 191,246,857 shares then out-
standing (each valued at $0.951) of SIF and for the 134,606 shares then out-
standing (each valued at $9.52) of Fulcrum Strategic. SIF's net assets and Ful-
crum Strategic's net assets, including $4,795,620 and $46,607, respectively, of
unrealized depreciation, were combined with SIGIF for total net assets after
the acquisitions of $425,857,321.
--------------------------------------------
F-65
<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,
T. Rowe Price International Stock Portfolio, Janus Aspen Growth Portfolio, and
Kemper Technology Growth Portfolio which include important information related
to charges and expenses.
CLIENT NOTICES
--------------------------------------------------------------------------------
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.
------------------------------------------------------
F-66
<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 .
Allmerica Immediate Advantage Vari-Exceptional Life (`87, `91 & `93) . Variable
Inheiritage Estate Optimizer . Allmerica VUL 2001
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]
[LOGO OF ALLMERICA FINANCIAL]
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
