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Previous: CELLNET DATA SYSTEMS INC, SC 13G, 1997-02-14 |
Next: GENERAL AMERICAN CAPITAL CO, 485APOS, 1997-02-14 |
<PAGE> 1
GENERAL AMERICAN CAPITAL COMPANY
February, 1997
Dear Shareholder:
We are pleased to bring you this Annual Report for General American Capital
Company, covering financial results through December 31, 1996. General
American Capital Company is an underlying investment vehicle for variable
universal life insurance and variable annuity products offered by General
American Life Insurance Company.
As in the last three annual reports, this edition includes management
commentary on the investment performance of each fund, plus historical graphs
charting the growth of a $10,000 investment from fund inception through
December 31, 1996. Preceding the management discussion of each fund, we have
added a one-page Economic Overview. Following the management discussion
section are the audited financial statements and footnotes, and the schedule
of investments for each fund.
We hope you find this report informative. Thank you for choosing our
investment funds. We look forward to continued asset growth in 1997, our
tenth year of operation.
Richard A. Liddy
Chairman of the Board
<PAGE> 2
ECONOMIC OVERVIEW
Nineteen ninety-six started on the heels of an economically weak 1995, and
most market participants were anticipating continued easing of interest rates
by the Federal Reserve. After a 25 basis point decrease in the Federal Funds
rate at the end of January, the economy put together five successive strong
employment reports, with Gross Domestic Product (GDP) growth of 2.2 percent
in the first quarter and 4.7 percent in the second. The yield on the long
bond, meanwhile, remained within a fairly narrow trading range centered on
7.0 percent from March through most of October.
By early September, most market participants were looking for a potential 25
basis point increase in rates. The economy stalled in the third quarter,
however, following a weak September employment report and continued reports
of mild inflation. In the fourth quarter, the economy bounced back on
stronger-than-expected export growth and a December employment report that
showed an increase of 262,000 jobs plus upward revisions totaling 46,000 jobs
to the previous two months' reports. We expect fourth quarter growth to be
in the 3.75 to 4.00 percent range. Available data reveal three sources of
strong fourth quarter growth: a sharp contraction in the trade deficit,
unusually strong construction of nonresidential buildings and public
facilities, and increased consumer spending on services.
As we look forward, 1997 is shaping up to resemble 1996, with a strong first
half followed by a consumer slowdown. The trade deficit is highly unlikely to
be any lower on a quarter-to-quarter basis during 1997 than it was during the
fourth quarter of 1996. A continued strong dollar should favor imports over
exports. Available construction data also suggests that construction growth
should slow to a relatively moderate pace over the upcoming few quarters.
Three issues are paramount in 1997: consumer spending, inflation, and the
federal budget outlook. The willingness of consumers to spend continues to
cause great disagreement among economists. The case for higher spending
rests on the strength of income and employment gains, the high level of
consumer confidence, and improved household balance sheets resulting from the
surging stock market. The case for weak spending rests on the build-up of
debt, the rise in loan delinquencies and bankruptcies, and the lack of
significant pent-up demand for consumer durables and housing.
Developments on inflation will directly influence the interest rate
environment. An increase in inflation will cause Fed officials to tighten
monetary policy. We are not forecasting any Fed action on interest rates, but
we acknowledge that as of late January, there is a much better chance of an
increase in rates than a decrease. Further gains in wage inflation appear
assured, given the tightness of the labor markets. More uncertain is whether
business will be able to pass through such price increases. The budget
outlook, meanwhile, will affect long term bond yields. Any progress on
curbing deficits should help support bond prices.
<PAGE> 3
Management's Discussion of Fund Performance
S & P 500 INDEX FUND
The largest of the Capital Company funds, the S & P 500 Index Fund registered
another year of strong growth in 1996. The total net return of 22.89
percent for the year increased the fund's total net assets from $247 million
to $340 million. After a modest third quarter in which the S & P 500 Index
returned 3.1 percent--pulled down by a 4.5 percent decline in July--the Index
rebounded with a strong fourth quarter yield of 8.4, which the fund matched.
At year end, the fund had 462 issues in the portfolio, representing 98
percent of the S & P 500 Index capitalization. The fund finished the year
tracking closely with the index return, as it has done for the last several
years, in keeping with the fund's objective of duplicating the index's
performance. The long stock market rally continued in 1996, fueled by low
inflation, strong earnings and a growing economy. Meanwhile, the large cap
sector of the equity market, led by the blue chip companies, continued to
outperform the small cap sector.
<PAGE> 4
S&P 500 INDEX FUND
Growth of a $10,000 Investment
10/01/87 - 12/31/96
S&P 500 Index Fund S&P 500 Index
10/01/87 10,000 10,000
12/31/87 7,795 7,750
12/31/88 9,093 9,037
12/31/89 11,799 11,901
12/31/90 11,349 11,532
12/31/91 14,777 15,049
12/31/92 15,877 16,193
12/31/93 17,438 17,829
12/31/94 17,640 18,060
12/31/95 24,139 24,825
12/31/96 29,665 30,554
Fund's performance reflects administrative and management charges, while such
charges are not reflected in the performance of the index. The S & P 500
Index Fund's annual returns for the one- and five- years ended December 31,
1996 and since inception were 22.89%, 14.96% and 12.48% respectively.
Fund began operations on October 1, 1987.
<PAGE> 5
Management's Discussion of Fund Performance
MONEY MARKET FUND
The Money Market Fund finished the year above the $100 million mark in net
assets, with $101.4 million, and posted a net annual return of 5.51 percent.
Yields on money market securities went up slightly in the fourth quarter,
while the 90-day Treasury Bill yield increased by 15 basis points during that
time. This followed a slight decline in both the 90-day T-bill rate and
short term interest rates in general in the third quarter.
The Federal Reserve took action on short term rates only once in 1996,
lowering the Fed Funds rate by 25 basis points on January 31. The Fed chose
not to take any other action based on the absence of any strong data to
indicate an overheating or rapidly slowing economy. At year end, economic
growth remained moderate and general price levels remained under control.
<PAGE> 6
MONEY MARKET FUND
Growth of a $10,000 Investment
10/01/87 - 12/31/96
Money Market Fund
10/01/87 10,000
12/31/87 10,186
12/31/88 10,976
12/31/89 12,025
12/31/90 13,039
12/31/91 13,846
12/31/92 14,360
12/31/93 14,801
12/31/94 15,424
12/31/95 16,343
12/31/96 17,243
The Money Market Fund's annual returns for the one- and five- years ended
December 31, 1996 and since inception were 5.51%, 4.49% and 6.06%
respectively.
Fund began operations on October 1, 1987.
<PAGE> 7
Management's Discussion of Fund Performance
BOND INDEX FUND
This fund, designed to track the Lehman Brothers Government Corporate Bond
Index, had an annual net return of 3.02 percent. The fourth quarter turned
out to be the best of the year for the bond market, with interest rates
declining 20 to 30 basis points over the period. The bond market experienced
significant volatility in 1996. Indicators of rising employment depressed the
market at times, and conflicting economic reports created some uncertainty
and confusion about the direction of the economy. For the full year,
interest rates increased 70 to 80 basis points across the yield curve,
resulting in much lower returns for the fixed-income market in 1996 than in
1995.
Conning Asset Management Company (formerly known as General American
Investment Management Company) manages the Bond Index Fund. Conning selects
bond issues according to the fund's objective of achieving a rate of return
that parallels the performance of the U.S. bond market as a whole, using the
Lehman Brothers index as the fund's performance benchmark. The selection
process samples the various sectors of the index, which includes more than
6,000 bonds. The bonds selected for the fund are chosen on the basis of
their quality, maturity, and industrial sector, with the overall portfolio
approximating the mix of quality, maturity, and sector distribution found in
the index.
<PAGE> 8
BOND INDEX FUND
Growth of a $10,000 Investment
10/01/87 - 12/31/96
<TABLE>
<CAPTION>
Bond Index Fund Lehman Brothers Lehman Brothers
Intermediate Gov/Corp Gov/Corp Bond Index
Bond Index 10/1/87 - 10/1/92 - present
9/30/92
<C> <C> <C> <C>
10/01/87 10,000 10,000
12/31/87 10,460 10,460
12/31/88 11,170 11,158
12/31/89 12,322 12,583
12/31/90 13,442 13,735
12/31/91 15,324 15,743
12/31/92 16,331 16,919
12/31/93 18,028 18,785
12/31/94 17,301 18,126
12/31/95 20,590 21,613
12/31/96 21,213 22,242
</TABLE>
Fund's performance reflects administrative and management charges, while such
charges are not reflected in the performance of the index. The Bond Index
Fund's annual returns for the one- and five- years ended December 31, 1996
and since inception were 3.02%, 6.72% and 8.47% respectively. On October 1,
1992, the fund changed its name and investment policies, therefore, it was
necessary to use a new index to reflect this change.
Fund began operations on October 1, 1987.
<PAGE> 9
Management's Discussion of Fund Performance
MANAGED EQUITY FUND
The Managed Equity Fund, managed by Morgan Stanley Asset Management, Inc. as
sub-adviser to Conning Asset Management Company, finished 1996 with a net
annual return of 20.92 percent. Despite a lackluster third quarter
performance, much of it in July, the fund came back with a strong fourth
quarter as the S & P 500 set new records in October and November. For the
year, both growth and value stocks performed well, and large cap stocks
significantly outperformed small cap issues. The top sectors in 1996 were
retail, financial services, energy and consumer durables. The portfolio's
best performers were TJ Max (up 147 percent), Woolworth (up 69 percent),
BankAmerica (up 58 percent) and Chase Manhattan (up 57 percent).
Underperforming sectors included health care and electric utilities.
Although economic uncertainty produced significant market volatility at times
during the year, the market overcame that with help from a sustained moderate
growth in the economy and low wage and price inflation. The Federal Reserve,
meanwhile, held firm on interest rates, and money continued to pour into
mutual funds.
In managing this fund, Morgan Stanley follows a strategy of investing in
common stocks of companies that are expected to benefit from changes in
cyclical trends and which are considered undervalued based on historical
valuation criteria. The investments are made with a philosophy that a
high-quality, diversified portfolio of undervalued securities will outperform
the market over the longer term, as well as preserve principal in a difficult
market environment.
<PAGE> 10
MANAGED EQUITY FUND
Growth of a $10,000 Investment
10/01/87 - 12/31/96
Managed Equity Fund S&P 500 Index
10/01/87 10,000 10,000
12/31/87 7,824 7,750
12/31/88 8,733 9,037
12/31/89 11,446 11,901
12/31/90 11,104 11,532
12/31/91 14,016 15,049
12/31/92 14,949 16,193
12/31/93 16,275 17,829
12/31/94 15,692 18,060
12/31/95 20,928 24,825
12/31/96 25,306 30,554
Fund's performance reflects administrative and management charges, while such
charges are not reflected in the performance of the index. The Managed
Equity Fund's annual returns for the one- and five- years ended December 31,
1996 and since inception were 20.92%, 12.54% and 10.56% respectively.
Fund began operations on October 1, 1987.
<PAGE> 11
Management's Discussion of Fund Performance
ASSET ALLOCATION FUND
The Asset Allocation Fund's net return of 15.66 percent for 1996 reflects the
fact that nearly two-thirds of this fund's assets are invested in stocks, and
stocks had a far better year in 1996 than bonds did. The equity portion of
the fund earned a gross return of 23.2 percent last year, while the bond
segment produced a 3.6 percent gross return. Even so, the bond component
outperformed the Lehman Brothers Government Corporate Bond Index (2.9
percent). Overall, this fundamentally-managed balanced fund had an allocation
of 63 percent stocks, 33 percent bonds and 4 percent cash at year-end.
As was the case with the Managed Equity Fund, the Asset Allocation Fund
benefited from a strong fourth quarter that came on the heels of a slow third
quarter. The fall rally in stocks resulted from a positive outlook on
corporate profits, plus the Fed's decision in September not to change
interest rates. Fears of a recession--or, in the opposite extreme, an
overheating economy and wage inflation--proved false, and the dominant themes
for the year were moderate economic growth, benign inflation trends, record
inflows into mutual funds, and solid employment growth. At the same time,
Treasury rates remained in a fairly narrow 50-basis-point range.
<PAGE> 12
ASSET ALLOCATION FUND
Growth of a $10,000 Investment
10/01/87 - 12/31/96
<TABLE>
<CAPTION>
Asset Allocation Fund S & P 500 Index Lehman Brothers
Intermediate Gov/Corp
Bond Index
<S> <C> <C> <C>
10/01/87 10,000 10,000 10,000
12/31/87 10,047 7,750 10,460
12/31/88 10,895 9,037 11,158
12/31/89 13,065 11,901 12,583
12/31/90 13,388 11,532 13,735
12/31/91 16,040 15,049 15,743
12/31/92 17,107 16,193 16,872
12/31/93 18,741 17,829 18,355
12/31/94 18,001 18,060 18,001
12/31/95 23,200 24,825 20,760
12/31/96 26,834 30,554 21,600
</TABLE>
Fund's performance reflects administrative and management charges, while such
charges are not reflected in the performance of the index. The Asset
Allocation Fund's annual returns for the one- and five- years ended December
31, 1996 and since inception were 15.66%, 10.84% and 11.26% respectively.
Fund began operations on October 1, 1987.
<PAGE> 13
Management's Discussion of Fund Performance
INTERNATIONAL EQUITY FUND
This fund finished 1996 with a net return of 7.40 percent, outperforming its
benchmark for performance, the Morgan Stanley Capital International Europe,
Australia, and Far East Index (EAFE Index), which had a 6.3 percent return.
The fund had an excellent fourth quarter in comparison to the EAFE Index
after underperforming against it in the third quarter. In both the fourth
quarter and for the year, international value stocks outperformed growth
stocks. The Japanese and Asian markets were somewhat disappointing, largely
due to a slump in semiconductor and computer prices. Continental Europe,
meanwhile, generally performed well with improving liquidity. The market in
the United Kingdom was among the more volatile. At year end, the fund's five
largest allocations by country were Japan (34.1 percent), the United Kingdom
(15.4), Germany (5.0), Hong Kong (4.7), and France (4.6).
By a vote of the shareholders of General American Capital Company on December
16, 1996, the name, investment strategy, and portfolio manager of this fund
changed effective January 1, 1997. The International Equity Fund is now
known as the International Index Fund. Conning Asset Management Company, the
investment adviser for the fund, has taken over the portfolio management of
the fund in place of Provident Capital Management, Inc., the former
investment sub-adviser for the fund.
The investment objective of this fund is to obtain investment results that
parallel the price and yield performance of publicly-traded common stocks in
the EAFE Index. This fund pursues this objective by following a
passively-managed international index strategy of replicating to the extent
possible the performance of the EAFE Index.
<PAGE> 14
INTERNATIONAL EQUITY FUND
Growth of a $10,000 Investment
02/16/93 - 12/31/96
<TABLE>
<CAPTION>
International Equity Fund Europe, Asia, Far East Index
<S> <C> <C>
02/16/93 10,000 10,000
12/31/93 13,103 13,260
12/31/94 13,944 14,294
12/31/95 15,109 15,919
12/31/96 16,227 16,930
</TABLE>
Fund's performance reflects administrative and management charges, while such
charges are not reflected in the performance of the index. The International
Equity Fund's annual return for one- year and since inception ended December
31, 1996 were 7.40% and 13.31%, respectively. On January 1, 1997 the fund
changed it's name and investment policy. It became the International Index
Fund and it's new objective is to obtain investment results that parallel the
price and yield performance of publicly-traded common stocks in the Morgan
Stanley Capital International Europe, Australia, and Far East Index ("EAFE
Index").
Fund began operations on February 16, 1993.
<PAGE> 15
Management's Discussion of Fund Performance
SPECIAL EQUITY FUND
The Special Equity Fund invests primarily in small-cap equities with low
price-earnings ratios (i.e. value equities). Small-cap stocks outperformed
large-cap issues in December 1996 but underperformed against them in the
fourth quarter and for the year. Nevertheless, this fund's annual net return
of 19.46 percent came in ahead of the Russell 2000 Index (16.5 percent), a
well-known benchmark for small-cap equities. Value-oriented securities
returned significantly more than growth-oriented stocks in the fourth quarter
and over the year. The fund also benefited from underweighting in the
lagging health care sector and overweighting in real estate investment trusts
and the financial sector.
