<PAGE>
SEMI-ANNUAL REPORT
- -------------------
Allmerica Financial
Retail Services
June 30, 1997
[ALLMERICA FINANCIAL LOGO APPEARS HERE] .Vari-Exceptional
Life Plus
<PAGE>
GENERAL INFORMATION
- ----------------------------------------------
OFFICERS OF ALLMERICA FINANCIAL
LIFE INSURANCE AND ANNUITY
COMPANY
John F. O'Brien, Chairman of the Board
Richard M. Reilly, President and CEO
Edward J. Parry, III, Vice President, CFO
and Treasurer
Abigail M. Armstrong, Secretary and Counsel
INVESTMENT MANAGER
Allmerica Investment
Management Company, Inc.
440 Lincoln Street, Worcester, MA 01653
GENERAL DISTRIBUTOR
Allmerica Investments, Inc.
440 Lincoln Street, Worcester, MA 01653
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
160 Federal Street, Boston, MA 02110
CUSTODIAN
Bankers Trust Company
16 Wall Street, New York, NY 10005
LEGAL COUNSEL
Ropes & Gray
One International Place, Boston, MA 02110
ADMINISTRATOR
First Data Investor Services Group
4400 Computer Drive, Westborough, MA 01581
OFFICERS OF ALLMERICA
INVESTMENT TRUST (AIT)
Richard M. Reilly, President
Thomas P. Cunningham, Treasurer
BOARD OF TRUSTEES OF AIT
John F. O'Brien, Chairman
Russell E. Fuller/1/
Gordon Holmes/1/
John P. Kavanaugh
Bruce E. Langton/1/
Attiat F. Ott/1/
Richard M. Reilly
Ranne P. Warner/1/
/1/ Independent Trustees
INVESTMENT SUB-ADVISERS
Allmerica Asset Management, Inc.
440 Lincoln Street,
Worcester, MA 01653
Equity Index Fund
Investment Grade Income Fund
Government Bond Fund
Money Market Fund
Bank of Ireland Asset Management
(U.S.) Limited
Two Greenwich Plaza
Greenwich, CT 06830
Select International Equity Fund
CRM Advisors, LLC
520 Madison Avenue,
New York, NY 10022
Small-Mid Cap Value Fund/3/
Janus Capital Corporation
100 Fillmore Street - Suite 300
Denver, CO 80206
Select Capital Appreciation Fund
John A. Levin & Co., Inc.
One Rockefeller Plaza, New York, NY 10020
Select Growth and Income Fund
Miller, Anderson & Sherrerd, LLP
One Tower Bridge, West Conshohocken, PA 19428
Growth Fund
Nicholas-Applegate Capital
Management, L.P.
600 West Broadway - Suite 2000
San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.
One Post Office Square, Boston, MA 02109
Select Growth Fund
INVESTMENT ADVISERS
Delaware International Advisers Ltd.
1818 Market Street, Philadelphia, PA 19103
Delaware International Equity Series
Fidelity Management & Research Company
82 Devonshire Street, Boston, MA 02108
Fidelity VIP II/2/ Asset Manager Portfolio
Fidelity VIP/2/ Equity-Income Portfolio
Fidelity VIP/2/ Growth Portfolio
Fidelity VIP/2/ High Income Portfolio
Fidelity VIP/2/ Overseas Portfolio
Rowe Price-Fleming International, Inc.
100 E. Pratt Street, Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
/2/ VIP refers to Variable Insurance Products Fund.
<TABLE>
<CAPTION>
- ---------------------------------------------------------
CONTENTS
- ---------------------------------------------------------
<S> <C>
A LETTER FROM THE CHAIRMAN ............................2
PRODUCT PERFORMANCE SUMMARY ...........................3
DOMESTIC & INTERNATIONAL EQUITY
MARKET OVERVIEW .......................................4
Select Aggressive Growth Fund .........................6
Select Capital Appreciation Fund ......................7
Small-Mid Cap Value Fund/3/ ...........................8
T. Rowe Price International Stock Portfolio ...........9
Fidelity VIP/2/ Overseas Portfolio ...................10
Select International Equity Fund .....................11
Delaware International Equity Series .................12
Fidelity VIP/2/ Growth Portfolio .....................13
Select Growth Fund ...................................14
Growth Fund ..........................................15
Equity Index Fund ....................................16
Fidelity VIP/2/ Equity-Income Portfolio ..............17
Select Growth and Income Fund ........................18
Fidelity VIP II/2/ Asset Manager Portfolio ...........19
BOND & MONEY
MARKET OVERVIEW ......................................20
Fidelity VIP/2/ High Income Portfolio ................22
Investment Grade Income Fund .........................23
Government Bond Fund .................................24
Money Market Fund ....................................25
FINANCIALS ..........................................F-1
</TABLE>
For further information, see the accompanying semi-annual reports.
See Client Notices on page F-54.
/3/ Formerly the Small Cap Value Fund.
--
1
--
<PAGE>
- --------------------------------------------------------------------------------
A LETTER FROM THE CHAIRMAN
- --------------------------------------------------------------------------------
[PHOTO Dear Client:
APPPEARS The U.S. economy was nearly ideal for investors during the
HERE] first six months of 1997, with solid economic growth and low
inflation. Through June 30th, the U.S. stock market increased
approximately 20%, bonds earned their coupons returning approximately 3% for the
period and international stocks were up roughly 10%.
However, these broad market figures hide the considerable amount of
volatility which occurred in individual securities and sectors of the market.
The U.S. stock and bond markets reacted strongly to the Federal Reserve Board's
0.25% increase in the Discount Rate during March. This contributed to keeping
broad stock market indices down over 4% during March, causing the Russell 2000
Index of small-cap stocks to lose over 5% for the quarter. At one point, the
disparity between large and small company stock returns was wider than at any
point in the last fifty years. International stocks also struggled as the
unmanaged EAFE Index declined 1.5% during the first quarter.
Fortunately, very strong second quarter returns offset these mediocre first
quarter results. The S&P 500(R) returned 17.5% during the second quarter, the
strongest second quarter results since 1938. Compelling valuations on small
company stocks finally attracted buyers and the Russell 2000 increased more than
11% in May alone. International stocks also bounced back, increasing in each of
the second quarter months. The U.S. bond market also rebounded as investors
reacted positively to slower economic data and restraint by the Federal Reserve
Board regarding further increases in interest rates.
So while the overall news for the first six months of 1997 was very good,
it's important to recognize that the markets continue to be highly volatile over
short periods. And that's a key point. Investing is a long-term business and
requires the fortitude to ride out the inevitable down periods. Patient
investors investing in a diversified pool of well-managed companies have
historically been well rewarded.
At Allmerica, we hire some of the leading money managers to seek out
well-managed companies and attractive stocks in which to invest your money. We
urge you to take advantage of this broad array of investment options and
diversify your investments across asset classes, investment styles and
economies. This may help you participate in strong segments of the investment
markets while offering some protection against the inevitable downturns.
On behalf of the Board of Trustees,
/s/ John F. O'Brien
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
-----------------------------------
"We hire some of the leading money
managers to seek out well-managed
companies and attractive stocks in
which to invest your money."
-----------------------------------
- --
2
- --
<PAGE>
- --------------------------------------------------------------------------------
PRODUCT PERFORMANCE SUMMARY
- --------------------------------------------------------------------------------
VARI-EXCEPTIONAL LIFE PLUS . Average Annual Total Returns as of 6/30/97
For easy reference, the total returns for the Group Vari-Exceptional Life Plus
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of product charges. For returns that do not reflect the deduction of product
charges, please refer to the individual Portfolio Reviews beginning on page 6.
<TABLE>
<CAPTION>
WITHOUT SURRENDER AND WITH SURRENDER AND
MONTHLY POLICY CHARGES MONTHLY POLICY CHARGES
---------------------- ----------------------
TEN YEARS TEN YEARS
OR LIFE OR LIFE
ONE FIVE OF FUND ONE FIVE OF FUND
SUB-ACCOUNTS YEAR YEARS (IF LESS) YEAR YEARS (IF LESS)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ALLMERICA INVESTMENT TRUST
Select Aggressive Growth Fund/4/ 9.53% N/A 18.39% -100.00% N/A 5.41%
Select Capital Appreciation Fund/7/ -1.30% N/A 22.51% -100.00% N/A -45.04%
Small-Mid Cap Value Fund/5/ 23.61% N/A 15.58% -90.57% N/A 6.18%
Select International Equity Fund/6/ 21.69% N/A 13.56% -92.32% N/A -19.27%
Select Growth Fund/4/ 28.04% N/A 14.51% -86.53% N/A 0.39%
Growth Fund/1/ 27.17% 16.31% 13.24% -87.33% 6.21% 10.15%
Equity Index Fund/2/ 32.82% 18.09% 18.76% -82.18% 8.27% 11.99%
Select Growth and Income Fund/4/ 25.16% N/A 14.57% -89.16% N/A 0.65%
Investment Grade Income Fund/1/ 7.65% 6.41% 8.18% -100.00% -5.25% 4.84%
Government Bond Fund/3/ 5.77% 4.72% 6.00% -100.00% -7.21% -4.50%
Money Market Fund/1/ 4.67% 3.64% 5.17% -100.00% -8.46% 1.72%
DELAWARE GROUP PREMIUM FUND, INC.
Delaware International Equity Series/8/ 24.32% N/A 13.47% -89.93% N/A -1.71%
T. ROWE PRICE INTERNATIONAL SERIES, INC.
T. Rowe Price International Stock Portfolio/9/ 16.67% N/A 11.37% -96.90% N/A -24.28%
FIDELITY VARIABLE INSURANCE
PRODUCTS FUND (VIP AND VIP II)
Fidelity VIP Overseas Portfolio/13/ 21.89% 10.41% 8.22% -92.14% -0.62% 4.77%
Fidelity VIP Growth Portfolio/11/ 17.15% 18.92% 13.59% -96.46% 9.23% 10.51%
Fidelity VIP Equity-Income Portfolio/11/ 24.84% 19.12% 12.92% -89.45% 9.47% 9.79%
Fidelity VIP II Asset Manager Portfolio/12/ 19.67% 11.70% 11.70% -94.17% 0.87% 6.05%
Fidelity VIP High Income Portfolio/10/ 13.72% 12.33% 10.75% -99.59% 1.60% 7.53%
</TABLE>
Performance returns given above are for the Vari-Exceptional Life Plus sub-
accounts of AFLIAC and are net of all product charges (including surrender
charges) for a representative policy. In addition, the returns assume an
investment in the underlying funds listed above on the date of inception of each
Fund. All full surrenders or withdrawals in excess of the free amount may be
subject to a declining surrender charge.
<TABLE>
<S> <C> <C>
/1/ Inception April 29, 1985 /6/ Inception May 2, 1994 /10/ Inception September 19, 1985
/2/ Inception September 28, 1990 /7/ Inception April 28, 1995 /11/ Inception October 9, 1986
/3/ Inception August 26, 1991 /8/ Inception October 29, 1992 /12/ Inception September 6, 1989
/4/ Inception August 21, 1992 /9/ Inception March 31, 1994 /13/ Inception January 28, 1987
/5/ Inception April 30, 1993
</TABLE>
Performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
--
3
--
<PAGE>
DOMESTIC &
INTERNATIONAL
EQUITY MARKET
OVERVIEW
1990-1991: Economic recession in the United States. A deep depression affects
much of the former Soviet bloc countries.
1992: U.S. economy continues its slow recovery. Larger companies downsize while
smaller firms thrive.
1993: A year of low interest rates and strong growth in the emerging markets.
1994: Federal Reserve Board raises interest rates six times stalling equity
markets even while corporate earnings continued to grow.
1995: Favorable economic conditions result in tremendous gains for the U.S.
equity markets. Europe turns in strongest performance of international equity
markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
1997: Healthy corporate earnings, low interest rates and low unemployment propel
the stock market past the 7000 mark.
Despite widespread skepticism about an overheated U.S. economy, the stock
market continued its upward surge with only one minor setback during the first
six months of 1997.
At the year's midpoint, the Dow Jones Industrial Average had posted double
digit gains. The 10 largest stocks in the S&P 500(R) returned 28.3% while the
remaining 490 stocks rose 18.5%. Moreover, the mixture of low inflation and
double-digit profit growth continued to fuel the market's impressive results as
its chief beneficiaries remained large capitalization and blue chip stocks.
So far, this year has been marked by the continued growth of solid corporate
earnings, which has played a significant role in propelling the stock market
upward. In fact, when leading indicators pointed to steady growth and benign
inflation in February, the market soared carrying the Dow Jones Industrial
Average to the 7000 mark.
But as these same indicators showed unemployment dipping below 5% for the
first time in 24 years and first quarter Gross Domestic Product (GDP) soaring at
a 5.6% annualized rate, worries that conditions were ripe for inflation
surfaced. As concern mounted, the Federal Reserve Board announced an interest
rate hike of one quarter of one percentage point on the Federal Funds Rate in
late March to stifle these inflationary pressures.
Almost as a direct result of this rate increase, the steady advance of the
stock market stalled. As the market plunged almost 10% in April, technology
stocks, in particular, suffered as a result of a rising dollar and worries about
demand. But better-than-expected corporate earnings reports once again bolstered
investor confidence, and drove profits up 15% in the first quarter over the
previous year.
Within a few weeks of this news, the market in general regained its
momentum. This time small-cap stocks out-
[TIMELINE APPEARS HERE, TEXT FOLLOWS]
Despite widespread skepticism about an overheated U.S. economy, corporate
earnings grow.
The Dow Jones Industrial Average climbs to a record-breaking 7000.
In response to sign of rising inflation, the Federal Reserve raises the Federal
Funds Rate by 0.25%.
Technology stocks decline amidst worries about demand.
- --
4
- --
<PAGE>
paced the market for a brief period, for the first time in recent months. In
June, however, blue chip stocks regained the lead and proceeded to set a string
of performance records.
On the global front, U.S. investors in international equities experienced
mixed results. European stocks produced generally strong returns throughout the
first six months of 1997, although currency conversion hurt many U.S. investors.
The strong U.S. dollar eroded returns in several key markets, including
France, Germany and Sweden. Under the leadership of Tony Blair's new government,
the British economy strengthened and the pound appreciated when compared to most
major currencies.
In the Far East, fears about potentially increasing U.S interest rates and
continued outflows of cash by foreign investors continued to drive Asian stock
prices down.
Market conditions were also exacerbated by poor company results and ongoing
financial crises, specifically the 25% market decline in Thailand.
Returns from Japanese equities also proved mixed for the first half of the
year. Disappointing first quarter results were followed by very strong returns
in the second quarter as investor confidence grew over improving economic
conditions.
Looking ahead, most market analysts question how much longer -- or further --
the stock market is likely to go. While regarded as somewhat overvalued now,
some experts feel the market may still benefit from the combination of favorable
corporate earnings and low inflation, which appear likely to continue at least
until the fourth quarter of the year.
[TIMELINE APPEARS HERE, TEXT FOLLOWS]
The stock market plunges 9.8% in response to higher interest rates.
Small cap stocks outperform larger company stocks for the first time in recent
months.
Spain is one of the best-performing European market as Europe produces strong
returns for international equity investors.
Japanese equities deliver strong returns in the second quarter.
The consumer price index, the key inflation indicator, rises just 0.1%.
Large cap stocks regain momentum to set new performance records.
--
5
--
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Select Aggressive Growth Fund
returned 6.74%, trailing the 11.25% return of its benchmark, the Russell 2500
Index.
The first quarter was especially hard on small and mid-sized growth
companies, which dominate this Fund. Even as companies reported strong earnings,
the P/E ratios of many stocks contracted. The result of which was a decline in
the Fund by more than 10%. With economic reports suggesting a growing, but not
overheated economy, all capitalization areas of the stock market increased
during the second quarter. In particular, investors began to recognize the value
of the stocks they had fled earlier and the Fund gained almost 21% versus 15%
for the Russell 2500 during the second quarter.
Industry sector performance for the first six months was mixed. Surprisingly,
some of the biggest gainers for the second quarter were the most notable
underperformers in the preceding quarter. Regaining momentum were stocks in the
technology, transportation, capital goods and energy sectors. Accordingly, the
Fund is now more heavily invested in some of these areas to capitalize on
positive advances.
The Fund manager's strategy of being overweighted in the technology sector
served to enhance relative performance late in the period, as this area staged
an impressive rebound in May and June. Holdings such as Cellstar Corp., Jabil
Circuit, Inc., Dell Computer Corp., Digital Microwave Corp., and Tellabs,
produced double- and triple-digit gains. Superior stock selection in the
commercial/industrial area, health care services and retail trade sectors also
resulted in strong performance. Fund holdings in these areas included: Mastec,
Inc., Medics Pharmaceutical Corp., Safeskin Corp., and Pier 1 Imports, Inc. The
Fund's limited exposure in the transportation and consumer services sectors,
however, adversely impacted performance.
The Fund's manager remains optimistic about the outlook for the remainder of
1997. The relatively stable economy combined with favorable market fundamentals
have set the stage for future positive Fund performance. Moreover, they feel the
companies represented in this Fund exhibit excellent growth and profit
characteristics.
INVESTMENT SUB-ADVISER:
Nicholas-Applegate Capital Management, L.P.
ABOUT THE FUND:
Invests in companies whose potential for
rapidly growing earnings is not fully
reflected in their stock price.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Durable Goods 23%
Technology 11%
Finance 11%
Electronics 10%
Consumer Products 7%
Energy 5%
Retail 9%
Health Services 5%
Cash Equivalents 1%
Other 18%
</TABLE>
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lipper Capital Appreciation Fund Average is a non-weighted index of 203
capital appreciation mutual funds. The Russell 2500 and 2000 Indices are
unmanaged composites of 2,500 and 2,000 small capitalization stocks,
respectively. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[CHART APPEARS HERE]
<TABLE>
<S> <C> <C>
Select Aggressive Growth Fund $10,000 $23,422
Russell 2000 Index $10,000 $22,544
Russell 2500 Index $10,000 $23,236
Lipper Capital Appreciation Fund Average $10,000 $21,134
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -----------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year Life of Fund
<S> <C> <C> <C>
Select Aggressive Growth Fund 10.26% N/A 19.17%
Russell 2000 Index 16.33% N/A 18.41%
Russell 2500 Index 20.10% N/A 19.06%
Lipper Capital Appreciation Fund Average 14.44% N/A 16.33%
</TABLE>
- --
6
- --
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Select Capital Appreciation
Fund returned 3.77% versus the 10.16% return of its peer group, the Lipper
Capital Appreciation Fund Average.
A relatively strong second quarter was not enough to recoup the ground lost
in the first quarter. Overall, small-cap stocks, which are the focus of this
Fund, trailed their larger counterparts for much of the first half of the year.
But as domestic equities posted dramatic gains during the second quarter,
small-cap stocks outperformed their larger counterparts during the month of May.
This action boded well for the Fund. In fact, the shift to small-cap stocks
buoyed prices for a number of the holdings. Gaining over 35%, for example, were:
Fastenal, Papa John's, Premier Parks, and Apollo Group. While company
fundamentals did not change during the first half of 1997, the shift in market
psychology rewarded those companies with solid fundamentals and rapid earnings
growth. Particularly noteworthy was CommNet Cellular. Fueled by an acquisition
bid from Blackstone Capital, CommNet's price soared, reaffirming the Fund
managers' belief that pockets of opportunity exist in the cellular industry.
While gains from these holdings aided overall performance, some of the Fund's
perennial performers turned in disappointing results. HFS and Insignia Financial
Services Group, for example, stalled as the market grew concerned over merger
and acquisitions at both of these firms.
Positive momentum, however, was generated by research efforts, which revealed
attractive investment opportunities in media. Specifically, the Fund's managers
added Evergreen Media, Clear Channel Communications, Outdoor Systems, Heftel
Broadcasting and Univision. All of these companies operate in highly defined
markets, possess strong management and are growing.
Going forward, the Fund's managers believe sound stock market fundamentals
are intact. They will continue to search for companies that can grow earnings in
any economy.
GROWTH OF A $10,000 INVESTMENT SINCE 1995
[CHART APPEARS HERE]
<TABLE>
<CAPTION>
4/95 6/97
<S> <C> <C>
Select Capital Appreciation Fund $10,000 $15,757
S&P 500(R) Index $10,000 $18,509
S&P Mid Cap 400(R) Index $10,000 $15,989
Russell 2000 Index $10,000 $15,420
Russell 2500 Index $10,000 $15,957
Lipper Capital Appreciation Fund Average $10,000 $15,394
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Select Capital Appreciation Fund -0.64% N/A 23.31%
S&P 500(R) Index 34.68% N/A 31.34%
S&P Mid Cap 400(R) Index 23.37% N/A 24.18%
Russell 2000 Index 16.33% N/A 22.13%
Russell 2500 Index 20.10% N/A 24.07%
Lipper Capital Appreciation Fund Average 14.44% N/A 21.66%
</TABLE>
INVESTMENT SUB-ADVISER:
Janus Capital Corporation
ABOUT THE FUND:
The Fund seeks to construct a concentrated portfolio of rapidly growing
reasonably valued stocks.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Retail 17%
Business Services 8%
Food Services 5%
Finance 13%
Health Services 7%
Communications 8%
Foreign Common Stocks 12%
Building and Construction 6%
Cash Equivalents and U.S. Government and Agency Obligations 6%
Other 18%
</TABLE>
The Select Capital Appreciation Fund is a portfolio of the Allmerica
Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The S&P
Mid Cap 400(R) Index is an unmanaged index consisting of 400 domestic stocks
chosen for market size, liquidity and industry group representation. The S&P Mid
Cap 400(R) Index is a registered trademark of the Standard & Poor's Corporation.
The Russell 2500 and 2000 Indices are unmanaged composites of 2,500 and 2,000
small capitalization stocks, respectively. The Lipper Capital Appreciation Fund
Average is a non-weighted index of 203 funds within the capital appreciation
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
7
<PAGE>
- --------------------------------------------------------------------------------
SMALL-MID CAP VALUE FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
CRM Advisors, LLC
ABOUT THE FUND:
Invests in attractively valued small to mid-sized companies believed to have
above-average potential for capital appreciation.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Durable Goods 22%
Consumer Products 20%
Finance 8%
Retail 8%
Energy 8%
Metals and Mining 7%
Health Care 6%
Consumer Staples 5%
Cash Equivalents 5%
Other 11%
</TABLE>
The Small-Mid Cap Value Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 and 2000 Indices are unmanaged composites of 2,500 and 2,000
small capitalization stocks, respectively. The Lipper Small Company Growth Fund
Average is a non-weighted index of 406 small company growth funds. Performance
numbers are net of all fund operating expenses, but do not include insurance
charges. If performance information included the effect of these additional
charges, it would have been lower.
For the six-month period ended June 30, 1997, the Small-Mid Cap Value Fund's
12.98% return outperformed its benchmark, the Russell 2500 Index, which posted
an 11.25% return and its peer group, the Lipper Small Company Growth Fund
Average which returned 8.99%.
Although the stock market declined in the first quarter as a result of higher
interest rates and threats of an overheated economy, it finished the second
quarter with the strongest quarterly performance in more than two decades. While
momentum mainly fueled large, well-known companies, in May the market advances
finally included small-cap stocks. Large influxes of money also flowed into
equity funds, which further supported the burgeoning stock market.
Against this backdrop, the Fund saw several positive contributors, led by
Owens-Illinois, a glass container and plastic packaging company. This stock
increased over 33% in the second quarter and is the Fund's largest holding. The
company benefited from refinancing its balance sheet through an equity offering
and making an acquisition in Europe.
Also contributing to performance were the Fund's long-held positions in Fred
Meyer, Westinghouse, and Gulfstream Aerospace, all of which experienced solid
gains. The only trouble spot of consequence was a 7% decline in Raychem, a large
position which suffered from earnings disappointments. However, the business
continues to meet the expectations of the Fund's managers and the stocks
continue to be held.
Fort Howard Corp. and Comsat, two of the Fund's newest positions, have
already shown some gain. Fort Howard, soon to be merged with James River, could
realize cost savings of up to $200 million over the next two years. Comsat, a
satellite business, spun off its 80% ownership of Ascent Entertainment and On
Command Video to hone its focus on its satellite operations.
In looking ahead, the Fund's managers believe the Fund's performance is
sustainable given the current dynamics at work in the economy. They feel the
extreme valuations in large-cap stocks will inevitably adjust downward, at which
point they expect performance of small- and mid-cap stocks to improve on a
relative basis.
GROWTH OF A $10,000 INVESTMENT SINCE 1993
[CHART APPEARS HERE]
<TABLE>
<CAPTION>
4/93 6/97
<S> <C> <C>
Small-Mid Cap Value Fund $10,000 $18,798
Russell 2000 Index $10,000 $18,992
Russell 2500 Index $10,000 $19,764
Lipper Small Company Growth Fund Average $10,000 $19,406
</TABLE>
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Small-Mid Cap Value Fund 24.42% N/A 16.34%
Russell 2000 Index 16.33% N/A 16.62%
Russell 2500 Index 20.10% N/A 17.77%
Lipper Small Company Growth Fund Average 13.71% N/A 17.58%
</TABLE>
- --
8
- --
<PAGE>
- --------------------------------------------------------------------------------
T. ROWE PRICE INTERNATIONAL STOCK PORTFOLIO
- --------------------------------------------------------------------------------
For the first half of 1997, the T. Rowe Price International Stock Portfolio
reported a return of 11.63%, edging slightly ahead of the 11.21% return of the
Morgan Stanley EAFE Index.
On a year-to-date basis, both the Portfolio's country allocations and stock
selections added value over the Index. Overweightings in the Netherlands and
Latin America were the most notable contributors in terms of country
allocations. Specific holdings in Brazil and Japan proved the most profitable.
The Portfolio has approximately half of its investments in Europe, which
produced solid returns for the first six months of 1997. Portfolio holdings in
key countries, particularly in the Netherlands and the United Kingdom, followed
a difficult first quarter with a much improved second quarter. Spain and
Switzerland had the strongest six-month returns but represent a modest 8% of the
Portfolio. Larger investments in France and the U.K. produced solid but
unspectacular returns.
Across the Pacific, an underweighted position in Japan detracted from second
quarter results as Japan recouped losses it recorded earlier in the year as
investor confidence in the health of its economy returned. Japanese stock
selection was somewhat disappointing as the high-quality, internationally
competitive growth stocks that had been well rewarded early in 1997 retraced
their steps in the second quarter. Bank stocks, which are not currently
represented in the Portfolio, also led the broader market higher.
Performance from other Pacific Rim stocks was mixed, as Hong Kong delivered
strong results while markets in Malaysia and Thailand remained weak.
The Portfolio's overweighting in Latin America helped it to regain ground, as
markets there continued to make strong advances. Brazil emerged as the
outstanding performer for the period, although Chile, Mexico and Argentina were
not far behind. In terms of stock selection, the Portfolio's managers added
value over the index in both Brazil and Mexico.
Going into the second half of the year, the Portfolio remains slightly ahead
of the benchmark. Management will continue to seek long-term growth through a
highly diversified portfolio of foreign stocks.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
<TABLE>
<CAPTION>
3/94 6/97
<S> <C> <C>
T. Rowe Price International Stock Portfolio $10,000 $14,492
Morgan Stanley EAFE Index $10,000 $13,659
Lipper International Fund Average $10,000 $13,775
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Years ended June 30, 1997 1 year 5 year Life of Fund
- ---------------------------------------------------------------------------
T. Rowe Price International Stock Portfolio 17.43% N/A 12.10%
Morgan Stanley EAFE Index 12.84% N/A 10.07%
Lipper International Fund Average 16.54% N/A 10.33%
</TABLE>
INVESTMENT ADVISER:
Rowe Price-Fleming International, Inc.