As with the International Equity Fund, this fund's name, investment strategy,
and portfolio management were changed by vote of General American Capital
Company's shareholders on December 16, 1996. The changes took effect January
1, 1997. The new name of the fund is the Mid-Cap Equity Fund. Conning Asset
Management Company, the investment adviser for the fund, has taken over the
portfolio management of the fund from Provident Capital Management, Inc., the
former investment sub-adviser for the fund. The new investment objective of
the fund is long-term capital appreciation, which it pursues through
investment primarily in common stocks of United States-based, publicly-traded
companies with medium market capitalizations. Medium market capitalization
companies are those whose market capitalization falls within the
capitalization range of the Standard & Poor's MidCap 400 at the time of the
fund's investment.
<PAGE> 16
SPECIAL EQUITY FUND
Growth of a $10,000 Investment
02/16/93 - 12/31/96
Special Equity Fund Russell 2000 Index
02/16/93 10,000 10,000
12/31/93 11,444 11,501
12/31/94 11,350 11,292
12/31/95 13,743 14,503
12/31/96 16,417 15,161
Fund's performance reflects administrative and management charges, while such
charges are not reflected in the performance of the index. The Special
Equity Fund's annual return for one- year and since inception ended December
31, 1996 were 19.46% and 13.65%, respectively. On January 1, 1997 the fund
changed it's name and investment policy. It became the Mid-Cap Equity Fund
and it's new objective is to seek sustained growth of capital by investing
primarily in common stocks of United States-based publicly traded companies
with "medium market capitalizations."
Fund began operations on February 16, 1993.
<PAGE> 17
INDEPENDENT AUDITORS' REPORT
THE SHAREHOLDERS AND BOARD OF DIRECTORS
GENERAL AMERICAN CAPITAL COMPANY:
We have audited the statements of assets and liabilities, including the
schedules of investments, of the S & P 500 Index, Money Market, Bond Index,
Managed Equity, Asset Allocation, International Equity and Special Equity
Funds of General American Capital Company as of December 31, 1996, the
related statements of operations for the year then ended, the statements of
changes in net assets for each of the years in the two-year period then
ended, and financial highlights information for the periods presented. These
financial statements and financial highlights information are the
responsibility of the Company's management. Our responsibility is to express
an opinion on these financial statements and financial highlights information
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to
obtain reasonable assurance about whether the financial statements and
financial highlights information are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Investment securities held in
custody were confirmed to us by the custodians. As to securities purchased
and sold but not received or delivered, if any, we requested confirmations
from brokers, and where replies were not received, we carried out other
appropriate auditing procedures to verify their existence. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights information
referred to above present fairly, in all material respects, the financial
position of the S & P 500 Index, Money Market, Bond Index, Managed Equity,
Asset Allocation, International Equity and Special Equity Funds of General
American Capital Company as of December 31, 1996, the results of their
operations for the year then ended, the changes in their net assets for each
of the years in the two year period then ended and financial highlights
information for the periods presented, in conformity with generally accepted
accounting principles.
KPMG Peat Marwick LLP
St. Louis, Missouri
January 31, 1997
<PAGE> 18
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
<CAPTION>
S & P 500 Money Bond Managed Asset International Special
Index Market Index Equity Allocation Equity Equity
Fund Fund Fund Fund Fund Fund Fund
--------- ------ ----- ------- ---------- ------------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Assets:
Investments, at market value:
(see accompanying schedules)
Bonds $ 0 $ 0 $37,045,206 $ 0 $27,804,930 $ 0 $ 0
Common stocks 332,715,468 0 0 47,893,929 54,646,605 5,876,144 3,792,791
Preferred stocks 0 0 0 0 0 38,009 0
Short term securities 1,374,488 101,224,478 434,838 1,009,771 3,012,418 1,018,729 304,867
------------ ------------ ----------- ----------- ----------- ---------- ----------
Total investments 334,089,956 101,224,478 37,480,044 48,903,700 85,463,953 6,932,882 4,097,658
Cash 0 114,921 0 12,439 47,008 62,784 19,989
Receivable from broker 6,787,640 0 0 0 0 0 0
Dividends and interest receivable 590,376 101,062 597,058 144,135 722,840 24,950 4,668
------------ ------------ ----------- ----------- ----------- ---------- ----------
Total assets 341,467,972 101,440,461 38,077,102 49,060,274 86,233,801 7,020,616 4,122,315
------------ ------------ ----------- ----------- ----------- ---------- ----------
Liabilities:
Bank overdraft 6,328 0 53,035 0 0 0 0
Payable to Conning Asset
Management Company 69,859 9,061 7,821 14,524 35,540 3,958 1,813
Payable to General American
Life Insurance Company 13,972 5,799 1,564 4,019 7,108 1,696 330
Payable to broker 1,176,824 0 0 454,696 0 0 0
------------ ------------ ----------- ----------- ----------- ---------- ----------
Total liabilities 1,266,983 14,860 62,420 473,239 42,648 5,654 2,143
------------ ------------ ----------- ----------- ----------- ---------- ----------
Total net assets $340,200,989 $101,425,601 $38,014,682 $48,587,035 $86,191,153 $7,014,962 $4,120,172
============ ============ =========== =========== =========== ========== ==========
Total shares of capital stock outstanding 11,467,977 5,882,249 1,792,055 1,919,961 3,211,994 432,304 250,972
Net asset value per share (Total net
assets divided by total shares of
capital stock outstanding) $ 29.67 $ 17.24 $ 21.21 $ 25.31 $ 26.83 $ 16.23 $ 16.42
Total amortized cost of investments $187,961,582 $101,224,478 $37,206,674 $40,444,542 $72,264,798 $6,413,764 $3,514,369
See accompanying notes to financial statements.
</TABLE>
<PAGE> 19
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
<CAPTION>
S & P 500 Money Bond Managed Asset International Special
Index Market Index Equity Allocation Equity Equity
Fund Fund Fund Fund Fund Fund Fund
--------- -------- ----- ------- ---------- ------------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income:
Dividends $ 6,531,647 $ 0 $ 0 $1,478,545 $ 1,681,352 $ 119,039 $ 54,574
Interest 90,637 4,108,668 2,445,598 70,226 1,749,524 40,154 13,249
----------- ---------- ----------- ---------- ----------- --------- --------
Total investment income 6,622,284 4,108,668 2,445,598 1,548,771 3,430,876 159,193 67,823
----------- ---------- ----------- ---------- ----------- --------- --------
Expenses:
Investment management charge 730,696 92,359 93,023 165,862 393,448 43,413 22,289
Administrative charge 146,139 59,110 18,605 45,260 78,689 18,606 4,053
----------- ---------- ----------- ---------- ----------- --------- --------
Total expenses 876,835 151,469 111,628 211,122 472,137 62,019 26,342
----------- ---------- ----------- ---------- ----------- --------- --------
Net investment income 5,745,449 3,957,199 2,333,970 1,337,649 2,958,739 97,174 41,481
----------- ---------- ----------- ---------- ----------- --------- --------
Net realized gain (loss) on investments
and foreign currency:
Net realized gain (loss) on
investments 4,669,772 0 390,747 3,654,582 2,367,380 113,255 730,854
Net realized loss on foreign currency
conversions 0 0 0 0 0 (36,849) 0
----------- ---------- ----------- ---------- ----------- --------- --------
Net realized gain (loss) from
investments and foreign currency 4,669,772 0 390,747 3,654,582 2,367,380 76,406 730,854
----------- ---------- ----------- ---------- ----------- --------- --------
Net unrealized gain (loss) on
investments and foreign currency:
Net unrealized gain on investments,
beginning of year 95,754,652 0 1,978,414 4,820,886 7,084,492 356,096<F*> 563,467
Net unrealized loss on foreign
currency conversions,
beginning of year 0 0 0 0 0 (109,389) 0
Net unrealized gain on investments,
end of year 146,128,374 0 273,370 8,459,158 13,199,155 844,717 583,289
Net unrealized loss on foreign
currency conversions, end of year 0 0 0 0 0 (325,599) 0
----------- ---------- ----------- ---------- ----------- --------- --------
Net unrealized gain (loss) from
investments and foreign currency 50,373,722 0 (1,705,044) 3,638,272 6,114,663 272,411 19,822
----------- ---------- ----------- ---------- ----------- --------- --------
Net increase in net assets from
operations $60,788,943 $3,957,199 $ 1,019,673 $8,630,503 $11,440,782 $ 445,991 $792,157
=========== ========== =========== ========== =========== ========= ========
See accompanying notes to financial statements.
</TABLE>
<PAGE> 20
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEARS ENDED DECEMBER 31, 1996 AND DECEMBER 31, 1995
<CAPTION> MANAGED
S & P 500 INDEX FUND MONEY MARKET FUND BOND INDEX FUND EQUITY FUND
------------------------- ------------------------- ------------------------- ------------------------
1996 1995 1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 5,745,449 $ 4,544,560 $ 3,957,199 $ 4,050,581 $ 2,333,970 $ 1,995,624 $ 1,337,649 $ 1,157,693
Net realized gain
(loss) on investments
and foreign
currency conversions 4,669,772 2,122,230 0 0 390,747 (182,350) 3,654,582 3,063,023
Net unrealized gain
(loss) on investments
and foreign currency 50,373,722 57,617,792 0 0 (1,705,044) 3,456,343 3,638,272 6,228,249
------------ ------------ ------------ ------------ ----------- ----------- ----------- -----------
Net increase in net
assets from
operations 60,788,943 64,284,582 3,957,199 4,050,581 1,019,673 5,269,617 8,630,503 10,448,965
Capital share
transactions 32,099,056 13,725,866 26,894,392 (26,815,810) (2,321,034) 7,588,445 (945,697) (1,033,582)
------------ ------------ ------------ ------------ ----------- ----------- ----------- -----------
Net increase
(decrease) in net
assets 92,887,999 78,010,448 30,851,591 (22,765,229) (1,301,361) 12,858,062 7,684,806 9,415,383
Net assets, beginning
of year 247,312,990 169,302,542 70,574,010 93,339,239 39,316,043 26,457,981 40,902,229 31,486,846
------------ ------------ ------------ ------------ ----------- ----------- ----------- -----------
Net assets, end of year $340,200,989 $247,312,990 $101,425,601 $ 70,574,010 $38,014,682 $39,316,043 $48,587,035 $40,902,229
============ ============ ============ ============ =========== =========== =========== ===========
<CAPTION>
ASSET INTERNATIONAL SPECIAL
ALLOCATION FUND EQUITY FUND EQUITY FUND
-------------------------- ------------------------- -------------------------
1996 1995 1996 1995 1996 1995
----------- ----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 2,958,739 $ 2,614,206 $ 97,174 $ 85,823 $ 41,481 $ 28,205
Net realized gain on
investments and
foreign currency
conversions 2,367,380 3,594,483 76,406 436,743 730,854 192,065
Net unrealized gain (loss)
on investments
and foreign currency 6,114,663 10,532,388 272,411 (122,319) 19,822 500,211
----------- ----------- ---------- ---------- ---------- ----------
Net increase in net assets
from operations 11,440,782 16,741,077 445,991 400,247 792,157 720,481
Capital share transactions 1,363,412 (3,329,024) 1,108,829 818,045 (932,433) 260,826
----------- ----------- ---------- ---------- ---------- ----------
Net increase (decrease)
in net assets 12,804,194 13,412,053 1,554,820 1,218,292 (140,276) 981,307
Net assets, beginning of year 73,386,959 59,974,906 5,460,142 4,241,850 4,260,448 3,279,141
----------- ----------- ---------- ---------- ---------- ----------
Net assets, end of year $86,191,153 $73,386,959 $7,014,962 $5,460,142 $4,120,172 $4,260,448
=========== =========== ========== ========== ========== ==========
See accompanying notes to financial statements.
</TABLE>
<PAGE> 21
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
FINANCIAL HIGHLIGHTS
<CAPTION>
S & P 500 INDEX FUND<F*>
--------------------------------------------------------------------------------------------------
Three
Year Year Year Year Year Year Year Year Year months
ended ended ended ended ended ended ended ended ended ended
December December December December December December December December December December
31 31 31 31 31 31 31 31 31 31
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year<F1> $ 24.14 $ 17.64 $ 17.44 $ 15.88 $ 14.78 $ 11.35 $ 11.80 $ 9.09 $ 7.80 $ 10.00
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------
Income from operations:
Net investment income 0.53 0.46 0.44 0.41 0.39 0.38 0.38 0.37 0.36 0.06
Net realized and
unrealized gain (loss)
on investments 5.00 6.04 (0.24) 1.15 0.71 3.05 (0.83) 2.34 0.93 (2.26)
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------
Net increase (decrease) in
asset value per share 5.53 6.50 0.20 1.56 1.10 3.43 (0.45) 2.71 1.29 (2.20)
-------- -------- -------- -------- -------- -------- -------- ------- ------- -------
Net asset value,
end of year $ 29.67 $ 24.14 $ 17.64 $ 17.44 $ 15.88 $ 14.78 $ 11.35 $ 11.80 $ 9.09 $ 7.80
======== ======== ======== ======== ======== ======== ======== ======= ======= =======
Total return<F2> 22.89% 36.85% 1.15% 9.83% 7.45% 30.21% -3.82% 29.76% 16.65% -22.05%
Net assets, end of year
(in thousands) $340,201 $247,313 $169,303 $161,761 $123,458 $102,076 $ 72,665 $65,211 $28,917 $23,060
Ratio of expenses to average
net assets<F3> 0.30% 0.30% 0.30% 0.30% 0.30% 0.30% 0.30% 0.32% 0.30% 0.29%
Ratio of net investment
income to average
net assets<F3> 1.97% 2.19% 2.50% 2.47% 2.67% 2.89% 3.35% 3.57% 4.15% 3.40%
Portfolio turnover rate 8.93% 4.75% 7.38% 2.56% 4.38% 3.92% 4.39% 20.56% 8.41% 2.63%
Average commission rate<F4> $ 0.04 -- -- -- -- -- -- -- -- --
<FN>
Notes:
<F1> Components are computed and accumulated on a daily basis.
<F2> Total return is not annualized for the three months ended December 31,
1987. The total return information shown in this table does not reflect
expenses that apply to the separate accounts investing in the Fund or to the
insurance or variable annuity contracts. Inclusion of these charges would
reduce the total return figures for all periods shown.
<F3> Computed on an annualized basis.
<F4> Computed only for funds that invest greater than 10 percent of the value
of average net assets in equity securities. Computation represents total
commissions paid divided by the sum of shares purchased and sold for which
commissions were charged.
<F*>This Fund formerly known as the Equity Index Fund.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 22
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
FINANCIAL HIGHLIGHTS
<CAPTION>
MONEY MARKET FUND
--------------------------------------------------------------------------------------------------
Three
Year Year Year Year Year Year Year Year Year months
ended ended ended ended ended ended ended ended ended ended
December December December December December December December December December December
31 31 31 31 31 31 31 31 31 31
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year<F1> $ 16.34 $ 15.42 $ 14.80 $ 14.36 $ 13.85 $ 13.04 $ 12.03 $ 10.98 $ 10.18 $ 10.00
Income from operations:
Net investment income 0.90 0.92 0.62 0.44 0.51 0.81 1.01 1.05 0.80 0.18
-------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Net asset value,
end of year $ 17.24 $ 16.34 $ 15.42 $ 14.80 $ 14.36 $ 13.85 $ 13.04 $ 12.03 $ 10.98 $ 10.18
======== ======= ======= ======= ======= ======= ======= ======= ======= =======
Total return<F2> 5.51% 5.96% 4.21% 3.07% 3.71% 6.19% 8.43% 9.56% 7.76% 1.86%
Net assets, end of year
(in thousands) $101,426 $70,574 $93,339 $84,430 $84,880 $84,090 $85,901 $53,648 $52,323 $56,442
Ratio of expenses to
average net assets<F3> 0.21% 0.21% 0.21% 0.21% 0.21% 0.21% 0.21% 0.21% 0.21% 0.21%
Ratio of net investment
income to average
net assets<F3> 5.37% 5.78% 4.17% 3.06% 3.68% 6.10% 8.17% 9.26% 7.46% 7.31%
Portfolio turnover rate <F4> <F4> <F4> <F4> <F4> <F4> <F4> <F4> <F4> <F4>
<FN>
Notes:
<F1> Components are computed and accumulated on a daily basis.
<F2> Total return is not annualized for the three months ended December 31,
1987. The total return information shown in this table does not reflect
expenses that apply to the separate accounts investing in the Fund or to the
insurance or variable annuity contracts. Inclusion of these charges would
reduce the total return figures for all periods shown.
<F3> Computed on an annualized basis.