ABOUT THE FUND:
The Portfolio seeks long-term growth through a highly diversified portfolio of
foreign stocks.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the geographic allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Japan 23%
United Kingdom 16%
Netherlands 10%
France 8%
Hong Kong 4%
Switzerland 6%
Germany 4%
Brazil 4%
Malaysia 2%
Sweden 3%
Other 20%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 368 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
--
9
--
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP* OVERSEAS PORTFOLIO
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
Seeks long-term capital appreciation, invests primarily in foreign securities
whose principal business activities are outside the U.S.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the geographic allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Japan 26%
United Kingdom 14%
France 9%
Netherlands 8%
Sweden 5%
Switzerland 5%
Germany 4%
Canada 3%
Italy 2%
Spain 2%
Other 22%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 368 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
For the six months ended June 30, 1997, the Fidelity VIP* Overseas Portfolio
returned 16.44%, outperforming the Morgan Stanley EAFE Index of 11.21% and the
Lipper International Fund Average of 12.53% for the same period.
European stocks produced generally strong returns throughout the first six
months of the year although currency conversion hurt many U.S. investors. The
strong U.S. dollar eroded returns in a number of markets, including the French,
German, Dutch and Swedish markets. In England, the pound appreciated versus most
major currencies due to the strengthening British economy, which helped boost
returns for U.S. dollar investors.
Particularly beneficial were the Portfolio's holdings in Spain -- one of the
best-performing markets in Europe. Most noteworthy were bank stocks, such as
Banco Bilbao and Banco De Santander, which benefited from low interest rates and
an improving economic environment.
Across the Pacific, Japanese equities were mixed for the first six months.
Poor first quarter results were followed by very strong returns in the second
quarter, as investor confidence in the Japanese economy increased. Given these
overall results, the portfolio benefited from its underweighted position in
Japan. Security selection was a positive as the Portfolio's manager was able to
identify a number of technology companies which benefited from improving sales
and earnings forecasts. Export-oriented companies also boosted results, as they
profited from the global expansion and a weakening yen.
More disappointing were the Portfolio's holdings in French bank and insurance
stocks, which suffered from investor concerns that the long-awaited
restructuring of these industries wouldn't materialize under the newly elected
Socialist government. Scandinavian stocks also detracted, as rising interest
rates and disappointing earnings sent financial, drug and auto stocks into a
decline. Also negatively impacting performance were British retail and energy
stocks.
The Portfolio's manager is looking for modest growth in Europe, given high
unemployment rates and tight fiscal policy. Japan enters the second half of 1997
on a more positive note, buoyed by investor confidence over improving economic
conditions.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[CHART APPEARS HERE]
<TABLE>
<CAPTION>
<S> <C> <C>
Fidelity VIP* Overseas Portfolio $10,000 $23,524
Morgan Stanley EAFE Index $10,000 $18,917
Lipper International Fund Average $10,000 $22,416
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ---------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year 10 year
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* Overseas Portfolio 22.69% 11.30% 8.93%
Morgan Stanley EAFE Index 12.84% 12.83% 6.58%
Lipper International Fund Average 16.54% 12.33% 8.72%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
- --
10
- --
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
For the first six months of 1997, the Select International Equity Fund returned
8.43%, trailing the Morgan Stanley EAFE Index of 11.21% for the same period.
While equity markets performed well worldwide during 1997, this Fund's
underperformance can be largely attributed to disappointing performance from
themes directed at the developing markets in the Far East. Fears about
increasing U.S. interest rates and continued outflows of cash by foreign
investors continued to drive Asian stock prices down. The external market
pressures have been further compounded by a variety of internal factors, ranging
from poor company results to ongoing financial crises, such as the 25% market
decline in Thailand during the second quarter.
While few other individual themes made a significant contribution to the
Fund's performance -- either positive or negative -- a number of good individual
stock performances did boost overall returns. In the Health Care theme, Novartis
did particularly well as its purchase of Merck's agribusiness division appeared
to fuel an 8% increase in sales, which was well-ahead of expectations. In
addition, Zeneca and Glaxo-Wellcome turned in strong results, buoyed by
optimistic sales prospects for new drugs.
Several stocks within the Positive Banking theme also added to the Fund's
value. Stocks in Lloyd TSB, ABN-Amro and National Australia Bank all reported
profit increases ranging from 14% to 52% during early 1997. This strong
performance continued into the second quarter as Banco De Santander posted
healthy returns and HSBC Holdings benefited from the strong performance of the
Hong Kong market in general.
In looking ahead, the Fund's management continues to view the low-growth,
low-inflationary global environment as a favorable backdrop for equity
investments. However, the upward movement of most markets has inflated
valuations relative to earnings, which remains a key concern.
The Fund's management will continue to maintain a selective approach to
investing in the Far East, particularly in Japan, which appears to be
overvalued. Nevertheless, the Fund's management will continue to monitor
companies in this area in search of worthwhile investment opportunities.
GROWTH OF A $10,000 INVESTMENT SINCE 1994
[CHART APPEARS HERE]
<TABLE>
<S> <C> <C>
Select International Equity Fund $10,000 $15,265
Morgan Stanley EAFE Index $10,000 $13,103
Lipper International Fund Average $10,000 $13,626
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ---------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year Life of Fund
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Select International Equity Fund 22.49% N/A 14.30%
Morgan Stanley EAFE Index 12.84% N/A 8.91%
Lipper International Fund Average 16.54% N/A 9.64%
</TABLE>
INVESTMENT SUB-ADVISER:
Bank of Ireland Asset Management (U.S.) Limited
ABOUT THE FUND:
Seeks maximum long-term total return by investing in established non-U.S.
companies based on fundamental value and strong opportunities for growth.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the geographic allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
United Kingdom 32%
Switzerland 12%
Australia 7%
Netherlands 10%
Singapore 6%
Indonesia 3%
Germany 6%
Cash Equivalents 8%
Other 16%
</TABLE>
The Select International Equity Fund is a portfolio of the Allmerica
Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 368 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
--
11
--
<PAGE>
- --------------------------------------------------------------------------------
DELAWARE INTERNATIONAL EQUITY SERIES
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Delaware International Advisers Ltd.
ABOUT THE FUND:
A value-oriented equity portfolio which seeks capital appreciation and income by
investing in companies domiciled outside the United States.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the geographic allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
United Kingdom 26%
Japan 14%
Australia 11%
France 8%
Germany 9%
Netherlands 6%
Spain 5%
New Zealand 4%
Cash 6%
Other 11%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 368 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
With a total return of 13.95% for the six-month period ended June 30, 1997, the
Delaware International Equity Series handily outperformed the Morgan Stanley
EAFE Index and its peer group, the Lipper International Fund Average which
returned 11.21% and 12.53%, respectively.
The Series' outperformance is attributed to three key factors -- an
overweighting in the United Kingdom, an underweighting in Japan, and strategic
stock selections in Europe.
In the United Kingdom, the Series' managers remain optimistic about the
area's political and economic environment. It has been particularly encouraged
by the efforts of Tony Blair's new government to make the Bank of England, the
U.K.'s central bank, more independent -- like the U.S. Federal Reserve Board.
Believing this move will keep inflation tame, the Series was more heavily
weighted in the U.K. than that of the Morgan Stanley EAFE Index (roughly
double). Given that the U.K.'s benchmark, the Financial Times Stock Exchange 100
Index, rose 14.15% for the first half of the year, this proved to be a rewarding
move.
The Series also continued its strategy of remaining underweighted in Japanese
holdings, as it has for the past several years. The Series' managers believe
that the capital appreciation potential of the Japanese market is limited.
However, it continues to monitor individual opportunities and invests in some
export-oriented Japanese stocks, such as Canon Electronics.
To find attractive investment opportunities in the European market, the
Series' management relies on its fundamental analysis of companies'
inflation-adjusted earnings potential. Based on this analysis, management
believes it has established European holdings which exhibit superior long-term
capital appreciation potential.
As a result of this activity, stock selection in general performed well
during the first half of 1997. The managers are paying particular attention to
the Series' position in Hong Kong. So far, there is no indication that the
recent unification with China will have a sizable effect on this area's economy.
The managers will continue to evaluate companies based on earnings and
dividend potential, factoring in the effects of inflation, political and
economic changes and any long-term fluctuations in currency values.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[CHART APPEARS HERE]
<TABLE>
<S> <C> <C>
Delaware International Equity Series $10,000 $18,526
Morgan Stanley EAFE Index $10,000 $19,012
Lipper International Fund Average $10,000 $19,494
</TABLE>
- ----------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Years ended June 30, 1997 1 year 5 year Life of Fund
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Delaware International Equity Series 25.13% N/A 14.21%
Morgan Stanley EAFE Index 12.84% N/A 14.76%
Lipper International Fund Average 16.54% N/A 15.23%
</TABLE>
- --
12
- --
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP* GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Fidelity VIP* Growth Portfolio
posted a return of 13.83%, trailing both the 20.60% return of the S&P 500(R)
Index and the 10.16% return of the Lipper Capital Appreciation Fund Average for
the same period.
In the first quarter, results from both technology and software stocks
generated mixed results for the Portfolio. Networking stocks were battered as
some companies warned of slower demand and earnings disappointments. However,
many of these stocks rebounded in the second quarter, as companies announced
positive earnings reports. In the software arena, the Portfolio's second largest
holding, Microsoft, contributed solid performance throughout the first half of
the year.
Aided by a combination of moderate economic growth and stable interest rates,
the finance sector fared well. However, the Portfolio's underweighting in this
area muted gains.
On a positive note, the telecommunications sector turned in solid results for
the Portfolio. Growing second-tier telecommunications company, Worldcom,
favorably impacted performance. Health care, specifically the pharmaceutical
area, aided performance as key holdings benefited from strong product
distribution and delivered solid earnings growth.
Declines in several individual stocks detracted from overall results. During
the first quarter, selected retail stocks such as Viking Office Products and
PetsMart hindered performance when they reported disappointing earnings. During
the second quarter, entertainment giant Disney, dragged down by its problems at
its ABC Network subsidiary, and HFS, hurt by concerns of earnings dilution,
weakened performance.
Currently, the Fidelity VIP* Growth Portfolio is overweighted in the
technology, health care and retail/wholesale sectors. It is also underweighted
in the non-durables sector relative to the S&P 500(R). The Portfolio's manager
believes this positioning will enable them to further concentrate holdings in
companies with solid earnings and growth prospects.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[CHART APPEAR HERE]
<TABLE>
<S> <C> <C>
Fidelity VIP* Growth Portfolio $10,000 $38,153
S&P 500(R)Index $10,000 $39,291
Lipper Capital Appreciation Fund Average $10,000 $31,786
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ----------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year 10 year
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* Growth Portfolio 17.92% 19.89% 14.33%
S&P 500(R)Index 34.68% 19.76% 14.63%
Lipper Capital Appreciation Fund Average 14.44% 15.94% 11.24%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
The Portfolio seeks long-term capital appreciation by investing principally in
common stocks with above-average growth prospects.
PORTFOLIO COMPOSITION:
As of June 30 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Technology 20%
Health Care 17%
Non-Durables 9%
Retail & Wholesale 9%
Finance 8%
Energy 6%
Media & Leisure 5%
Aerospace & Defense 4%
Utilities 4%
Basic Industries 3%
Other 15%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Capital Appreciation Fund Average is a non-weighted index of 203 capital
appreciation mutual funds. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
--
13
--
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Putnam Investment Management, Inc.
ABOUT THE FUND:
Seeks long-term growth of capital by investing in stocks of companies believed
to have significant potential for capital appreciation.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Chemicals and Drugs 14%
Technology 9%
Retail 7%
Durable Goods 12%
Finance 19%
Health Services 5%
Consumer Products 9%
Energy 6%
U.S. Government Obligation and Cash Equivalents 5%
Other 14%
</TABLE>
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 757 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
For the six-month period ended June 30, 1997, the Select Growth Fund returned
18.59%, significantly outperforming its peer group, the Lipper Growth Fund
Average which returned 14.28%. The second quarter was particularly strong as the
Fund returned 18.17% versus the S&P 500(R) Index return of 17.44%.
Fueled by falling interest rates, steady economic growth and favorable supply
and demand characteristics, U.S. stocks soared to record levels during the first
half of the year. In the first quarter, the Fund's management capitalized on
this growth with strong stock selections in the drug, banking, consumer finance,
aerospace, telecommunications, semiconductor and energy services sectors. In the
second quarter, technology holdings in the software, semiconductor and
PC-related areas boosted performance as did overweighted positions in
pharmaceutical, bank, insurance, asset management and credit card holdings.
Not every decision helped the Fund's overall returns. For example, the Fund's
performance was muted by underweighted positions in the energy sector and the
large-cap household product and soft-drink groups, all of which performed
admirably. In the first quarter, networking and software holdings were
particularly hard hit. In the second quarter, individual company earnings
surprises were responsible for lagging performance among selected Fund holdings
in the consumer, energy and aerospace sectors.
In positioning the Fund for favorable results in the future, the Fund's
managers are adjusting its exposure in several sectors. By adding positions in
the financial services, software, pharmaceuticals and energy services, they plan
to take advantage of growth opportunities in each of these areas. Likewise, the
Fund's management has trimmed back overvalued segments, such as semiconductors,
aerospace and natural gas pipelines, where the prospects for growth do not
appear to be as promising.
In looking ahead, the Fund's managers believe that short-term market
volatility may continue if earnings and interest rate expectations remain
uncertain. Therefore, they expect to achieve solid returns from a diversified
portfolio of high-quality growth stocks.
GROWTH OF A $10,000 INVESTMENT SINCE 1992
[CHART APPEARS HERE]
<TABLE>
<S> <C> <C>
Select Growth Fund $10,000 $19,922
S&P 500(R)Index $10,000 $24,182
Lipper Growth Fund Average $10,000 $21,216
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Years ended June 30, 1997 1 year 5 year Life of Fund
Select Growth Fund 28.88% N/A 15.26%
S&P 500(R)Index 34.68% N/A 20.02%
Lipper Growth Fund Average 23.96% N/A 17.22%
</TABLE>
- --
14
- --
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
For the first six months of 1997, the Growth Fund generated a total return of
17.20% significantly outperforming its peer group, the Lipper Growth Fund
Average, which returned 14.28%.
While cash holdings and some stock selections were a drag on overall
performance, sector allocation for the Fund had a more positive effect. During
the first half of 1997, the Fund's managers increased exposure in three key
sectors -- heavy industry, consumer services and consumer durables.
In the heavy industry sector, the Fund's management felt a number of stocks
represented attractive opportunities, as many heavy industrial companies have
sharply cut costs. Given that many of these companies are now focused on their
core competencies, management believes they can look forward to enhanced growth
prospects and an opportunity to compete more successfully on a global basis.
Encouraged by these prospects, the Fund's managers either established or
increased positions in such holdings as Cummins Engine, FMC Corp., United
Technologies and LucasVariety.
Consumer services also represented a promising sector for the Fund as many
stocks in this category continue to trade at attractive long-term valuations.
Several trends make this sector particularly appealing. In general,
industry-wide consolidations promise lower costs and higher profits. The aging
population is also driving demand for certain services. And in the hotel
industry in particular, lower capital spending and higher unit revenues may
catalyze positive performance.
The Fund also remained overweighted in consumer durables, reflecting an
earlier strategy to own stocks of companies where management is focused on
increasing shareholder value. Believing that energized leadership has boosted
the growth potential of both General Motors and Ford Motors, the Fund's managers
maintained leading positions in these stocks, replacing an earlier position in
Chrysler.
One sector in which the Fund retains limited exposure is the utilities
sector. Anticipated deregulation and increased competition will drive stock
prices down further. Similarly, the Fund's managers lack enthusiasm for consumer
nondurables, where valuations seem unattractive relative to the modest earnings
growth potential.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[CHART APPEARS HERE]
<TABLE>
<S> <C> <C>
Growth Fund $10,000 $37,023
S&P 500(R)Index $10,000 $39,291
Lipper Growth Fund Average $10,000 $33,674
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year 10 year
- --------------------------------------------------------------------
<S> <C> <C> <C>
Growth Fund 28.00% 17.26% 13.98%
S&P 500(R)Index 34.68% 19.76% 14.63%
Lipper Growth Fund Average 23.96% 16.90% 12.73%
</TABLE>
INVESTMENT SUB-ADVISER:
Miller Anderson & Sherrerd, LLP
ABOUT THE FUND:
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Durable Goods 19%
Finance 14%
Chemicals and Drugs 10%
Energy 6%
Technology 7%
Consumer Products 7%
Utilities 5%
Building and Construction 5%
Cash Equivalents 8%
Other 19%
</TABLE>
The Growth Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 757 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
--
15
--
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Aims to replicate the returns of the S&P 500(R) Index.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Durable Goods 17%
Finance 16%
Chemicals and Drugs 14%
Consumer Products 10%
Energy 9%
Technology 8%
Utilities 7%
Consumer Staples 8%
Retail 4%
U.S. Government Obligations and Cash Equivalents 1%
Other 6%
</TABLE>
The Equity Index Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
S&P 500(R) Index Fund Average is a non-weighted index of 59 funds within the
S&P 500(R) Index investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
The Equity Index Fund seeks to track the performance of the S&P 500(R) Index
before expenses. For the six-month period ended June 30, 1997, the Fund posted a
return of 20.03% compared to a 20.60% return of the Index.
After a brief slowdown in the first quarter, the equity market regained
momentum during the second quarter. Large capitalization stocks continued to
lead the market as they have consistently done in the recent past.
In fact, during the first six months of the year, the 10 largest stocks in
the S&P 500(R) Index returned 28.3% while the remaining 490 stocks rose 18.5%.
Because the Equity Index Fund seeks to mirror the S&P 500(R) Index, its
performance was buoyed by the strong returns of the stock market.
Not surprisingly, the Fund derived its strongest results from its
largest holdings. These holdings consisted of General Electric, Microsoft Corp.,
Coca-Cola Co., Intel Corp., and Exxon Corp., and comprised approximately 11%
of this Fund's assets. Currently, the Fund is almost fully invested in the
market, with approximately 1% of its assets in cash.
More notably, this strong, narrow market enabled index funds as a group to
outperform 87% of active money managers during the first six months of the year.
For this period, the return of the Lipper Growth Fund Average was 14.28%, still
higher than stocks have historically returned for an entire year.
In looking toward the remainder of the year, the Equity Index Fund's managers
anticipate an economic environment of moderate growth without inflationary
pressures. This type of environment should bode well for the equity market.
Growth Of a $10,000 Investment Since 1990
[CHART APPEARS HERE]
<TABLE>
<S> <C> <C>
Equity Index Fund $10,000 $33,378
S&P 500(R)Index 10,000 $34,812
Lipper S&P 500(R)Index Fund Average 10,000 $33,715
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year Life of Fund
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Equity Index Fund 33.69% 19.06% 19.54%
S&P 500(R)Index 34.68% 19.76% 20.27%
Lipper S&P 500(R)Index Fund Average 34.00% 19.23% 19.81%
</TABLE>
- --
16
- --
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP* EQUITY-INCOME PORTFOLIO
- --------------------------------------------------------------------------------
The Fidelity VIP* Equity-Income Portfolio achieved a total return of 16.39% for
the first half of 1997, outperforming the Lipper Equity Income Fund Average of
14.75% but trailing the S&P 500(R) return of 20.60%.
As declining interest rates and continuing consolidation benefited the
finance industry in the second quarter, the portfolio's overweighted position
enabled it to participate heavily in the sector's advance. Leading the way was
its holdings in Allstate.
The Portfolio also benefited from its positions in industrial machinery
stocks, which as a whole, performed well. The portfolio also profited from its
large holdings in GE, Westinghouse and Philip Morris. As word of an agreement
between the federal government and the tobacco companies became public,
uncertainty surrounding future litigation lessened, which investors regarded as
a positive sign.
True to the Portfolio's mandate as an equity-income portfolio, the manager
kept the portfolio relatively underweighted in the low dividend-paying
technology sector. However, this underweighting did detract from results, as the
technology sector rebounded from a disappointing first quarter to become one of
the second quarter's better performing groups. The Portfolio's overall gains
were also hampered by holdings in the poor-performing basic industries sector,
which suffered from a combination of earnings difficulties and industry-wide
overcapacity.
In keeping with the Portfolio's low annual turnover rate, the Portfolio's
manager modestly repositioned holdings during the second quarter. Commitments to
the utilities sector were increased, and given the recent strength of the
finance sector, profits were taken in some holdings and reinvested in other
promising financial companies. The Portfolio's exposure to the non-durable,
health care and technology groups was reduced by selling off certain stocks at a
profit.
In looking ahead, the Portfolio's manager will continue to seek good total
return opportunities from income-producing equity securities.
[CHART APPEARS HERE]
<TABLE>
GROWTH OF A $10,000 INVESTMENT SINCE 1987
<S> <C> <C>
Fidelity VIP* Equity-Income $10,000 $35,991
S&P 500(R) Index 10,000 $39,291
Lipper Equity Income Fund Average 10,000 $31,849
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year 10 year
- --------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* Equity-Income Portfolio 25.66% 20.09% 13.66%
S&P 500(R) Index 34.68% 19.76% 14.63%
Lipper Equity Income Fund Average 26.73% 16.12% 11.74%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
Seeks reasonable income by investing primarily in income-producing equity
securities.
PORTFOLIO COMPOSITION:
As of June 30, 1997 the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Finance 20%
Energy 13%
Non-Durables 8%
Health Care 7%
Aerospace & Defense 7%
Indust. Mach. & Equip. 7%
Basic Industries 7%
Utilities 6%
Retail & Wholesale 5%
Technology 4%
Other 16%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Equity Income Fund Average is a non-weighted average of 171 funds seeking high
current income and growth of income by investing more than 60% of its portfolio
in equities. Performance numbers are net of all fund operating expenses, but do
not include insurance charges. If performance information included the effect of
these additional charges, it would have been lower.
--
17
--
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Select Growth and Income Fund
returned 13.77%, lagging its peer group, the Lipper Growth & Income Fund Average
of 15.52% for the same period.
While the Fund demonstrated relative resilience on the days in which the
stock market declined during the first half of the year, it did not keep pace
during the market advance, which tended to be driven by only a handful of
stocks. The Fund was also hurt by adverse developments and overly optimistic
investment horizons in certain holdings, including: Tupperware, Pharmacia &
Upjohn, Readers' Digest, AirTouch, U.S. West Media Group and Molten Metals.
On the positive side, many holdings posted favorable performance. The ongoing
expansion of the domestic economy contributed to improved earnings in
economically sensitive companies such as General Electric, duPont, Air Products
and IBM. Shares of health care companies also gained momentum, reflecting
positive demographic trends in the United States and Europe, as well as, growing
demand from developing nations. The Fund's underweighting in utilities and
regional Bell operating companies, which experienced disappointing performance
due to regulatory uncertainty, also served to aid relative performance.
In looking ahead, the Fund's managers foresee a period of increased
volatility for the stock market, resulting in more balanced performance among
individual stocks. Gains in only a narrow part of the stock market, however,
will pose the greatest challenge to the Fund's strategy of diversification and
risk control.
Still, management believes growth opportunities exist. The best prospects for
greater-than-market potential at less-than-market risk seem to come from
companies that undertake strategic initiatives, like internal restructurings, to
improve their growth prospects and garner a higher share price.
[CHART APPEARS HERE]
<TABLE>
GROWTH OF A $10,000 INVESTMENT SINCE 1992
<S> <C> <C>
Select Growth and Income Fund $10,000 $19,966
S&P 500(R) Index 10,000 $24,182
Lipper Growth & Income Fund Average 10,000 $21,305
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year Life of Fund
- -------------------------------------------------------------------------
<S> <C> <C> <C>
Select Growth and Income Fund 25.97% N/A 15.32%
S&P 500(R) Index 34.68% N/A 20.02%
Lipper Growth & Income Fund Average 28.07% N/A 17.53%
</TABLE>
INVESTMENT SUB-ADVISER:
John A. Levin & Co., Inc.
ABOUT THE FUND:
Seeks a combination of long-term growth of capital and current income by
investing primarily in dividend-paying stocks and convertible securities.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Finance 11%
Durable Goods 10%
Aerospace/Aircraft 6%
Technology 8%
Energy 7%
Printing and Publishing 6%
Chemicals and Drugs 10%
Consumer Products 9%
U.S. Government Obligations and Cash Equivalents 6%
Other 27%
</TABLE>
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Fund Average is a non-weighted index of 545 funds within the
growth and income investment objective. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
- --
18
- --
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP II* ASSET MANAGER PORTFOLIO
- --------------------------------------------------------------------------------
For the first six months of 1997, the Fidelity VIP II* Asset Manager Portfolio
returned 11.20%, outpacing the Lipper Flexible Portfolio Fund Average which
returned 10.25% for the period.
In response to a growing economy in the first quarter, the Federal Reserve
Board raised rates by one quarter of one percentage point. In turn, stock prices
fell almost 10% during March and April. However, they rebounded sharply during
May and June as investors focused on surprisingly strong first quarter earnings
growth reports and positive economic reports.
Given these overall market conditions, managers for the Fidelity VIP II*
Asset Manager Portfolio allocated approximately 59% of their assets to equities,
34.5% to bonds and 6.5% to short-term securities. Relative to the index, this
allocation overweighted the Portfolio in stocks and underweighted it in bonds
and short-term instruments. As stocks outpaced fixed income securities, this
larger commitment to stocks helped the fund outperform its benchmark during the
first half of 1997.
Strategic sector weightings also boosted Portfolio performance. The managers
slightly overweighted positions in the Finance sector which served the Portfolio
well as finance stocks in general added to performance. Holdings such as Fannie
Mae, Freddie Mac and Allstate all responded favorably to the Federal Reserve's
decision to leave rates unchanged in May, thus adding to the Portfolio's gains.
Because the first quarter sell off in stocks impacted the technology sector
especially hard, managers used this opportunity to selectively add positions;
specifically in the computer services and developing communications areas. Solid
stock selection in the non-durables sector also helped, despite the Portfolio's
underweighted position in this area.
Foreign holdings, while not a substantial part of the portfolio, detracted
from performance. Securities prices in both the United Kingdom and France
underperformed the strong U.S. market.
In the fixed income portion of the Portfolio, increased exposure in the
high-yield market and solid credit selection in the corporate sector allowed the
Portfolio to outpace the Lehman Brothers Aggregate Bond Index.
[CHART APPEARS HERE]
<TABLE>
GROWTH OF A $10,000 INVESTMENT SINCE 1989
<S> <C> <C>
Fidelity VIP II* Asset Manager Portfolio $10,000 $24,994
S&P 500(R) Index 10,000 $32,479
Lipper Flexible Portfolio Fund Average 10,000 $23,167
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- ---------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year Life of Fund
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP II* Asset Manager Portfolio 20.45% 12.43% 12.43%
S&P 500(R) Index 34.68% 19.76% 15.74%
Lipper Flexible Portfolio Fund Average 18.48% 12.72% 11.25%
</TABLE>
*VIP II refers to Variable Insurance Products Fund II.
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
Seeks high long-term return with reduced risk by allocating assets among a
broadly diversified mix of stocks, bonds and money market investments.
PORTFOLIO COMPOSITION:
As of June 30, 1997 the sector allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Finance 13%
Technology 10%
Non-Durables 6%
Utilities 6%
Energy 5%
Health Care 5%
Retail & Wholesale 5%
Durables 3%
Basic Industries 3%
Media & Leisure 3%
Other* 41%
</TABLE>
<TABLE>
<S> <C>
*Stocks 3%
Bonds 33%
Cash 5%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Flexible Portfolio Fund Average is a non-weighted index of 203 funds within the
flexible portfolio fund category. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
--
19
--
<PAGE>
BOND & MONEY MARKET OVERVIEW
1992: Government and corporate bonds outperformed the stock market.
1993: U.S. economy gains momentum. Consumer spending and installment debt
increase.
1994: Federal Reserve Board raises interest rates six times in an effort to slow
down the economy and keep inflation in check, sending bond prices sharply lower.
1995: U.S. bond market enjoys its third best performance in 30 years, thanks to
strong total returns from 30-year U.S. Treasuries and corporate issues.
1996: Outlook for Federal Reserve policy affects U.S. bond market. Long-
predicted interest rate cuts, which would have fueled this market, never occur.
1997: Despite the favorable outlook for bonds, a surprisingly strong economy
kindles fears about inflationary pressures and causes the Federal Reserve to
raise interest rates 0.25%.
Moving into 1997, many analysts predicted strong returns for the U.S. bond
market. But stable interest rates, despite an expanding economy, generated
sluggish returns for the bond market.
As the first quarter progressed, strong economic data, particularly in the
retail and housing segments, revealed possible signs of an overheated economy.
In an effort to squelch any uptick in inflation, the Federal Reserve Board
raised the Federal Funds rate by one quarter of one percent in the first quarter
to 5.50% on March 25, 1997. The bond market reacted sharply as investors sold
bonds, thereby driving prices lower and yields higher. As a result, most bond
funds lost money through the first quarter. The second quarter evolved with most
indicators pointing to signs of more moderate economic growth and subdued
inflation, which reduced pressure on the Federal Reserve Board to further
increase rates.
As fears of additional interest rate hikes subsided, the bond market rallied
and produced a positive 3.67% return for the second quarter. By mid-year, the
bond market's six month total return was a modest 3.07%.
Throughout the first half of 1997, the bond market was most affected by the
fact that there was little, if any, inflation. Historically, periods of low
unemployment have spurred higher inflation. But after four years of declining
unemployment, the rate of inflation in the U.S. has remained almost nonexistent.
Economic growth remains solid but not too strong. U.S.
[TIMELINE APPEARS HERE]
Convinced domestic growth will slow from 1996 levels, investors favor bonds at
the start of the year.
Signs of a strong economy raise fears over increasing interest rates and the
market softens.
In response to signs of a strong economy the Federal Reserve raises interest
rates 0.25% to head off inflation. The bond market declines.
- --
20
- --
<PAGE>
corporations are currently spending the equivalent of nearly 11.5% of real
GDP on business investments and dedicating a significant amount to information
technology.
The predominant beneficiaries of all this solid domestic growth and increased
corporate spending were corporate bonds. As of June 30, 1997, they represented
one of the best performing segments of the bond market, along with
mortgage-backed and asset-backed securities.
In contrast, yields on U.S. Treasuries dwindled. As a result of the healthy
economy and the strong equity market, the budget deficit for the fiscal year
ending September 30, 1997, is now estimated to be less than one third of the
original $155 billion forecast. This, in turn, has significantly reduced the
need for Treasury financing in the bond market and will reduce the supply of new
Treasury bonds coming into the market. Fixed income investors are therefore
fighting not only low interest rates, but a dwindling supply of new investment
opportunities. Steady demand for good fixed income securities has caused the
spread between most sectors of the bond market and U.S. Treasuries to narrow.
Overall, this means that managers are having to work harder than ever to add
value to their portfolios.
As for shorter-term money market instruments, they've become less attractive
as investors could seek to garner higher returns -- albeit with added risk --
from other investments.
Looking ahead, most market analysts predict that domestic growth will
continue to strengthen before slowing sometime in the fourth quarter of 1997.
Since projections are also calling for continued subdued inflation, interest
rates are anticipated to remain in the stable-to-low range. As in the past six
months, many analysts believe that incremental return for bond investors is
likely to come from selective investments in spread assets, such as corporate
bonds and mortgage-backed securities.
[TIMELINE APPEARS HERE]
Interest rates begin to decline as slower economic growth emerges and the bond
market begins to recover.
Stable-to-declining interest rates bode well for mortgage-backed securities and
corporate bonds.
Reduced estimates for the budget deficit limit the need for U.S. Treasury
financing.
By mid-year, the bond market over-all posted a below-average return of 3.07%
--
21
--
<PAGE>
- --------------------------------------------------------------------------------
FIDELITY VIP* HIGH INCOME PORTFOLIO
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
Fidelity Management & Research Company
ABOUT THE FUND:
Seeks high income and growth of
capital by investing primarily in
high-yielding, lower-rated, fixed-
income securities.
PORTFOLIO COMPOSITION:
As of June 30, 1997 the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Telecommunications 20%
Cable TV 9%
Paper 7%
Hotel/Gaming 6%
Broadcasting 6%
Energy 5%
Consumer Products 4%
Aero/Elec/Computer 4%
Capital Goods 3%
Supermarkets 3%
Other 33%
</TABLE>
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Salomon Brothers High-Yield Index tracks the performance of high yield
securities trades in the U.S. Bond Market. The Lipper High Current Yield Fund
Average is a non-weighted average of 163 funds that seek high Current yield from
fixed income securities. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
The Fidelity VIP* High Income Portfolio returned 7.70% for the six-month period
ended June 30, 1997, outpacing its peer group the Lipper High Current Yield Fund
Average of 5.92% for the same period.
While the high-yield market in general was down late in the first quarter, it
strongly rebounded during the second quarter as a variety of factors in the
market turned positive. New economic data indicated that the economy was slowing
which helped push stock prices higher, interest rates modestly lower, and
widened the yield spread between high yield bonds and Treasuries. All of these
factors benefited the high yield market in general and the Portfolio in
particular.
Some of the biggest contributors to the Portfolio's positive performance came
from strong returns in telecommunications and cable holdings. In the first
quarter, energy stocks, in particular, Harcor Energy, contributed to positive
results. In the second quarter, paper companies, recovering from downtrodden
paper prices, contributed significantly to the Portfolio's outperformance.
In the telecommunications sector, cellular service provider, Millicom and
satellite companies, Orion and Panamsat appreciated as they restructured
operations and improved their earnings. Cable companies in general returned to
favor, as investors realized they were capable of growing earnings despite
increased competition from direct access sources.
Detracting from the Portfolio's overall performance were holdings in paging
companies, which declined due to concerns about the industry's growth and
earnings prospects. Other performance shortfalls reflected no specific themes
and were primarily attributable to the deteriorating credit of key individual
securities.
Telecommunications and cable holdings remain the Portfolio's largest
positions, although cable holdings have been reduced from earlier levels held in
the Portfolio. Issues in paper companies also represent a significant position,
as the manager believes that fundamentals in this industry are continuing to
improve.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
<TABLE>
<CAPTION>
6/87 6/97
<S> <C> <C>
___ Fidelity VIP* High Income Portfolio $10,000 $29,639
... Salomon Brothers High-Yield Index $10,000 $29,207
- - - Lipper High Current Yield Fund Average $10,000 $25,313
</TABLE>
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year 10 year
- --------------------------------------------------------------------
<S> <C> <C> <C>
Fidelity VIP* High Income Portfolio 14.47% 13.24% 11.48%
Salomon Brothers High-Yield Index 14.58% 11.55% 11.24%
Lipper High Current Yield Fund Average 14.77% 11.01% 9.64%
</TABLE>
*VIP refers to Variable Insurance Products Fund.
22
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Investment Grade Income Fund
posted a 3.21% total return, beating both the Lehman Brothers Aggregate Bond
Index of 3.09% and the Lipper Intermediate Investment Grade Fund Average which
returned 2.74%.
After declining slightly in the first quarter, the U.S. bond market gained
more than 3% during the second quarter. Strong consumer demand and low inflation
fueled expansion in U.S. corporations and higher levels of investment spending.
In fact, corporate spending currently equals nearly 11.5% of real GDP. Despite
this activity, yield spreads remain narrow between Treasuries and other sectors
of the bond market, particularly corporates and mortgage-backed securities.
Given the narrow spreads, the managers focused more on individual security
selection. Within the corporate sector, the Fund's largest position is
Telecommunications, Inc. (TCI), a dominant cable provider.
In the banking sector, the Fund also holds several Trust preferred positions.
In selecting these issues, the Fund's management first finds well-run
institutions and then looks for smaller companies which are attractive
acquisitions for larger banks seeking to expand into new regions. Based on this
criteria, managers added First Empire, an upstate New York bank and Compass
Bank, headquartered in Alabama, to the Fund.
On the utility front, the Fund's holdings in Connecticut Light & Power (CL&P)
proved disappointing as they were downgraded by S&P when the state legislature
deferred any decision on utility deregulation until next year. Mortgage-backed
securities, in contrast, contributed to performance as they represented the best
performing sector of the Lehman Brothers Aggregate Bond Index. To protect the
Fund from declining rates, the Fund is also invested in whole loan
collateralized mortgage-backed securities (CMOs).
Because a stronger economy is projected for the rest of 1997, management
plans to gain incremental return from selective investments in spread assets.
GROWTH OF A $10,000 INVESTMENT SINCE 1987
___ Investment Grade Income Fund $10,000 $23,425
... Lehman Brothers Aggregate Bond Index 10,000 $23,224
- - - Lipper Intermediate Investment Grade
Fund Average 10,000 $21,251
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- --------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year 10 year
- --------------------------------------------------------------------
<S> <C> <C> <C>
Investment Grade Income Fund 8.36% 7.26% 8.89%
Lehman Brothers Aggregate Bond Index 8.15% 7.12% 8.82%
Lipper Intermediate Investment Grade
Fund Average 7.54% 6.40% 8.14%
</TABLE>
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
The Fund's objective is to generate a
high level of total return, as is consistent
with prudent investment management.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
U.S. Government and Agency Obligations 42%
Corporate Notes and Bonds 38%
Asset-Backed Securities 17%
Cash Equivalents and Other 3%
</TABLE>
The Investment Grade Income Fund is a portfolio of the Allmerica Investment
Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of average yield
U.S. investment grade bonds. The Lipper Intermediate Investment Grade Fund
Average is a non-weighted Index of 183 funds investing in intermediate-term
corporate and government securities. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
23
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
The Fund's objective is to generate
high income for investors while seeking to
preserve capital and maintain liquidity.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
U.S. Government and Agency Obligations 91%
Asset-Backed Securities 7%
Cash Equivalents and Other 2%
</TABLE>
The Government Bond Fund is a portfolio of the Allmerica Investment Trust.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Intermediate Government Bond Index is an unmanaged index of average
yield U.S. Intermediate fixed-income bonds. The Lipper Short-Intermediate U.S.
Government Fund Average is a non-weighted index of 95 funds investing in short-
to intermediate government securities. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
For the six-month period ended June 30, 1997, the Government Bond Fund returned
2.50%, slightly underperforming the Lipper Short-Intermediate U.S. Government
Fund Average return of 2.57% for the same period.
Strong economic growth and modest tightening of monetary policy -- typically
disappointing for the bond market - contributed to the Fund's underperformance
in the first quarter. However, shortly after the Federal Reserve raised the rate
on Federal Funds by 0.25% in late March, second quarter economic indicators
began to show a slowdown in consumer spending, contained inflation and strong
corporate profits -- all favorable for the bond market.
Against this backdrop, the Government Bond Fund fared well for the first half
of 1997. In anticipation of higher interest rates, the Fund managers kept the
Fund's duration slightly below that of the index for much of the period. This
decision helped performance during the first quarter and hindered performance
during the second quarter. Offsetting these trends was the incremental return
added to the Fund from its allocation in slightly higher-yielding U.S. agency
paper and mortgage-backed securities.
Management added to the Fund's mortgage-backed securities holdings during the
first half of the year, raising its allocation to 52% of the Fund's assets. The
Fund's managers feel that these securities are most likely to perform well as
interest rates remain in a low-volatility environment.
Looking toward the second half of 1997, the Fund's managers will continue to
monitor economic indices. With rising inflation nowhere in sight, but high
factory utilization rates, steady job growth, rising personal income and strong
consumer spending, the Fund managers believe the Federal Reserve will most
likely raise rates before the year is over -- but not to the point where growth
will slow. Another small move up would simply ward off any inflationary
pressures. Given this outlook, the Fund remains positioned slightly shorter in
duration than the index, while trying to enhance returns through investments in
high-quality mortgage-backed securities.
GROWTH OF A $10,000 INVESTMENT SINCE 1991
___ Government Bond Fund $14,616
... Lehman Intermediate Government Bond Index $14,821
- - - Lipper Short-Intermediate U.S. Government Fund Average $13,677
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -----------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year Life of Fund
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Government Bond Fund 6.46% 5.80% 6.70%
Lehman Intermediate
Government Bond Index 6.95% 6.23% 6.98%
Lipper Short-Intermediate
U.S. Government Fund Average 6.33% 5.28% 6.18%
</TABLE>
24
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1997, the Money Market Fund provided a
competitive return of 2.62% versus the 2.38% semi-annual return posted by its
peer group, the Lipper Money Market Fund Average.
Potential changes in monetary policy affected the entire money market sector
throughout the first half of 1997, as concerns of robust growth in the U.S.
mounted. Primarily driven by strong economic data in the retail and housing
segments, the Federal Reserve moved to raise the Federal Funds Rate by one
quarter of one percent in the first quarter to 5.50%. As the year continued,
however, all indicators pointed to signs of more moderate economic growth and
subdued inflation, which reduced pressure on the Federal Reserve to raise
interest rates further.
Despite these overall economic concerns, the managers for the Money Market
Fund remained focused on three primary goals: preservation of capital,
maintenance of liquidity and the production of maximum current income.
To garner some incremental yield, the Fund has maintained a slightly longer
average weighted maturity than its index. In addition, the portfolio has been
overweighted in top-tier commercial paper and government agency discount notes.
These moves provide incremental yield for the Fund and have capitalized on
stable-to-declining interest rates in the second quarter.
As the Fund's managers look toward the remainder of 1997, they believe
inflation will remain subdued. Therefore, they plan to adhere to their current
investment strategy as well as evaluate the value and credit worthiness of all
short-term financial products.
INVESTMENT SUB-ADVISER:
Allmerica Asset Management, Inc.
ABOUT THE FUND:
Strives to maximize current income
for investors with preservation of
capital and liquidity.
PORTFOLIO COMPOSITION:
As of June 30, 1997, the sector
allocation of net assets was:
[PIE CHART APPEARS HERE]
Commercial Paper 55%
U.S. Government and Agency Obligations 19%
Corporate Notes and Bonds 18%
Other Short-Term Investments 2%
Other 6%
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
The Fund is neither insured nor guaranteed by the U.S. government. There can be
no assurance that the Fund will be able to maintain its net asset value of $1.00
per share.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
IBC/Donoghue is an independent firm that tracks 2a-7 regulated money market
funds on a yield, shareholder, asset size and portfolio allocation basis. The
Lipper Money Market Fund Average is an unmanaged index of 292 funds within the
Money Market category.
<TABLE>
GROWTH OF A $10,000 INVESTMENT SINCE 1987
[CHART APPEARS HERE]
<S> <C>
Money Market Fund $10,000 $17,668
IBC/Donoghue First Tier Money Market Index 10,000 17,095
Lipper Money Market Fund Average 10,000 16,895
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
- -----------------------------------------------------------------------------
Years ended June 30, 1997 1 year 5 year 10 year
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
Money Market Fund 5.36% 4.49% 5.86%
IBC/Donoghue First Tier Money Market Index 4.90% 4.11% 5.51%
Lipper Money Market Fund Average 4.82% 4.09% 5.48%
</TABLE>
25
<PAGE>
This page intentionally left blank.
<PAGE>
----------
Financials
----------
<PAGE>
This page intentionally left blank.
<PAGE>
- --------------------------------------------------------------------------------
Select Aggressive Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.97%
Durable Goods - 23.36%
136,400 ADC Telecommunications, Inc.* $ 4,552,350
138,400 Apogee Enterprises, Inc. 2,975,600
162,900 Arvin Industries, Inc. 4,439,025
122,400 BMC Software, Inc.* 6,777,900
97,700 Borg-Warner Automotive, Inc. 5,281,906
45,500 Caterpillar, Inc. 4,885,563
99,100 CIBER, Inc.* 3,387,981
186,600 Compuware Corp.* 8,910,150
104,400 Comverse Technology, Inc.* 5,428,800
117,200 Cooper Cameron Corp.* 5,479,100
94,600 Dell Computer Corp.* 11,109,588
128,500 ENCAD, Inc.* 5,332,750
114,900 Jabil Circuit, Inc.* 9,637,238
229,200 MascoTech, Inc. 4,784,550
55,100 Mastec, Inc.* 2,606,919
326,700 Oak Technology, Inc.* 3,185,325
46,700 PeopleSoft, Inc.* 2,463,425
111,200 Pomeroy Computer Resources, Inc.* 2,752,200
194,800 Quantum Corp.* 3,969,050
57,700 Rowan Cos., Inc.* 1,626,419
11,000 SPX Corp. 712,938
103,400 Tellabs, Inc.* 5,777,475
132,300 U.S. Long Distance Corp.* 2,282,175
191,500 Varco International, Inc.* 6,175,875
------------
114,534,302
------------
Finance - 10.98%
59,000 Aegon Nv, ADR 4,133,688
117,000 Astoria Financial Corp. 5,557,500
91,670 Bear Stearns Cos., Inc. 3,133,968
94,000 Countrywide Credit Industries, Inc. 2,931,625
48,600 Green Tree Financial Corp. 1,731,375
99,900 Greenpoint Financial Corp. 6,649,594
42,700 HCC Insurance Holdings, Inc. 1,139,556
87,000 Horace Mann Educators Corp. 4,263,000
154,050 MBNA Corp. 5,642,081
206,500 North Fork Bancorp., Inc. 4,413,938
100,700 State Street Corp. 4,657,375
70,300 Torchmark Corp. 5,008,875
72,766 Travelers Group, Inc. 4,588,806
------------
53,851,381
------------
Technology - 10.54%
98,900 Altera Corp.* 4,994,450
56,700 Aspen Technologies, Inc.* 2,133,338
221,700 Avid Technology, Inc.* 5,847,338
194,200 Bio-Technology General Corp.* 2,621,700
57,100 Compaq Computer Corp.* 5,667,175
285,900 Creative Technology, Ltd.* 4,918,795
120,100 EMC Corp.* 4,683,900
93,812 McAfee Associates, Inc.* 5,921,883
44,500 Microsoft Corp.* 5,623,688
47,700 Seagate Technology, Inc.* 1,678,444
78,700 Sun Microsystems, Inc.* 2,929,116
144,000 Vitesse Semiconductor Corp.* 4,707,000
------------
51,726,827
------------
Electronics - 10.17%
145,600 American Power Conversion Corp.* 2,766,400
243,900 Cellstar Corp.* 7,469,438
133,300 Dallas Semiconductor Corp. 5,232,025
197,500 Digital Microwave Corp.* 5,925,000
104,400 Electronics For Imaging, Inc.* 4,932,900
184,900 Innovex, Inc. 5,385,213
35,900 Intel Corp. 5,091,069
150,700 Orbotech, Ltd.* 4,822,400
260,800 Western Digital Corp.* 8,247,800
------------
49,872,245
------------
Retail - 9.12%
28,800 Bed Bath & Beyond, Inc.* 874,800
145,100 Costco Cos., Inc.* 4,770,163
28,400 Fabri-Centers of America, Inc., Class A* 773,900
276,100 Fleming Cos., Inc. 4,969,800
118,900 Jones Apparel Group, Inc.* 5,677,475
61,400 Liz Claiborne, Inc. 2,862,775
79,100 Meyer (Fred), Inc.* 4,088,481
215,600 Michaels Stores, Inc.* 4,568,025
262,000 Ross Stores, Inc. 8,564,125
286,200 Stride Rite Corp. 3,684,825
162,500 Woolworth Corp.* 3,900,000
------------
44,734,369
------------
Consumer Products - 6.87%
71,000 Applied Materials, Inc.* 5,027,688
88,100 Corning, Inc. 4,900,563
62,800 Meredith Corp. 1,821,200
242,800 Pier 1 Imports, Inc. 6,434,200
175,000 Safeskin Corp.* 5,151,563
134,900 Sunbeam Corp. 5,092,475
200,400 TJX Cos., Inc. 5,285,550
------------
33,713,239
------------
Health Services - 4.81%
31,900 Creative Biomolecules, Inc.* 225,294
191,300 General Nutrition Cos., Inc.* 5,356,400
58,800 Guidant Corp. 4,998,000
74,400 HBO & Co. 5,124,300
33,500 Health Management Associates, Inc.,
Class A* 954,750
96,600 Oxford Health Plans, Inc.* 6,931,050
------------
23,589,794
------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-1
<PAGE>
- --------------------------------------------------------------------------------
Select Aggressive Growth Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Energy - 4.56%
118,400 Cliffs Drilling Co.* $ 4,321,600
238,200 Global Marine, Inc.* 5,538,150
244,700 Marine Drilling Cos., Inc.* 4,802,238
106,800 USX-Marathon Group 3,083,850
202,100 Veritas DGC, Inc.* 4,597,775
------------
22,343,613
------------
Chemicals and Drugs - 2.84%
152,400 Medeva Plc, ADR 2,609,850
138,900 Medicis Pharmaceutical Corp., Class A* 6,927,638
165,000 Premark International, Inc. 4,413,750
------------
13,951,238
------------
Aerospace-Airlines - 2.79%
126,700 Continental Airlines, Inc., Class B* 4,426,581
48,500 Delta Air Lines, Inc. 3,977,000
163,200 Gateway 2000, Inc.* 5,293,800
------------
13,697,381
------------
Transportation Services - 2.69%
112,700 Canadian Pacific, Ltd. 3,204,906
58,600 UAL Corp.* 4,193,563
259,900 Yellow Corp.* 5,815,263
------------
13,213,732
------------
Consumer Staples - 2.32%
90,900 American Standard Cos., Inc.* 4,067,775
72,300 Interstate Bakeries Corp. 4,288,282
68,100 Philip Morris Cos., Inc. 3,021,938
------------
11,377,995
------------
Metals and Mining - 2.25%
476,900 Bethlehem Steel Corp.* 4,977,644
192,200 Inland Steel Industries, Inc. 5,021,225
24,200 Mueller Industries, Inc.* 1,058,750
------------
11,057,619
------------
Paper and Forest - 1.45%
140,900 Fort Howard Corp.* 7,133,063
------------
Consumer Cyclical - 1.17%
136,800 EVI, Inc.* 5,745,600
------------
Broadcasting - 1.06%
161,000 Westwood One, Inc.* 5,192,250
------------
Capital Goods - 1.00%
283,800 Navistar International Corp.* 4,895,550
------------
Food Services - 0.82%
467,200 Ryan's Family Steak Houses, Inc.* 4,000,400
------------
Consumer Service - 0.17%
17,400 Robert Half International, Inc.* 818,888
------------
Total Common Stocks 485,449,486
(Cost $374,224,255) ------------
<CAPTION>
Par Value
- ---------
<S> <C> <C>
COMMERCIAL PAPER (A) - 1.19%
$5,849,000 Merrill Lynch & Co., Inc.
6.20%, 07/01/97 5,849,000
------------
Total Commercial Paper 5,849,000
(Cost $5,849,000) ------------
<CAPTION>
Shares
- ------
<S> <C> <C>
INVESTMENT COMPANIES - 0.10%
3,661 ILA Prime Obligation Money Market Fund 3,661
492,079 ILA Prime Obligation Portfolio Fund,
Class B 492,079
------------
Total Investment Companies 495,740
(Cost $495,740) ------------
Total Investments - 100.26% 491,794,226
(Cost $380,568,995) ------------
Net Other Assets and Liabilities - (0.26)% (1,294,341)
------------
Net Assets - 100.00% $490,499,885
============
</TABLE>
- ----------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $380,568,995. Net unrealized appreciation (depreciation) aggregated
$111,225,231, of which $118,050,196 related to appreciated investment securities
and $(6,824,965) related to depreciated investment securities.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $6,808,097.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $285,716,915
and $233,357,025 from non-governmental issuers, respectively.
See Notes to Financial Statements.
---------------------------------------------------------
F-2
<PAGE>
- --------------------------------------------------------------------------------
Select Capital Appreciation Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 82.95%
Retail - 16.63%
13,400 Costco Cos., Inc.* $ 440,525
117,925 Family Golf Centers* 2,712,275
316,700 Fastenal Co. 15,518,300
19,025 Meyer (Fred), Inc.* 983,355
25,950 MSC Industrial Direct Co., Class A* 1,041,244
47,500 O'Reilly Automotive, Inc.* 1,828,750
258,183 Petco Animal Supplies, Inc.* 7,745,490
27,775 Quality Food Centers, Inc.* 1,055,450
7,800 Safeway, Inc.* 359,775
------------
31,685,164
------------
Finance - 12.50%
7,075 AFLAC, Inc. 334,294
12,425 Associates First Capital Corp., Class A 689,588
52,525 Credit Acceptance Corp.* 676,259
12,700 Federal Agricultural Mortgage Corp.* 460,375
2,875 FINOVA Group, Inc. 219,938
3,375 First Empire State Corp. 1,137,375
52,450 Hartford Life, Inc., Class A* 1,966,875
8,675 Healthcare Financial Partners, Inc.* 176,752
3,300 Household International, Inc. 387,544
271,150 Insignia Financial Group, Inc., Class A* 4,914,594
114,850 Medallion Financial Corp. 2,196,506
17,275 Nationwide Financial Services, Inc. 458,867
1,150 Northern Trust Corp. 55,630
21,625 Progressive Corp. 1,881,375
65,650 Protective Life Corp. 3,298,912
12,700 Regions Financial Corp. 401,637
44,075 Schwab (Charles) Corp. 1,793,302
3,900 TCF Financial Corp. 192,563
8,725 Travelers Group, Inc. 550,220
51,000 UICI* 1,504,500
19,775 Western National Corp. 530,217
------------
23,827,323
------------
Business Services - 7.96%
8,750 Catalina Marketing Corp.* 421,094
7,225 G&K Services Inc., Class A 269,131
121,200 HFS, Inc.* 7,029,600
67,275 Outdoor Systems, Inc.* 2,573,269
109,150 Paychex, Inc. 4,147,700
51,675 Profit Recovery Group
International, Inc.* 716,991
------------
15,157,785
------------
Communications - 7.68%
91,400 Clear Channel Communications, Inc.* 5,626,813
9,725 CommNet Cellular, Inc.* 337,944
68,950 Evergreen Media Corp., Class A* 3,076,894
31,500 Heftel Broadcasting Corp., Class A* 1,740,375
287,307 PriCellular Corp., Class A* 2,639,633
31,075 Univision Communications, Inc.,
Class A* 1,215,809
------------
14,637,468
------------
Health Services - 7.08%
79,125 Karrington Health, Inc.* 1,186,875
208,350 Omnicare, Inc. 6,536,981
89,150 Teva Pharmaceutical 5,772,462
------------
13,496,318
------------
Building and Construction - 6.08%
142,400 Barnett, Inc.* 3,488,800
15,225 JLK Direct Distribution, Inc., Class A* 390,141
139,550 Littelfuse, Inc.* 3,942,288
10,050 Littelfuse, Inc., (Warrants),
exp. 12/27/01* 227,381
74,475 Sealed Air Corp.* 3,537,563
------------
11,586,173
------------
Food Services - 4.88%
41,650 JP Foodservice,Inc.* 1,194,834
209,268 Papa John's International, Inc.* 7,690,599
25,950 Weider Nutrition International, Inc. 411,956
------------
9,297,389
------------
Medical Equipment - 4.12%
10,875 DENTSPLY International, Inc. 532,875
158,800 Sofamor Danek Group, Inc.* 7,265,100
1,200 Sybron International Corp.* 47,850
------------
7,845,825
------------
Consumer Services - 3.82%
123,075 Apollo Group, Inc., Class A* 4,338,394
79,050 Coinmach Laundry Corp.* 1,877,438
2,125 Robert Half International* 100,008
27,725 Sunrise Assisted Living, Inc.* 970,375
------------
7,286,215
------------
Leisure-Entertainment - 3.71%
70,950 Premier Parks, Inc.* 2,616,281
87,200 Regal Cinemas, Inc.* 2,877,600
45,325 Royal Caribbean 1,583,542
------------
7,077,423
------------
Transportation - 2.92%
23,925 Ryanair Holdings Plc, ADR* 648,966
132,125 Wisconsin Central Transport Corp.* 4,921,656
------------
5,570,622
------------
Chemical and Drugs - 2.78%
99,400 Culligan Water Technologies, Inc.* 4,448,150
62,025 DepoTech Corp.* 845,091
------------
5,293,241
------------
Publishing - 0.71%
18,925 Central Newspaper Inc., Class A 1,355,503
------------
Technology - 0.65%
21,750 Amdahl Corp.* 190,313
52,450 Methode Electronics, Inc., Class A 1,042,444
------------
1,232,757
------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-3
<PAGE>
- --------------------------------------------------------------------------------
Select Capital Appreciation Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
Energy - 0.60%
45,725 Trigen Energy Corp. $ 1,143,125
------------
Minerals and Mining - 0.48%
24,400 Minerals Technologies, Inc. 915,000
------------
Hotels - 0.25%
27,525 Choice Hotels International* 466,205
------------
Utilities - 0.10%
5,800 Cincinnati Bell, Inc. 182,700
------------
Total Common Stocks 158,056,236
(Cost $136,661,754) ------------
FOREIGN COMMON STOCKS - 11.82%
United Kingdom
209,229 Capita Group, Plc 820,058
899,725 Pizzaexpress, Plc 9,418,727
103,617 Pizzaexpress, Restricted Shares 1,084,709
302,240 Rentokil Group, Plc 1,061,368
440,865 Wetherspoon (J.D.), Plc 9,997,097
6,604 Wetherspoon (J.D.), Restricted Shares 149,753
------------
Total Foreign Common Stocks 22,531,712
(Cost $16,231,277) ------------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. AGENCY OBLIGATION (A) - 2.62%
Federal Home Loan Mortgage Corporation
$5,000,000 5.40%, 07/10/97 $ 4,993,250
------------
Total U.S. Agency Obligation 4,993,250
(Cost $4,993,250) ------------
COMMERCIAL PAPER (A) - 3.94%
5,000,000 General Electric Capital Corp.