<F4> A portfolio turnover rate is not calculated for securities on which the
maturity or expiration dates at the time of acquisition were one year or
less.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 23
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
FINANCIAL HIGHLIGHTS
<CAPTION>
BOND INDEX FUND<F1>
--------------------------------------------------------------------------------------------------
Three
Year Year Year Year Year Year Year Year Year months
ended ended ended ended ended ended ended ended ended ended
December December December December December December December December December December
31 31 31 31 31 31 31 31 31 31
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year<F2> $ 20.59 $ 17.30 $ 18.03 $ 16.33 $ 15.32 $ 13.44 $ 12.32 $11.17 $ 10.46 $ 10.00
------- ------- ------- ------- ------- ------- ------- ------ ------- -------
Income from operations:
Net investment income 1.29 1.25 1.06 1.07 1.09 1.08 1.03 0.98 0.90 0.22
Net realized and
unrealized gain (loss)
on investments (0.67) 2.04 (1.79) 0.63 (0.08) 0.80 0.09 0.17 (0.19) 0.24
------- ------- ------- ------- ------- ------- ------- ------ ------- -------
Net increase (decrease) in
asset value per share 0.62 3.29 (0.73) 1.70 1.01 1.88 1.12 1.15 0.71 0.46
------- ------- ------- ------- ------- ------- ------- ------ ------- -------
Net asset value,
end of year $ 21.21 $ 20.59 $ 17.30 $ 18.03 $ 16.33 $ 15.32 $ 13.44 $12.32 $ 11.17 $ 10.46
======= ======= ======= ======= ======= ======= ======= ====== ======= =======
Total return<F3> 3.02% 19.02% -4.04% 10.39% 6.57% 14.00% 9.09% 10.32% 6.78% 4.60%
Net assets, end of
year (in thousands) $38,015 $39,316 $26,458 $47,636 $20,217 $14,438 $11,137 $9,545 $ 6,571 $ 7,179
Ratio of expenses to
average net assets<F4> 0.30% 0.30% 0.30% 0.30% 0.39% 0.42% 0.42% 0.43% 0.43% 0.43%
Ratio of net investment
income to average
net assets<F4> 6.26% 6.43% 6.19% 6.11% 6.89% 7.63% 8.12% 8.24% 8.25% 9.11%
Portfolio turnover rate 44.28% 35.35% 46.42% 8.80% 43.50% 2.23% 18.88% 28.57% 71.30% 11.44%
<FN>
Notes:
<F1> Name and investment objective changed from Intermediate Bond Fund on
October 1, 1992. The investment advisor charges changed from .375 percent to
.250 percent of the average daily value of the net assets on October 1, 1992.
The objective of the Bond Index Fund is to provide a rate of return that
reflects the performance of the publicly traded bond market as a whole.
<F2> Components are computed and accumulated on a daily basis.
<F3> Total return is not annualized for the three months ended December 31,
1987. The total return information shown in this table does not reflect
expenses that apply to the separate accounts investing in the Fund or to the
insurance or variable annuity contracts. Inclusion of these charges would
reduce the total return figures for all periods shown.
<F4> Computed on an annualized basis.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 24
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
FINANCIAL HIGHLIGHTS
<CAPTION>
MANAGED EQUITY FUND
--------------------------------------------------------------------------------------------------
Three
Year Year Year Year Year Year Year Year Year months
ended ended ended ended ended ended ended ended ended ended
December December December December December December December December December December
31 31 31 31 31 31 31 31 31 31
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year<F1> $ 20.93 $ 15.69 $ 16.27 $ 14.95 $ 14.02 $ 11.10 $ 11.45 $ 8.73 $ 7.82 $ 10.00
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Income from operations:
Net investment income 0.68 0.58 0.43 0.32 0.35 0.38 0.38 0.26 0.28 0.06
Net realized and
unrealized gain (loss)
on investments 3.70 4.66 (1.01) 1.00 0.58 2.54 (0.73) 2.46 0.63 (2.24)
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Net increase (decrease)
in asset value per share 4.38 5.24 (0.58) 1.32 0.93 2.92 (0.35) 2.72 0.91 (2.18)
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Net asset value,
end of year $ 25.31 $ 20.93 $ 15.69 $ 16.27 $ 14.95 $ 14.02 $ 11.10 $ 11.45 $ 8.73 $ 7.82
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
Total return<F2> 20.92% 33.37% -3.58% 8.87% 6.66% 26.23% -2.99% 31.07% 11.62% -21.76%
Net assets, end of
year (in thousands) $48,587 $40,902 $31,487 $32,885 $29,401 $22,006 $14,769 $11,785 $ 7,303 $ 78
Ratio of expenses to
average net assets<F3> 0.47% 0.48% 0.49% 0.50% 0.51% 0.53% 0.57% 0.60% 0.60% 0.60%
Ratio of net investment
income to average
net assets<F3> 2.97% 3.14% 2.65% 2.07% 2.55% 2.99% 3.47% 2.62% 3.24% 2.81%
Portfolio turnover rate 36.44% 44.82% 103.93% 25.89% 9.34% 12.15% 28.38% 51.26% 15.54% 0.00%
Average commission rate<F4> $ 0.04 -- -- -- -- -- -- -- -- --
<FN>
Notes:
<F1> Components are computed and accumulated on a daily basis.
<F2> Total return is not annualized for the three months ended December 31,
1987. The total return information shown in this table does not reflect
expenses that apply to the separate accounts investing in the Fund or to the
insurance or variable annuity contracts. Inclusion of these charges would
reduce the total return figures for all periods shown.
<F3> Computed on an annualized basis.
<F4> Computed only for funds that invest greater than 10 percent of the value
of average net assets in equity securities. Computation represents total
commissions paid divided by the sum of shares purchased and sold for which
commissions were charged.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 25
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
FINANCIAL HIGHLIGHTS
<CAPTION>
ASSET ALLOCATION FUND
--------------------------------------------------------------------------------------------------
Three
Year Year Year Year Year Year Year Year Year months
ended ended ended ended ended ended ended ended ended ended
December December December December December December December December December December
31 31 31 31 31 31 31 31 31 31
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year<F1> $ 23.20 $ 18.00 $ 18.74 $ 17.11 $ 16.04 $ 13.39 $ 13.07 $ 10.90 $ 10.05 $ 10.00
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Income from operations:
Net investment income 0.93 0.82 0.68 0.60 0.62 0.65 0.69 0.60 0.57 0.14
Net realized and
unrealized gain (loss)
on investments 2.70 4.38 (1.42) 1.03 0.45 2.00 (0.37) 1.57 0.28 (0.09)
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Net increase (decrease)
in asset value per share 3.63 5.20 (0.74) 1.63 1.07 2.65 0.32 2.17 0.85 0.05
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Net asset value,
end of year $ 26.83 $ 23.20 $ 18.00 $ 18.74 $ 17.11 $ 16.04 $ 13.39 $ 13.07 $ 10.90 $ 10.05
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
Total return<F2> 15.66% 28.88% -3.95% 9.55% 6.66% 19.81% 2.47% 19.91% 8.44% 0.47%
Net assets, end of
year (in thousands) $86,191 $73,387 $59,975 $65,070 $53.369 $21,149 $12,545 $ 5,244 $ 1,440 $ 402
Ratio of expenses to
average net assets<F3> 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment
income to average
net assets<F3> 3.77% 3.92% 3.70% 3.33% 3.80% 4.37% 5.41% 4.82% 5.04% 5.56%
Portfolio turnover rate 32.78% 33.74% 75.24% 27.59% 12.14% 5.14% 15.46% 28.06% 13.52% 0.00%
Average commission rate<F4> $ 0.04 -- -- -- -- -- -- -- -- --
<FN>
Notes:
<F1> Components are computed and accumulated on a daily basis.
<F2> Total return is not annualized for the three months ended December 31,
1987. The total return information shown in this table does not reflect
expenses that apply to the separate accounts investing in the Fund or to the
insurance or variable annuity contracts. Inclusion of these charges would
reduce the total return figures for all periods shown.
<F3> Computed on an annualized basis.
<F4> Computed only for funds that invest greater than 10 percent of the value
of average net assets in equity securities. Computation represents total
commissions paid divided by the sum of shares purchased and sold for which
commissions were charged.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 26
<TABLE>
GENERAL AMERICAN CAPITAL COMPANY
FINANCIAL HIGHLIGHTS
<CAPTION>
INTERNATIONAL EQUITY FUND SPECIAL EQUITY FUND
------------------------------------------ --------------------------------------
February 16 February 16
Year Year Year (inception) Year Year Year (inception)
ended ended ended to ended ended ended to
December December December December December December December December
31 31 31 31 31 31 31 31
-------- -------- -------- ----------- -------- -------- -------- -----------
1996 1995 1994 1993 1996 1995 1994 1993
-------- -------- -------- ----------- -------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of year<F1> $ 15.11 $ 13.94 $ 13.10 $ 10.00 $ 13.74 $ 11.35 $ 11.44 $ 10.00
------- ------- ------- ------- ------- ------- ------- -------
Income from operations:
Net investment income 0.24 0.25 0.13 0.14 0.15 0.05 0.10 0.06
Net realized and
unrealized gain
(loss) on investments 0.88<F*> 0.92<F*> 0.71<F*> 2.96<F*> 2.53 2.34 (0.19) 1.38
------- ------- ------- ------- ------- ------- ------- -------
Net increase (decrease)
in asset value per share 1.12 1.17 0.84 3.10 2.68 2.39 (0.09) 1.44
------- ------- ------- ------- ------- ------- ------- -------
Net asset value,
end of year $ 16.23 $ 15.11 $ 13.94 $ 13.10 $ 16.42 $ 13.74 $ 11.35 $ 11.44
======= ======= ======= ======= ======= ======= ======= =======
Total return<F2> 7.40% 8.35% 6.42% 31.03% 19.46% 21.09% -0.83% 14.44%
Net assets, end of year
(in thousands) $ 7,015 $ 5,460 $ 4,242 $ 3,295 $ 4,120 $ 4,260 $ 3,279 $ 1,998
Ratio of expenses to
average net assets<F3> 1.00% 1.00% 1.00% 1.00% 0.65% 0.65% 0.65% 0.64%
Ratio of net investment
income to average
net assets <F3> 1.57% 1.79% 0.98% 1.38% 1.02% 0.75% 0.85% 0.64%
Portfolio turnover rate 19.53% 113.91% 46.19% 26.97% 56.31% 28.48% 29.48% 22.64%
Average commission rate<F4> $ 0.02 -- -- -- $ .06 -- -- --
<FN>
Notes:
<F1> Components are computed and accumulated on a daily basis.
<F2> Total return is not annualized for eleven months ended December 31, 1993.
The total return information shown in this table does not reflect expenses
that apply to the separate accounts investing in the Fund or to the insurance
or variable annuity contracts. Inclusion of these charges would reduce the
total return figures for all periods shown.
<F3> Computed on an annualized basis.
<F4> Computed only for funds that invest greater than 10 percent of the value
of average net assets in equity securities. Computation represents total
commissions paid divided by the sum of shares purchased and sold for which
commissions were charged.
<F*>Also includes net realized and unrealized gain (loss) on foreign currency
conversions.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 27
GENERAL AMERICAN CAPITAL COMPANY
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
NOTE 1-ORGANIZATION
General American Capital Company (the Company), commenced operations on
October 1, 1987, and is registered under the Investment Company Act of 1940
as amended, as an open-end diversified management investment company.
The Company offers to its shareholders seven separate investment funds (the
Funds) which operate as distinct investment vehicles. These are the S & P
500 Index Fund, Money Market Fund, Bond Index Fund, Managed Equity Fund,
Asset Allocation Fund, International Equity Fund, and Special Equity Fund.
The name of the S & P 500 Index Fund was changed from the Equity Index Fund
effective May 1, 1994. The International Equity and Special Equity Funds
began operations on February 16, 1993. As of December 31, 1996, the Company
sells its shares to separate accounts established by General American Life
Insurance Company (General American), RGA Reinsurance Company (RGA) a wholly
owned subsidiary of Reinsurance Group of America, Inc., which is a majority
owned subsidiary of General American, Security Equity Life Insurance Company
(Security Equity) a wholly owned subsidiary of General American and Cova
Financial Services Life Insurance Company (Cova) a wholly owned subsidiary of
General American.
NOTE 2-SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Company in the preparation of financial statements. The policies are in
conformity with generally accepted accounting principles.
A. INVESTMENTS:
Common stocks of domestic and foreign companies are valued based
on the closing sale price on the Composite Stock Tape for
securities traded on a national or international securities
exchange, and for securities not so traded, at the last bid price
of over-the-counter market quotations as of the close of business
on December 31. The market values for bonds and short term
securities with maturities of 60 days or more at date of
valuation are determined daily by an independent broker-dealer
based on current market conditions. Short term securities with
maturities of less than 60 days at date of valuation are valued
at amortized cost, which approximates market value.
B. REPURCHASE AGREEMENTS:
Short term investments include repurchase agreements with a
member bank of the Federal Reserve System or a primary dealer in
U.S. Government securities. Under such agreements, the bank or
primary dealer agrees to repurchase the underlying U.S.
Government securities at a mutually agreed upon time and price.
C. FOREIGN CURRENCY TRANSLATIONS AND FOREIGN CURRENCY CONTRACTS:
Securities and other assets and liabilities denominated in
foreign currencies are translated each business day into U.S.
dollars based upon the closing rate of exchange.
Foreign currency amounts related to the purchase or sale of
securities and income and expenses are translated into U.S.
dollars based upon the prevailing exchange rate on the respective
dates of the transactions.
In accordance with Statement of Position (SOP) 93-4:Foreign
Currency Accounting and Financial Statement Presentation for
Investment Companies, reported net realized gains or losses from
foreign currency transactions arise from sales of portfolio
securities and the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Fund's
books and the U.S. dollar equivalent actually received or paid.
Reported net unrealized gains and losses from foreign currency
transactions arise from changes in the value of assets and
liabilities, including investments in securities at fiscal year
end, resulting from changes in the exchange rate.
The Fund may enter into forward foreign currency exchange
contracts for operational purposes and to protect against adverse
exchange rate fluctuation. The U.S. dollar value of foreign
currency underlying all contractual commitments held by the fund
and the resulting unrealized appreciation or depreciation are
determined using foreign currency exchange rates from an
independent pricing service. The Fund is subject to the credit
risk that the other party will not complete the obligations of
the contract.
At December 31, 1996, the Fund had no open foreign currency
exchange contracts that obligate the fund to receive or deliver
currency at specified future dates.
D. INVESTMENT TRANSACTIONS AND RELATED INVESTMENT INCOME:
Investment transactions are recorded on the trade date (date the
order to buy or sell is executed). Dividends are recognized as
income on the ex-dividend date while interest income and
amortization of premium and discount are recorded on an accrual
basis.
E. FEDERAL INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS:
No provision for Federal income taxes is necessary because each
Fund qualifies as a "regulated investment company" under
Subchapter M of the Internal Revenue Code and intends to
distribute each year substantially all of its net investment
income and realized gains to its shareholders. Shareholders of
the funds consist of the separate accounts of General American,
RGA, Security Equity and Cova, each of which are exempt from
<PAGE> 28
Federal income taxes. At December 31, 1996, the Bond Index Fund
had an accumulated capital loss carryforward for tax purposes of
$2,062,682. Of this amount, $1,880,332 and $182,350 will expire
on December 31, 2002, and 2003 respectively.
F. CONSENT DIVIDENDS:
The Funds follow the accounting practice known as consent
dividending, whereby substantially all of its net investment
income and realized gains are treated as being distributed daily
to their shareholders and are immediately reinvested in that
Fund.
G. USE OF ESTIMATES:
The preparation of financial statements in conformity with
generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts
of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the
reported amounts of increase and decrease in net assets from
operations during the period. Actual results could differ from
those estimates.
NOTE 3-MANAGEMENT AND ADMINISTRATIVE FEES
The Company has entered into an Investment Advisory Agreement
with Conning Asset Management Company (Investment Advisor) with
respect to all of its Funds. Certain officers and directors of
the Company are also officers and directors of the Investment
Advisor. For its services to the Funds, the Investment Advisor
charges a fee which is accrued daily against each Fund. The fees
charged each Fund, stated as an annual percentage of the average
daily value of the net assets, are:
S & P 500 Index Fund .250 Percent
Money Market Fund .125 Percent
Bond Index Fund .250 Percent
Asset Allocation Fund .500 Percent
The fee charged the Managed Equity Fund is stated as a series of annual
percentages of the average daily net assets of that Fund. The percentages
decrease with respect to assets of the Fund above certain amounts and are
divided between the Investment Advisor and the Fund's sub-advisor as follows:
Paid to
Total Paid to Investment
Assets Fee Sub-Advisor Advisor
- -------------------------------------------------------------------------------
First $10 million .50% .40% .10%
Next $20 million .35% .30% .05%
Balance over $30 million .30% .25% .05%
The sub-advisor for the Managed Equity Fund is Morgan Stanley Asset
Management Inc.