5.50%, 07/03/97 4,998,472
2,500,000 Prudential Funding Corp.
6.00%, 07/01/97 2,500,000
------------
Total Commercial Paper 7,498,472
(Cost $7,498,472) ------------
Total Investments - 101.33% 193,079,670
(Cost $165,384,753) ------------
Net Other Assets and Liabilities - (1.33)% (2,532,908)
------------
Net Assets - 100.00% $190,546,762
============
</TABLE>
- -----------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value For U.S. $ (Depreciation)
--------- ------------ ---------- ------------ ----------- --------------
<S> <C> <C> <C> <C> <C>
850,000 GBP 07/18/97 $ 1,412,673 $ 1,417,039 $ 4,366
3,450,000 GBP 07/24/97 5,733,792 5,652,480 (81,312)
690,000 GBP 07/28/97 1,146,759 1,115,909 (30,850)
1,200,000 GBP 08/20/97 1,993,053 1,913,166 (79,887)
1,050,000 GBP 11/28/97 1,738,440 1,701,105 (37,335)
5,000 GBP 12/04/97 8,277 8,169 (108)
----------- ----------- ----------
$12,032,994 $11,807,868 $(225,126)
=========== =========== ==========
</TABLE>
- ----------------------------------------
GBP British Pound
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $165,384,753. Net unrealized appreciation (depreciation) aggregated
$27,694,917, of which $30,002,993 related to appreciated investment securities
and $(2,308,076) related to depreciated investment securities.
As of December 31, 1996, the portfolio had a capital loss carryforward of
$2,360,458 which expires in 2004.
For the year ended December 31, 1996, the Portfolio has elected to defer
$295,407 of capital losses and $248,534 in currency losses attributable to Post-
October Losses.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $116,212,010
and $77,415,620 from non-governmental issuers, respectively.
See Notes to Financial Statements.
---------------------------------------------------------
F-4
<PAGE>
- --------------------------------------------------------------------------------
Small-Mid Cap Value Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.39%
Durable Goods - 22.43%
214,300 Comcast Corp. Special, Class A $ 4,580,663
140,700 Comsat Corp. 3,350,419
30,000 Kaydon Corp. 1,500,000
170,000 MascoTech, Inc. 3,548,750
88,400 Raychem Corp. 6,574,750
55,000 Thomas & Betts Corp. 2,890,938
160,000 Tracor, Inc. * 4,020,000
76,100 UCAR International, Inc. * 3,481,575
215,000 Westinghouse Electric Corp. 4,971,875
------------
34,918,970
------------
Consumer Products - 19.94%
27,500 AEP Industries, Inc. * 1,100,000
70,000 Ball Corp. 2,104,375
180,000 General Instrument Corp. * 4,500,000
11,200 Gulfstream Aerospace Corp. * 330,400
65,000 Harman International Industries, Inc. 2,738,125
148,600 MagneTek, Inc. * 2,470,475
260,000 Owens-Illinois, Inc. * 8,060,000
60,000 Stanley Works 2,400,000
52,000 TRW, Inc. 2,954,250
120,000 Tupperware Corp. 4,380,000
------------
31,037,625
------------
Retail - 8.37%
75,000 Footstar, Inc. * 1,959,375
58,500 Harcourt General, Inc. 2,786,063
100,000 Meyer (Fred), Inc. * 5,168,750
59,200 Shopko Stores, Inc. 1,509,600
50,000 Waban, Inc. * 1,609,375
------------
13,033,163
------------
Finance - 8.25%
20,500 Beneficial Corp. 1,456,781
110,000 Glendale Federal Bank * 2,873,750
82,200 John Hancock Bank and
Thrift Opportunity Fund 2,928,375
192,000 Trizec Hahn Corp. 4,104,000
28,500 Union Planters Corp. 1,478,438
------------
12,841,344
------------
Energy - 7.53%
65,000 Amerada Hess Corp. 3,611,563
100,000 Coastal Corp. 5,318,750
88,800 MAPCO, Inc. 2,797,200
------------
11,727,513
------------
Metals and Mining - 6.90%
89,000 Global Industrial Technologies, Inc. * 1,824,500
207,800 MacMillan Bloedel, Ltd. 2,831,275
87,800 Newmont Mining Corp. 3,424,200
94,400 TriMas Corp. 2,655,000
------------
10,734,975
------------
Health Care - 6.20%
125,000 Allergan, Inc. 3,976,563
77,200 Mallinckrodt, Inc. 3,010,800
58,100 Wellpoint Health Networks, Inc.,
Class A * 2,665,338
------------
9,652,701
------------
Consumer Staples - 4.74%
167,800 Dial Corp. 2,621,875
80,000 Dole Food Co. 3,420,000
25,000 Smith's Food & Drug Centers, Inc.,
Class B * 1,340,621
------------
7,382,496
------------
Paper and Forest - 3.61%
110,900 Fort Howard Corp. * 5,614,313
------------
Utilities - 3.55%
240,000 Long Island Lighting Co. 5,520,000
------------
Business Services - 2.23%
140,000 True North Communications, Inc. 3,465,000
------------
Building and Construction - 1.25%
104,500 Dal-Tile International, Inc. * 1,939,781
------------
Consumer Service - 0.39%
65,744 Ascent Entertainment Group, Inc. * 599,910
------------
Total Common Stocks 148,467,791
(Cost $131,103,841) ------------
</TABLE>
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER (A) - 4.27%
$ 540,000 Allied Signal, Inc.
5.55%, 07/01/97 540,000
1,000,000 Allstate Corp.
5.59%, 07/01/97 1,000,000
500,000 Barton Capital Corp.
5.60%, 07/01/97 500,000
500,000 Disney (Walt) Co.
5.50%, 07/01/97 500,000
1,000,000 Ford Motor Credit Co.
5.55%, 07/02/97 999,846
425,000 GTE Funding, Inc.
5.56%, 07/02/97 424,934
275,000 Massachusetts Electric Co.
5.65%, 07/02/97 274,957
2,400,000 Merrill Lynch & Co., Inc.
5.56%, 07/02/97 2,399,622
------------
Total Commercial Paper 6,639,359
(Cost $6,639,359) ------------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-5
<PAGE>
- --------------------------------------------------------------------------------
Small Mid-Cap Value Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT COMPANIES - 1.92%
1,428,395 ILA Prime Obligation Money Market Fund $ 1,428,395
1,568,293 ILA Prime Obligation Portfolio Fund, Class B 1,568,293
------------
Total Investment Companies 2,996,688
(Cost $2,996,688) ------------
Total Investments - 101.58% 158,103,838
------------
(Cost $140,739,888)
Net Other Assets and Liabilities - (1.58)% (2,455,341)
------------
Net Assets - 100.00% $155,648,497
============
</TABLE>
- -----------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $140,739,888. Net unrealized appreciation (depreciation) aggregated
$17,363,950 of which $18,866,897 related to appreciated investment securities
and $(1,502,947) related to depreciated investment securities.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $728,717.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $136,222,164
and $107,117,563 from non-governmental issuers, respectively.
See Notes to Financial Statements.
---------------------------------------------------------
F-6
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 91.46%
Australia - 7.20%
383,490 Broken Hill Proprietary Co. Ltd. $ 5,597,264
765,170 National Australia Bank, Ltd. 10,874,046
1,152,270 News Corp Ltd. 5,481,430
547,934 WMC Ltd. 3,427,525
------------
25,380,265
------------
Finland - 0.56%
2,319 Raumma Oy 53,128
83,300 UPM-Kymmene 1,924,434
------------
1,977,562
------------
France - 1.92%
57,180 Michelin, Class B 3,437,071
15,360 Elf Aquitaine 1,658,720
16,570 Total SA, Class B 1,676,492
------------
6,772,283
------------
Germany - 5.84%
11,259 Hoechst AG 4,775,098
15,237 Mannesmann AG 6,811,702
51,610 Siemens AG 3,093,578
103,970 Veba Ag 5,877,099
------------
20,557,477
------------
Hong Kong - 1.45%
170,200 HSBC Holdings 5,118,777
------------
Indonesia - 3.12%
820,000 Gudang Garam 3,439,853
1,062,000 H.M. Sampoerna 4,051,017
816,000 PT Indocement Tunggal Prakarsa 1,266,872
1,374,000 Telekomunikase Indonesia 2,246,206
------------
11,003,948
------------
Ireland - 1.44%
270,100 Allied Irish Banks 2,066,922
1,043,350 Smurfit (Jefferson) Group 3,022,100
------------
5,089,022
------------
Italy - 1.40%
122,085 ENI 687,020
728,010 STET Societa Finanziaria Telefonica 4,235,850
------------
4,922,870
------------
Japan - 2.55%
329,000 Canon, Inc. 8,970,373
------------
Malaysia - 3.00%
700,000 Development & Commercial
Bank Holdings, Berhad* 2,218,697
349,000 Hume Industries, Berhad 1,603,959
1,016,200 Sime-Darby, Berhad 3,381,959
467,000 United Engineers, Berhad 3,367,427
------------
10,572,042
------------
Mexico - 0.59%
811,700 Grupo Financiero Banamex, Series B* 2,081,670
------------
Netherlands - 9.59%
383,512 ABN-Amro Holdings 7,163,978
19,010 Dutch State Mines 1,894,866
320,250 Elsevier, NV 5,361,140
178,793 ING Groep, NV 8,258,350
23,391 Nutricia Ver Bedrijven 3,700,877
67,160 Royal Dutch Petroleum 3,499,698
99,630 Royal PTT Nederland, ADR 3,915,390
------------
33,794,299
------------
Philippines - 0.56%
748,130 San Miguel, Class B 1,971,002
------------
Singapore - 6.04%
615,000 City Developments, Ltd. 6,021,611
494,000 Development Bank of Singapore 6,218,834
391,600 Fraser and Neave, Ltd., Ord 2,793,524
309,800 Singapore Press 6,239,983
------------
21,273,952
------------
Spain - 1.01%
114,885 Banco De Santander 3,546,459
------------
Sweden - 0.49%
51,300 Pharmacia & Upjohn, Inc. 1,731,589
------------
Switzerland - 12.23%
6,644 Alusuisse Lonza Holdings, REGD 6,890,783
4,833 Nestle SA 6,384,990
10,294 Novartis AG 16,480,568
557 Roche Holdings AG 5,045,228
5,843 Schweiz Ruckverisch, REGD 8,276,431
------------
43,078,000
------------
Thailand - 0.70%
356,800 Bangkok Bank Public Co., Ltd. 2,451,665
------------
United Kingdom - 31.77%
443,750 Barclays Bank, Plc 8,803,318
1,007,550 B.A.T. Industries, Plc 9,013,155
1,255,027 BTR, Plc 4,292,365
372,000 Cable & Wireless, Plc 3,420,637
503,230 Cadbury Schweppes, Plc 4,484,952
213,630 EMI Group, Plc 3,830,992
838,700 General Electric Co., Plc 5,011,097
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-7
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C>
United Kingdom (continued)
331,250 Glaxo-Wellcome, Plc $ 6,836,115
450,400 Granada Group, Plc 5,921,848
576,209 Grand Metropolitan, Plc 5,576,498
168,950 Kingfisher, Plc 1,917,672
587,400 Ladbroke Group, Plc 2,297,384
807,550 Lloyds TSB Group, Plc 8,279,077
279,100 Premier Farnell, Plc 2,176,212
578,450 Prudential Corp., Plc 5,598,186
686,600 Safeway, Plc 3,970,913
481,280 Scottish Power, Plc 3,131,889
924,000 Shell Transportation & Trading, Plc 6,297,347
347,300 Siebe, Plc 5,878,378
472,850 TI Group, Plc 4,119,760
795,300 Vodafone Group, Plc 3,871,583
124,900 Williams Holdings, Plc* 671,424
197,550 Zeneca Group, Plc 6,529,622
------------
111,930,424
------------
Total Common Stocks 322,223,679
(Cost $267,587,393) ------------
PREFERRED STOCK - 0.17%
153,835 News Corp., Ltd. (Australia) 601,577
------------
Total Preferred Stock 601,577
(Cost $632,568) ------------
INVESTMENT COMPANIES - 8.20%
10,056,463 Federated Investors 10,056,463
8,849,204 ILA Prime Obligation Portfolio
Fund, Class B 8,849,204
9,958,611 State Street Bank Temp Fund 9,958,611
------------
Total Investment Companies 28,864,278
(Cost $28,864,278) ------------
Total Investments - 99.83% 351,689,534
(Cost $297,084,239) ------------
Net Other Assets and Liabilities - 0.17% 609,066
------------
Net Assets - 100.00% $352,298,600
============
</TABLE>
- ------------------------------------
* Non income producing security.
ADR American Depositary Receipt
- -----------------------------------------------------
<TABLE>
Industry Concentration of Common and Preferred Stocks
- -----------------------------------------------------
as Percentage of Net Assets:
----------------------------
<S> <C>
Finance 25.65%
Chemicals and Drugs 12.29
Telecommunications 8.52
Durable Goods 7.39
Consumer Goods and Services 6.92
Energy 5.04
Food and Beverage 5.03
Electronics 4.83
Tobacco 4.68
Utilities 3.91
Basic Materials 3.39
Metals and Mining 0.97
Building and Construction 0.96
Paper 0.86
Leisure and Entertainment 0.65
Retail 0.54
------
Total 91.63%
======
</TABLE>
<TABLE>
<CAPTION>
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
Unrealized
Currency Contracts To Settlement Contracts At In Exchange Appreciation
Value Deliver Dates Value for U.S. $ (Depreciation)
- ---------- ------------ ---------- ------------ ----------- --------------
<S> <C> <C> <C> <C> <C>
10,277,000 CHF 07/23/97 $7,072,125 $7,162,796 $ 90,671
9,400,000 CHF 08/13/97 6,479,186 6,630,458 151,272
11,824,000 DEM 09/12/97 6,822,754 7,031,273 208,519
9,700,000 GBP 09/23/97 16,094,017 15,784,810 (309,207)
10,900,000 NLG 07/16/97 5,570,034 5,669,406 99,372
8,200,000 NLG 08/20/97 4,196,264 4,317,016 120,752
10,527,000 NLG 09/05/97 5,393,092 5,445,657 52,565
----------- ----------- -----------
$51,627,472 $52,041,416 $ 413,944
=========== =========== ===========
</TABLE>
- ----------------------------
CHF Swiss Franc
DEM German Mark
GBP British Pound
NLG Dutch Guilder
See Notes to Financial Statements.
---------------------------------------------------------
F-8
<PAGE>
- --------------------------------------------------------------------------------
Select International Equity Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $297,084,239. Net unrealized appreciation (depreciation) aggregated
$54,605,295, of which $61,406,088 related to appreciated investment securities
and $(6,800,793) related to depreciated investment securities.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $763,275.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $89,540,752
and $15,820,962 from non-governmental issuers, respectively.
See Notes to Financial Statements.
- ---------------------------------------------------------
F-9
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.20%
Finance - 19.26%
100,300 American Express Co. $ 7,472,350
35,800 American International Group, Inc. 5,347,625
70,700 Banc One Corp. 3,424,531
117,600 BankAmerica Corp. 7,592,550
3,800 BankBoston Corp. 273,838
91,600 Barnett Banks, Inc. 4,809,000
54,800 Citicorp 6,606,825
38,100 Comerica, Inc. 2,590,800
102,200 Conseco, Inc. 3,781,400
39,700 Franklin Resources, Inc. 2,880,731
143,862 MBNA Corp. 5,268,946
37,400 MGIC Investment Corp. 1,792,863
110,466 Travelers Group, Inc. 6,966,262
128,800 Washington Mutual, Inc. 7,695,800
------------
66,503,521
------------
Chemicals and Drugs - 13.92%
96,800 Abbott Laboratories 6,461,400
88,200 Bristol-Myers Squibb Co. 7,144,200
20,300 Clorox Co. 2,679,600
68,200 duPont (E.I.) deNemours & Co. 4,288,075
39,100 Lilly (Eli) & Co. 4,274,119
69,600 Merck & Co., Inc. 7,203,600
47,500 Pfizer, Inc. 5,676,250
85,900 Praxair, Inc. 4,810,400
55,000 Sherwin-Williams Co. 1,698,125
30,800 Warner-Lambert Co. 3,826,900
------------
48,062,669
------------
Durable Goods - 11.83%
77,100 BMC Software, Inc.* 4,269,413
14,100 Dell Computer Corp.* 1,655,869
160,700 General Electric Co. 10,505,763
23,000 Intel Corp. 3,261,688
78,800 Motorola, Inc. 5,988,800
86,800 PeopleSoft, Inc.* 4,578,700
48,500 Tellabs, Inc.* 2,709,938
75,800 Tyco International, Ltd. 5,272,838
112,500 Westinghouse Electric Corp. 2,601,563
------------
40,844,572
------------
Consumer Products - 9.46%
35,900 Applied Materials, Inc.* 2,542,169
39,200 Ascend Communications, Inc.* 1,543,500
40,000 Avon Products, Inc. 2,822,500
27,700 Carnival Corp., Class A 1,142,625
54,900 ConAgra, Inc. 3,520,463
60,100 Disney (Walt) Co. 4,823,025
57,500 Liz Claiborne, Inc. 2,680,938
54,900 Procter & Gamble Co. 7,754,625
68,900 Sara Lee Corp. 2,867,963
113,000 TJX Cos., Inc. 2,980,375
------------
32,678,183
------------
Technology - 9.35%
33,000 Compaq Computer Corp.* 3,275,250
89,525 Computer Associates International, Inc 4,985,423
79,400 EMC Corp.* 3,096,600
87,400 Honeywell, Inc. 6,631,475
24,400 Lucent Technologies, Inc. 1,758,325
77,700 Microsoft Corp.* 9,819,338
63,500 Parametric Technology Corp.* 2,702,719
------------
32,269,130
------------
Retail - 6.84%
76,250 Consolidated Stores Corp.* 2,649,688
114,500 Costco Cos., Inc.* 3,764,188
126,801 CVS Corp. 6,498,551
78,000 Dayton-Hudson Corp. 4,148,625
68,600 Safeway, Inc.* 3,164,175
63,400 Walgreen Co. 3,399,825
------------
23,625,052
------------
Energy - 5.98%
39,300 Baker Hughes, Inc. 1,520,419
55,200 Exxon Corp. 3,394,800
64,900 Halliburton Co. 5,143,325
44,800 Mobil Corp. 3,130,400
41,500 Schlumberger, Ltd. 5,187,500
44,100 Sonat, Inc. 2,260,125
------------
20,636,569
------------
Health Services - 5.11%
69,000 Cardinal Health, Inc. 3,950,250
56,600 HBO & Co. 3,898,325
152,500 HEALTHSOUTH Corp.* 3,802,969
36,600 Oxford Health Plans, Inc.* 2,626,050
90,100 United States Surgical Corp. 3,356,225
------------
17,633,819
------------
Aerospace-Airlines - 3.69%
60,000 Boeing Co. 3,183,750
82,800 Textron, Inc. 5,495,850
49,100 United Technologies Corp. 4,075,300
------------
12,754,900
------------
Consumer Staples - 3.66%
39,500 American Standard Cos., Inc.* 1,767,625
53,300 Campbell Soup Co. 2,665,000
59,400 Coca-Cola Co. 4,009,493
44,300 Gillette Co. 4,197,425
------------
12,639,543
------------
Printing and Publishing - 2.20%
76,800 Gannett Co., Inc. 7,584,000
------------
</TABLE>
----------------------------------------------------------
See Notes to Financial Statements.
F-10
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Communications - 1.81%
119,000 Sprint Corp. $ 6,262,375
------------
Hotels-Leisure - 1.20%
67,400 Marriott International, Inc. 4,136,675
------------
Utilities - 0.47%
67,500 Republic Industries, Inc.* 1,636,875
------------
Consumer Service - 0.42%
44,200 Service Corp. International 1,453,075
------------
Total Common Stocks 328,720,958
------------
(Cost $267,352,656)
</TABLE>
<TABLE>
<CAPTION>
Par Value
- -------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATION - 0.58%
U.S. Treasury Note
$2,000,000 5.75%, 12/31/98 1,993,750
------------
Total U.S. Government Obligation 1,993,750
------------
(Cost $1,996,563)
COMMERCIAL PAPER (A) - 3.15%
2,000,000 Bear Stearns Cos., Inc.
5.58%, 09/18/97 1,975,510
------------
8,900,000 Citicorp
6.25%, 07/01/97 8,900,000
------------
Total Commercial Paper 10,875,510
------------
(Cost $10,875,510)
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT - 1.58%
$3,000,000 Bayerische Vereinsbank AG
6.30%, 11/25/98 $ 2,986,500
2,500,000 Skandinaviska Enskilda Banken
6.54%, 06/03/98 2,488,000
------------
Total Certificates of Deposit 5,474,500
------------
(Cost $5,500,000)
</TABLE>
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
INVESTMENT COMPANIES - 0.00%
3,923 ILA Prime Obligation Portfolio Fund,
Class B 3,923
8,698 State Street Bank Temp Fund 8,698
------------
Total Investment Companies 12,621
------------
(Cost $12,621)
Total Investments - 100.51% 347,077,339
------------
(Cost $285,737,350)
Net Other Assets and Liabilities - (0.51)% (1,766,796)
------------
Net Assets - 100.00% $345,310,543
============
</TABLE>
- -----------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $285,737,350. Net unrealized appreciation (depreciation) aggregated
$61,339,989, of which $63,797,906 related to appreciated investment securities
and $(2,457,917) related to depreciated investment securities.
As of December 31, 1996, the portfolio had no capital loss carryforwards. During
1996, the fund utilized $2,730,483 of its capital loss carryforwards.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $2,053,805.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $184,829,483
and $125,836,649 from non-governmental issuers, and $9,525,469 and $7,502,734
from U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-11
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 90.21%
Durable Goods - 18.98%
6,400 Advanced Fibre Communications, Inc.* $ 386,400
41,700 AlliedSignal, Inc. 3,502,800
7,400 ASE Test, Ltd.* 312,650
19,400 Beckman Instruments, Inc. 936,050
118,300 BMC Software, Inc.* 6,550,888
33,300 Boeing Co. 1,766,981
126,800 Case Corp. 8,733,350
5,000 Caterpillar, Inc. 536,875
4,200 CIENA Corp.* 197,925
233,900 Cummins Engine Co., Inc. 16,504,569
9,800 Deere & Co. 537,775
1,700 Dell Computer Corp.* 199,644
53,000 Eaton Corp. 4,627,562
5,500 Electronics For Imaging, Inc.* 259,875
417,300 Ford Motor Co. 15,753,075
70,300 General Electric Co. 4,595,862
205,200 General Motors Corp. 11,427,075
24,818 Globalstar Telecommunications, Ltd.* 760,050
106,000 Goodyear Tire & Rubber Co. 6,711,125
150,500 GTECH Holdings Corp.* 4,853,625
11,400 Hillenbrand Industries, Inc. 541,500
32,500 Intel Corp. 4,608,905
9,000 Kennametal, Inc. 387,000
147,600 LucasVarity Plc, ADR 5,110,650
41,400 McDonnell Douglas Corp. 2,835,900
1,600 Millicom International Cellular Sa* 76,400
20,400 Nellcor Puritan Bennett, Inc.* 369,750
7,300 PanAmSat Corp.* 211,700
9,500 Parker-Hannifin Corp. 576,530
6,500 PeopleSoft, Inc.* 342,875
5,900 Sapient Corp.* 292,050
9,700 Seachange International, Inc.* 274,025
10,400 Silicon Valley Group, Inc.* 274,300
106,700 Sprint Corp. 5,615,088
10,300 Standard Register Co. 315,438
13,500 Stratus Computer, Inc.* 675,000
9,700 Tecumseh Products Co., Class A 580,788
9,300 Tellabs, Inc.* 519,638
82,100 Textron, Inc. 5,449,388
85,200 Union Pacific Corp. 6,006,600
4,900 Uniphase Corp.* 285,425
4,900 VisioCorp.* 345,450
21,200 Western Digital Corp.* 670,450
7,300 Wind River Systems, Inc.* 279,225
13,100 Xerox Corp. 1,033,223
------------
126,831,454
------------
Finance - 14.31%
28,100 ACE, Ltd. 2,075,888
6,125 AEGON NV, ADR 429,132
110,300 Aetna, Inc. 11,291,962
70,390 Allstate Corp. 5,138,470
37,100 American Express Co. 2,763,950
12,000 American General Corp. 573,000
13,600 Bank of New York Co., Inc. 591,600
70,400 BankBoston Corp. 5,073,200
88,300 Bear Stearns Cos., Inc. 3,018,756
14,900 Capital One Financial Corp. 562,475
10,200 Chase Manhattan Corp. 990,038
7,500 Chubb Corp. 501,562
39,600 CIGNA Corp. 7,029,000
42,400 Citicorp 5,111,850
55,000 CMAC Investment Corp. 2,626,250
13,800 Crestar Financial Corp. 536,475
105,000 EXEL, Ltd. 5,538,750
10,600 Fannie Mae 462,425
18,800 Federal Home Loan Mortgage Corp. 646,250
87,480 First Union Corp. 8,091,900
15,950 Franklin Resources, Inc. 1,157,372
109,800 Hartford Financial Services Group 9,085,950
11,100 Healthcare Recoveries, Inc.* 215,062
42,200 Lehman Brothers Holdings, Inc. 1,709,100
11,800 Mellon Bank Corp. 532,475
8,700 Money Store, Inc. 249,581
14,600 Old Republic International Corp. 442,563
14,100 Providian Financial Corp.* 452,963
6,700 Reliastar Financial Corp. 489,937
5,500 Republic New York Corp. 591,250
11,641 Security Capital Industrial Trust 250,282
12,000 Security Capital US Realty* 178,800
7,200 Signet Banking Corp. 259,200
11,000 Sirrom Capital Corp. 379,500
4,000 SunAmerica, Inc. 195,000
11,700 TIG Holdings, Inc. 365,625
24,200 Torchmark Corp. 1,724,250
61,696 Transamerica Corp. 5,772,418
4,800 Transatlantic Holdings, Inc. 476,400
29,800 Wells Fargo & Co. 8,031,100
------------
95,611,761
------------
Chemical and Drugs - 9.76%
69,900 Baxter International, Inc. 3,652,275
75,800 Becton Dickinson & Co. 3,837,375
24,000 Bergen Brunswig Corp., Class A 669,000
10,900 BioChem Pharma, Inc.* 242,525
4,500 Biogen, Inc.* 152,438
104,880 Bristol-Myers Squibb Co. 8,495,280
15,300 Cabot Corp. 434,138
4,300 Dow Chemical Co. 374,638
183,400 duPont (E.I.) deNemours & Co. 11,531,275
144,600 FMC Corp.* 11,486,662
60,300 Grace (W.R.) & Co. 3,324,038
9,500 Great Lakes Chemical Corp. 497,563
6,300 HBO & Co. 433,913
159,920 Health Management Associates, Inc.,
Class A* 4,557,720
9,600 Jones Medical Industries, Inc.* 456,000
7,100 Lauder (Estee) Cos., Inc., Class A 356,775
83,800 Lincare Holdings, Inc.* 3,603,400
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-12
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Chemical and Drugs (continued)
20,000 Mallinckrodt, Inc. $ 780,000
15,900 Maxicare Health Plans, Inc.* 355,763
45,500 Merck & Co., Inc. 4,709,250
5,800 Pathogenesis Corp.* 168,925
3,900 Pediatrix Medical Group, Inc.* 178,669
11,800 Premark International, Inc. 315,650
10,000 Rexall Sundown, Inc.* 390,000
9,600 Rohm & Haas Co. 864,600
34,400 Smithkline Beecham Plc, ADR 3,151,900
5,000 Total Renal Care Holdings, Inc.* 200,938
-----------
65,220,710
-----------
Technology - 7.27%
3,600 Altera Corp.* 181,800
109,300 Cisco Systems, Inc.* 7,336,763
24,800 Compaq Computer Corp.* 2,461,400
17,000 Harnischfeger Industries, Inc. 705,500
28,200 International Business Machines Corp. 2,543,288
138,000 International Game Technology 2,449,500
27,700 Loral Space & Communications* 415,500
7,212 McAfee Associates, Inc.* 455,258
96,900 Microsoft Corp.* 12,245,738
102,050 Oracle Corp.* 5,140,769
4,800 Orbotech, Ltd.* 153,000
203,600 Seagate Technology, Inc.* 7,164,175
163,225 3Com Corp.* 7,345,125
-----------
48,597,816
-----------
Consumer Products - 6.77%
23 Berkshire Hathaway, Inc., Class A* 1,085,600
6,200 Big Flower Press Holdings, Inc.* 128,650
77,600 Bowater, Inc. 3,589,000
70,300 Campbell Soup Co. 3,515,000
9,200 Cinar Films, Inc., Class B* 299,000
6,900 Cintas Corp. 474,375
108,400 Coca-Cola Enterprises, Inc. 2,493,200
101,000 CompUSA, Inc.* 2,171,500
9,600 Converse, Inc.* 212,400
9,400 dELia*s, Inc.* 173,900
11,300 Dillard's, Inc., Class A 391,263
61,700 Gucci Group NV 3,971,938
15,800 Imax Corp.* 391,050
5,500 Jones Apparel Group, Inc. 262,625
9,200 Polo Ralph Lauren Corp.* 251,850
43,100 Procter & Gamble Co. 6,087,875
447,100 RJR Nabisco Holdings Corp. 14,754,300
14,000 Russell Corp. 414,750
4,500 Samsonite Corp.* 198,563
25,170 TCI Satellite Entertainment, Inc.* 198,214
43,700 Tenneco, Inc. 1,974,694
8,800 TRW, Inc. 499,950
12,600 Tupperware Corp. 459,900
27,500 York International Corp. 1,265,000
-----------
45,264,597
-----------
Energy - 5.56%
5,000 Amoco Corp. 434,688
54,800 Atlantic Richfield Co. 3,863,400
149,900 British Petroleum Co. Plc, ADR 11,223,763
75,400 Coastal Corp. 4,010,338
12,300 El Paso Natural Gas Co. 676,500
12,300 Global Marine, Inc.* 285,975
20,300 MAPCO, Inc. 639,450
170,900 Phillips Petroleum Co. 7,476,875
93,900 Repsol S.A., ADR 3,984,881
5,500 Santa Fe International Corp.* 187,000
26,600 Texaco, Inc. 2,892,750
6,100 Tidewater, Inc. 268,400
16,800 Ultramar Diamond Shamrock Corp. 548,100
22,000 YPF Sociedad Anonima, Class D, ADR 676,500
-----------
37,168,620
-----------
Building and Construction - 5.36%
143,900 Aeroquip-Vickers, Inc. 6,799,275
236,700 Champion International Corp. 13,077,675
70,166 Home Depot, Inc. 4,837,069
80,000 Loews Corp. 8,010,000
40,000 Willamette Industries, Inc. 2,800,000
6,100 Sealed Air Corp.* 289,750
-----------
35,813,769
-----------
Utilities - 4.48%
8,200 American Disposal Services, Inc.* 184,500
10,300 Central Maine Power Co. 127,463
60,300 Columbia Gas System, Inc. 3,934,575
6,162 Duke Energy Corp. 295,389
13,100 Entergy Corp. 358,613
17,900 GPU, Inc. 642,163
111,200 GTE Corp. 4,878,900
10,000 Iridium World Communications, Ltd.* 181,250
9,400 Qwest Communications International, Inc.* 256,150
10,000 Republic Industries, Inc.* 242,500
89,400 SBC Communications, Inc. 5,531,625
11,200 Tel-Save Holdings, Inc.* 170,800
201,200 Waste Management, Inc. 6,463,550
207,589 WorldCom, Inc. 6,642,848
-----------
29,910,326
-----------
Consumer Staples - 4.40%
5,700 CKE Restaurants, Inc. 180,263
20,400 Cott Corp.* 216,764
30,500 Cracker Barrel Old Country Store, Inc. 808,250
8,900 Danaher Corp. 452,231
19,000 IBP, Inc. 441,750
7,000 Mondavi (Robert) Corp., Class A * 330,750
582,800 Philip Morris Cos., Inc. 25,861,750
7,900 Springs Industries, Inc., Class A 416,725
8,400 VF Corp. 715,050
-----------
29,423,533
-----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-13
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Retail - 2.70%
15,300 Borders Group, Inc.* $ 369,113
85,200 CVS Corp. 4,366,500
173,100 Federated Department Stores, Inc.* 6,015,225
112,700 Sears Roebuck & Co. 6,057,625
15,400 Talbots, Inc. 523,600
20,000 Toys `R' Us, Inc.* 700,000
-----------
18,032,063
-----------
Broadcasting - 2.61%
64,000 Clear Channel Communications, Inc.* 3,940,000
19,850 Comcast Corp. Special, Class A 424,294
4,700 Heftel Broadcasting Corp., Class A* 259,675
6,100 Jacor Communications, Inc.* 233,325
10,800 Metro Networks, Inc.* 261,900
174,500 News Corp., Ltd., ADR 2,726,563
35,100 QUALCOMM, Inc.* 1,785,713
135,318 Tele-Communications, Inc.
Liberty Media Group, Series A* 3,213,803
286,801 Tele-Communications, Inc., TCI Group,
Class A* 4,266,165
7,700 Univision Communications, Inc.,
Class A* 301,263
-----------
17,412,701
-----------
Business Services - 2.33%
8,850 Fiserv, Inc.* 394,931
246,300 HFS, Inc.* 14,285,400
16,200 Olsten Corp. 314,888
6,700 Outdoor Systems, Inc.* 256,275
7,913 Paychex, Inc. 300,675
700 Pierce Leahy Corp.* 12,600
-----------
15,564,769
-----------
Aerospace-Airlines - 2.18%
41,100 AMR Corp.* 3,801,750
10,700 Raytheon Co. 545,700
123,400 United Technologies Corp. 10,242,200
-----------
14,589,650
-----------
Health Services - 1.69%
264,268 Columbia/HCA Healthcare Corp. 10,389,036
21,450 Foundation Health Systems, Inc.,
Class A* 650,203
14,600 Orthodontic Centers of America, Inc.* 265,538
-----------
11,304,777
-----------
Consumer Services - 0.89%
179,900 Service Corp. International 5,914,213
-----------
Consumer Cyclical - 0.27%
65,900 Sabre Group Holdings, Inc., Class A* 1,787,538
-----------
Food Services - 0.25%
23,300 Einstein/Noah Bagel Corp.* 278,143
29,300 McDonald's Corp. 1,415,556
-----------
1,693,699
-----------
Transportation - 0.15%
4,300 Burlington Northern Santa Fe Corp. 386,463
10,900 CSX Corp. 604,950
-----------
991,413
-----------
Electronics - 0.13%
1,900 Arrow Electronics* 100,725
12,900 Tektronix, Inc. 774,000
-----------
874,725
-----------
Transportation Services - 0.07%
6,700 UAL Corp.* $ 479,469
-----------
Entertainment - 0.03%
5,900 Premier Parks, Inc.* 217,563
-----------
Recreational Equipment - 0.02%
4,000 Action Performance Cos., Inc.* 97,000
-----------
Total Common Stocks 602,802,166
-----------
(Cost $471,996,171)
</TABLE>
<TABLE>
<CAPTION>
Par Value
- -------------------------------------------------------------
<S> <C> <C>
CORPORATE NOTES AND BONDS - 1.58%
$2,500,000 MBNA Corp., Senior MTN
7.25%, 12/10/97 2,514,580
3,500,000 Ford Motor Credit Co., Series 1, MTN
6.30%, 05/26/98 3,514,493
2,500,000 Morgan Stanley Group, Inc., MTN
6.16%, 03/09/98 2,506,307
1,000,000 NationsBank Corp., MTN
5.20%, 07/15/97 999,905
1,000,000 Xerox Credit Corp.
Series D, MTN
6.84%, 06/01/00 1,000,625
-----------
Total Corporate Notes and Bonds 10,535,910
-----------
(Cost $10,537,257)
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-14
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENGY OBLIGATIONS -- 1.05%
Federal Home Loan Bank -- 0.75%
$2,000,000 5.57%, 01/23/98 $ 1,997,704
3,000,000 6.64%, 01/24/00 2,995,368
------------
4,993,072
------------
U.S. Treasury Note -- 0.30%
2,000,000 5.75%, 12/31/98 1,993,750
------------
Total U.S. Government
and Agency Obligations 6,986,822
------------
(Cost $7,000,313)
COMMERCIAL PAPER (A) -- 7.32%
3,770,000 Bear Stearns Cos., Inc.
5.59%, 08/18/97 3,741,901
2,000,000 Bear Stearns Cos., Inc.
5.58%, 09/18/97 1,975,510
4,500,000 Duke University
5.57%, 08/19/97 4,465,884
2,377,323 European International
5.75%, 11/03/97 2,329,859
5,000,000 General Motors Acceptance Corp.
5.58%, 07/14/97 4,989,925
7,075,000 Morgan Stanley, Inc.
5.55%, 07/21/97 7,053,162
4,739,000 Nebraska Higher Education Loan Program
5.60%, 07/17/97 4,727,205
5,000,000 Paine Webber Group, Inc.
5.75%, 05/05/97 4,927,326
2,500,000 Paine Webber Group, Inc.
5.70%, 09/18/97 2,468,729
2,500,000 Southland Corp.
5.62%, 08/07/97 2,485,560
9,750,000 UBS Finance
6.20%, 07/01/97 9,750,000
------------
Total Commercial Paper 48,915,061
------------
(Cost $48,915,061)
CERTIFICATE OF DEPOSIT -- 0.30%
$2,000,000 Skandinaviska Enskilda Banken
6.54%, 06/03/98 $ 1,990,400
------------
Total Certificate of Deposit 1,990,400
------------
(Cost $2,000,000)
BANKERS ACCEPTANCE -- 0.29%
1,947,845 Suntrust Bank Atlanta
5.58%, 07/08/97 1,945,732
------------
Total Bankers Acceptance 1,945,732
------------
(Cost $1,945,732)
Shares
- -------------------------------------------------------------
INVESTMENT COMPANY -- 0.00%
32,740 State Street Bank Temp Fund 32,740
------------
Total Investment Company 32,740
------------
(Cost $32,740)
Total Investments -- 100.75% 673,208,831
------------
(Cost $542,427,274)
Net Other Assets and Liabilities -- (0.75)% (4,997,433)
------------
Net Assets -- 100.00% $668,211,398
============
</TABLE>
- -----------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $542,427,274. Net unrealized appreciation (depreciation) aggregated
$130,781,557, of which $137,797,354 related to appreciated investment securities
and $(7,015,797) related to depreciated investment securities.
Distributions from long-term capital gains for the six months ended June 30,
1997 were $16,122,190.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $245,776,338
and $268,005,992 from non-governmental issuers, respectively, and $5,000,313 and
$1,000,000 from U.S. Government Agency issuers, respectively.
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-15
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.48%
Durable Goods - 16.76%
2,400 Adobe Systems, Inc. $ 84,150
9,300 AlliedSignal, Inc. 781,200
6,200 Alltel Corp. 207,312
18,100 Ameritech Corp. 1,229,669
7,300 AMP, Inc. 304,775
1,300 Armstrong World Industries, Inc. 95,387
1,534 Autoliv, Inc.* 60,017
3,400 Avery-Dennison Corp. 136,425
4,800 Baker Hughes, Inc. 185,700
6,600 Bay Networks, Inc.* 175,312
23,778 Boeing Co. 1,261,720
800 Briggs & Stratton Corp. 40,000
1,300 Caliber System, Inc. 48,425
2,500 Case Corp. 172,187
6,200 Caterpillar, Inc. 665,725
22,700 Chrysler Corp. 744,844
3,900 Cooper Industries, Inc. 194,025
2,600 Cooper Tire & Rubber Co. 57,200
1,500 Crane Co. 62,719
1,300 Cummins Engine Co., Inc. 91,731
3,400 Dana Corp. 129,200
8,400 Deere & Co. 460,950
5,500 Dell Computer Corp.* 645,906
6,050 Dominion Resources, Inc. 221,581
3,900 DSC Communications Corp.* 86,775
2,600 Eaton Corp. 227,012
2,100 Echlin, Inc. 75,600
1,500 EG & G, Inc. 33,750
14,700 Emerson Electric Co. 809,419
1,200 Fleetwood Enterprises, Inc. 35,775
39,300 Ford Motor Co. 1,483,575
5,400 Frontier Corp. 107,662
108,300 General Electric Co. 7,080,112
24,100 General Motors Corp. 1,342,069
1,700 General Signal Corp. 74,162
5,950 Genuine Parts Co. 201,556
1,800 Goodrich (B.F.) Co. 77,962
5,200 Goodyear Tire & Rubber Co. 329,225
1,700 Grainger (W.W.), Inc. 132,919
1,300 Harris Corp. 109,200
800 Helmerich & Payne, Inc. 46,100
33,600 Hewlett-Packard Co. 1,881,600
8,200 Illinois Tool Works, Inc. 409,487
3,600 Ingersoll-Rand Co. 222,300
27,000 Intel Corp. 3,828,937
2,800 Johnson Controls, Inc. 114,975
6,341 Lockheed Martin Corp. 656,690
1,800 McDermott International, Inc. 52,537
6,900 McDonnell Douglas Corp. 472,650
22,700 MCI Communications Corp. 868,984
1,400 Millipore Corp. 61,600
2,900 Moore Corp., Ltd. 57,094
19,600 Motorola, Inc. 1,489,600
1,500 National Service Industries, Inc. 73,031
8,600 Northern Telecom, Ltd. 782,600
1,900 Northrop Grumman Corp. 166,844
2,580 PACCAR, Inc. 119,809
4,200 Pall Corp. 97,650
2,450 Parker-Hannifin Corp. 148,684
2,000 Pep Boys-Manny, Moe & Jack 68,125
1,400 Perkin-Elmer Corp. 111,387
2,700 Pioneer Hi-Bred International, Inc. 216,000
1,400 Raychem Corp. 104,125
7,000 Rockwell International Corp. 413,000
2,800 Rowan Cos., Inc.* 78,925
2,500 Ryder System, Inc. 82,500
2,600 Scientific-Atlanta, Inc. 56,875
14,200 Sprint Corp. 747,275
1,800 Tandy Corp. 100,800
6,000 Tellabs, Inc.* 335,250
6,300 Texas Instruments, Inc. 529,594
5,400 Textron, Inc. 358,425
5,000 Thermo Electron Corp.* 170,000
5,600 Tyco International, Ltd. 389,550
8,200 Union Pacific Corp. 578,100
15,800 U.S. West, Inc., Communications Group 595,462
20,000 U.S. West, Inc., Media Group* 405,000
21,000 Westinghouse Electric Corp. 485,625
10,700 Xerox Corp. 843,962
------------
38,484,085
------------
Finance - 15.62%
1,303 AEGON Nv, ADR 91,291
19,685 Aetna, Inc. 2,015,252
3,300 Ahmanson (H.F.) & Co. 141,900
14,569 Allstate Corp. 1,063,537
15,600 American Express Co. 1,162,200
8,017 American General Corp. 382,812
15,500 American International Group, Inc. 2,315,312
5,500 AON Corp. 284,625
14,240 Banc One Corp. 689,750
12,800 Bank of New York Co., Inc. 556,800
23,404 BankAmerica Corp. 1,511,021
4,900 BankBoston Corp. 353,106
2,600 Bankers Trust New York Corp. 226,200
6,600 Barnett Banks, Inc. 346,500
1,800 Beneficial Corp. 127,912
14,276 Chase Manhattan Corp. 1,385,664
5,800 Chubb Corp. 387,875
2,400 CIGNA Corp. 426,000
15,300 Citicorp 1,844,606
3,500 Comerica, Inc. 238,000
6,000 Conseco, Inc. 222,000
6,800 Corestates Financial Corp. 365,500
3,500 Countrywide Credit Industries, Inc. 109,156
35,000 Fannie Mae 1,526,875
22,900 Federal Home Loan Mortgage Corp. 787,188
3,500 Fifth Third Bancorp 287,109
4,400 First Bank System, Inc. 375,650
10,358 First Chicago NBD Corp. 626,659
9,425 First Union Corp. 871,812
8,655 Fleet Financial Group, Inc. 547,429
2,700 General Re Corp. 491,400
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-16
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Finance (continued)
1,900 Golden West Financial Corp. $ 133,000
4,500 Great Western Financial Corp. 241,875
4,500 Green Tree Financial Corp. 160,312
3,900 Hartford Financial Services Group 322,725
3,500 Household International, Inc. 411,031
5,400 Humana, Inc.* 124,875
2,300 Jefferson-Pilot Corp. 160,712
7,400 Keycorp 413,475
3,400 Lincoln National Corp. 218,875
5,400 Marsh & McLennan Cos., Inc. 385,425
1,400 MBIA, Inc. 157,938
11,075 MBNA Corp. 405,622
8,500 Mellon Bank Corp. 383,562
10,900 Merrill Lynch & Co., Inc. 649,912
3,900 MGIC Investment Corp. 186,956
18,917 Morgan Stanley Group, Inc. 814,612
6,100 Morgan (J.P.) & Co., Inc. 636,688
7,300 National City Corp. 383,250
24,100 NationsBank Corp. 1,554,450
1,600 NICOR, Inc. 57,400
12,300 Norwest Corp. 691,875
10,600 PNC Bank Corp. 441,225
3,100 Providian Financial Corp.* 99,587
1,800 Republic New York Corp. 193,500
4,200 SAFECO Corp. 196,087
3,600 Salomon, Inc. 200,250
5,800 Schwab (Charles) Corp. 235,987
2,800 St. Paul Cos., Inc. 213,500
2,400 Sun Co., Inc. 74,400
7,300 SunTrust Banks, Inc. 401,956
2,300 Torchmark Corp. 163,875
2,200 Transamerica Corp. 205,837
21,161 Travelers Group, Inc. 1,334,466
4,600 UNUM Corp. 193,200
3,600 USF & G Corp. 86,400
6,100 UST, Inc. 169,275
4,900 U.S. Bancorp 314,212
5,300 Wachovia Corp. 309,056
2,933 Wells Fargo & Co. 790,444
------------
35,878,968
------------
Chemicals and Drugs - 13.62%
25,500 Abbott Laboratories 1,702,125
3,600 Air Products & Chemicals, Inc. 292,500
1,900 Alberto-Culver Co., Class B 53,200
2,200 Allergan, Inc. 69,987
2,800 ALZA Corp.* 81,025
21,300 American Home Products Corp. 1,629,450
8,700 AMGEN, Inc.* 505,687
4,400 Avon Products, Inc. 310,475
1,800 Bausch & Lomb, Inc. 84,825
9,200 Baxter International, Inc. 480,700
4,000 Becton Dickinson & Co. 202,500
3,300 Beverly Enterprises, Inc.* 53,625
6,400 Boston Scientific Corp.* 393,200
33,000 Bristol-Myers Squibb Co. 2,673,000
3,600 Cardinal Health, Inc. 206,100
9,700 Colgate Palmolive Co. 632,925
7,700 Dow Chemical Co. 670,862
37,300 duPont (E.I.) deNemours & Co. 2,345,237
2,600 Eastman Chemical Co. 165,100
4,750 Engelhard Corp. 99,452
1,200 FMC Corp.* 95,325
2,400 Grace (W.R.) & Co. 132,300
2,000 Great Lakes Chemical Corp. 104,750
2,400 Guidant Corp. 204,000
11,300 HEALTHSOUTH Corp.* 281,794
3,300 Hercules, Inc. 157,987
3,600 International Flavors & Fragrances, Inc. 181,800
44,000 Johnson & Johnson 2,832,500
18,300 Lilly (Eli) & Co. 2,000,419
2,400 Mallinckrodt, Inc. 93,600
2,100 Manor Care, Inc. 68,512
7,900 Medtronic, Inc. 639,900
39,900 Merck & Co., Inc. 4,129,650
19,500 Monsanto Co. 839,719
9,100 Morton International, Inc. 274,706
2,200 Nalco Chemical Co. 84,975
21,300 Pfizer, Inc. 2,545,350
16,780 Pharmacia & Upjohn, Inc. 583,105
5,200 Praxair, Inc. 291,200
2,100 Rohm & Haas Co. 189,131
24,200 Schering-Plough Corp. 1,158,575
800 Shared Medical Systems Corp. 43,200
5,700 Sherwin-Williams Co. 175,987
3,300 Sigma Aldrich Corp. 115,706
4,100 Union Carbide Corp. 192,956
2,400 United States Surgical Corp. 89,400
9,000 Warner-Lambert Co. 1,118,250
------------
31,276,772
------------
Consumer Products - 9.63%
2,500 American Greetings Corp., Class A 92,812
3,000 Andrew Corp. 84,375
16,400 Anheuser-Busch Cos., Inc. 687,775
6,000 Applied Materials, Inc.* 424,875
17,622 Archer-Daniels-Midland Co. 414,117
1,000 Ball Corp. 30,062
1,800 Bemis Co., Inc. 78,075
1,600 Boise Cascade Corp. 56,500
2,300 Brown-Forman Corp., Class B 112,269
15,400 Campbell Soup Co. 770,000
7,900 ConAgra, Inc. 506,587
7,600 Corning, Inc. 422,750
4,200 Crown Cork & Seal Co., Inc. 224,437
2,700 Deluxe Corp. 92,137
3,800 Dillard's, Inc., Class A 131,575
22,243 Disney (Walt) Co. 1,785,001
4,800 Donnelley (R.R.) & Sons Co. 175,800
3,200 Dow Jones & Co., Inc. 128,600
5,600 Dun & Bradstreet Corp. 147,000
10,900 Eastman Kodak Co. 836,575
4,700 Gannett Co., Inc. 464,125
4,500 General Instrument Corp.* 112,500
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-17
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Consumer Products (continued)
3,000 Georgia-Pacific Corp. $ 256,125
4,200 Halliburton Co. 332,850
1,000 Harland (John H.) Co. 22,812
4,200 Hasbro, Inc. 119,175
12,100 Heinz (H.J.) Co. 558,112
5,000 Hershey Foods Corp. 276,562
4,400 Ikon Office Solutions, Inc. 109,725
9,900 International Paper Co. 480,769
2,900 James River Corp. of Virginia 107,300
6,900 Kellogg Co. 590,812
18,440 Kimberly-Clark Corp. 917,390
1,200 King World Productions, Inc. 42,000
3,000 Knight-Ridder, Inc. 147,187
2,300 Liz Claiborne, Inc. 107,237
1,300 Longs Drug Stores Corp. 34,044
9,612 Mattel, Inc. 325,607
3,200 Maytag Corp. 83,600
3,300 McGraw-Hill Cos., Inc. 194,081
1,700 Mead Corp. 105,825
1,800 Meredith Corp. 52,200
3,200 New York Times Co., Class A 161,600
9,500 Nike, Inc., Class B 554,563
1,500 Polaroid Corp. 83,250
1,000 Potlatch Corp. 45,252
22,400 Procter & Gamble Co. 3,164,000
4,500 Quaker Oats Co. 201,938
1,900 Reebok International, Ltd. 88,825
5,000 Rubbermaid, Inc. 148,750
1,200 Russell Corp. 35,550
15,900 Sara Lee Corp. 661,838
12,200 Seagram Co., Ltd. 491,050
2,000 Snap-On, Inc. 78,750
2,900 Stanley Works 116,000
3,310 Stone Container Corp. 47,374
1,600 Stride Rite Corp. 20,600
5,800 Sysco Corp. 211,700
1,800 Temple-Inland, Inc. 97,200
5,700 Tenneco, Inc. 257,569
18,480 Time Warner, Inc. 891,660
3,200 Times Mirror Co., Class A 181,800