The fee charged the International Equity Fund is stated as a series of
annual percentages of the average daily net assets of that Fund. The
percentages decrease with respect to assets of the fund above certain amounts
and are divided between the Investment Advisor and the Fund's sub-advisor as
follows:
Paid to
Total Paid to Investment
Assets Fee Sub-Advisor Advisor
- -------------------------------------------------------------------------------
First $10 million .70% .60% .10%
Next $10 million .60% .55% .05%
Balance over $20 million .50% .45% .05%
The sub-advisor for the International Equity Fund is Provident Capital
Management, Inc.
The fee charged for the Special Equity Fund is stated as a series of annual
percentages of the average daily net assets of that Fund. The percentages
decrease with respect to assets of the Fund above certain amounts and are
divided between the Investment Advisor and the Fund's sub-advisor as follows:
Paid to
Total Paid to Investment
Assets Fee Sub-Advisor Advisor
- -------------------------------------------------------------------------------
First $10 million .55% .45% .10%
Next $10 million .45% .40% .05%
Balance over $20 million .40% .35% .05%
The sub-advisor for the Special Equity Fund is Provident Capital Management,
Inc.
All operational expenses of the Company are paid by General American, which
charges administrative fees to each Fund in return. Certain officers and
directors of the Company are also officers and directors of General American,
RGA, Security Equity and Cova.
The administrative expenses are charged at an annual rate based on the
average daily value of the net assets in each Fund, as follows:
S & P 500 Index Fund .05 Percent
Money Market Fund .08 Percent
Bond Index Fund .05 Percent
Managed Equity Fund .10 Percent
Asset Allocation Fund .10 Percent
International Equity Fund .30 Percent
Special Equity Fund .10 Percent
<PAGE> 29
NOTE 4-INVESTMENTS
The amortized cost of investments for federal income tax purposes as of
December 31, 1996, is as follows:
<TABLE>
<CAPTION>
S & P 500 MONEY BOND MANAGED
INDEX MARKET INDEX EQUITY
FUND FUND FUND FUND
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Bonds $ -0- $ -0- $ 36,771,836 $ -0-
Common stocks 186,587,094 -0- -0- 39,434,771
Preferred stocks -0- -0- -0- -0-
Short term
securities 1,374,488 101,224,478 434,838 1,009,771
------------ ------------ ------------ ------------
Total $187,961,582 $101,224,478 $ 37,206,674 $ 40,444,542
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
ASSET INTERNATIONAL SPECIAL
ALLOCATION EQUITY EQUITY
FUND FUND FUND
------------- ------------ ------------
<S> <C> <C> <C>
Bonds $ 27,585,538 $ -0- $ -0-
Common stocks 41,667,283 5,359,340 3,209,502
Preferred stocks -0- 35,695 -0-
Short term
securities 3,011,977 1,018,729 304,867
------------- ------------ ------------
Total $ 72,264,798 $ 6,413,764 $ 3,514,369
============= ============ ============
</TABLE>
Gross unrealized gains and losses by fund for the period ended December 31,
1996 excluding the Money Market Fund, which has no unrealized gains or
losses, are as follows:
<TABLE>
<CAPTION>
S & P 500 BOND MANAGED
INDEX INDEX EQUITY
FUND FUND FUND
------------- ------------ ------------
<S> <C> <C> <C>
Unrealized gains $ 148,630,444 $ 615,905 $ 9,966,732
Unrealized losses 2,502,070 342,535 1,507,574
------------- ------------ ------------
Net unrealized
gain on
investments $ 146,128,374 $ 273,370 $ 8,459,158
============= ============ ============
</TABLE>
<TABLE>
<CAPTION>
ASSET INTERNATIONAL SPECIAL
ALLOCATION EQUITY EQUITY
FUND FUND FUND
------------- ------------ ------------
<S> <C> <C> <C>
Unrealized gains $ 15,106,943 $ 1,198,822 $ 738,658
Unrealized losses 1,907,788 679,704 155,369
------------- ------------ ------------
Net unrealized
gain on
investments $ 13,199,155 $ 519,118 $ 583,289
============= ============ ============
</TABLE>
The "specific identification" method is used to determine the cost of
securities sold.
Purchases and proceeds from sales and maturities of other than short term
securities and United States government obligations for the period ended
December 31, 1996 were as follows:
<TABLE>
<CAPTION>
S & P 500 BOND MANAGED
INDEX INDEX EQUITY
FUND FUND FUND
------------- ------------ -------------
<S> <C> <C> <C>
Purchases $ 57,369,408 $ 4,463,060 $ 16,219,927
============= ============ =============
Sales and Maturities $ 25,799,168 $ 6,278,350 $ 15,936,632
============= ============ =============
</TABLE>
<TABLE>
<CAPTION>
ASSET INTERNATIONAL SPECIAL
ALLOCATION EQUITY EQUITY
FUND FUND FUND
------------- ------------ ------------
<S> <C> <C> <C>
Purchases $ 24,138,853 $ 1,694,508 $ 2,148,167
============= ============ ============
Sales and Maturities $ 20,336,010 $ 1,054,211 $ 3,164,708
============= ============ ============
</TABLE>
Purchases and proceeds from sales and maturities of United States government
obligations for the period ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
S & P 500 MONEY BOND MANAGED
INDEX MARKET INDEX EQUITY
FUND FUND FUND FUND
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Purchases $ -0- $ -0- $ 11,606,320 $ -0-
============ ============ ============ ============
Sales and Maturities $ -0- $ -0- $ 9,567,203 $ -0-
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
ASSET INTERNATIONAL SPECIAL
ALLOCATION EQUITY EQUITY
FUND FUND FUND
------------- ------------ ------------
<S> <C> <C> <C>
Purchases $ 2,502,099 $ -0- $ -0-
============= ============ ===========
Sales and Maturities $ 4,592,891 $ -0- $ -0-
============= ============ ===========
</TABLE>
Short term securities on December 31, 1996 included a repurchase agreement
purchased from Boatmen's National Bank of Saint Louis on December 31, 1996
for the Special Equity Fund at a cost of $70,000 with an interest rate of
5.2725% and a value of $70,010 at maturity on January 2, 1997. Securities
subject to repurchase for the agreement consisted of a United States Treasury
note due February 28, 1997.
<PAGE> 30
NOTE 5-CAPITAL STOCK
As of December 31, 1996, in the aggregate, there were five hundred million
(500,000,000) shares of $.01 par value capital stock authorized.
Transactions in capital stock were as follows:
<TABLE>
<CAPTION>
S & P 500 INDEX FUND
-------------------------------------------------------------------
Year ended Year ended
December 31, 1996 December 31, 1995
------------------------------- -----------------------------
Shares Amount Shares Amount
----------- ------------- ---------- ------------
<S> <C> <C> <C> <C>
Shares sold 2,237,429 $ 59,163,958 1,228,987 $25,864,766
Shares redeemed (1,014,699) (27,064,902) (581,653) (12,138,900)
----------- ------------- ---------- -------------
Net increase 1,222,730 $ 32,099,056 647,334 $13,725,866
=========== ============= ========== ============
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET FUND
---------------------------------------------------------------------
Year ended Year ended
December 31, 1996 December 31, 1995
-------------------------------- ------------------------------
Shares Amount Shares Amount
------------ ------------- ---------- -------------
<S> <C> <C> <C> <C>
Shares sold 13,172,752 $222,132,928 12,983,191 $206,236,725
Shares redeemed (11,608,821) (195,238,536) (14,716,458) (233,052,535)
------------ ------------- ------------ -------------
Net increase
(decrease) 1,563,931 $ 26,894,392 (1,733,267) $(26,815,810)
============ ============= ============ =============
</TABLE>
<TABLE>
<CAPTION>
BOND INDEX FUND
--------------------------------------------------------------------
Year ended Year ended
December 31, 1996 December 31, 1995
------------------------------- -----------------------------
Shares Amount Shares Amount
------------ ------------- --------- -------------
<S> <C> <C> <C> <C>
Shares sold 573,137 $ 11,704,734 715,006 $ 13,942,404
Shares redeemed (690,509) (14,025,768) (334,425) (6,353,959)
------------ ------------- --------- -------------
Net increase
(decrease) (117,372) $ (2,321,034) 380,581 $ 7,588,445
============ ============= ========= =============
</TABLE>
<TABLE>
<CAPTION>
MANAGED EQUITY FUND
------------------------------------------------------------------
Year ended Year ended
December 31, 1996 December 31, 1995
----------------------------- ------------------------------
Shares Amount Shares Amount
--------- ------------ --------- ------------
<S> <C> <C> <C> <C>
Shares sold 368,070 $ 8,358,789 247,041 $ 4,557,560
Shares redeemed (402,562) (9,304,486) (299,196) (5,591,142)
--------- ------------ --------- ------------
Net decrease (34,492) $ (945,697) (52,155) $(1,033,582)
========= ============ ========= ============
</TABLE>
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
---------------------------------------------------------------
Year ended Year ended
December 31, 1996 December 31, 1995
--------------------------- ----------------------------
Shares Amount Shares Amount
-------- ------------- --------- -------------
<S> <C> <C> <C> <C>
Shares sold 561,055 $ 13,777,778 350,026 $ 7,239,131
Shares redeemed (512,299) (12,414,366) (518,530) (10,568,155)
--------- ------------- --------- -------------
Net increase
(decrease) 48,756 $ 1,363,412 (168,504) $ (3,329,024)
========= ============= ========= =============
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY FUND
---------------------------------------------------------------
Year ended Year ended
December 31, 1996 December 31, 1995
--------------------------- ---------------------------
Shares Amount Shares Amount
-------- ------------ -------- ------------
<S> <C> <C> <C> <C>
Shares sold 99,486 $ 1,546,190 72,666 $ 1,042,914
Shares redeemed (28,566) (437,361) (15,481) (224,869)
-------- ------------ -------- ------------
Net increase 70,920 $ 1,108,829 57,185 $ 818,045
======== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
SPECIAL EQUITY FUND
------------------------------------------------------------------
Six Months ended Year ended
June 30, 1996 December 31, 1995
------------------------------ ----------------------------
Shares Amount Shares Amount
------------ ------------ --------- ------------
<S> <C> <C> <C> <C>
Shares sold 79,204 $ 1,152,102 91,521 $ 1,116,451
Shares redeemed (138,239) (2,084,535) (70,437) (855,625)
------------ ------------ --------- ------------
Net increase
(decrease) (59,035) $ (932,433) 21,084 $ 260,826
============ ============ ========= ============
</TABLE>
NOTE 6-INVESTMENT OBJECTIVES AND MANAGER CHANGES
Effective January 1, 1997, the names, investment objectives and portfolio
managers of the International Equity Fund and the Special Equity Fund
changed. In addition, the portfolio manager of the Managed Equity Fund changed
effective March 1, 1997.
The International Equity Fund became the International Index Fund. The
investment objective of the International Index Fund is to obtain investment
results that parallel the price and yield performance of publicly-traded
common stocks in the Morgan Stanley Capital International Europe, Australia,
and Far East Index ("EAFE Index"). The portfolio manager of the
International Index Fund is Conning Asset Management Company and the management
fee for the fund is .50% on the first $10 million in assets, .40% on the balance
over $10 million and less than $20 million and .30% on any balance in excess
of $20 million.
The Special Equity Fund became the Mid-Cap Equity Fund. The investment
objective of the Mid-Cap Equity Fund is to seek sustained growth of capital
by investing primarily in common stocks of United States-based publicly
traded companies with "medium market capitalizations". "Medium market
capitalization companies" are those whose market capitalization falls within
the range of the S&P MidCap 400 at the time of the Fund's investment. The
portfolio manager of the Mid-Cap Equity Fund is Conning Asset Management Company
and the total management fee rate remains unchanged from that of the Special
Equity Fund.
On March 1, 1997, the Managed Equity Fund will be managed by Conning Asset
Management Company. The management fee will be reduced to .40% on the first $10
million in assets, .30% on the balance over $10 million and less than $30
million, and .25% on the balance in excess of $30 million.
<PAGE> 31
S & P 500 INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
<TABLE>
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Aerospace & Military Technology (1.89%)
Boeing Co. 21,290 $ 2,267,385
Crane & Co. 6,300 182,700
Lockheed Martin Corp. 11,403 1,043,375
McDonnell Douglas Corp. 12,000 787,500
Rockwell International Corp.<F*> 14,650 891,818
Textron Inc. 3,300 311,025
United Technologies Corp. 14,400 954,000
-------------
6,437,803
-------------
Air Transport (0.39%)
AMR Corp.<F*> 5,200 458,250
Delta Air Lines Inc. 4,800 340,200
Federal Express Corp.<F*> 4,200 186,900
US Air Group<F*> 15,100 352,963
-------------
1,338,313
-------------
Apparel (0.76%)
CVS Corp. 12,400 513,050
Jostens Inc. 11,200 236,600
Nike Inc. Class B 19,400 1,164,000
Reebok Intl Inc. 13,500 567,000
Stride Rite Corp. 12,000 120,000
-------------
2,600,650
-------------
Business Machines (3.17%)
Bay Networks Inc.<F*> 9,900 207,900
Compaq Computer Corp.<F*> 16,300 1,212,313
Data General Corp.<F*> 20,200 292,900
Digital Equipment Corp.<F*> 7,500 271,875
EMC Corp/Mass<F*> 12,000 397,500
Honeywell Inc. 7,500 493,125
IBM Corp. 31,520 4,775,280
Oracle Corp.<F*> 38,775 1,618,856
Pitney Bowes Inc. 6,900 377,775
Tandem Computers Inc.<F*> 11,600 159,500
Xerox Corp. 18,775 988,034
-------------
10,795,058
-------------
Business Services (4.78%)
Automatic Data Processing Inc. 14,900 638,838
Browning-Ferris Industries Inc. 9,700 254,625
CUC International<F*> 18,450 447,413
Cabletron Systems<F*> 7,200 239,400
Ceridian Corp.<F*> 5,800 234,900
Cisco Systems Inc.<F*> 38,300 2,436,838
Computer Assoc Intl. 20,900 1,039,775
Dell Computers<F*> 10,000 531,250
De Luxe Check Printers 9,800 320,950
Dun & Bradstreet Corp. 8,275 196,531
First Data Corp. 23,600 861,400
Microsoft Corp.<F*> 70,800 5,849,850
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Business Services (continued)
Millipore Corp. 6,300 $ 260,663
National Service Inds Inc. 3,600 134,550
Novell Inc.<F*> 17,800 168,530
Sun Microsystems Inc.<F*> 29,600 760,335
Tellabs<F*> 9,800 368,725
3Com Corp.<F*> 8,700 638,361
WMX Technologies Inc. 27,200 884,000
-------------
16,266,934
-------------
Chemicals (3.28%)
Air Products & Chemicals Inc. 8,100 559,913
Alliedsignal Inc. 16,700 1,118,900
Dow Chemical Co. 14,837 1,162,850
E I Du Pont De Nemours & Co. 32,500 3,059,063
Eastman Chemical 3,875 214,094
Ecolab, Inc. 5,100 191,888
B F Goodrich 7,000 283,500
W.R. Grace (new) 4,000 207,000
Mallinckrodt Inc. 7,200 317,700
Monsanto 32,250 1,253,719
Morton International Inc. 5,100 207,825
Nalco Chemicals 12,300 444,338
Owens Corning 4,900 208,863
PPG Industries Inc. 13,100 735,238
Rohm & Hass Co. 4,700 383,638
Rubbermaid Inc.<F*> 800 18,100
Sigma-Aldrich 7,500 468,273
Union Carbide Corp. 7,600 310,650
-------------
11,145,552
-------------
Commercial Banking (6.81%)
Banc One Corp. 26,976 1,159,968
Bank of Boston 8,700 558,975
Bank of New York 19,000 641,250
BankAmerica Corp. 23,072 2,301,432
Banker's Trust New York Corp. 5,200 448,500
Barnett Banks Inc. 16,700 686,788
Boatmens Bancshares 10,200 657,900
Chase Manhattan Corp. (new) 24,562 2,195,229
Citicorp 28,500 2,935,500
Comerica Inc. 4,700 246,163
Fifth Third Banc 5,600 351,747
First Bank Systems Inc. 7,100 484,575
First Chicago NBD Corp. 21,964 1,180,565
First Union Corp. 15,100 1,117,400
Keycorp 12,000 606,000
Mellon Bank Corp. 7,500 532,500
J P Morgan & Co Inc. 11,900 1,161,738
National City Corp. 11,800 529,525
(continued)
<PAGE> 32
S & P 500 INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Commercial Banking (continued)
Nationsbank Corp. 16,128 $ 1,576,512
PNC Financial Corp. 18,400 692,300
Suntrust Banks Inc. 13,100 645,175
US Bancorp 12,150 545,985
Wachovia Corp. 8,100 457,650
Wells Fargo & Co. 5,433 1,465,550
-------------
23,178,927
-------------
Construction (0.70%)
Case Corp. 3,500 190,750
Fluor Corp. 4,600 288,650
Home Depot Inc. 27,400 1,373,425
Masco Corp. 6,300 226,800
Pulte Home Corp. 5,200 159,900
Stanley Works 5,600 151,200
-------------
2,390,725
-------------
Consumer Durables (0.16%)
Black & Decker Corp. 5,700 171,713
Maytag Corp. 12,100 238,975
Whirlpool Corp. 2,600 121,225
-------------
531,913
-------------
Containers (0.14%)
Crown Cork & Seal 4,600 250,125
Newell Co. 5,400 170,100
Stone Container Corp. 3,772 56,109
-------------
476,334
-------------
Domestic Oil (2.05%)
Amerada Hess Corp. 3,900 225,713
Amoco Corp. 28,800 2,322,000
Ashland Inc. 9,800 429,975
Arco 9,500 1,258,750
Kerr-McGee Corp. 3,600 259,200
Oryx Energy<F*> 9,400 232,650
Phillips Petroleum Co. 12,500 553,125
Rowan Companies Inc.<F*> 12,700 287,338
Sun Company Inc. 4,900 119,438
USX-Marathon Group 15,459 369,084
Union Pacific Resources Group 13,974 405,244
Unocal Corp. 12,300 501,225
-------------
6,963,742
-------------
Drugs & Medicines (8.25%)
Abbott Laboratories 46,900 2,380,175
Allergan Inc. 4,100 146,063
Alza Corp.<F*> 12,200 315,675
American Home Products Corp. 38,200 2,239,475
Bard C R Inc. 4,100 114,800
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Drugs & Medicines (continued)
Baxter International 14,100 $ 578,100
Becton Dickinson & Co. 6,400 277,600
Beverly Enterprises Inc.<F*> 12,700 161,925
Boston Scientific Corp.<F*> 7,800 468,000
Columbia HCA/Healthcare 38,086 1,552,005
Guidant Corp. 4,500 256,500
Johnson & Johnson 77,600 3,860,600
Eli Lilly & Co. 32,400 2,365,200
Merck & Co. Inc. 72,025 5,734,991
Pharmacia-Upjohn Inc. 27,005 1,070,073
Pfizer Inc. 38,100 3,162,300
St. Jude Medical<F*> 5,100 216,113
Schering-Plough Corp. 21,400 1,385,650
Tenet Healthcare<F*> 11,900 260,311
US Surgical 8,200 322,875
Warner-Lambert Co. 16,200 1,215,000
-------------
28,083,431
-------------
Electronics (5.73%)
Advanced Micro Devices Inc.<F*> 20,600 530,450
AMP Inc. 9,300 356,888
Andrew Corp.<F*> 6,400 339,597
Applied Materials Inc.<F*> 8,400 301,871
Emerson Electric Co. 12,850 1,244,844
General Instrument Corp.<F*> 10,100 219,675
General Signal Corp. 5,600 239,400
Hewlett-Packard Co. 58,600 2,944,650
Intel Corp. 49,000 6,415,913
LSI Logic Corp.<F*> 13,100 350,425
Medtronic Inc. 12,000 816,000
Micron Technology Inc. 10,600 308,725
Motorola Inc. 33,400 2,045,750
Northern Telecom Ltd. 15,400 952,875
Perkin-Elmer Corp. 3,500 206,061
Raytheon Co. 13,600 654,500
Seagate Technology Inc.<F*> 12,000 474,000
Silicon Graphics<F*> 7,000 178,500
Texas Instruments Inc. 9,600 612,000
Williams Companies Inc. 8,100 303,750
-------------
19,495,874
-------------
Energy & Utilities (2.56%)
American Electric Power Co. Inc. 9,300 382,463
Baltimore Gas & Electric Co. 11,900 318,325
Burlington Resources 6,300 317,363
Central & South West Corp. 10,600 271,625
Coastal Corp. 9,950 486,306
Columbia Gas System Inc. 6,200 394,475
Consolidated Edison Co. of NY 10,000 291,250
(continued)
<PAGE> 33
S & P 500 INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Energy & Utilities (continued)
Consolidated Natural Gas Co. 3,400 $ 187,850
Dominion Resources Inc. 7,800 300,300
Duke Power Co. 9,200 425,500
Edison International 25,500 506,813
Enron Corp. 12,300 530,438
Enserch Corp. 9,800 225,400
Entergy Corp. 10,500 290,063
FPL Group Inc. 10,000 460,000
Houston Industries Inc. 10,800 244,350
Northern States Power Co. (Minn) 7,500 344,063
Ohio Edison Co. 19,000 432,250
Peco Energy Co. 9,100 229,775
P G & E Corp. 19,900 417,900
Pacific Enterprises 9,100 276,413
Pacificorp 10,500 215,250
Public Service Enterprise Group 9,750 265,684
Sonat Inc. 8,000 412,000
Texas Utilities Co. 12,000 489,000
-------------
8,714,856
-------------
Energy Raw Materials (0.95%)
Baker Hughes Inc. 9,200 317,400
Dresser Industries Inc. 6,800 210,800
Halliburton Co. 4,800 289,200
Louisiana Land & Exploration Co. 5,700 305,663
McDermott Intl. 8,900 150,188
Occidental Petroleum Corp. 16,100 376,338
Oneok 9,800 294,000
Schlumberger 13,050 1,303,367
-------------
3,246,956
-------------
Finance (Non - Banking) (2.29%)
H F Ahmanson & Co. 13,600 442,000
H & R Block Inc. 17,300 501,700
Chubb Corp. 7,400 397,750
Corestate Financial Corp. 15,100 783,313
Dean Witter Discover 8,662 573,858
Fleet Financial Group Inc. 14,842 740,245
Golden West Financial 5,800 366,125
Green Tree Financial 8,000 309,000
MBIA Inc. 3,300 334,125
MBNA Corp. 12,600 524,475
Norwest Corp. 19,100 830,850
Safeco Corp. 8,400 331,271
Travelers Inc. 36,688 1,664,717
-------------
7,799,429
-------------
Food & Agriculture (5.75%)
Archer-Daniels-Midland Co. 28,825 634,150
CPC International Inc. 9,400 728,500
Campbell Soup Co. 13,500 1,083,375
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Food & Agriculture (continued)
Coca-Cola Co. 147,700 $ 7,772,713
Conagra Inc. 16,900 840,775
Fleming Companies Inc. 20,000 345,000
General Mills Inc. 7,500 477,188
Giant Food Inc. 12,200 420,900
H J Heinz Co. 20,650 738,238
Hershey Foods Corp. 7,000 306,250
Kellogg Co. 11,650 764,531
Pepsico Inc. 98,900 2,892,825
Pioneer Hi-Bred International 5,300 371,000
Quaker Oats Co. 5,000 190,625
Ralston Purina Co. 6,000 440,250
Sara Lee Corp. 26,600 990,850
Sysco Corp. 8,800 287,100
Wm. Wrigley Jr .Co. 4,900 275,624
-------------
19,559,894
-------------
Gold (0.43%)
Barrick Gold Corp. 18,000 517,500
Battle Mountain Gold Co. 14,000 96,250
Echo Bay Mines Ltd. 15,100 100,038
Homestake Mining Co. 10,600 151,050
Placer Dome Inc. 10,800 234,900
Santa Fe Pacific Gold Corp. 23,567 362,342
-------------
1,462,080
-------------
Government & State Agency (1.00%)
Federal Home Loan Mortgage
Corp. 9,500 1,048,563
Federal National Mortgage
Association 62,700 2,359,087
-------------
3,407,650
-------------
Industrial Miscellaneous (3.31%)
Alco Standard Corp. 9,900 511,088
American Greetings 15,300 434,138
Amgen<F*> 13,400 728,625
Asarco Inc. 6,900 171,638
Autodesk Inc. 5,600 156,800
Avery Dennison Corp. 6,800 240,550
Biomet Inc. 20,800 314,600
Briggs & Stratton 3,600 158,400
Circuit City Stores Inc. 9,200 277,150
Computer Sciences<F*> 5,700 468,113
Cooper Tire & Rubber 14,500 286,375
Corning, Inc. 11,400 527,250
Cummins Engine 4,300 197,800
EG & G 9,100 183,138
Engelhard Corp. 9,450 180,731
Freeport McMoran 10,700 319,663
(continued)
<PAGE> 34
S & P 500 INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Industrial Miscellaneous (continued)
Harrahs Entertainment, Inc.<F*> 5,200 $ 103,350
Helmerich & Payne 3,900 203,288
Laidlaw Inc. 25,700 295,550
Loews Corp. 6,200 584,350
Lowes Companies Inc. 10,400 370,500
Manor Care 7,100 191,700
Mattel Inc. 12,187 338,189
Mead Corp. 4,100 238,313
National Semiconductor Corp.<F*> 9,900 242,550
Northrop Corp. 4,400 364,100
Panenergy Corp. 12,200 549,000
Praxair 8,400 387,450
Rite Aid Corp. 13,600 540,600
Ryder System Inc. 15,200 427,500
Service Corp. International 13,400 375,200
Shared Medical Systems Corp. 6,800 334,900
Sherwin-Williams 4,000 224,000
Timken Co. 3,900 178,425
Trinova Corp. 4,500 163,684
-------------
11,268,708
-------------
Insurance (2.98%)
Aetna Inc. 6,822 545,760
Alexander & Alexander 9,800 170,275
Allstate Insurance 26,448 1,530,678
American International Group,
Inc. 27,412 2,967,349
AON Corp. 6,100 378,963
Cigna Corp. 4,100 560,163
General Re Corp. 4,000 631,000
Jefferson Pilot Corp. 3,600 203,850
Lincoln National Corp. 5,000 262,500
MGIC Investment Corp. 4,600 349,600
Marsh & McLennan Cos. Inc. 3,000 312,000
Providian Corp. 9,100 467,513
Torchmark Corp. 6,800 343,400
UNUM Corp. 4,000 289,000
USF & G Corp. 27,300 569,886
United Healthcare 8,400 378,000
USLife Corp. 5,625 187,031
-------------
10,146,968
-------------
International Oil (5.91%)
Chevron Corp. 38,700 2,515,500
Exxon Corp. 73,600 7,212,800
Mobil Corp. 25,400 3,105,150
Royal Dutch Petroleum Co. 31,500 5,378,625
Tenneco Inc.<F*> 8,700 392,588
Texaco Inc. 15,300 1,501,312
-------------
20,105,975
-------------
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Liquor (0.66%)
Anheuser-Busch Companies, Inc. 27,150 $ 1,086,000
Brown Forman Corp. 'B' 9,200 420,900
Seagram Co. Ltd. 18,900 732,375
-------------
2,239,275
-------------
Media (1.70%)
Comcast Corp. 15,600 277,867
R R Donnelley & Sons Co. 7,400 232,175
Dow Jones & Co. 10,800 365,850
Gannett Co. Inc. 6,900 516,638
Harcourt General Inc. 4,000 184,500
Interpublic Group Co. 3,400 161,500
King World Productions<F*> 3,000 110,625
McGraw-Hill Inc. 5,000 230,625
Meredith Corp. 9,600 506,400
New York Times Co. 3,100 117,800
Tele Communications Inc New
Class `A'<F*> 34,100 445,414
Time Warner Inc. 33,780 1,266,750
Times Mirror Co. 8,100 402,975
Tribune Co. 3,100 244,512
Viacom Class B<F*> 20,400 711,450
-------------
5,775,081
-------------
Miscellaneous & Conglomerates (0.89%)
ITT Hartford Group Inc. 5,800 391,500
ITT Industries Inc. 18,700 458,150
ITT Corp. (new)<F*> 5,800 251,575
Minnesota Mining &
Manufacturing 23,250 1,929,750
-------------
3,030,975
-------------
Miscellaneous Finance (1.42%)
American Express Co. 26,900 1,519,850
American General Corp. 11,400 465,975
Beneficial Corp. 5,000 316,875
Great Western Financial Corp. 10,900 316,100
Household International Inc. 5,100 470,475
Merrill Lynch & Co. Inc. 9,800 798,700
Morgan Stanley 7,800 445,575
Salomon Inc. 5,200 245,050
Transamerica Corp. 3,200 252,800
-------------
4,831,400
-------------
(continued)
<PAGE> 35
S & P 500 INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Motor Vehicles (2.17%)
Chrysler Corp. 40,550 $ 1,338,150
Dana Corp. 5,200 169,650
Eaton Corp. 3,300 230,175
Echlin Inc. 9,900 314,325
Ford Motor Co. 71,400 2,302,650
General Motors 43,850 2,444,638
Genuine Parts Co. 5,750 255,875
TRW Inc. 6,600 326,700
-------------
7,382,163
-------------
Non-Durables & Entertainment (0.80%)
HFS Inc.<F*> 6,700 400,325
McDonald's Corp. 40,600 1,842,225
Price/Costco Inc.<F*> 8,303 208,613
Wendy's International Inc. 12,375 253,687
-------------
2,704,850
-------------
Non-Ferrous Metals (0.61%)
Alcan Aluminum Ltd. 12,425 417,791
Aluminum Co of America 9,900 631,125
Cyprus Amax Minerals Co. 4,750 111,625
Inco Ltd. 9,700 309,188
Newmont Mining Corp. 3,744 167,544
Phelps Dodge Corp. 3,400 229,500
Reynolds Metals Co. 3,700 208,587
-------------
2,075,360
-------------
Optical Photographic Equipment (0.53%)
Eastman Kodak Co. 19,300 1,548,825
Polaroid Corp. 5,745 249,908
-------------
1,798,733
-------------
Paper & Forest Products (1.39%)
Bemis Co. Inc. 5,000 184,375
Boise Cascade Corp. 5,966 189,421
Champion International 6,800 294,100
Georgia-Pacific Corp. 4,300 309,600
International Paper Co. 22,076 894,078
James River Corp. 4,100 135,813
Kimberly-Clark Corp. 16,836 1,603,629
Louisiana Pacific Corp. 4,800 101,400
Potlatch Corp. 2,200 94,600
Temple Inland Inc. 300 16,238
Westvaco Corp. 8,925 256,594
Weyerhaeuser Co. 9,350 442,955
Willamette Industries 2,800 194,950
-------------
4,717,753
-------------
Producer Goods (4.41%)
Caterpillar Inc. 9,800 737,450
Cooper Industries Inc. 4,200 176,925
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Producer Goods (continued)
Deere & Co. 14,100 $ 571,050
Dover Corp. 4,800 242,400
FMC Corp.<F*> 2,600 182,325
General Electric Corp. 98,100 9,699,638
W W Grainger Inc. 6,600 529,650
Illinois Tool Works Inc. 6,700 535,163