5,200 TJX Cos., Inc. 137,150
4,100 Tribune Co. 197,056
4,100 TRW, Inc. 232,931
2,000 Tupperware Corp. 73,000
2,300 Union Camp Corp. 115,000
11,663 Viacom, Inc., Class B* 349,890
3,350 Westvaco Corp. 105,316
6,500 Weyerhaeuser Co. 338,000
2,500 Whirlpool Corp. 136,406
3,800 Wrigley (Wm.) Jr. Co. 254,600
----------
22,119,978
----------
Energy - 8.91%
3,100 Amerada Hess Corp. $ 172,244
16,300 Amoco Corp. 1,417,081
1,400 Asarco, Inc. 42,875
2,500 Ashland, Inc. 115,938
10,600 Atlantic Richfield Co. 747,300
4,100 Burlington Resources, Inc. 180,913
21,600 Chevron Corp. 1,597,050
3,500 Coastal Corp. 186,156
5,800 Dresser Industries, Inc. 216,050
700 Eastern Enterprises 24,281
8,400 Enron Corp. 342,825
82,000 Exxon Corp. 5,043,000
4,900 Homestake Mining Co. 64,006
1,600 Kerr-McGee Corp. 101,400
1,100 Louisiana Land & Exploration Co. 62,838
3,600 Louisiana-Pacific Corp. 76,050
26,000 Mobil Corp. 1,816,750
10,900 Occidental Petroleum Corp. 273,181
900 Oneok, Inc. 28,969
3,500 Oryx Energy Co.* 73,938
2,800 Pacific Enterprises 94,150
1,600 Pennzoil Co. 122,800
8,700 Phillips Petroleum Co. 380,625
70,800 Royal Dutch Petroleum Co. 3,849,750
3,300 Santa Fe Energy Resources, Inc.* 48,469
8,200 Schlumberger, Ltd. 1,025,000
2,800 Sonat, Inc. 143,500
8,700 Texaco, Inc. 946,125
8,381 Union Pacific Resources Co. 208,477
8,200 Unocal Corp. 318,263
9,500 USX-Marathon Group 274,313
2,820 USX-U.S. Steel Group, Inc. 98,876
1,800 Western Atlas, Inc.* 131,850
5,200 Williams Cos., Inc. 227,500
----------
20,452,543
----------
Technology - 8.34%
4,600 Advanced Micro Devices, Inc.* 165,600
16,600 AirTouch Communications, Inc.* 454,425
4,100 Amdahl Corp.* 35,875
4,200 Apple Computer, Inc.* 59,850
1,600 Autodesk, Inc. 61,300
9,700 Automatic Data Processing, Inc. 455,900
5,100 Cabletron Systems, Inc.* 144,394
2,700 Ceridian Corp.* 114,075
21,900 Cisco Systems, Inc.* 1,470,038
9,100 Compaq Computer Corp.* 903,175
12,000 Computer Associates International, Inc 668,250
2,500 Computer Sciences Corp.* 180,313
1,300 Data General Corp.* 33,800
5,000 Digital Equipment Corp.* 177,188
8,100 EMC Corp.* 315,900
1,600 Harnischfeger Industries, Inc. 66,400
4,200 Honeywell, Inc. 318,675
1,600 Intergraph Corp.* 13,600
32,800 International Business Machines Corp. 2,958,150
3,800 ITT Corp.* 232,038
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-18
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Technology (continued)
3,900 ITT Industries, Inc. $ 100,425
4,700 LSI Logic Corp.* 150,400
21,098 Lucent Technologies, Inc. 1,520,375
6,900 Micron Technology, Inc.* 275,569
39,600 Microsoft Corp.* 5,004,450
4,700 National Semiconductor Corp.* 143,938
11,500 Novell, Inc.* 79,781
21,525 Oracle Corp.* 1,084,322
4,200 Parametric Technology Corp.* 178,763
4,800 Pitney Bowes, Inc. 342,000
8,100 Seagate Technology, Inc.* 285,019
5,800 Silicon Graphics, Inc.* 87,000
12,200 Sun Microsystems, Inc.* 454,069
3,800 Tandem Computers, Inc.* 76,950
11,000 3Com Corp.* 495,000
5,800 Unisys Corp.* 44,225
----------
19,151,232
----------
Consumer Staples-7.50%
3,100 Black & Decker Corp. 115,281
1,700 Clorox Co. 224,400
81,900 Coca-Cola Co. 5,528,250
1,200 Coors (Adolph) Co., Class B 31,950
5,100 Darden Restaurants, Inc. 46,219
5,700 Fortune Brands, Inc. 212,681
2,500 Fruit of the Loom, Inc., Class A* 77,500
5,500 Gallaher Group Plc, ADR* 101,406
5,300 General Mills, Inc. 345,163
18,400 Gillette Co. 1,743,400
13,700 Minnesota Mining & Manufacturing Co. 1,397,400
5,300 Newell Co. 210,013
50,600 PepsiCo, Inc. 1,900,663
80,200 Philip Morris Cos., Inc. 3,558,875
3,500 Ralston Purina Co. 287,656
700 Springs Industries, Inc., Class A 36,925
5,300 Unilever NV 1,134,531
2,100 VF Corp. 178,763
3,400 Whitman Corp. 86,063
----------
17,217,139
----------
Utilities-7.12%
6,200 American Electric Power, Inc. 260,400
53,667 American Telephone & Telegraph 1,881,699
4,850 Baltimore Gas & Electric Co. 129,434
14,500 Bell Atlantic Corp. 1,100,188
32,800 BellSouth Corp. 1,521,100
7,000 Browning-Ferris Industries, Inc. 232,750
5,000 Carolina Power & Light Co. 179,375
7,000 Central & South West Corp. 148,750
5,243 CINergy Corp. 182,522
1,800 Columbia Gas System, Inc. 117,450
7,800 Consolidated Edison Co. of New York 229,613
3,100 Consolidated Natural Gas Co. 166,819
4,800 DTE Energy Co. 132,600
17,017 Duke Energy Corp. 815,752
13,500 Edison International 335,813
2,300 ENSERCH Corp. 51,175
7,800 Entergy Corp. 213,525
6,000 FPL Group, Inc. 276,375
4,000 GPU, Inc. 143,500
31,500 GTE Corp. 1,382,063
7,700 Houston Industries, Inc. 165,069
10,400 Laidlaw, Inc., Class B 143,650
4,800 Niagara Mohawk Power Corp.* 41,100
4,600 Noram Energy Corp. 70,150
2,300 Northern States Power Co. 119,025
14,500 NYNEX Corp. 835,563
5,000 Ohio Edison Co. 109,063
9,800 PacifiCorp 215,600
7,300 PECO Energy Co. 153,300
1,200 Peoples Energy Corp. 44,925
13,500 PG&E Corp. 327,375
5,400 PP & L Resources, Inc. 107,663
7,700 Public Service Enterprise Group, Inc. 192,500
30,054 SBC Communications, Inc. 1,859,591
22,500 Southern Co. 492,188
7,400 Texas Utilities Co. 254,838
7,100 Unicom Corp. 157,975
3,400 Union Electric Co. 128,138
15,000 Waste Management, Inc. 481,875
29,500 WorldCom, Inc. 944,000
----------
16,344,491
----------
Retail-3.97%
8,300 Albertson's, Inc. 302,950
4,800 American Stores Co. 237,000
5,000 AutoZone, Inc.* 117,813
3,500 Charming Shoppes, Inc.* 18,266
3,200 Circuit City Store, Inc. 113,800
6,956 Costco Cos., Inc.* 228,679
4,700 CPC International, Inc. 433,869
5,500 CVS Corp. 281,875
7,200 Dayton-Hudson Corp. 382,950
6,900 Federated Department Stores, Inc.* 239,775
1,200 Fleming Cos., Inc. 21,600
9,000 Gap, Inc. 349,875
2,000 Giant Food, Inc., Class A 64,750
1,300 Great Atlantic & Pacific Tea Co., Inc. 35,344
2,300 Harcourt General, Inc. 109,538
16,000 Kmart Corp.* 196,000
8,400 Kroger Co.* 243,600
9,000 Limited, Inc. 182,250
7,800 May Department Stores Co. 368,550
1,200 Mercantile Stores Co., Inc. 75,525
2,600 Nordstrom, Inc. 127,563
8,200 Penney (J.C.) Co., Inc. 427,938
4,100 Rite Aid Corp. 204,488
12,900 Sears Roebuck & Co. 693,375
2,200 Supervalu, Inc. 75,900
9,400 Toys `R' Us, Inc.* 329,000
74,800 Wal-Mart Stores, Inc. 2,529,175
8,100 Walgreen Co. 434,363
4,900 Winn-Dixie Stores, Inc. 182,525
4,400 Woolworth Corp.* 105,600
----------
9,113,936
----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-19
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Building and Construction - 1.38%
900 Aeroquip-Vickers, Inc. $ 42,525
3,500 Armco, Inc.* 13,563
1,000 Centex Corp. 40,625
3,200 Champion International Corp. 176,800
3,700 Dover Corp. 227,550
2,800 Fluor Corp. 154,525
16,033 Home Depot, Inc. 1,105,275
1,300 Kaufman & Broad Home Corp. 22,831
3,800 Loews Corp. 380,475
5,700 Lowe's Cos., Inc. 211,613
5,300 Masco Corp. 221,275
1,800 Owens-Corning Fiberglas Corp. 77,625
6,000 PPG Industries, Inc. 348,750
700 Pulte Corp. 24,194
1,800 Willamette Industries, Inc. 126,000
-----------
3,173,626
-----------
Metals and Mining - 1.21%
7,500 Alcan Aluminum, Ltd. 260,156
5,802 Allegheny Teledyne, Inc. 156,654
5,700 Aluminum Co. of America 429,638
12,300 Barrick Gold Corp. 270,600
7,600 Battle Mountain Gold Co. 43,225
3,700 Bethlehem Steel Corp.* 38,619
3,700 Biomet, Inc. 68,913
3,100 Cyprus Amax Minerals Co. 75,950
4,600 Echo Bay Mines, Ltd. 25,875
6,600 Freeport-McMoRan Copper & Gold, Inc.,
Class B 205,425
5,500 Inco, Ltd., Class A 165,344
1,600 Inland Steel Industries, Inc. 41,800
1,300 Jostens, Inc. 34,288
5,111 Newmont Mining Corp. 199,329
2,900 Nucor Corp. 166,025
2,000 Phelps Dodge Corp. 170,375
7,900 Placer Dome, Inc. 129,363
2,400 Reynolds Metals Co. 171,000
2,100 Timken Co. 74,681
3,200 Worthington Industries, Inc. 58,600
-----------
2,785,860
-----------
Aerospace-Airlines - 0.74%
3,000 AMR Corp.* 277,500
2,100 General Dynamics Corp. 157,500
7,800 Raytheon Co. 397,800
4,800 Southwest Airlines Co. 124,200
7,800 United Technologies Corp. 647,400
2,600 US Airways Group, Inc.* 91,000
-----------
1,695,400
-----------
Transportation - 0.73%
5,084 Burlington Northern Santa Fe Corp. 456,925
7,200 CSX Corp. 399,600
2,400 Delta Air Lines, Inc. 196,800
3,800 Federal Express Corp. 219,450
4,100 Norfolk Southern Corp. 413,075
-----------
1,685,850
-----------
Health Services - 0.73%
1,900 Bard (C.R.), Inc. 68,994
22,000 Columbia/HCA Healthcare Corp. 864,875
3,000 St. Jude Medical, Inc.* 117,000
10,000 Tenet Healthcare Corp.* 295,625
6,200 United Healthcare Corp. 322,400
-----------
1,668,894
-----------
Business Services - 0.72%
5,500 Cognizant Corp. 222,750
2,100 Ecolab, Inc. 100,275
5,000 Equifax, Inc. 185,938
14,800 First Data Corp. 650,275
5,200 HFS, Inc.* 301,600
2,700 Interpublic Group of Companies, Inc. 165,544
1,900 Safety Kleen Corp. 32,063
-----------
1,658,445
-----------
Food Services - 0.53%
22,800 McDonald's Corp. 1,101,525
4,300 Wendy's International, Inc. 111,531
-----------
1,213,056
-----------
Consumer Services - 0.31%
3,400 Block (H & R), Inc. 109,650
13,475 CUC International, Inc.* 347,823
7,900 Service Corp. International 259,713
-----------
717,186
-----------
Broadcasting - 0.24%
10,800 Comcast Corp. Special, Class A 230,850
21,900 Tele-Communications, Inc., TCI Group,
Class A* 325,763
-----------
556,613
-----------
Hotels-Leisure - 0.23%
3,400 Harrah's Entertainment, Inc.* 62,050
8,200 Hilton Hotels Corp. 217,813
4,200 Marriott International, Inc. 257,775
-----------
537,638
-----------
Capital Goods - 0.07%
1,300 Cincinnati Milacron, Inc. 33,718
1,300 Foster Wheeler Corp. 52,650
1,100 Giddings & Lewis, Inc. 22,962
300 NACCO Industries, Inc., Class A 16,931
2,400 Navistar International Corp.* 41,400
-----------
167,661
-----------
Electronics - 0.07%
1,100 Tektronix, Inc. 66,000
1,800 Thomas & Betts Corp. 94,612
-----------
160,612
-----------
</TABLE>
See Notes to Financial Statements.
- --------------------------------------------------------------------------------
F-20
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Leisure and Entertainment - 0.05%
3,300 Brunswick Corp. $ 103,125
------------
Total Common Stocks 226,163,110
(Cost $155,969,744) ------------
PREFERRED STOCKS - 0.01%
261 Aetna, Inc., Class C 24,469
2,400 Fresenius National Medical Care,
Inc., Class D* 138
------------
Total Preferred Stocks 24,607
(Cost $17,063) ------------
Par Value
---------
U.S. GOVERNMENT OBLIGATION (A) - 0.15%
U.S. Treasury Bill
$ 350,000 5.20%, 11/13/97 (1) 343,252
------------
Total U.S. Government Obligation 343,252
(Cost $343,293) ------------
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER (A) - 1.18%
$2,700,000 UBS Finance Corp.
6.20%, 07/01/97 $ 2,700,000
------------
Total Commercial Paper 2,700,000
(Cost $2,700,000) ------------
Shares
- ------
INVESTMENT COMPANY - 0.00%
9,012 State Street Bank Temp Fund 9,012
------------
Total Investment Company 9,012
(Cost $9,012) ------------
Total Investments - 99.82% 229,239,981
(Cost $159,039,112) ------------
Net Other Assets and Liabilities - 0.18% 414,697
------------
Net Assets - 100.00% $229,654,678
============
</TABLE>
- --------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt
(1) Security has been deposited as initial
margin on open futures contracts.
At June 30, 1997, the Portfolio's open
futures contracts were as follows:
<TABLE>
<CAPTION>
Number Current
of Contracts Contract Expiration Opening Market Value
Purchased Type Date Position at June 30, 1997
------------ -------- ---------- ----------- ----------------
<S> <C> <C> <C> <C>
5 S&P 500 9/97 $ 2,232,950 $ 2,225,625
</TABLE>
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment
securities for tax purposes was $159,039,112. Net unrealized
appreciation (depreciation) aggregated $70,200,869, of which
$72,385,905 related to appreciated investment securities and
$(2,185,036) related to depreciated investment securities.
Distributions from long-term capital gains for the six
months ended June 30, 1997 were $301,317.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost
of purchases and the proceeds of sales, other than from
short-term investments, included $54,384,180 and $10,633,972
from non-governmental issuers, respectively.
See Notes to Financial Statements.
- -----------------------------------------------
F-21
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 89.37%
Finance - 10.82%
55,900 Aetna Life & Casualty, Inc. $ 5,722,763
58,000 American International Group, Inc. 8,663,750
63,000 Chase Manhattan Corp. 6,114,938
38,700 Citicorp 4,665,769
102,400 Northern Trust Corp. 4,953,600
219,000 TIG Holdings, Inc. 6,843,750
79,600 Tokio Marine & Fire Insurance Co.,
ADR 5,154,100
------------
42,118,670
------------
Chemicals and Drugs - 10.17%
85,000 Air Products & Chemicals, Inc. 6,906,250
56,500 Allegiance Corp. 1,539,625
136,000 duPont (E.I.) deNemours & Co. 8,551,000
102,600 Grace (W.R.) & Co. 5,655,825
92,000 Monsanto Co. 3,961,750
44,700 Pfizer, Inc. 5,341,650
117,400 Pharmacia & Upjohn, Inc. 4,079,650
28,600 Warner-Lambert Co. 3,553,550
------------
39,589,300
------------
Durable Goods - 9.87%
154,500 Corning, Inc. 8,594,063
128,900 Crown Cork & Seal Co., Inc. 6,888,094
115,200 General Electric Co. 7,531,200
15,000 Keystone Automotive Industries, Inc.* 255,000
64,900 Rockwell International Corp. 3,829,100
59,600 Texas Instruments, Inc. 5,010,125
274,200 Westinghouse Electric Corp. 6,340,875
------------
38,448,457
------------
Consumer Products - 8.80%
111,700 Anheuser-Busch Cos., Inc. 4,684,419
51,100 Avon Products, Inc. 3,605,744
59,100 Eastman Kodak Co. 4,535,925
83,400 Fortune Brands, Inc. 3,111,863
116,400 Heinz (H.J.) Co. 5,368,950
48,500 Kellogg Co. 4,152,813
134,200 RJR Nabisco Holdings Corp. 4,428,600
30,100 Seagram Co., Ltd. 1,211,525
87,000 Tupperware Corp. 3,175,500
------------
34,275,339
------------
Technology - 7.77%
209,300 AirTouch Communications, Inc.* 5,729,588
167,400 Electronic Data Systems Corp. 6,863,400
59,800 Honeywell, Inc. 4,537,325
57,400 International Business Machines Corp. 5,176,763
79,100 ITT Corp.* 4,830,044
76,500 Seagate Technology, Inc.* 2,691,844
3,000 3Dfx Interactive, Inc.* 40,125
30,000 Waterlink, Inc.* 390,000
------------
30,259,089
------------
Energy - 6.64%
136,900 Amerada Hess Corp. 7,606,506
78,600 Chevron Corp. 5,811,488
2,500 Hanover Compressor Company* 48,750
143,577 IMC Global, Inc. 5,025,195
135,000 Oryx Energy Co.* 2,851,875
60,000 Tenneco, Inc. 2,711,250
24,700 Western Atlas, Inc.* 1,809,275
------------
25,864,339
------------
Aerospace-Airlines - 6.37%
66,800 AMR Corp.* 6,179,000
39,092 Boeing Co. 2,074,319
80,000 Lockheed Martin Corp. 8,285,000
33,700 Northrop Grumman Corp. 2,959,281
95,200 Sundstrand Corp. 5,313,350
------------
24,810,950
------------
Print and Publishing - 5.55%
51,300 Reader's Digest Association, Inc.,
Class A 1,471,669
139,500 Time Warner, Inc. 6,730,875
198,600 Tribune Co. 9,545,213
190,400 U.S. West, Inc., Media Group* 3,855,600
------------
21,603,357
------------
Automotive - 3.30%
148,000 Ford Motor Co. 5,587,000
125,800 General Motors Corp., Class H 7,264,950
------------
12,851,950
------------
Utilities - 3.10%
88,600 Long Island Lighting Co. 2,037,800
135,200 NYNEX Corp. 7,790,900
65,300 Texas Utilities Co. 2,248,769
------------
12,077,469
------------
Metals and Mining - 3.01%
254,500 Allegheny Teledyne, Inc. 6,871,500
14,800 Molten Metal Technology, Inc.* 74,000
56,000 Phelps Dodge Corp. 4,770,500
------------
11,716,000
------------
Consumer Staples - 2.78%
152,800 Black & Decker Corp. 5,682,250
106,500 Litton Industries, Inc.* 5,145,274
------------
10,827,524
------------
Manufacturing - 2.28%
286,500 Owens-Illinois, Inc.* 8,881,500
------------
Health Care Products - 2.21%
152,500 Baxter International, Inc. 7,968,125
9,800 Johnson & Johnson 630,875
------------
8,599,000
------------
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-22
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Shares (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
Retail - 2.16%
153,100 Wal-Mart Stores, Inc. $ 5,176,694
135,500 Woolworth Corp.* 3,252,000
------------
8,428,694
------------
Waste Disposal - 1.66%
200,968 Waste Management, Inc. 6,456,097
------------
Health Services - 1.25%
123,600 Columbia/HCA Healthcare Corp. 4,859,025
------------
Hotels-Leisure - 0.87%
170,300 Host Marriott Corp.* 3,033,469
22,900 Servico, Inc.* 340,638
------------
3,374,107
------------
Business Services - 0.76%
116,700 Ikon Office Solutions, Inc. 2,910,206
2,500 Staff Leasing, Inc.* 46,875
------------
2,957,081
------------
Total Common Stocks 347,997,948
(Cost $274,052,967) ------------
PREFERRED STOCKS - 1.62%
30,100 AirTouch Communications, Inc.,
Class B 857,850
93,600 Globalstar Telecommunications, Ltd 5,428,800
------------
Total Preferred Stocks 6,286,650
(Cost $5,358,131) ------------
Par Value
- ---------
CORPORATE NOTES AND BONDS - 2.50%
$ 465,000 General Motors Acceptance Corp., MTN
7.85%, 11/17/97 468,593
2,500,000 MBNA Corp., Senior MTN
7.25%, 12/10/97 2,514,580
1,490,000 Molten Metal Technology, Inc.
5.50%, 05/01/06 (A) 551,300
2,500,000 Morgan Stanley Group, Inc., Series C
6.16%, 03/09/98 2,506,307
6,250,000 Roche Holdings, Inc.
6.38%, 05/06/12 (A)(C) 2,695,313
1,000,000 Xerox Credit Corp., Series D, MTN
6.84%, 06/01/00 1,000,625
------------
Total Corporate Notes and Bonds 9,736,718
(Cost $10,463,230) ------------
ASSET-BACKED SECURITY - 0.26%
1,000,000 Case Equipment Loan Trust, 1997-A
6.45%, 03/15/04 1,002,852
------------
Total Asset-Backed Security 1,002,852
(Cost $999,681) ------------
U.S. GOVERNMENT AGENCY OBLIGATION (B) - 0.75%
Federal Home Loan Bank
$3,000,000 5.50%, 11/13/97 2,938,125
------------
Total U.S. Government Agency
Obligation 2,938,125
(Cost $2,938,125) ------------
CERTIFICATES OF DEPOSIT - 1.15%
2,000,000 Bayerische Vereinsbank AG
6.30%, 11/25/98 1,991,000
2,500,000 Skandinaviska Enskilda Banken
6.54%, 06/03/98 2,488,000
------------
Total Certificates of Deposit 4,479,000
(Cost $4,500,000) ------------
COMMERCIAL PAPER (B) - 3.91%
2,000,000 Bear Stearns Cos., Inc.
5.58%, 09/18/97 1,975,510
5,300,000 Citicorp
6.25%, 07/01/97 5,300,000
3,000,000 Mitsubishi Motors Credit of America, Inc.
5.64%, 08/11/97 2,980,730
2,500,000 Paine Webber Group, Inc.
5.70%, 09/18/97 2,468,729
2,500,000 Southland Corp.
5.62%, 08/07/97 2,485,560
------------
Total Commercial Paper 15,210,529
(Cost $15,210,529) ------------
Shares
- ------
INVESTMENT COMPANY - 0.01%
43,864 State Street Bank Temp Fund 43,864
------------
Total Investment Company 43,864
(Cost $43,864) ------------
Total Investments - 99.57% 387,695,686
(Cost $313,566,527) ------------
Net Other Assets and Liabilities - 0.43% 1,693,732
------------
Net Assets - 100.00% $389,389,418
============
</TABLE>
- -----------------------------------------------
* Non income producing security.
MTN Medium Term Note
ADR American Depositary Receipt
(A) Securities exempt from registration under
Rule 144A of the Securities Act
of 1933. These securities may be resold,
in transactions exempt from registration,
to qualified institutional buyers. At
June 30, 1997, these securities amounted
to $3,246,613 or 0.83% of net assets.
(B) Effective yield at time of purchase.
(C) Zero coupon bond. Rate shown reflects
effective yield to maturity.
See Notes to Financial Statements.
- ---------------------------------------------------------
F-23
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment
securities for tax purposes was $313,566,527. Net unrealized
appreciation (depreciation) aggregated $74,129,159, of which
$79,690,388 related to appreciated investment securities and
$(5,561,229) related to depreciated investment securities.
Distributions from long-term capital gains for the six
months ended June 30, 1997 were $2,538,690.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost
of purchases and the proceeds of sales, other than from
short-term investments, included $110,988,570 and
$70,393,352 from non-governmental issuers, respectively.
See Notes to Financial Statements.
- -----------------------------------------------
F-24
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 42.20%
Federal National
Mortgage Association (B) - 15.52%
$ 300,099 6.00%, 05/01/01 (B) Aaa $ 291,096
1,845,288 7.48%, 08/17/03, REMIC (B) Aaa 1,893,150
885,021 6.50%, 05/01/08 (B) Aaa 872,613
648,556 8.50%, 07/01/08 (B) Aaa 676,541
260,029 8.00%, 04/01/09 (B) Aaa 266,953
802,956 9.00%, 02/01/10 (B) Aaa 836,231
1,728,167 6.50%, 09/01/10 (B) Aaa 1,697,042
313,211 7.00%, 05/01/17 (B) Aaa 314,254
1,572,142 8.00%, 04/01/22 (B) Aaa 1,619,133
1,891,234 8.00%, 01/01/23 (B) Aaa 1,947,763
909,663 8.00%, 04/01/23 (B) Aaa 936,853
54,780 7.00%, 11/01/23 (B) Aaa 54,029
2,257,608 7.00%, 11/01/23 (B) Aaa 2,226,679
3,495,753 6.50%, 01/01/24 (B) Aaa 3,369,626
3,051,817 7.00%, 02/01/24 (B) Aaa 3,007,108
2,037,410 7.50%, 10/01/25 (B) Aaa 2,046,293
2,841,481 7.50%, 07/01/26 (C) Aaa 2,847,704
358,497 7.50%, 10/01/26 (B) Aaa 360,060
639,843 7.50%, 12/01/26 (B) Aaa 641,852
385,816 7.50%, 12/01/26 (B) Aaa 387,028
-----------
26,292,008
-----------
U.S. Treasury Notes - 9.69%
1,300,000 5.13%, 02/28/98 Aaa 1,294,719
750,000 5.13%, 04/30/98, Series M Aaa 746,250
2,820,000 5.88%, 03/31/99 Aaa 2,812,950
90,000 7.75%, 01/31/00 Aaa 93,263
11,165,000 5.75%, 08/15/03 Aaa 10,781,203
700,000 6.50%, 08/15/05 Aaa 698,250
-----------
16,426,635
-----------
Federal Home Loan
Mortgage Corporation (B) - 7.82%
376,890 9.50%, 03/01/01 Aaa 388,574
187,594 6.50%, 06/01/04 Aaa 186,466
273,959 6.50%, 08/01/04 Aaa 268,880
1,531,537 7.50%, 01/01/07 Aaa 1,559,947
368,625 8.00%, 04/01/07 Aaa 379,544
376,330 8.00%, 09/01/08 Aaa 386,397
240,893 8.00%, 04/01/09 Aaa 246,079
162,884 8.00%, 06/01/09 Aaa 167,512
319,834 8.00%, 08/01/09 Aaa 328,921
3,667,976 7.00%, 08/01/10 Aaa 3,667,829
39,532 7.00%, 09/01/11 Aaa 39,505
477,875 7.00%, 11/01/11 Aaa 477,550
1,210,272 7.00%, 12/01/11 Aaa 1,209,448
1,257,429 7.90%, 07/01/16 Aaa 1,312,049
593,129 8.75%, 05/01/17 Aaa 628,533
462,288 7.50%, 10/01/18 Aaa 467,008
684,135 9.50%, 08/01/19 Aaa 732,989
22,915 9.50%, 08/01/20 Aaa 24,690
24,922 10.00%, 10/01/20 Aaa 27,174
241,536 10.00%, 12/01/20 Aaa 263,388
451,048 9.50%, 02/01/21 Aaa 485,057
-----------
13,247,540
-----------
U.S. Treasury Bonds - 4.91%
4,565,000 7.25%, 05/15/16 (D) Aaa 4,760,441
1,500,000 7.50%, 11/15/16 Aaa 1,603,125
1,250,000 7.63%, 11/15/22 Aaa 1,360,938
587,000 7.13%, 02/15/23 Aaa 604,243
-----------
8,328,747
-----------
Government National
Mortgage Association - 3.66%
1,511,276 9.50%, 02/15/06 Aaa 1,590,875
293,285 6.50%, 09/15/08 (B) Aaa 289,613
164,122 9.00%, 08/15/16 (B) Aaa 176,226
234,179 9.00%, 08/15/16 (B) Aaa 251,450
275,543 8.00%, 08/15/22 (B) Aaa 283,482
1,009,505 7.00%, 06/15/23 (B) Aaa 997,350
431,496 8.00%, 08/15/26 Aaa 441,761
1,238,669 8.00%, 09/15/26 Aaa 1,268,137
483,266 8.00%, 09/15/26 Aaa 494,763
400,490 8.00%, 09/15/26 Aaa 410,018
-----------
6,203,675
-----------
Federal Home Loan Bank - 0.60%
1,000,000 7.89%, 12/23/97 Aaa 1,009,963
-----------
Total U.S. Government
and Agency Obligations 71,508,568
(Cost $71,323,104) -----------
CORPORATE NOTES AND BONDS - 37.46%
Finance - 12.33%
1,750,000 AT&T Capital Corp., Series 4, MTN
6.26%, 02/18/99 Baa 1,747,368
1,450,000 BCH Cayman Islands
Yankee Subordinated Note, Guaranteed
6.50%, 02/15/06 A 1,369,544
1,000,000 Capital One Bank, MTN
5.95%, 02/15/01 Baa 969,584
500,000 Coles Myer Finance USA, Ltd.