Ingersoll-Rand Co. 3,500 155,750
Johnson Controls Inc. 2,600 215,475
Pall Corp. 17,300 443,313
Parker Hannifin Corp. 4,950 191,813
Raychem Corp. 2,800 224,350
Tyco Laboratories Inc. 9,100 481,163
Westinghouse Electric Corp. 30,200 600,223
-------------
14,986,688
-------------
Railroads & Shipping (1.00%)
Burlington Northern Santa Fe 8,908 769,429
CSX Corp. 15,800 667,550
Conrail Inc. 3,400 338,725
Norfolk Southern Corp. 7,050 620,400
Union Pacific Corp. 16,500 992,063
-------------
3,388,167
-------------
Retail (3.28%)
Albertsons Inc. 12,800 456,000
American Stores Co. 5,600 228,900
Charming Shoppes<F*> 10,900 55,176
Dayton-Hudson Corp. 8,700 341,475
Dillard Department Stores 5,600 172,900
Federated Department Stores<F*> 10,200 348,075
Gap Inc. 14,000 421,750
K Mart Corp.<F*> 18,100 187,788
Kroger Co.<F*> 8,700 404,550
Limited Inc. 10,600 194,775
May Department Stores Co. 11,684 546,227
Mercantile Stores Inc. 5,000 246,875
Nordstrom Inc. 11,900 421,700
J C Penney Co Inc. 11,900 580,125
Sears Roebuck & Co. 23,300 1,071,800
Supervalu Inc. 7,000 198,625
TJX Cos. Inc. 4,900 232,137
Tandy Corp. 4,050 178,200
Toys 'R' Us<F*> 12,912 385,746
Tupperware Inc. 3,900 209,138
Wal-Mart Stores Inc. 136,200 3,098,550
Walgreen Co. 12,400 499,100
Winn-Dixie Stores Inc. 7,200 227,700
Woolworth Corp.<F*> 20,200 444,400
-------------
11,151,712
-------------
(continued)
<PAGE> 36
S & P 500 INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Soaps & Cosmetics (4.02%)
Alberto Culver Co. 'B' 8,300 $ 398,400
Avon Products Inc. 11,000 628,375
Bristol-Meyers Squibb Co. 29,740 3,241,660
Colgate-Palmolive Co. 7,300 673,425
Gillette Co. 32,100 2,495,775
International Flavors &
Fragrances 4,500 202,500
Procter & Gamble Co. 40,600 4,369,575
Unilever NV 9,500 1,664,875
-------------
13,674,585
-------------
Steel (0.26%)
Bethlehem Steel Corp.<F*> 10,400 92,300
Inland Steel Industries Inc. 2,200 44,000
Nucor Corp. 4,800 244,800
USX-US Steel 16,071 504,228
-------------
885,328
-------------
Telephone (7.41%)
A T & T Corp. 94,547 4,100,976
Airtouch Communications, Inc.<F*> 24,964 630,341
Alltel 9,500 298,063
Ameritech Corp. 32,596 1,976,133
Bell Atlantic Corp. 27,864 1,804,194
Bellsouth Corp. 59,194 2,397,357
GTE Corp. 57,600 2,613,600
Lucent Technologies 37,741 1,745,521
MCI Communications Corp. 42,600 1,392,466
Nynex Corp. 25,464 1,225,455
Pacific Telesis Group 28,964 1,064,427
SBC Communications Inc. 36,596 1,898,418
Sprint Corp. 26,200 1,044,725
US West Inc. 33,564 1,082,439
US West Media Group<F*> 31,264 574,476
Worldcom Inc.<F*> 52,000 1,355,223
-------------
25,203,814
-------------
Tires Rubber Goods (0.10%)
Goodyear Tire & Rubber Co. 6,472 332,499
-------------
Tobacco (1.88%)
American Brands Inc. 9,900 491,288
Philip Morris Companies Inc. 47,750 5,395,750
UST Inc. 15,400 498,575
-------------
6,385,613
-------------
Travel & Recreation (1.09%)
Walt Disney Productions 40,400 2,817,900
Hilton Hotels Corp. 15,600 409,500
Marriott International Inc. 8,550 472,388
-------------
3,699,788
-------------
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Trucking & Freight (0.01%)
Caliber Systems Inc. 1,800 $ 34,650
------------
Utilities, Electrical & Gas (0.88%)
Carolina Power & Light Co. 6,600 240,900
Cinergy Corp. 14,508 484,205
DTE Energy Co. 5,700 184,538
GPU Inc. 5,000 168,125
Nicor Inc. 9,100 325,320
Noram Energy Corp. 15,700 243,350
P P & L Resources Inc. 8,300 190,900
Southern Co. 34,200 773,774
Unicom Corp. 9,200 249,550
Union Electric Co. 3,600 138,600
------------
2,999,262
------------
TOTAL COMMON STOCKS (97.80%)
(COST $186,587,094) 332,715,468
------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
PAR MARKET
SHORT TERM SECURITIES VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Commercial Paper (0.40%)
Alabama Power,
6.70%, due 1/3/97 $1,375,000 $ 1,374,488
------------
TOTAL SHORT TERM SECURITIES (0.40%)
(AMORTIZED COST $1,374,488) 1,374,488
------------
TOTAL INVESTMENTS (98.20%)
(AMORTIZED COST $187,961,582) 334,089,956
Other net assets (1.80%) 6,111,033
------------
TOTAL NET ASSETS (100.00%) $340,200,989
============
<FN>
<F*> Non-income producing securities.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 37
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
<TABLE>
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
PAR INTEREST MATURITY MARKET
SHORT TERM SECURITIES VALUE RATE (%) DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER
<S> <C> <C> <C> <C>
Commercial Banking (45.60%)
Allomon Funding $2,117,000 5.62 01/27/1997 $ 2,108,468
Banca CRT Financial Corp. 1,000,000 5.55 04/25/1997 983,058
Broadway Capital<F*> 1,000,000 5.78 02/03/1997 994,729
Broadway Capital<F*> 1,500,000 5.42 02/10/1997 1,490,917
BTM Financial<F*> 2,800,000 5.49 02/28/1997 2,775,189
Creative Capital<F*> 2,000,000 7.25 01/01/1997 1,999,597
Creative Capital<F*> 1,000,000 5.52 01/29/1997 995,761
Creative Capital<F*> 1,000,000 5.47 02/03/1997 995,050
Creative Capital<F*> 1,000,000 5.55 02/10/1997 993,889
Dynamic Funding Corp. 1,000,000 5.68 01/06/1997 999,250
Dynamic Funding Corp. 1,000,000 6.02 01/07/1997 999,000
Dynamic Funding Corp. 600,000 5.71 01/31/1997 597,285
Dynamic Funding Corp. 1,000,000 5.63 05/02/1997 981,917
Falcon Asset Securitization 2,400,000 5.73 01/21/1997 2,392,400
Frontier Corporation<F*> 2,384,000 5.42 01/17/1997 2,378,310
Industrial Funding Corp. 2,780,000 5.73 01/15/1997 2,773,838
Iris Partners LP (Sumitomo) 1,500,000 5.53 01/30/1997 1,493,499
Iris Partners LP (Sumitomo) 1,000,000 5.57 02/07/1997 994,327
Iris Partners LP (Sumitomo) 1,000,000 5.64 02/21/1997 992,208
Oak Funding 1,000,000 5.70 02/18/1997 992,467
Oak Funding 1,000,000 5.51 02/25/1997 991,597
Orix America (IBJ)<F*> 1,000,000 5.58 03/25/1997 987,319
Orix America (Norinchukin)<F*> 1,000,000 5.59 03/18/1997 988,389
Orix America (Norinchukin)<F*> 1,000,000 5.75 03/18/1997 988,389
Orix America (Sanwa)<F*> 1,000,000 5.88 02/03/1997 994,638
Progress Funding Corp. "A" 1,000,000 5.70 01/13/1997 998,110
Progress Funding Corp. "A" 450,000 6.52 01/13/1997 449,025
Progress Funding Corp. "A" 1,000,000 5.60 01/31/1997 995,475
Progress Funding Corp. "A" 1,075,000 5.89 02/03/1997 1,069,235
Riverside Funding Inc. 1,414,000 5.81 02/21/1997 1,402,482
Shimizu International Finance (Dai Ichi Kangyo) 3,000,000 5.56 03/14/1997 2,967,300
Strait Capital 3,000,000 5.59 02/28/1997 2,973,205
Strait Capital 534,000 5.81 02/28/1997 529,053
Strait Capital 1,000,000 5.55 03/05/1997 990,346
------------
46,255,722
------------
Finance (Non-Banking) (38.79%)
AGA Capital Inc.<F*> 1,000,000 5.69 02/11/1997 993,565
Anchor Funding<F*> 704,000 6.13 01/31/1997 700,421
Anchor Funding<F*> 2,400,000 5.53 02/11/1997 2,384,967
Anchor Funding<F*> 1,000,000 5.63 03/13/1997 989,251
Astro Capital Corp.<F*> 800,000 5.57 01/31/1997 796,380
Astro Capital Corp.<F*> 2,000,000 5.57 02/28/1997 1,982,278
Atlas Funding<F*> 2,000,000 5.69 02/04/1997 1,989,328
(continued)
<PAGE> 38
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
PAR INTEREST MATURITY MARKET
SHORT TERM SECURITIES VALUE RATE (%) DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER
<S> <C> <C> <C> <C>
Finance (Non-Banking) (continued)
Banner Receivables $1,000,000 5.71 03/07/1997 $ 990,160
Banner Receivables 2,000,000 5.63 03/21/1997 1,976,081
Finova Capital 1,500,000 5.72 02/10/1997 1,490,917
Goldman Sachs Group 5,000,000 8.25 01/02/1997 4,998,854
Gotham Funding<F*> 1,065,000 6.02 01/14/1997 1,062,693
Gotham Funding<F*> 1,000,000 5.62 02/28/1997 991,058
Gotham Funding<F*> 1,500,000 5.52 05/19/1997 1,469,238
Jet Funding 190,000 5.54 01/31/1997 189,145
Jet Funding 1,000,000 6.29 01/31/1997 994,792
Jet Funding 1,000,000 5.57 02/28/1997 991,139
Jet Funding 1,600,000 5.53 02/28/1997 1,585,822
Merrill Lynch & Co. 100,000 6.66 01/08/1997 99,871
Strategic Asset Funding Corp. 1,000,000 5.54 03/06/1997 990,311
Strategic Asset Funding Corp. 1,000,000 5.63 03/14/1997 989,100
Tri-Lateral Capital<F*> 1,000,000 5.48 02/03/1997 995,032
Tri-Lateral Capital<F*> 1,000,000 5.50 02/24/1997 991,750
Tri-Lateral Capital<F*> 1,000,000 5.57 03/05/1997 990,463
Tri-Lateral Capital<F*> 1,260,000 5.56 04/01/1997 1,242,738
Wood Street Funding<F*> 3,000,000 7.10 01/02/1997 2,999,408
Wood Street Funding<F*> 2,000,000 5.71 02/24/1997 1,983,050
Working Capital Management 1,500,000 5.56 02/24/1997 1,487,623
------------
39,345,435
------------
Miscellaneous Conglomerate (2.95%)
Pacific Dunlop Asia 616,000 5.53 03/31/1997 607,822
Pacific Dunlop Asia 500,000 5.60 02/03/1997 497,557
Toschiba International Finance 1,900,000 5.48 03/03/1997 1,882,615
------------
2,987,994
------------
Insurance (3.60%)
Triple-A Funding Corp.<F*> 2,690,000 6.23 01/09/1997 2,686,282
Triple-A Funding Corp.<F*> 966,000 6.23 01/10/1997 964,498
------------
3,650,780
------------
Mortgage Backed Securities (2.95%)
Countrywide Home 3,000,000 6.51 01/09/1997 2,995,666
------------
Motor Vehicles (2.95%)
Cooperative Assoc. of Tractor Dealers 2,000,000 6.57 01/06/1997 1,998,181
Dealers Capital Access Trust 1,000,000 5.66 03/04/1997 990,700
------------
2,988,881
------------
TOTAL COMMERCIAL PAPER (96.84%)
(AMORTIZED COST $98,222,173) 98,224,478
(continued)
<PAGE> 39
MONEY MARKET FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
PAR INTEREST MATURITY MARKET
SHORT TERM SECURITIES VALUE RATE (%) DATE VALUE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TIME DEPOSITS
Commercial Banking (2.96%)
Banco Espirito Santo Euro $1,000,000 5.8125 05/12/1997 $ 1,000,000
Banco Espirito Santo Euro 1,000,000 5.8125 05/20/1997 1,000,000
Banco Espirito Santo Euro 1,000,000 6.1875 07/31/1997 1,000,000
------------
Total time deposits (2.96%)
(amortized cost $3,000,000) 3,000,000
------------
TOTAL INVESTMENTS (99.80%)
(AMORTIZED COST $101,222,173) 101,224,478
Other net assets (0.20%) 201,123
------------
TOTAL NET ASSETS (100.00%) $101,425,601
============
<FN>
<F*> Commercial paper sold within terms of a private placement memorandum,
exempt from registration under Section 4(2) of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other "accredited
investors". This security has been determined to be liquid under guidelines
established by the board of directors.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 40
BOND INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
<TABLE>
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
BONDS VALUE VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS
Air Transport (1.50%)
Delta Air Lines Inc., 9.300%, due 01/02/2011 $ 500,000 $ 570,985
-----------
Commercial Banking (3.84%)
First National Bank Omaha, 7.320%, Due 12/01/2010 1,500,000 1,461,405
-----------
Business Machines (1.31%)
Comdisco Inc., 6.500%, due 06/15/2000 500,000 499,165
-----------
Drugs & Medicines (2.64%)
Medpartners Inc., 7.375%, due 10/01/2006 1,000,000 1,003,500
-----------
Finance (Non - Banking) (2.32%)
Merrill Lynch & Co Inc., 8.250%, due 11/15/1999 500,000 524,360
Morgan Stanley, 8.100%, due 06/24/2002 338,000 356,654
-----------
881,014
-----------
Industrial Miscellaneous (3.82%)
Alco Standard Corp., 6.750%, due 12/01/2025 1,000,000 920,890
OC Funding BV., 10.000%, due 06/01/2001 500,000 532,650
-----------
1,453,540
-----------
Motor Vehicles (0.72%)
General Motors, 9.125%, due 07/15/2001 250,000 273,313
-----------
Retail (1.24%)
Rite-Aid Corp., 6.875%, due 08/15/2013 500,000 470,855
-----------
Travel & Recreation (1.87%)
Hertz Corp., 7.000%, due 04/15/2001 700,000 708,967
-----------
Utilities, Electrical & Gas (9.52%)
Boston Edison, 5.950%, due 03/15/1998 1,000,000 999,380
Commonwealth Edison, 8.000%, due 05/15/2008 500,000 527,740
Hydro Quebec, 8.400%, due 01/15/2022 1,000,000 1,092,150
Pacific Gas & Electric, 7.250%, due 08/01/2026 500,000 477,035
Virginia Electric Power Company, 7.625%, due 07/01/2007 500,000 521,350
-----------
3,617,655
-----------
TOTAL CORPORATE BONDS (28.78%)
(AMORTIZED COST $10,766,400) 10,940,399
-----------
(continued)
<PAGE> 41
BOND INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
BONDS VALUE VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
GOVERNMENT SECURITIES
United States Government Bonds (60.42%)
US Treasury Bonds, 9.875%, Due 11/15/2015 $ 500,000 $ 667,890
US Treasury Notes, 9.250%, Due 02/15/2016 500,000 634,765
US Treasury Bonds, 8.125%, Due 08/15/2019 1,500,000 1,735,080
US Treasury Bonds, 7.875%, Due 02/15/2021 200,000 226,062
US Treasury Notes, 7.500%, Due 11/15/2001 250,000 263,165
US Treasury Notes, 6.375%, Due 01/15/1999 500,000 504,685
US Treasury Notes, 7.500%, Due 05/15/2002 1,000,000 1,057,340
US Treasury Notes, 6.000%, Due 10/15/1999 400,000 400,124
US Treasury Notes, 5.625%, Due 01/31/1998 500,000 499,765
US Treasury Notes, 6.250%, Due 02/15/2003 1,650,000 1,647,937
US Treasury Bonds, 5.125%, Due 02/28/1998 1,000,000 993,590
US Treasury Notes, 5.125%, Due 03/31/1998 400,000 397,312
US Treasury Notes, 5.375%, Due 05/31/1998 1,000,000 994,840
US Treasury Notes, 5.125%, Due 11/30/1998 1,600,000 1,578,752
US Treasury Notes, 6.750%, Due 05/31/1999 1,000,000 1,017,030
US Treasury Notes, 7.250%, Due 08/15/2004 1,000,000 1,052,500
US Treasury Notes, 7.500%, Due 10/315/1999 1,000,000 1,037,190
US Treasury Notes, 5.875%, Due 08/15/1998 1,000,000 1,000,470
US Treasury Notes, 6.125%, Due 09/30/2000 1,000,000 999,370
US Treasury Notes, 5.875%, Due 11/15/2005 1,000,000 964,220
US Treasury Notes, 6.375%, Due 03/31/2001 500,000 503,360
US Treasury Notes, 6.875%, Due 05/15/2006 1,500,000 1,545,705
US Treasury Notes, 8.000%, Due 08/15/1999 450,000 471,375
US Treasury Notes, 6.500%, Due 05/31/2001 1,000,000 1,010,940
US Treasury Notes, 8.500%, Due 02/15/2000 650,000 694,181
US Treasury Notes, 8.875%, Due 05/15/2000 500,000 541,720
US Treasury Bonds, 7.750%, Due 02/15/2001 500,000 528,360
-----------
22,967,728
-----------
Other Government Securities (3.22%)
State of Israel, 6.375%, due 12/15/2005 1,000,000 952,290
Manitoba Province, 9.000%, due 12/15/2000 250,000 271,730
-----------
1,224,020
-----------
TOTAL GOVERNMENT SECURITIES
(63.64%) (AMORTIZED COST $24,106,872) 24,191,748
-----------
AGENCY SECURITIES
Government & State Agency (5.03%)
FNMA, 8.100%, due 08/12/2019 500,000 558,205
FNMA, 8.950%, due 02/12/2018 300,000 361,734
Tennessee Valley Authority, 5.125%, due 03/04/1998 1,000,000 993,120
-----------
1,913,059
-----------
TOTAL GOVERNMENT AND STATE AGENCY
(5.03%) (AMORTIZED COST $1,898,564) 1,913,059
-----------
TOTAL BONDS (97.45%) (AMORTIZED COST $36,771,836) 37,045,206
-----------
(continued)
<PAGE> 42
BOND INDEX FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
SHORT TERM SECURITIES VALUE VALUE
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Commercial Paper (1.14%)
Alabama Power, 5.34%, due 01/03/1997 $ 435,000 $ 434,838
-----------
TOTAL SHORT TERM SECURITIES (1.14%)
(AMORTIZED COST $434,838) 434,838
-----------
TOTAL INVESTMENTS (98.59%) (AMORTIZED COST $37,206,674) 37,480,044
Other net assets (1.41%) 534,638
-----------
TOTAL NET ASSETS (100.00%) $38,014,682
===========
See accompanying notes to financial statements.
</TABLE>
<PAGE> 43
MANAGED EQUITY FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
<TABLE>
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCK SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Aerospace & Military Technology (4.69%)
Rockwell International Corp.<F*> 19,400 $ 1,180,975
United Technologies Corp. 16,600 1,099,750
-----------
2,280,725
-----------
Air Transport (1.60%)
AMR Corp.<F*> 8,800 775,500
-----------
Business Machines (0.83%)
Apple Computer Inc.<F*> 19,400 404,975
-----------
Business Services (2.32%)
Ogden Corp. 59,300 1,126,700
-----------
Chemicals (2.40%)
Eastman Chemical 14,800 817,700
Hanson PLC (ADR) 43,500 293,625
Millenium Chemicals Inc.<F*> 3,107 55,149
-----------
1,166,474
-----------
Commercial Banking (14.51%)
Bank of Boston 12,000 771,000
BankAmerica Corp. 8,400 837,900
Banker's Trust New York Corp. 11,700 1,009,125
Chase Manhattan Corp (new) 11,600 1,036,750
First of America Bank 21,600 1,298,700
Mellon Bank Corp. 15,050 1,068,550
PNC Financial Corp. 27,300 1,027,162
-----------
7,049,187
-----------
Domestic Oil (5.15%)
Ashland Inc. 24,400 1,070,550
Arco 10,800 1,431,000
-----------
2,501,550
-----------
Drugs & Medicines (3.89%)
Bausch & Lomb Inc. 29,700 1,039,500
Baxter International 20,700 848,700
-----------
1,888,200
-----------
Electronics (4.69%)
Harris Corp. 18,200 1,248,975
Texas Instruments Inc. 16,154 1,029,818
-----------
2,278,793
-----------
Energy & Utilities (2.18%)
Texas Utilities Co. 26,000 1,059,500
-----------
Finance (Non - Banking) (2.82%)
Student Loan Marketing Assoc. 14,700 1,368,937
-----------
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCK SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Food & Agriculture (2.38%)
Fleming Companies Inc. 66,900 $ 1,154,025
-----------
Industrial Miscellaneous (1.88%)
Ryder System Inc. 32,500 914,062
-----------
Insurance (4.27%)
Lincoln National Corp. 20,000 1,050,000
St Paul Companies Inc. 17,500 1,025,938
-----------
2,075,938
-----------
International Oil (3.71%)
Exxon Corp. 12,400 1,215,200
Mobil Corp. 4,800 586,800
-----------
1,802,000
-----------
Media (1.03%)
McGraw-Hill Inc. 10,900 502,763
-----------
Miscellaneous & Conglomerates (2.35%)
Pinnacle West Capital 36,000 1,143,000
-----------
Miscellaneous Finance (2.01%)
American General Corp. 23,900 976,912
-----------
Motor Vehicles (3.59%)
Chrysler Corp. 25,200 831,600
General Motors 16,400 914,300
-----------
1,745,900
-----------
Non-Ferrous Metals (2.14%)
Phelps Dodge Corp. 15,400 1,039,500
-----------
Optical Photographic Equipment (1.47%)
Eastman Kodak Co. 8,900 714,225
-----------
Paper & Forest Products (4.02%)
Louisiana Pacific Corp. 48,700 1,028,787
Willamette Industries 13,300 926,013
-----------
1,954,800
-----------
Producer Goods (1.83%)
Deere & Co. 22,000 891,000
-----------
Retail (4.40%)
J C Penney Co. Inc. 21,700 1,057,875
Woolworth Corp.<F*> 49,000 1,078,000
-----------
2,135,875
-----------
(continued)
<PAGE> 44
MANAGED EQUITY FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCK SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Telephone (5.53%)
A T & T Corp. 26,600 $1,153,775
Sprint Corp. 23,100 921,113
US West Inc.<F*> 19,000 612,750
-----------
2,687,638
-----------
Tobacco (7.24%)
American Brands Inc. 9,900 491,287
Philip Morris Companies Inc. 13,700 1,548,100
RJR Nabisco Holdings 43,500 1,479,000
-----------
3,518,387
-----------
Utilities, Electrical & Gas (5.64%)
GPU Inc. 36,000 1,210,500
Nipsco Industries Inc. 33,200 1,315,550
Northeast Utilities Inc. 16,100 211,313
-----------
2,737,363
-----------
TOTAL COMMON STOCKS (98.57%)
(COST $39,434,771) 47,893,929
-----------
- ----------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
SHORT TERM SECURITIES VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Commercial Paper (2.08%)
Baltimore Gas & Electric Co.
6.12%, due 1/3/97 $165,000 $ 164,944
Goldman Sachs,
7.35%, due 1/2/97 845,000 844,827
-----------
TOTAL SHORT TERM SECURITIES (2.08%)
(AMORTIZED COST $1,009,771) 1,009,771
-----------
TOTAL INVESTMENTS (100.65%)
(AMORTIZED COST $40,444,542) 48,903,700
Other net liabilities (-0.65%) (316,665)
-----------
TOTAL NET ASSETS (100.00%) $48,587,035
===========
<FN>
<F*> Non-income producing securities.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 45
ASSET ALLOCATION FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
<TABLE>
- ----------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
BONDS VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Government & State Agency
FNMA, 8.350%, due 11/10/1999 $ 150,000 $ 158,601
TOTAL GOVERNMENT & STATE AGENCY (0.18%)
(AMORTIZED COST $149,503) 158,601
-----------
US Government Securities
US Treasury Bonds, 7.250%,
due 05/15/2016 1,500,000 1,583,910
US Treasury Bonds, 7.125%,
due 10/15/1998 1,000,000 1,021,250
US Treasury Bonds, 6.375%,
due 08/15/2002 1,000,000 1,006,560
US Treasury Bonds, 5.750%,
due 08/15/2003 1,000,000 970,000
US Treasury Bonds, 5.875%,
due 08/15/1998 1,000,000 1,000,470
US Treasury Bonds, 8.000%,
due 08/15/1999 1,000,000 1,047,500
US Treasury Bonds, 6.125%,
due 08/31/1998 2,500,000 2,510,925
-----------
TOTAL GOVERNMENT SECURITIES (10.61%)
(AMORTIZED COST $9,114,414) 9,140,615
-----------
CORPORATE BONDS
Air Transport (1.28%)
Delta Airlines, 9.200%,
due 09/23/2014 1,000,000 1,106,700
-----------
Commercial Banking (0.84%)
Boatmen's Bancshares, 6.750%,
due 03/15/2003 250,000 245,373
First USA Bank, 5.850%,
due 02/22/2001 500,000 480,145
-----------
725,518
-----------
Finance (Non-Banking) (2.33%)
Associates Corp., 6.875%,
due 02/01/2003 500,000 503,035
Bear Stearns Co., 6.750%,
due 04/15/2003 1,000,000 992,820
Merrill Lynch & Co Inc.,
7.375%, due 08/17/2002 500,000 512,955
-----------
2,008,810
-----------
Industrial Miscellaneous (4.61%)
Canadian National Railway,
6.625%, due 05/15/2003 500,000 490,400
Coca-Cola Company, 6.625%,
due 10/01/2002 500,000 501,475
<CAPTION>
PAR MARKET
BONDS VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Industrial Miscellaneous (continued)
Disney Spin III, 14.000%,
due 03/01/2000 $1,000,000 $ 1,220,000
E I Dupont De Nemours & Co.,
8.250%, due 09/15/2006 250,000 271,280
Seagram Company Ltd.,
8.350%, due 11/15/2006 500,000 542,890
FMC Corp., 6.750%,
due 01/16/2005 1,000,000 948,500
-----------
3,974,545
-----------
Insurance (0.93%)
Torchmark Corp., 8.625%,
due 03/01/2017 785,000 800,573
-----------
Liquor (0.58%)
Anheuser-Busch Companies Inc.,
6.900%, due 10/01/2002 500,000 501,575
-----------
Media (1.26%)
Tele-Communications Inc.,
9.800%, due 02/01/2012 1,000,000 1,082,200
-----------
Miscellaneous & Conglomerates (0.60%)
Hanson Overseas BV, 7.375%,
due 01/15/2003 500,000 513,015
-----------
Motor Vehicles (1.19%)
Enterprise Rent A Car, 7.500%,
due 06/15/2003 1,000,000 1,027,860
-----------
Municipality (1.21%)
Province of Quebec - Series A,
8.100%, due 04/23/2002 1,000,000 1,046,020
-----------
Retail (0.59%)
Dayton Hudson Corp., 7.500%,
due 03/01/1999 500,000 511,615
-----------
Telephone (0.57%)
GTE Southwest, 6.540%,
due 12/01/2005 500,000 487,740
-----------
Utilities, Electrical & Gas (2.61%)
Consolidated Edison, 7.375%,
due 09/15/2000 500,000 510,590
National Rural Utility Corp.,
9.500%, due 05/15/1997 250,000 253,028
Northern States Power, 6.125%,
due 12/01/2005 500,000 475,070
(continued)
<PAGE> 46
ASSET ALLOCATION FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
BONDS VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Utilities, Electrical & Gas (continued))
Texas Utilities Co., 7.375%,
due 08/01/2001 500,000 $ 513,045
Virginia Electric Power Co.,
6.250%, due 08/01/1998 500,000 500,795
-----------
2,252,528
-----------
TOTAL CORPORATE BONDS (18.60%)
(AMORTIZED COST $15,861,953) 16,038,699
-----------
MORTGAGE BACKED SECURITIES AND CMO'S
Government & State Agency (2.86%)
FHLMC 1505-E PAC, 6.500%,
Due 10/15/2019 1,000,000 981,870
FNMA 1992-128G, 6.000%,
due 02/25/2022 500,000 471,715
FNMA 1992-146 PH, 7.500%,
due 09/25/2019 1,000,000 1,013,430
TOTAL MORTGAGE BACKED SECURITIES AND CMO'S (2.86%)
(AMORTIZED COST $2,459,668) 2,467,015
-----------
TOTAL BONDS (32.25%)
(AMORTIZED COST $27,585,538) 27,804,930
-----------
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Aerospace & Military Technology (2.91%)
Boeing Co. 726 77,319
Rockwell International Corp.<F*> 17,300 1,053,138
United Technologies Corp. 20,800 1,378,000
-----------
2,508,457
-----------
Air Transport (0.92%)
AMR Corp.<F*> 9,000 793,125
-----------
Commercial Banking (9.34%)
Bankamerica Corp. 13,200 1,316,700
Banker's Trust New York Corp. 11,400 983,250
Chase Manhattan Corp. (New) 17,900 1,599,813
First of America Bank 24,400 1,467,050
Mellon Bank Corp. 20,150 1,430,650
PNC Financial Corp. 33,200 1,249,150
-----------
8,046,613
-----------
Business Machines (0.57%)
Apple Computer Inc.<F*> 23,500 490,563
-----------
Business Services (1.12%)
Ogden Corp. 50,700 963,300
-----------
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Chemicals (3.13%)
Eastman Chemical 15,200 $ 839,800
Hanson PLC (ADR) 45,000 303,750
Millenium Chemicals Inc.<F*> 3,214 57,049
Monsanto 38,500 1,496,688
-----------
2,697,287
-----------
Domestic Oil (2.97%)
Ashland Inc. 25,100 1,101,263
Arco 11,000 1,457,500
-----------
2,558,763
-----------
Drugs & Medicines (2.30%)
Allegiance Corp. 5,000 138,125
Bausch & Lomb Inc. 23,500 822,500
Baxter International 25,000 1,025,000
-----------
1,985,625
-----------
Electronics (3.25%)
Harris Corp. 21,800 1,496,025
Texas Instruments Inc. 20,500 1,306,875
-----------
2,802,900
-----------
Energy & Utilities (1.42%)
Texas Utilities Co. 30,100 1,226,575
-----------
Finance (Non-Banking) (1.76%)
Student Loan Marketing Assoc. 16,300 1,517,938
-----------
Food & Agriculture (1.10%)
Fleming Companies Inc. 36,200 624,450
H J Heinz Co. 9,150 327,113
-----------
45,350 951,563
-----------
Industrial Miscellaneous (1.27%)
Ryder System Inc. 38,800 1,091,250
-----------
Insurance (2.54%)
Lincoln National Corp. 24,000 1,260,000
St. Paul Companies Inc. 15,800 926,275
-----------
2,186,275
-----------
International Oil (1.97%)
Exxon Corp. 15,900 1,558,200
Royal Dutch Petroleum Co. 800 136,600
-----------
1,694,800
-----------
Media (0.25%)
360 Communications Co.<F*> 9,200 213,900
-----------
(continued)
<PAGE> 47
ASSET ALLOCATION FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Miscellaneous Finance (1.48%)
American General Corp. 31,300 $ 1,279,388
-----------
Miscellaneous & Conglomerates (1.66%)
Pinnacle West Capital 45,000 1,428,750
-----------
Motor Vehicles (2.41%)
Chrysler Corp. 26,000 858,000
General Motors 21,900 1,220,925
-----------
2,078,925
-----------
Non-Ferrous Metals (1.03%)
Phelps Dodge Corp. 13,200 891,000
-----------
Optical Photographic Equipment (1.39%)
Eastman Kodak Co. 14,900 1,195,725
-----------
Paper & Forest Products (2.20%)
Louisiana Pacific Corp. 34,500 728,813
Willamette Industries 16,700 1,162,738
-----------
1,891,551
-----------
Producer Goods (1.27%)
Deere & Co. 27,000 1,093,500
-----------
Retail (4.04%)
K Mart Corp. 3,800 39,425
J C Penney Co. Inc.<F*> 20,500 999,375
TJX Cos. Inc. 28,100 1,331,238
Woolworth Corp. 50,700 1,115,400
-----------
3,485,438
-----------
Telephone (3.33%)
A T & T Corp. 12,700 550,863
Lucent Technologies 4,115 190,319
Nynex Corp. 18,200 875,875
Sprint Corp. 27,600 1,100,550
US West Media Group<F*> 8,100 148,838
-----------
2,866,445
-----------
Tobacco (4.77%)
American Brands Inc. 20,700 1,027,230
Imperial Tobacco Group - ADR 11,250 142,031
Philip Morris Companies Inc. 13,700 1,548,100
RJR Nabisco Holdings 41,000 1,394,000
-----------
75,400 4,111,361
-----------
Utilities, Electrical & Gas (3.01%)
GPU Inc. 39,600 1,331,550
Nipsco Industries Inc. 31,900 1,264,038
-----------
2,595,588
-----------
TOTAL COMMON STOCKS (63.41%)
(COST $41,667,283) 54,646,605
-----------
- ----------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
SHORT TERM SECURITIES VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Corporate Bond (0.58%)
Fischbach Moore, 4.750%,
due 04/01/1997 $ 500,000 $ 498,400
-----------
Commercial Paper (2.86%)
Merrill Lynch & Co., 5.750%,
due 01/06/1997 100,000 99,920
AGA Capital Inc., 5.800%,
due 01/03/1997 500,000 499,839
Alabama Power, 6.700%,
due 01/03/1997 1,865,000 1,864,306
-----------
2,464,065
-----------
Treasury Bill (0.06%)
US Government Treasury Bill,
4.450%, due 01/09/1997 50,000 49,953
-----------
TOTAL SHORT TERM SECURITIES (3.50%)
(AMORTIZED COST $3,011,977) 3,012,418
-----------
TOTAL INVESTMENTS (99.16%)
(AMORITZED COST $72,264,798) 85,463,953
Other net assets (0.84%) 727,200
-----------
TOTAL NET ASSETS (100.00%) $86,191,153
===========
<FN>
<F*>Non-income producing security.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 48
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
<TABLE>
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Australia (2.15%)
Australian & New Zealand
Banking Group 21,000 $ 132,272
Orbital Engine Ltd.<F*> 25,000 18,864
-----------
151,136
-----------
Austria (1.47%)
Oemv AV<F*> 600 67,586
Voest Alpine Stahl 1,000 35,537
-----------
103,123
-----------
Belgium (0.61%)