Series A, MTN, Guaranteed
5.45%, 07/16/98 A 496,423
1,000,000 Compass Trust, Series A, Guaranteed
8.23%, 01/15/27 Aaa 999,948
1,500,000 Conseco Financing Trust III
8.80%, 04/01/27 Ba 1,542,532
2,000,000 First Empire Capital Trust I, Guaranteed
8.23%, 02/01/27 A 2,020,698
1,300,000 Ford Motor Credit Co.
6.25%, 12/08/05 A 1,231,149
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-25
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Finance (continued)
$1,787,000 General Motors Acceptance Corp.
7.00%, 03/01/00 A $ 1,805,354
1,750,000 Homeside Lending, Inc., MTN
6.88%, 05/15/00 Baa 1,754,461
1,970,000 Merita Bank, Ltd.
Yankee Subordinated Note
6.50%, 01/15/06 A 1,878,322
1,700,000 The Money Store, Inc.
8.05%, 04/15/02 Ba 1,720,090
1,300,000 Santander Financial Issuances, Ltd.
Yankee Subordinated Note, Guaranteed
7.75%, 05/15/05 A 1,342,622
2,000,000 Star Banc Corp., Series A
Senior Note, MTN
6.97%, 05/01/00 Aaa 2,010,372
-----------
20,888,467
-----------
Securities Brokers, Dealers and Exchanges - 3.57%
2,045,000 Donaldson Lufkin & Jenrette, Inc.
Senior Note
6.88%, 11/01/05 Baa 1,986,190
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa 1,418,017
1,500,000 Paine Webber Group, Inc.
9.25%, 12/15/01 Baa 1,628,136
1,000,000 Salomon, Inc., Senior Note
7.25%, 05/01/01 Baa 1,011,368
-----------
6,043,711
-----------
Utilities - 3.66%
2,170,000 Connecticut Light & Power Co.
First Mortgage, Series 94D
7.88%, 10/01/24 Ba 2,230,219
1,000,000 Empresa Electrica Pehuenche SA
Yankee Note
7.30%, 05/01/03 Aaa 1,004,547
1,250,000 Philadelphia Electric Co.
First Mortgage, Series 1992
7.50%, 01/15/99 Baa 1,270,397
1,050,000 Sithe/Independence Funding Corp.
Series A
9.00%, 12/30/13 Baa 1,149,420
580,000 Texas Utilities Electric Co.
7.38%, 10/01/25 Baa 550,765
-----------
6,205,348
-----------
Oil, Gas and Petroleum - 3.50%
1,000,000 Parker & Parsley Petroleum Co.
Senior Note
8.88%, 04/15/05 Baa 1,102,841
700,000 Southwest Gas Corp.
9.75%, 06/15/02 Baa 778,721
1,500,000 Tennessee Gas Pipeline Co.
7.50%, 04/01/17 Baa 1,502,268
1,050,000 USX-Marathon Group
8.88%, 09/15/97 Baa 1,055,725
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 Ba 1,497,123
-----------
5,936,678
-----------
Telephone and Telecommunications - 3.25%
1,000,000 GTE Corp.
8.85%, 03/01/98 A 1,017,961
500,000 GTE Corp.
8.75%, 11/01/21 A 571,854
1,500,000 LCI International, Inc., Senior Note
7.25%, 06/15/07 Aaa 1,486,701
2,550,000 TCI Communications, Inc.
Senior Debenture
7.88%, 02/15/26 Ba 2,430,655
-----------
5,507,171
-----------
Transportation - 2.67%
1,300,000 AMR Corp.
9.50%, 05/15/01 Baa 1,413,624
900,000 Consolidated Freightways, Inc.
9.13%, 08/15/99 Baa 939,344
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa 2,169,261
-----------
4,522,229
-----------
Printing and Publishing - 2.29%
2,000,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa 1,974,732
1,080,000 Time Warner, Inc.
8.05%, 01/15/16 Ba 1,078,870
750,000 Time Warner, Inc.
9.15%, 02/01/23 Ba 827,749
-----------
3,881,351
-----------
Industrial - 1.61%
600,000 Chesapeake Corp.
7.20%, 03/15/05 Baa 601,153
800,000 Donohue Forest Products, Inc.
Senior Note, Guaranteed
7.63%, 05/15/07 Baa 816,000
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba 1,304,177
-----------
2,721,330
-----------
Manufacturing - 1.61%
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 Baa 1,496,805
1,200,000 Boise Cascade Corp.
10.13%, 12/15/97 Baa 1,221,435
-----------
2,718,240
-----------
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-26
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Health Care - 1.18%
$2,000,000 Allegiance Corp.
7.30%, 10/15/06 Baa $ 2,006,240
-----------
Processed Foods - 0.89%
1,500,000 Ralston Purina Co.
7.75%, 10/01/15 Baa 1,511,770
-----------
Engineering and Construction - 0.49%
850,000 Pulte Corp., Senior Note, Guaranteed
7.00%, 12/15/03 Baa 835,736
-----------
Consumer Products - 0.41%
675,000 Time Warner Entertainment Co., LP
8.38%, 03/15/23 Baa 691,844
-----------
Total Corporate Notes and Bonds 63,470,115
(Cost $63,299,790) -----------
ASSET-BACKED SECURITIES (B) - 17.30%
1,886,889 Bear Stearns Mortgage Securities, Inc.
Series 1995-1, Class 1-A, CMO
6.57%, 05/25/10 Aaa 1,839,566
1,250,000 Bear Stearns Mortgage Securities, Inc.
Series 1996-3, Class A-10, CMO
7.75%, 06/25/27 Aaa 1,264,937
1,750,000 CS First Boston Mortgage Securities Co.
Series 1996-1, Class A-2
6.70%, 03/15/27 Aaa 1,760,500
1,500,000 CWMBS, Inc.
Series 1996-10, Class A3, CMO
7.50%, 11/25/11 Aaa 1,511,513
256,682 Contimortgage Home Equity Loan Trust
Series 1994-3, Class A-1
7.63%, 05/15/09 Aaa 258,361
1,697,981 Financial Asset Securitization, Inc.
Series 1997-NAMC, Class FXA2, CMO
7.75%, 05/25/27 Aaa 1,744,145
1,599,526 First Plus Home Loan Trust
Series 1996-2, Class A-5
7.47%, 02/20/11 Aaa 1,628,973
775,000 First Plus Home Loan Trust
Series 1996-3, Class A-3
7.05%, 11/20/08 Aaa 781,487
1,481,265 General Motors Acceptance Corp.
Commerical Mortgage Securities, Inc.
Series 1996-C1, Class A-2, CMO
6.79%, 10/15/28 Aaa 1,463,675
1,700,000 Green Tree Financial Corp.
Series 1994-1, Class A-3
6.90%, 04/15/19 Aa 1,717,102
500,000 Green Tree Financial Corp.
Series 1994-2, Class A-2
7.35%, 05/15/19 Aa 506,300
850,000 Green Tree Financial Corp.
Series 1994-B, Class A-3
8.25%, 04/15/20 Aa 869,134
663,088 Green Tree Recreational Equipment &
Consumer Trust
Series 1996-A, Class A-1
5.55%, 02/15/18 Aaa 644,528
1,500,000 Green Tree Recreational Equipment &
Consumer Trust
Series 1997-B, Class A-1
6.55%, 07/15/28 Aaa 1,495,781
401,707 NationsBank Auto Grantor Trust
Series 1995-A, Class B
6.00%, 06/15/02 Aaa 402,257
1,950,000 Olympic Automobile Receivables Trust
Series 1996-A, Class A-4
5.85%, 07/15/01 Aaa 1,939,100
1,350,000 Premier Auto Trust
Series 1995-4, Class A-4
6.00%, 05/06/00 Aaa 1,350,405
1,000,000 Premier Auto Trust
Series 1996-2, Class A-3
6.35%, 01/06/00 Aaa 1,004,860
1,750,000 Resolution Trust Corp.
Series 1995-C1, Class A4C, CMO
6.85%, 02/25/27 Aaa 1,739,063
421,658 Structured Asset Securities Corp.
Series 1996-CFL, Class A-1B, CMO
5.75%, 02/25/28 Aaa 419,681
446,443 United Air Lines, Inc.
Series 1991-B1
9.30%, 03/22/08 Baa 456,448
750,000 Vendee Mortgage Trust
Series 1997-1, Class 2B
CMO, REMIC
7.50%, 03/15/13 Aaa 756,155
1,750,000 WFS Financial Owner Trust
Series 1996-D, Class A-3
6.05%, 07/20/01 Aaa 1,739,955
1,500,000 WFS Financial Owner Trust
Series 1997-A, Class A-3
6.50%, 09/20/01 Aaa 1,509,375
120,781 Western Financial Grantor Trust
Series 1994-2, Class A-2
6.38%, 09/01/99 Aaa 121,367
388,817 Western Financial Grantor Trust
Series 1995-2, Class A-2
7.10%, 07/01/00 Aaa 392,717
-----------
Total Asset-Backed Securities 29,317,385
(Cost $29,266,660) -----------
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-27
<PAGE>
- --------------------------------------------------------------------------------
Investment Grade Income Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMERCIAL PAPER (A) - 1.70%
$ 2,890,000 Federal Home Loan Mortgage Corporation
5.44%, 07/09/97 Aaa $ 2,886,506
------------
Total Commercial Paper 2,886,506
(Cost $2,886,506) ------------
<CAPTION>
Shares
- ----------
<S> <C> <C> <C>
INVESTMENT COMPANY - 0.02%
28,523 State Street Bank Temp Fund 28,523
------------
Total Investment Company 28,523
(Cost $28,523) ------------
Total Investments - 98.68% 167,211,097
(Cost $166,804,583) ------------
Net Other Assets and Liabilities -1.32% 2,227,231
------------
Net Assets - 100.00% $169,438,328
============
</TABLE>
- ----------------------------------------------
(A) Effective yield at time of purchase
(B) Pass Through Certificates
(C) Forward Commitment
(D) Collateral on Forward Commitment
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $166,804,583. Net unrealized appreciation (depreciation) aggregated
$406,514, of which $1,859,097 related to appreciated investment securities and
$(1,452,583) related to depreciated investment securities.
As of December 31, 1996, the portfolio had a capital loss carryforward of
$1,515,795 which expires in 2002. During 1996, the fund utilized $216,143 of its
capital loss carryforward.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated cost of purchases and the
proceeds of sales, other than from short-term investments, included $31,448,711
and $17,609,082 from non-governmental issuers, respectively, and $36,783,145 and
$36,977,264 from U.S. Government and Agency issuers, respectively.
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
Moody's Ratings
<S> <C>
Aaa 63.20%
Aa 1.85
A 7.02
Baa 21.27
Ba 6.66
--------
100.00%
========
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-28
<PAGE>
- --------------------------------------------------------------------------------
Government Bond Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 90.50%
U.S. Treasury Notes - 40.47%
$ 1,000,000 5.13%, 03/31/98 $ 995,938
3,050,000 5.88%, 03/31/99 3,042,375
3,200,000 6.88%, 08/31/99 3,248,000
4,400,000 7.13%, 02/29/00 4,496,250
650,000 6.25%, 10/31/01 647,156
5,525,000 5.75%, 08/15/03 5,335,078
1,400,000 6.50%, 08/15/05 1,396,500
------------
19,161,297
------------
Federal National Mortgage Association - 25.59%
1,175,000 6.16%, 03/29/01, MTN 1,163,679
750,000 6.45%, 04/23/01, MTN 749,653
1,000,000 6.20%, 07/10/03 967,600
1,153,305 7.48%, 08/17/03, Series 1996-M6
Class A, CMO, REMIC (A) 1,183,219
1,327,532 6.50%, 05/01/08 (A) 1,308,920
1,300,000 8.40%, 02/25/09, Series 1994-M5
Class B, CMO, REMIC (A) 1,366,219
156,017 8.00%, 04/01/09 (A) 160,172
1,227,600 7.50%, 06/01/12 (A) 1,245,400
1,000,000 6.40%, 11/25/10, Series 1995-T2,
Class A-2 (A) 999,688
1,570,252 7.50%, 12/01/09 (A) 1,597,684
115,640 7.00%, 05/01/17 (A) 116,025
1,250,000 7.00%, 06/25/26, Series 1996-W2
Class A-3, REMIC (A) 1,256,149
------------
12,114,408
------------
Federal Home Loan Mortgage Corporation - 10.65%
895,000 7.19%, 09/15/99, Series A 896,580
392,979 9.50%, 03/01/01, Series 1 405,161
1,000,000 5.99%, 03/06/01 (A) 982,550
125,062 6.50%, 06/01/04 (A) 124,311
226,314 6.50%, 08/01/04 (A) 222,118
376,330 8.00%, 09/01/08 (A) 386,397
273,421 8.00%, 04/01/09 (A) 279,308
101,811 8.00%, 06/01/09 (A) 104,703
319,834 8.00%, 08/01/09 (A) 328,921
188,266 8.00%, 09/01/09 (A) 192,319
343,828 7.90%, 07/01/16 358,763
380,266 8.00%, 06/01/19 (A) 391,883
336,410 10.00%, 03/01/21 (A) 366,815
------------
5,039,829
------------
Government National Mortgage Association - 7.42%
450,304 9.50%, 02/15/06 474,022
106,649 8.00%, 12/15/06 110,735
2,078,933 7.00%, 06/15/09 (A) 2,087,270
99,849 6.50%, 06/15/09 (A) 98,505
742,500 7.00%, 06/15/12 744,282
------------
3,514,814
------------
U.S. Treasury Bond - 2.93%
1,100,000 10.75%, 08/15/05 1,387,032
------------
U.S. Government Backed Bond - 2.29%
1,100,000 Tennessee Valley Power Authority, 1995,
Series D 6.00%, 11/01/00 1,084,943
------------
Federal Home Loan Bank - 1.15%
550,000 6.55%, 03/07/05, Series FX05 545,899
------------
Total U.S. Government
and Agency Obligations 42,848,222
(Cost $42,893,953) ------------
ASSET-BACKED SECURITIES (A) - 7.38%
296,160 Advanta Mortgage Loan Trust
Series 1995-2, Class A-2
6.60%, 02/25/10 296,607
1,175,000 CS First Boston Mortgage Securities
Corp. Series 1996-1, Class A-2
6.70%, 03/15/27 1,182,050
700,000 Green Tree Financial Corp
Senior Subordinate Pass Through
Certificate Series 1994-7, Class A-3
8.00%, 03/15/20 713,090
106,094 Green Tree Recreational Equipment &
Consumer Trust Series 1996-A,
Class A-1 5.55%, 02/15/18 103,125
1,200,000 Premier Auto Trust
Series 1995-4, Class A-4
6.00%, 05/06/00 1,200,360
------------
Total Asset-Backed Securities 3,495,232
(Cost $3,521,251) ------------
<CAPTION>
Shares
--------
<S> <C> <C>
INVESTMENT COMPANY - 0.01%
3,713 State Street Bank Temp Fund 3,713
------------
Total Investment Company 3,713
(Cost $3,713) ------------
Total Investments - 97.89% 46,347,167
(Cost $46,418,917) ------------
Net Other Assets and Liabilities - 2.11% 997,448
------------
Net Assets - 100.00% $ 47,344,615
============
</TABLE>
- ----------------------------------------------
(A) Pass Through Certificates
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
OTHER INFORMATION
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
Moody's Ratings
<S> <C>
Aaa 100.00%
=======
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-29
<PAGE>
- --------------------------------------------------------------------------------
Government Bond Fund
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $46,418,917. Net unrealized appreciation (depreciation) aggregated $(71,750)
of which $199,633 related to appreciated investment securities and $(271,383)
related to depreciated investment securities.
As of December 31, 1996, the portfolio had capital loss carryforwards which
expire as follows: $1,544,794 in 2002; $515,322 in 2003; and $461,593 in 2004.
OTHER INFORMATION
For the six months ended June 30, 1997, the aggregated proceeds of sales, other
than from short-term investments, was $243,711 from non-governmental issuers and
the aggregated cost of purchases and the proceeds from sales, other than short-
term investments, was $13,730,340 and $13,313,340 from U.S. Government and
Agency issuers, respectively.
See Notes to Financial Statements.
---------------------------------------------------------
F-30
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
U.S. AGENCY OBLIGATIONS - 18.76%
Federal Home Loan Mortgage Corporation - 9.77%
$10,000,000 5.41%, 07/15/97 $ 9,978,961
13,120,000 5.22%, 08/15/97 13,030,688
1,930,000 5.24%, 01/30/98 1,870,164
-------------
24,879,813
-------------
Federal Farm Credit Bank - 4.71%
7,500,000 5.55%, 08/01/97 7,499,233
2,625,000 5.25%, 10/31/97 2,578,629
2,000,000 5.47%, 03/23/98 1,919,469
-------------
11,997,331
-------------
Federal National Mortgage Association - 3.69%
500,000 5.64%, 09/03/97 500,158
9,000,000 5.55%, 09/25/97 8,880,675
-------------
9,380,833
-------------
Federal Home Loan Bank - 0.59%
1,500,000 5.61%, 07/07/97 1,498,598
-------------
Total U.S. Agency Obligations 47,756,575
-------------
(Cost $47,756,575)
CORPORATE NOTES AND BONDS - 18.27%
Finance - 6.81%
3,000,000 American Honda Finance Corp., MTN
5.92%, 08/15/97 (B) * 3,000,000
925,000 Beneficial Corp., Series E, MTN
6.99%, 12/11/97 928,162
255,000 Ford Capital BV, Yankee Debenture
9.13%, 05/01/98
Guaranteed: Ford Motor Co. 260,539
5,750,000 General Electric Capital Corp.,
Series A, MTN 5.36%, 01/20/98 5,730,450
1,400,000 General Motors Acceptance Corp., MTN
7.30%, 02/02/98 1,410,817
1,100,000 General Motors Acceptance Corp., MTN
6.50%, 07/25/97 1,100,579
3,000,000 General Motors Acceptance Corp., MTN
6.07%, 08/01/97 * 3,000,358
1,000,000 Southwestern Bell Capital Corp.,
Series C, MTN 7.75%, 10/30/97 1,005,801
899,000 Texaco Capital, Inc., MTN
8.65%, 07/23/97
Guaranteed: Texaco, Inc. 900,646
-------------
17,337,352
-------------
Securities Brokers and Dealers - 4.69%
3,500,000 Goldman Sachs Group, LP
Series E, Euro MTN
6.20%, 05/29/98 * 3,507,713
1,000,000 Bear Stearns Cos., Inc., Series B, MTN
6.07%, 02/17/98 * 1,001,180
2,500,000 Bear Stearns Cos., Inc., Series B, MTN
6.16%, 02/23/98 * 2,506,568
3,000,000 Bear Stearns Cos., Inc., Series B, MTN
5.75%, 10/08/97 * 3,000,000
1,915,000 Lehman Brothers Holdings, Inc.,
Series E, MTN 6.73%, 02/27/98 1,924,595
-------------
11,940,056
-------------
Banking - 3.55%
4,000,000 BankAmerica Corp., Series G, MTN
6.88%, 11/20/97 4,014,090
2,000,000 MBNA Corp., Senior MTN
7.25%, 12/10/97 2,011,245
3,000,000 Wells Fargo & Co., Series B, MTN
5.89%, 12/29/97 * 3,000,767
-------------
9,026,102
-------------
Utilities - 1.62%
1,000,000 Virginia Electric & Power Co.
First Mortgage, Series A
9.38%, 06/01/98 1,027,014
3,060,000 WMX Technologies, Inc.
8.13%, 02/01/98 3,099,826
-------------
4,126,840
-------------
Consumer Goods - 0.99%
2,500,000 PepsiCo, Inc.
6.13%, 01/15/98 2,504,802
-------------
Retail - 0.61%
1,525,000 Sears Roebuck & Co., Debenture
9.25%, 04/15/98 1,558,794
-------------
Total Corporate Notes and Bonds 46,493,946
-------------
(Cost $46,493,946)
MUNICIPAL BOND - 1.57%
4,000,000 Nebraska Higher Education Loan
Program, Inc. 5.60%, 07/17/97 3,990,044
-------------
Total Municipal Bond 3,990,044
-------------
(Cost $3,990,044)
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-31
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER - 55.36%
Finance - 22.78%
$ 5,000,000 Asset Backed Capital Finance, Inc.
5.83%, 11/14/97 $ 4,999,640
9,000,000 Associates Corp. of North America
5.62%, 07/21/97 8,971,900
2,500,000 Bil North America, Inc.
5.65%, 12/10/97 2,436,438
3,000,000 Jefferson Smurfit Finance Corp.,
Series A 5.60%, 08/28/97 2,972,933
4,500,000 Jefferson Smurfit Finance Corp.,
Series A 5.60%, 09/02/97 4,455,900
3,163,000 Madison Funding, Inc.
5.70%, 08/05/97 3,145,472
600,000 National Fleet Funding Corp.
7.00%, 08/15/97 595,725
8,500,000 Norwest Financial, Inc.
5.53%, 07/28/97 8,464,746
5,000,000 Prudential Funding Corp.
5.54%, 07/14/97 4,989,997
4,200,000 Toshiba Capital Asia Corp.
5.75%, 07/22/97 4,185,913
2,500,000 Toshiba International Finance
5.70%, 08/14/97 2,482,583
5,355,000 UBS Finance, Inc.
6.20%, 07/01/97 5,355,000
5,000,000 Unifunding, Inc.
5.58%, 09/17/97 4,939,550
------------
57,995,797
------------
Security Brokers and Dealers - 9.89%
2,000,000 Bear Stearns Cos., Inc.
5.58%, 09/18/97 1,975,510
3,000,000 European Investment Bank
5.76%, 11/03/97 2,940,104
2,500,000 Goldman Sachs Group, LP
5.85%, 11/17/97 2,443,821
8,000,000 Merrill Lynch & Co., Inc.
5.62%, 09/18/97 7,901,338
2,500,000 Paine Webber Group, Inc.
5.45%, 08/13/97 2,483,726
4,500,000 Paine Webber Group, Inc.
5.77%, 08/22/97 4,462,495
3,000,000 Paine Webber Group, Inc.
5.70%, 09/16/97 2,963,425
------------
25,170,419
------------
Banking - 7.05%
5,000,000 Citicorp
6.25%, 07/01/97 $ 4,999,997
7,000,000 Citicorp
5.72%, 07/07/97 6,993,327
1,000,000 Bank of Boston Corp.
5.70%, 10/31/97 980,683
2,000,000 Corestates Bank of North America
5.72%, 11/03/97 1,960,278
3,000,000 Societe Generale of North America, Inc.
5.36%, 07/14/97 2,994,193
------------
17,928,478
------------
Automotive - 4.48%
2,500,000 Hyundai Motor Finance Co.
5.38%, 07/02/97 2,499,626
9,000,000 Mitsubishi Motors Credit of
America, Inc. 5.69%, 09/11/97 8,897,680
------------
11,397,306
------------
Utilities - 3.61%
2,050,000 Narragansett Electric Co.
6.25%, 07/01/97 2,050,000
7,185,000 Songs Fuel Co.
5.68%, 08/04/97 7,146,456
------------
9,196,456
------------
Electronics - 2.90%
4,200,000 Avnet, Inc.
6.25%, 07/01/97 4,200,000
3,200,000 Sharp Electronics Corp.
5.57%, 08/15/97 3,177,720
------------
7,377,720
------------
Insurance - 2.73%
7,000,000 Internationale Nederlanden
U.S. Insurance Holdings, Inc.
5.58%, 08/19/97 6,946,835
------------
Consumer Goods - 1.44%
3,700,000 Stanley Works
5.57%, 08/19/97 3,671,899
------------
Industrial - 0.29%
750,000 Anheuser-Busch Cos., Inc.
5.67%, 12/19/97 729,801
------------
Energy - 0.19%
490,000 Laclede Gas Co.
5.60%, 07/18/97 488,704
------------
Total Commercial Paper 140,903,415
------------
(Cost $140,903,415)
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-32
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
Par Value (Note 2)
- -------------------------------------------------------------
<S> <C> <C>
CERTIFICATE OF DEPOSIT - 3.93%
$ 10,000,000 Skandinaviska Enskilda Banken
6.54%, 06/03/98 * $ 10,000,000
------------
Total Certificate of Deposit 10,000,000
------------
(Cost $10,000,000)
BANKERS' ACCEPTANCE - 1.18%
3,000,000 Suntrust Bank Atlanta
5.58%, 07/08/97 2,996,745
------------
Total Bankers' Acceptance 2,996,745
------------
(Cost $2,996,745)
Shares
--------
INVESTMENT COMPANY - 0.01%
26,174 State Street Bank Temp Fund 26,174
------------
Total Investment Company 26,174
------------
(Cost $26,174)
Total Investments - 99.08% 252,166,899
------------
(Cost $252,166,899)
Net Other Assets and Liabilities - 0.92% 2,344,562
------------
Net Assets - 100.00% $254,511,461
============
</TABLE>
- ----------------------------------------------------
* Interest is reset at various time intervals. The rate shown reflects the
rate currently in effect at June 30, 1997.
(A) Effective yield at time of purchase.
(B) Securities exempt from registration under rule 144A of the Securities Act
of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. As of June 30, 1997,
these securities amounted to $3,000,000 or 1.18% of net assets.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1997, the aggregate cost of investment securities for tax purposes
was $252,166,899.
As of December 31, 1996, the portfolio had capital loss carryforwards which
expire as follows: $347 in 2002; $144 in 2003; and $35,977 in 2004.
OTHER INFORMATION
The composition of ratings of both long-term and short-term debt holdings as a
percentage of total value of investments in securities is as follows:
<TABLE>
Moody's Ratings
<S> <C>
Aaa 100.00%
=======
</TABLE>
See Notes to Financial Statements.