Tessenderlo Chem. 100 42,894
-----------
Denmark (0.57%)
Den Danske Bank 500 40,262
-----------
Finland (0.38%)
UPM - Kymmene Corp. 1,260 26,381
-----------
France (4.64%)
Christian Dior 600 96,601
Credit Local De France 500 43,472
Marine Wendel 500 45,781
SGS Thomson<F*> 575 40,592
Sylea 278 30,427
Union Assurance Federale 264 32,501
Usinor Sacilor 2,500 36,307
-----------
325,681
-----------
Germany (4.42%)
Bankgesellschaft Berlin AG 1,350 24,528
Daimler-Benz AG<F*> 2,000 136,915
Deutsche Bank AG 1,500 69,885
Plettac AG 70 12,855
Spar Handels 2,260 65,845
-----------
310,028
-----------
Great Britain (15.41%)
Abbey National PLC 1,000 13,075
Albert Fisher Group 22,500 16,366
Bank of Ireland 12,500 114,025
Barclays PLC 1,400 23,972
Bat Industries 2,600 21,537
British Gas PLC 19,000 72,839
British Gas (ADR) 750 28,594
British Petroleum 4,325 51,814
British Sky Broadcasting PLC 1,300 11,614
British Telecommunications 4,800 32,449
BTR PLC Ord 3,200 15,608
Cable & Wireless 1,800 15,033
General Electric PLC 2,300 15,076
Glaxo Holdings PLC 1,500 24,388
Grand Metropolitan 1,200 9,406
Guinness PLC 2,400 18,853
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Great Britain (continued)
HSBC Holdings (75p) 500 $ 11,167
HSBC Holdings ($Hk10) 800 17,429
Inchscape 15,500 71,890
Lloyds TSB Group 1,700 12,540
London Insurance Market I.T. 25,000 55,622
Marks & Spencer 2,200 18,525
Powerscreen 3,880 37,519
Prudential Corporation PLC<F*> 2,400 20,209
Reuters Holdings PLC 1,200 15,414
RTZ Corporation PLC<F*> 1,300 20,870
Scottish Hydro-Electric PLC 7,000 39,175
Severn Trent 4,500 51,523
Smithkline Beecham PLC 1,400 19,360
T & N PLC 13,800 41,096
Tomkins 18,000 83,177
Unilever PLC 900 21,795
Yorkshire Water 3,000 36,197
Zeneca Group PLC<F*> 800 22,523
-----------
1,080,680
-----------
Hong Kong (4.65%)
CDL Hotels International 69,000 39,474
Cheung Kong 8,000 71,106
Founder Hong Kong Ltd.<F*> 50,000 19,231
Guoco Group, Ltd. 5,000 27,990
HSBC Holdings 3,800 81,307
South China Morning Post 2,000 1,655
Wheelock & Co. Ltd. 30,000 85,521
-----------
326,284
-----------
Italy (2.98%)
Banca Popolare Di Bergamo 3,000 49,326
Burgo Cartiere 5,000 23,019
Olivetti Ing<F*> 95,000 33,426
Pirelli 10,000 18,514
Saipem 7,500 34,429
Telecom Italia Mobile 20,000 50,444
-----------
209,158
-----------
Japan (34.15%)
Amway-Japan 1,000 32,050
Asahi Bank 5,000 44,370
Autobacs Seven Co. 500 35,280
Bridgestone Corp. 5,000 94,770
Canon 2,000 44,111
Chugoku Bank Limited 2,000 29,293
Daicel Chemical 7,000 32,747
Daiwa House 1925 3,000 38,511
DDI Corp. 15 98,992
Fuji Photo 3,000 98,734
Honda Motors 4,000 114,069
Horiba 3,000 30,757
Inax 3,000 22,176
(continued)
<PAGE> 49
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Japan (continued)
Jusco 2,000 $ 67,718
Kao Corporation 5,000 58,155
Kirin Brewery 5,000 49,108
Kuraray 5,000 46,093
Laox 1,100 16,680
Makita Corporation 1,000 13,957
Maruko Co. Ltd. 550 18,433
Marutomi Group 75 510
Matsushita Electric (ADR) 200 32,650
Matsushita Electronics 4,000 65,133
Minebea Co. 5,000 41,699
Mitsubishi Chemical Corp. 800 2,585
Mitsubishi Electric 8,000 47,558
Mitsubishi Heavy Industries 12,000 95,115
Mitsubishi Materials 11,000 44,353
Nippon Sanso 4,000 14,095
Nippon Steel Corp. 19,000 55,983
Nishimatsu Constructions 6,000 52,210
Nissen 50 349
NKK Corp.<F*> 20,000 44,973
Noritsu Koki Co. 1,000 46,954
Orix Corp. 500 20,763
Ricoh 5,000 57,293
Rinnai 2,000 40,148
Ryohin Keikaku Company Limited 1,000 74,093
Sankyo Co. Ltd., Gunma 1,000 29,207
Sanyo Shinpan 700 43,724
Sawako Corporation 1,300 25,760
Sekisui Chemical 4,000 40,321
Shiseido Company 5,000 57,724
Sumitomo Marine & Fire 11,000 68,235
Sumitomo Trust And Banking 5,000 49,970
Suzuki Motor Corp Ltd. 4,000 36,530
Takeda Chemical Industries 5,000 104,678
THK Company Limited 2,000 27,397
Tsukishimo Kikai 3,000 49,367
Yamanachi Chuo Bank 2,000 16,490
Yamanouchi Pharmaceuticals 4,000 82,019
Yamato Transport Co. 4,000 41,354
-----------
2,395,244
-----------
Netherlands (3.10%)
DSM NV 800 78,811
Hollandsche Beton Groep NV 235 48,625
Ing Groep NV 2,500 89,900
-----------
217,336
-----------
New Zealand (0.33%)
Air New Zealand "B" 8,500 23,062
-----------
Norway (2.27%)
Fokus Bank 4,250 29,219
Helikopter Services Group ASA 2,500 32,497
Norsk Hydro 1,300 70,240
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Norway (continued)
Smedvig 1,000 $ 21,925
Smedvig ASA Class B<F*> 250 5,129
-----------
159,010
-----------
Singapore (0.77%)
Jardine Strategic Holdings 15,000 54,300
-----------
Spain (2.63%)
Asturiana De Zinc<F*> 3,300 32,600
Aumar - Autopistas Del Mare 2,000 31,367
Repsol (ADR) 800 30,498
Telefonica (ADR) 1,300 90,025
-----------
184,490
-----------
Sweden (0.79%)
Cardo AB 2,000 55,360
-----------
Switzerland (2.45%)
Baloise Holdings 25 50,086
Novartis AG-Bearer 107 121,629
-----------
171,715
-----------
TOTAL COMMON STOCKS (83.77%)
(COST $5,359,340) 5,876,144
-----------
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
PREFERRED STOCK SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Germany
GEA AG 75 $ 23,652
Jungheinrich 125 14,357
-----------
TOTAL PREFERRED STOCKS (0.54%)
(COST $35,695) 38,009
-----------
- ----------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
SHORT TERM SECURITIES VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Commercial Paper (14.52%)
United States
AIG Funding, 5.80%,
due 01/02/1997 400,000 $ 399,936
Baltimore Gas and Electric Co.,
6.12%, due 01/03/1997 300,000 299,898
Merrill Lynch and Co., 5.65%,
due 01/23/1997 320,000 318,895
-----------
TOTAL SHORT TERM SECURITIES (14.52%)
(AMORTIZED COST $1,018,729) 1,018,729
-----------
TOTAL INVESTMENTS (98.83%)
(AMORTIZED COST $6,413,764) 6,932,882
Other net assets (1.17%) 82,080
-----------
TOTAL NET ASSETS (100.00%) $ 7,014,962
===========
<FN>
<F*> Non-income producing securities.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 50
SPECIAL EQUITY FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
<TABLE>
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Air Transport (0.87%)
Alaska Air Group<F*> 1,700 $ 35,700
----------
Apparel (0.46%)
Cone Mills Corp.<F*> 2,400 18,900
----------
Business Machines (1.99%)
Computer Horizons Corp.<F*> 799 30,762
Plantronics<F*> 1,140 51,300
----------
82,062
----------
Business Services (2.23%)
CSG Systems International<F*> 2,500 38,438
Integrated Health Services 2,200 53,625
----------
92,063
----------
Commercial Banking (6.54%)
Albank Financial 1,812 56,852
Bankatlantic Bancorp Inc. 3,936 52,644
Banknorth Group Inc. 1,400 58,100
Commerce Bancorp 1,618 53,394
Standard Federal Bancorporation 850 48,343
----------
269,333
----------
Construction (3.96%)
Avalon Properties Inc. 1,100 31,625
BMC West Corp. 2,160 26,460
Beazer Homes USA Inc.<F*> 2,490 46,065
CMI Corporation 4,230 18,506
Pacific Greystone Corp.<F*> 3,700 40,700
----------
163,356
----------
Containers (1.05%)
Bway Corp<F*> 2,270 43,414
----------
Domestic Oil (1.59%)
Belco Oil & Gas Corp.<F*> 2,400 65,700
----------
Drugs & Medicines (2.59%)
Beckman Instruments 1,110 42,596
Mariner Health Group Inc.<F*> 3,800 32,300
Sierra Health Services 1,300 32,013
----------
106,909
----------
Electronics (7.12%)
Belden 1,140 42,180
Berg Electronics Corp.<F*> 1,500 44,063
Cable Design Tech.<F*> 700 21,788
Dallas Semiconductor Corp. 2,100 48,300
Electro Scientific Industries<F*> 1,900 49,400
Franklin Electronic Publishing<F*> 2,000 24,250
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Electronics (continued)
Lattice Semiconductor<F*> 900 $ 41,400
Marquette Medical Systems Class A<F*> 1,000 22,124
----------
293,505
----------
Energy Raw Materials (0.60%)
Oneok 820 24,600
----------
Finance (Non - Banking) (6.65%)
Astoria Financial Corp. 800 29,500
Capstone Capital Trust Inc. 100 2,238
Commonwealth Bancorp Inc. 2,400 36,000
National Auto Credit Inc. 500 6,000
PFF Bancorp Inc.<F*> 2,900 43,138
Peoples Heritage Financial Group 2,300 64,400
Susquehanna Banchsares Inc. 1,300 45,013
Webster Financial Corp. 1,300 47,774
----------
274,063
----------
Food & Agriculture (1.23%)
Suiza Foods Corp.<F*> 2,500 50,625
----------
Industrial Miscellaneous (8.64%)
Alamo Group 1,720 29,455
Crown Crafts Inc. 1,840 18,400
Hirsch International Corp. 200 3,700
Halophane Corp. 2,215 42,085
Lam Research Corp.<F*> 500 14,063
Libbey 1,800 50,175
Lydall Inc.<F*> 310 6,975
Marshall Industries<F*> 900 27,563
Park Electrochemical 1,600 36,400
Seacor Holdings Inc.<F*> 900 56,700
Shurgard Storage Centers 1,100 32,588
Wellman Inc. 2,200 37,674
----------
355,778
----------
Insurance (7.21%)
Berkley Corp. 730 37,048
Commerce Group Inc. 1,730 43,683
Enhance Financial Services Group 1,100 40,150
Harleysville Group Inc. 1,300 39,650
PXRE Corp. 1,600 39,600
State Auto Financial 2,115 38,070
United Wisconsin Services 800 21,000
GCR Holdings Limited 1,700 37,824
----------
297,025
----------
International Oil (0.95%)
Forasol-Foramer<F*> 2,000 39,250
----------
(continued)
<PAGE> 51
SPECIAL EQUITY FUND
SCHEDULE OF INVESTMENTS - DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Motor Vehicles (2.60%)
Mark IV Industries 1,968 $ 44,526
A O Smith 1,700 50,788
TBC Corp.<F*> 1,550 11,625
----------
106,939
----------
Non-Ferrous Metals (1.95%)
Century Aluminum Company 200 3,450
Mueller Industries Inc.<F*> 900 34,650
Wolverine Tube Inc.<F*> 1,200 42,300
----------
80,400
----------
Paper & Forest Products (3.16%)
Caraustar Industries Inc. 950 31,588
Chesapeake Corp. 1,700 53,337
Pentair Inc. 1,400 45,150
----------
130,075
----------
Producer Goods (2.74%)
BWIP Holding Inc. 1,970 32,505
Brown & Sharpe Mfg Co.<F*> 2,600 36,400
Charter Power Systems 1,430 43,794
----------
112,699
----------
Railroads & Shipping (0.90%)
Harmon Industries Inc. 1,980 36,878
----------
Real Estate (4.92%)
Beacon Properties Corp. 700 25,638
Boykin Lodging Co. 1,100 26,400
Brandywine Realty Trust 700 13,650
Camden Property Trust 1,000 28,625
Felcor Suite Hotels Inc. 700 24,763
Highwoods Properties Inc. 1,100 37,124
Meridian Industrial Trust 500 10,500
Patriot American Hospitality 400 17,250
Storage Trust Realty 700 18,900
----------
202,850
----------
Retail (10.20%)
Bell Microproducts<F*> 3,600 31,950
Buffets Inc.<F*> 3,300 30,113
Carson Pirie Scott & Co.<F*> 1,400 35,350
Ethan Allen Interiors 1,050 40,425
Fingerhut Companies Inc. 3,300 40,425
Fred's Inc. 2,400 20,700
Movado Group Inc. 1,500 40,875
Phillips-Van Heusen 2,800 40,250
Ruby Tuesday Inc. 1,400 26,250
Stanhome Inc. 1,500 39,750
Value City Department Stores<F*> 2,870 30,135
Zale Corp.<F*> 2,300 44,275
----------
420,498
----------
Soaps & Cosmetics (1.03%)
Bush Boake Allen Inc.<F*> 1,600 42,600
----------
- ----------------------------------------------------------------------------------------
<CAPTION>
MARKET
COMMON STOCKS SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Steel (2.46%)
Gibraltar Steel Corp.<F*> 1,700 44,625
Rouge Steel 600 12,600
US Can Corp.<F*> 2,620 44,213
----------
101,438
----------
Tobacco (1.17%)
Universal Corp. 1,500 48,184
----------
Travel & Recreation (1.27%)
K2 Inc. 1,900 52,250
----------
Trucking & Freight (1.84%)
Eastern Enterprises 510 18,041
Midwest Express Holdings<F*> 1,600 57,600
----------
75,641
----------
Utilities, Electrical & Gas (4.13%)
Central Louisiana Electric 700 19,338
Eastern Utilities Association 800 13,900
IES Industries Inc. 520 15,535
Piedmont Natural Gas Co. 1,030 24,076
Public Service Company of
New Mexico 1,440 28,260
Sierra Pacific Resources 730 20,988
TNP Enterprises Inc. 1,000 27,375
UGI Corp. 920 20,584
----------
170,056
----------
TOTAL COMMON STOCKS (92.05%)
(COST $3,209,502) 3,792,791
----------
- ----------------------------------------------------------------------------------------
<CAPTION>
PAR MARKET
SHORT TERM SECURITIES VALUE VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
Commercial Paper (5.70%)
Merrill Lynch & Co,
5.76%, due 1/ 6/97 $115,000 $ 114,908
Alabama Power,
6.10%, due 1/ 3/97 120,000 119,959
----------
234,867
----------
Short Term Repurchase Agreement (1.70%)
Boatmen's National Bank of St. Louis,
5.27%, due 1/ 2/97 70,000 70,000
----------
TOTAL SHORT TERM SECURITIES (7.40%)
(AMORTIZED COST $304,867) 304,867
----------
TOTAL INVESTMENTS (99.45%)
(AMORTIZED COST $3,514,369) 4,097,658
Other net assets (0.55%) 22,514
----------
TOTAL NET ASSETS (100.00%) $4,120,172
==========
<FN>
<F*> Non-income producing securities.
See accompanying notes to financial statements.
</TABLE>
<PAGE> 52
GENERAL AMERICAN CAPITAL COMPANY
December 31, 1996
BOARD OF DIRECTORS
Richard A. Liddy, Chairman
Theodore M. Armstrong
Harry E. Rich
Alan C. Henderson
Matthew P. McCauley
INVESTMENT ADVISOR
Conning Asset Management Company
SAFEKEEPER OF SECURITIES
Bank of New York
LEGAL COUNSEL
Stephen E. Roth
Sutherland, Asbill & Brennan, Washington D.C.
INDEPENDENT AUDITORS
KPMG Peat Marwick LLP
If distributed to perspective investors, this report must be preceded or
accompanied by a current prospectus. The prospectus is incomplete without
reference to the financial data contained in this annual report.
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