- ---------------------------------------------------------
F-33
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES . June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Select Small-Mid Cap Select
Aggressive Capital Value International
Growth Fund Appreciation Fund Fund Equity Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost ................................... $ 380,568,995 $ 165,384,753 $ 140,739,888 $ 297,084,239
Net unrealized appreciation (depreciation) ............ 111,225,231 27,694,917 17,363,950 54,605,295
------------- ------------- ------------- -------------
Total investments at value .......................... 491,794,226 193,079,670 158,103,838 351,689,534
Cash ..................................................... -- -- -- 27
Foreign currency
(Cost $545,654 and $6,526,077 respectively)
(Notes 2 and 7) .................................... -- 545,069 -- 6,524,929
Receivable for investments sold .......................... 477,037 1,499,247 2,355,034 187,213
Receivable for shares sold ............................... 453,962 218,230 115,913 1,600,930
Receivable for foreign currency sold ..................... -- 3,786,880 -- --
Interest and dividend receivables ........................ 136,794 11,735 211,424 1,268,221
Deferred organizational expense (Note 2) ................. -- 3,619 -- --
Dividend tax reclaim receivables ......................... -- 10,999 -- 298,123
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8) ............ -- -- -- 413,944
------------- ------------- ------------- -------------
Total Assets ........................................ 492,862,019 199,155,449 160,786,209 361,982,921
------------- ------------- ------------- -------------
LIABILITIES:
Payable for investments purchased ........................ 1,874,997 3,307,307 4,994,640 6,580,341
Payable for foreign currency purchased ................... -- 4,300,257 -- 2,677,262
Payable for shares repurchased ........................... -- -- -- --
Payable for variation margin ............................. -- -- -- --
Payable to Custodian ..................................... -- 608,135 -- --
Net unrealized depreciation on forward foreign
currency contracts (Notes 2 and 8) .................... -- 225,126 -- --
Advisory fee payable (Note 3) ............................ 390,047 151,543 112,666 280,209
Accrued expenses and other payables ...................... 97,090 16,319 30,406 146,509
------------- ------------- ------------- -------------
Total Liabilities ................................... 2,362,134 8,608,687 5,137,712 9,684,321
------------- ------------- ------------- -------------
NET ASSETS ................................................... $ 490,499,885 $ 190,546,762 $ 155,648,497 $ 352,298,600
============= ============= ============= =============
NET ASSETS consist of
Paid-in capital (Note 6) ................................. $ 380,461,501 $ 173,438,158 $ 118,213,556 $ 288,656,613
Undistributed (distribution in excess of)
net investment income (loss) .......................... (1,234,267) (155,573) 428,739 1,519,238
Accumulated (distribution in excess of)
net realized gain (loss) on investments
sold, foreign currency transactions
and futures contracts ................................. 47,420 (10,204,283) 19,642,252 7,093,747
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts ................ 111,225,231 27,468,460 17,363,950 55,029,002
------------- ------------- ------------- -------------
TOTAL NET ASSETS ............................................. $ 490,499,885 $ 190,546,762 $ 155,648,497 $ 352,298,600
============= ============= ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value) .................. 228,820,840 123,656,178 91,597,533 241,468,195
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) .......................... $ 2.144 $ 1.541 $ 1.699 $ 1.459
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-34
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Equity Select Growth
Growth Growth Index and Income
Fund Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost ........................................ $ 285,737,350 $ 542,427,274 $ 159,039,112 $ 313,566,527
Net unrealized appreciation (depreciation) ................. 61,339,989 130,781,557 70,200,869 74,129,159
------------- ------------- ------------- -------------
Total investments at value ............................... 347,077,339 673,208,831 229,239,981 387,695,686
Cash .......................................................... 682,567 9,330 96,610 466,438
Foreign currency
(Cost $545,654 and $6,526,077 respectively)
(Notes 2 and 7) ......................................... -- -- -- --
Receivable for investments sold ............................... 183,174 4,427,288 -- 3,090,507
Receivable for shares sold .................................... 494,439 46,037 158,871 492,541
Receivable for foreign currency sold .......................... -- -- -- --
Interest and dividend receivables ............................. 408,349 1,116,739 274,394 652,914
Deferred organizational expense (Note 2) ...................... -- -- -- --
Dividend tax reclaim receivables .............................. -- -- -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8) ................. -- -- -- --
------------- ------------- ------------- -------------
Total Assets ............................................. 348,845,868 678,808,225 229,769,856 392,398,086
------------- ------------- ------------- -------------
LIABILITIES:
Payable for investments purchased ............................. 3,251,031 10,032,666 -- 2,713,260
Payable for foreign currency purchased ........................ -- -- -- --
Payable for shares repurchased ................................ -- 223,923 -- --
Payable for variation margin .................................. -- -- 16,625 --
Payable to Custodian .......................................... -- -- -- --
Net unrealized depreciation on forward foreign
currency contracts (Notes 2 and 8) ......................... -- -- -- --
Advisory fee payable (Note 3) ................................. 234,148 225,316 58,768 236,161
Accrued expenses and other payables ........................... 50,146 114,922 39,785 59,247
------------- ------------- ------------- -------------
Total Liabilities ........................................ 3,535,325 10,596,827 115,178 3,008,668
------------- ------------- ------------- -------------
NET ASSETS ........................................................ $ 345,310,543 $ 668,211,398 $ 229,654,678 $ 389,389,418
============= ============= ============= =============
NET ASSETS consist of
Paid-in capital (Note 6) ...................................... $ 270,686,168 $ 473,575,873 $ 155,079,991 $ 302,646,387
Undistributed (distribution in excess of)
net investment income (loss) ............................... 809,637 12,537 2,495 (10,480)
Accumulated (distribution in excess of) net realized
gain (loss) on investments sold, foreign currency
transactions and futures contracts ......................... 12,474,749 63,841,431 4,378,648 12,624,352
Net unrealized appreciation (depreciation) of investments,
assets and liabilities in foreign currency and
futures contracts ......................................... 61,339,989 130,781,557 70,193,544 74,129,159
------------- ------------- ------------- -------------
TOTAL NET ASSETS .................................................. $ 345,310,543 $ 668,211,398 $ 229,654,678 $ 389,389,418
============= ============= ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value) ....................... 204,874,845 252,680,861 89,103,832 248,168,215
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) ............................... $ 1.685 $ 2.644 $ 2.577 $ 1.569
============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Grade Government Money
Income Bond Market
Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost ................................... $ 166,804,583 $ 46,418,917 $ 252,166,899
Net unrealized appreciation (depreciation) ............ 406,514 (71,750) --
------------- ------------- -------------
Total investments at value .......................... 167,211,097 46,347,167 252,166,899
Cash ..................................................... 2,948,690 1,100,297 78,855
Foreign currency
(Cost $545,654 and $6,526,077 respectively)
(Notes 2 and 7) .................................... -- -- --
Receivable for investments sold .......................... 85,867 54,076 --
Receivable for shares sold ............................... 139,291 191,256 1,663,347
Receivable for foreign currency sold ..................... -- -- --
Interest and dividend receivables ........................ 2,018,577 694,517 855,957
Deferred organizational expense (Note 2) ................. -- -- --
Dividend tax reclaim receivables ......................... -- -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8) ............ -- -- --
------------- ------------- -------------
Total Assets ........................................ 172,403,522 48,387,313 254,765,058
------------- ------------- -------------
LIABILITIES:
Payable for investments purchased ........................ 2,851,841 997,050 --
Payable for foreign currency purchased ................... -- -- --
Payable for shares repurchased ........................... -- -- 150,915
Payable for variation margin ............................. -- -- --
Payable to Custodian ..................................... -- -- --
Net unrealized depreciation on forward foreign
currency contracts (Notes 2 and 8) .................... -- -- --
Advisory fee payable (Note 3) ............................ 54,725 19,233 55,208
Accrued expenses and other payables ...................... 58,628 26,415 47,474
------------- ------------- -------------
Total Liabilities ................................... 2,965,194 1,042,698 253,597
------------- ------------- -------------
NET ASSETS ................................................... $ 169,438,328 $ 47,344,615 $ 254,511,461
============= ============= =============
NET ASSETS consist of
Paid-in capital (Note 6) ................................. $ 170,537,859 $ 50,050,052 $ 254,554,165
Undistributed (distribution in excess of)
net investment income (loss) .......................... 16,124 8,532 --
Accumulated (distribution in excess of) net realized
gain (loss) on investments sold, foreign currency
transactions and futures contracts .................... (1,522,169) (2,642,219) (42,704)
Net unrealized appreciation (depreciation) of investments,
assets and liabilities in foreign currency and
futures contracts .................................... 406,514 (71,750) --
------------- ------------- -------------
TOTAL NET ASSETS ............................................. $ 169,438,328 $ 47,344,615 $ 254,511,461
============= ============= =============
Shares of beneficial interest outstanding
(unlimited authorization, no par value) .................. 156,644,399 45,922,898 254,554,165
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding) .......................... $ 1.082 $ 1.031 $ 1.000
============= ============= =============
</TABLE>
- ---------------------------------------------------------
F-35
<PAGE>
- --------------------------------------------------------------------------------
Allmerica Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS . For six months ended June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Select Small-Mid Cap Select
Aggressive Capital Value International
Growth Fund Appreciation Fund Fund Equity Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2) ...................................... $ 267,189 $ 141,083 $ 166,327 $ 53,611
Dividends (Note 2) ..................................... 823,454 535,242 887,334 5,148,556
Less net foreign taxes withheld ........................ -- (9,303) -- (815,139)
------------ ------------ ------------ ------------
Total investment income ............................. 1,090,643 667,022 1,053,661 4,387,028
------------ ------------ ------------ ------------
EXPENSES
Investment advisory fees (Notes 3 and 4) ............... 2,117,634 774,339 588,763 1,463,905
Custodian fees (Note 3) ................................ 35,424 25,222 4,772 164,964
Fund accounting fees (Note 3) .......................... 33,829 30,948 22,091 34,904
Legal fees ............................................. 3,071 1,670 460 3,087
Audit fees ............................................. 4,919 6,953 1,925 5,875
Trustees' fees and expenses (Note 3) ................... 3,639 1,295 2,692 2,394
Reports to shareholders ................................ 124,742 43,836 80,560 94,374
Amortization of organization costs (Note 2) ............ -- 636 -- --
Miscellaneous .......................................... 1,652 5,045 -- 10,246
------------ ------------ ------------ ------------
Total expenses before reductions and waiver ......... 2,324,910 889,944 701,263 1,779,749
Less reductions (Note 5) ............................ -- -- (56,269) (19,545)
Less waiver (Note 4) ................................ -- -- (20,072) --
------------ ------------ ------------ ------------
Total expenses net of reductions and waiver ......... 2,324,910 889,944 624,922 1,760,204
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) ............................... (1,234,267) (222,922) 428,739 2,626,824
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold ........... 68,995 (7,337,113) 19,644,759 1,917,388
Net realized gain (loss) on futures contracts .......... -- -- -- --
Net realized gain (loss) on foreign currency
transactions ........................................... -- (127,280) -- 5,195,403
Net change in unrealized appreciation
(depreciation) of assets and liabilities
in foreign currency .................................... -- 95,488 -- (695,267)
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts .............................................. 33,058,945 16,425,492 (2,907,080) 16,789,879
------------ ------------ ------------ ------------
NET GAIN (LOSS) ON INVESTMENTS ............................. 33,127,940 9,056,587 16,737,679 23,207,403
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS ....................... $ 31,893,673 $ 8,833,665 $ 17,166,418 $ 25,834,227
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-36
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Equity Select Growth
Growth Growth Index and Income
Fund Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2) ....................................... $ 351,535 $ 1,085,433 $ 13,715 $ 682,449
Dividends (Note 2) ...................................... 1,763,469 4,655,628 1,797,206 2,941,291
Less net foreign taxes withheld ......................... -- -- -- --
------------ ------------ ------------ ------------
Total investment income .............................. 2,115,004 5,741,061 1,810,921 3,623,740
------------ ------------ ------------ ------------
EXPENSES
Investment advisory fees (Notes 3 and 4) ................ 1,194,813 1,263,033 294,960 1,247,523
Custodian fees (Note 3) ................................. 31,219 32,985 40,080 21,090
Fund accounting fees (Note 3) ........................... 29,218 57,973 38,833 39,348
Legal fees .............................................. 1,927 5,993 2,089 3,755
Audit fees .............................................. 3,606 5,375 4,825 3,480
Trustees' fees and expenses (Note 3) .................... 2,940 4,648 1,412 4,164
Reports to shareholders ................................. 74,204 78,525 57,273 58,250
Amortization of organization costs (Note 2) ............. -- -- -- --
Miscellaneous ........................................... -- -- -- --
------------ ------------ ------------ ------------
Total expenses before reductions and waiver .......... 1,337,927 1,448,532 439,472 1,377,610
Less reductions (Note 5) ............................. (32,560) (87,944) -- (42,055)
Less waiver (Note 4) ................................. -- -- -- --
------------ ------------ ------------ ------------
Total expenses net of reductions and waiver .......... 1,305,367 1,360,588 439,472 1,335,555
------------ ------------ ------------ ------------
NET INVESTMENT INCOME (LOSS) ................................ 809,637 4,380,473 1,371,449 2,288,185
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold ............ 12,551,663 64,299,413 4,375,971 12,703,699
Net realized gain (loss) on futures contracts ........... -- -- 55,647 --
Net realized gain (loss) on foreign currency
transactions ............................................ -- -- -- --
Net change in unrealized appreciation
(depreciation) of assets and liabilities
in foreign currency ..................................... -- -- -- --
Net change in unrealized appreciation
(depreciation) of investments and futures contracts ..... 36,419,775 28,291,982 29,485,317 29,858,541
------------ ------------ ------------ ------------
NET GAIN (LOSS) ON INVESTMENTS .............................. 48,971,438 92,591,395 33,916,935 42,562,240
------------ ------------ ------------ ------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS ........................ $ 49,781,075 $ 96,971,868 $ 35,288,384 $ 44,850,425
============ ============ ============ ============
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Grade Government Money
Income Bond Market
Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2) ............................................... $ 5,779,412 $ 1,523,854 $ 6,342,349
Dividends (Note 2) .............................................. 122,100 21,838 145,021
Less net foreign taxes withheld ................................. -- -- --
----------- ----------- -----------
Total investment income ...................................... 5,901,512 1,545,692 6,487,370
----------- ----------- -----------
EXPENSES
Investment advisory fees (Notes 3 and 4) ........................ 325,479 115,519 313,851
Custodian fees (Note 3) ......................................... 20,293 10,148 33,265
Fund accounting fees (Note 3) ................................... 24,311 10,107 28,912
Legal fees ...................................................... 1,529 424 2,252
Audit fees ...................................................... 4,825 4,325 4,325
Trustees' fees and expenses (Note 3) ............................ 1,186 329 3,024
Reports to shareholders ......................................... 44,936 25,866 47,267
Amortization of organization costs (Note 2) ..................... -- -- --
Miscellaneous ................................................... -- -- --
----------- ----------- -----------
Total expenses before reductions and waiver .................. 422,559 166,718 432,896
Less reductions (Note 5) ..................................... -- -- --
Less waiver (Note 4) ......................................... -- -- --
----------- ----------- -----------
Total expenses net of reductions and waiver .................. 422,559 166,718 432,896
----------- ----------- -----------
NET INVESTMENT INCOME (LOSS) ........................................ 5,478,953 1,378,974 6,054,474
----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold .................... 72,974 (64,026) (6,067)
Net realized gain (loss) on futures contracts ................... -- -- --
Net realized gain (loss) on foreign currency
transactions .................................................... -- -- --
Net change in unrealized appreciation
(depreciation) of assets and liabilities
in foreign currency ............................................. -- -- --
Net change in unrealized appreciation
(depreciation) of investments and futures contracts ............. (247,198) (147,009) --
----------- ----------- -----------
NET GAIN (LOSS) ON INVESTMENTS ...................................... (174,224) (211,035) (6,067)
----------- ----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS ................................ $ 5,304,729 $ 1,167,939 $ 6,048,407
=========== =========== ===========
</TABLE>
- --------------------------------------------
F-37
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Select Aggressive Select Capital
Growth Fund Appreciation Fund
- ---------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period................. $407,442,033 $254,871,723 $142,680,240 $ 41,376,035
------------ ------------ ------------ ------------
Increase (Decrease) in net assets resulting from
operations:
Net investment income (loss).................. (1,234,267) (1,746,724) (222,922) (285,112)
Net realized gain (loss) on investments sold
and foreign currency transactions......... 68,995 30,022,198 (7,464,393) (2,941,327)
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency........ 33,058,945 24,617,401 16,520,980 6,300,578
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations.................. 31,893,673 52,892,875 8,833,665 3,074,139
------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income......................... -- -- -- --
Distribution in excess of net investment
income..................................... -- -- -- --
Net realized gain on investments.............. (6,808,097) (27,969,046) -- (283,116)
Return of capital............................. -- -- -- (1,211)
------------ ------------ ------------ ------------
Total distributions........................ (6,808,097) (27,969,046) -- (284,327)
------------ ------------ ------------ ------------
Capital share transactions:
Net proceeds from sales of shares............. 59,913,564 118,694,806 40,762,590 99,864,671
Issued to shareholders in reinvestment
of distributions........................... 6,808,097 27,969,046 -- 284,327
Cost of shares repurchased.................... (8,749,385) (19,017,371) (1,729,733) (1,634,605)
------------ ------------ ------------ ------------
Net increase (decrease) from
capital share transactions............. 57,972,276 127,646,481 39,032,857 98,514,393
------------ ------------ ------------ ------------
Total increase (decrease) in net assets.... 83,057,852 152,570,310 47,866,522 101,304,205
------------ ------------ ------------ ------------
NET ASSETS at end of period (including line A).... $490,499,885 $407,442,033 $190,546,762 $142,680,240
============ ============ ============ ============
(A) Undistributed (distribution in excess of)
net investment income (loss)............... $ (1,234,267) $ -- $ (155,573) $ 67,349
============ ============ ============ ============
OTHER INFORMATION:
Share transactions:
Sold.......................................... 30,156,817 58,055,566 28,796,095 66,830,275
Issued to shareholders in reinvestment of
distributions.............................. 3,175,418 13,670,395 -- 183,318
Repurchased................................... (4,564,866) (9,614,883) (1,246,565) (1,127,407)
------------ ------------ ------------ ------------
Net increase (decrease) in shares
outstanding................................ 28,767,369 62,111,078 27,549,530 65,886,186
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-38
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Small-Mid Cap Select International
Value Fund Equity Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period................. $113,968,577 $ 64,574,553 $246,876,936 $104,312,134
------------ ------------ ------------ ------------
Increase (Decrease) in net assets resulting from
operations:
Net investment income (loss).................. 428,739 782,305 2,626,824 2,064,136
Net realized gain (loss) on investments sold
and foreign currency transactions......... 19,644,759 5,770,562 7,112,791 4,719,958
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency........ (2,907,080) 14,617,015 16,094,612 29,610,329
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations.................. 17,166,418 21,169,882 25,834,227 36,394,423
------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income......................... -- (783,366) (1,288,027) (2,205,116)
Distribution in excess of net investment
income..................................... -- -- -- (2,413,338)
Net realized gain on investments.............. (746,935) (4,985,294) (1,407,289) (540,596)
Return of capital............................. -- -- -- --
------------ ------------ ------------ ------------
Total distributions........................ (746,935) (5,768,660) (2,695,316) (5,159,050)
------------ ------------ ------------ ------------
Capital share transactions:
Net proceeds from sales of shares............. 25,259,618 31,326,184 85,705,479 111,783,820
Issued to shareholders in reinvestment
of distributions.............................. 746,935 5,768,660 2,695,316 5,159,050
Cost of shares repurchased.................... (746,116) (3,102,042) (6,118,042) (5,613,441)
------------ ------------ ------------ ------------
Net increase (decrease) from
capital share transactions............. 25,260,437 33,992,802 82,282,753 111,329,429
------------ ------------ ------------ ------------
Total increase (decrease) in net assets.... 41,679,920 49,394,024 105,421,664 142,564,802
------------ ------------ ------------ ------------
NET ASSETS at end of period (including line A).... $155,648,497 $113,968,577 $352,298,600 $246,876,936
============ ============ ============ ============
(A) Undistributed (distribution in excess of)
net investment income (loss)............... $ 428,739 $ -- $ 1,519,238 $ 180,441
============ ============ ============ ============
OTHER INFORMATION:
Share transactions:
Sold.......................................... 16,180,880 21,714,353 61,904,034 91,002,428
Issued to shareholders in reinvestment of
distributions................................. 439,632 3,817,804 1,847,372 3,819,374
Repurchased................................... (471,617) (2,237,893) (4,371,563) (4,536,939)
------------ ------------ ------------ ------------
Net increase (decrease) in shares
outstanding................................ 16,148,895 23,294,264 59,379,843 90,284,863
============ ============ ============ ============
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Growth
Fund Growth Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period................. $228,551,251 $143,124,686 $556,750,605 $444,870,953
------------ ------------ ------------ ------------
Increase (Decrease) in net assets resulting from
operations:
Net investment income (loss).................. 809,637 668,264 4,380,473 10,150,991
Net realized gain (loss) on investments sold
and foreign currency transactions......... 12,551,663 38,302,869 64,299,413 60,695,723
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency........ 36,419,775 (4,304,728) 28,291,982 21,064,610
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations.................. 49,781,075 34,666,405 96,971,868 91,911,324
------------ ------------ ------------ ------------
Distributions to shareholders from:
Net investment income......................... -- (671,407) (4,367,936) (10,182,273)
Distribution in excess of net investment
income..................................... -- -- -- --
Net realized gain on investments.............. (2,196,148) (32,240,794) (17,201,911) (49,801,860)
Return of capital............................. -- -- -- --
------------ ------------ ------------ ------------
Total distributions........................ (2,196,148) (32,912,201) (21,569,847) (59,984,133)
------------ ------------ ------------ ------------
Capital share transactions:
Net proceeds from sales of shares............. 69,818,261 59,903,208 21,739,453 37,725,612
Issued to shareholders in reinvestment
of distributions.............................. 2,196,148 32,912,201 21,569,847 59,984,133
Cost of shares repurchased.................... (2,840,044) (9,143,048) (7,250,528) (17,757,284)
------------ ------------ ------------ ------------
Net increase (decrease) from
capital share transactions............. 69,174,365 83,672,361 36,058,772 79,952,461
------------ ------------ ------------ ------------
Total increase (decrease) in net assets.... 116,759,292 85,426,565 111,460,793 111,879,652
------------ ------------ ------------ ------------
NET ASSETS at end of period (including line A).... $345,310,543 $228,551,251 $ 668,211,398 $556,750,605
============ ============ ============ ============
(A) Undistributed (distribution in excess of) $ 809,637 $ -- $ 12,537 $ --
net investment income (loss)............... ============ ============ ============ ============
OTHER INFORMATION:
Share transactions:
Sold.......................................... 45,631,948 38,406,099 8,649,275 16,203,094
Issued to shareholders in reinvestment of
distributions................................. 1,303,352 23,015,341 8,244,535 25,711,571
Repurchased................................... (1,870,437) (6,129,428) (2,892,288) (7,659,186)
------------ ------------ ------------ ------------
Net increase (decrease) in shares
outstanding................................ 45,064,863 55,292,012 14,001,522 34,255,479
============ ============ ============ ============
</TABLE>
- -------------------------------------------------------------------------------
F-39
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Index Select Growth and
Fund Income Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period .......................... $ 151,129,661 $ 90,888,716 $ 295,637,987 $ 191,610,000
------------- ------------- ------------- -------------
Increase (Decrease) in net assets resulting from operations:
Net investment income (loss) ............................ 1,371,449 2,095,474 2,288,185 3,415,490
Net realized gain (loss) on investments sold
and futures contracts ................................ 4,431,618 2,559,793 12,703,699 22,150,624
Net change in unrealized appreciation
(depreciation) of investments and futures contracts .. 29,485,317 19,381,336 29,858,541 20,168,372
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 35,288,384 24,036,603 44,850,425 45,734,486
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ................................... (1,371,768) (2,092,660) (2,298,665) (3,430,862)
Distribution in excess of net investment income ......... -- -- -- --
Net realized gain on investments ........................ (354,491) (2,189,067) (4,662,402) (21,071,408)
------------- ------------- ------------- -------------
Total distributions .................................. (1,726,259) (4,281,727) (6,961,067) (24,502,270)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares ....................... 45,271,804 49,502,418 51,358,456 64,430,859
Issued to shareholders in reinvestment
of distributions ...................................... 1,726,259 4,281,727 6,961,067 24,502,270
Cost of shares repurchased .............................. (2,035,171) (13,298,076) (2,457,450) (6,137,358)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions ....................... 44,962,892 40,486,069 55,862,073 82,795,771
------------- ------------- ------------- -------------
Total increase (decrease) in net assets .............. 78,525,017 60,240,945 93,751,431 104,027,987
------------- ------------- ------------- -------------
NET ASSETS at the end of period (including line A) ......... $ 229,654,678 $ 151,129,661 $ 389,389,418 $ 295,637,987
============= ============= ============= =============
(A) Undistributed (distributions in excess of)
net investment income (loss) ......................... $ 2,495 $ 2,814 $ (10,480) $ --
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold .................................................... 19,490,488 24,895,979 34,840,251 46,390,568
Issued to shareholders in reinvestment
of distributions ...................................... 711,572 2,041,373 4,515,744 17,558,493
Repurchased ............................................. (892,429) (6,883,771) (1,659,083) (4,557,725)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding ........ 19,309,631 20,053,581 37,696,912 59,391,336
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
---------------------------------------------------------
F-40
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Grade Government
Income Fund Bond Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1997 December 31, June 30, 1997 December 31,
(Unaudited) 1996 (Unaudited) 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period .......................... $ 157,327,230 $ 141,625,380 $ 46,395,931 $ 45,778,124
------------- ------------- ------------- -------------
Increase (Decrease) in net assets resulting from operations:
Net investment income (loss) ............................ 5,478,953 9,688,573 1,378,974 2,779,448
Net realized gain (loss) on investments sold
and futures contracts ................................ 72,974 432,085 (64,026) (507,714)
Net change in unrealized appreciation
(depreciation) of investments and
futures contracts .................................... (247,198) (4,620,200) (147,009) (764,938)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 5,304,729 5,500,458 1,167,939 1,506,796
------------- ------------- ------------- -------------
Distributions to shareholders from:
Net investment income ................................... (5,506,992) (9,688,573) (1,376,440) (2,778,718)
Distribution in excess of net investment income ......... -- (34,833) -- --
Net realized gain on investments ........................ -- -- -- --
------------- ------------- ------------- -------------
Total distributions .................................. (5,506,992) (9,723,406) (1,376,440) (2,778,718)
------------- ------------- ------------- -------------
Capital share transactions:
Net proceeds from sales of shares ....................... 14,679,460 19,642,102 5,070,274 12,572,808
Issued to shareholders in reinvestment
of distributions ...................................... 5,506,992 9,723,406 1,376,440 2,778,718
Cost of shares repurchased .............................. (7,873,091) (9,440,710) (5,289,529) (13,461,797)
------------- ------------- ------------- -------------
Net increase (decrease) from
capital share transactions ....................... 12,313,361 19,924,798 1,157,185 1,889,729
------------- ------------- ------------- -------------
Total increase (decrease) in net assets .............. 12,111,098 15,701,850 948,684 617,807
------------- ------------- ------------- -------------
NET ASSETS at the end of period (including line A) ......... $ 169,438,328 $ 157,327,230 $ 47,344,615 $ 46,395,931
============= ============= ============= =============
(A) Undistributed (distributions in excess of)
net investment income (loss) ......................... $ 16,124 $ 44,163 $ 8,532 $ 5,998
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold .................................................... 13,573,647 18,013,400 4,893,672 11,938,486
Issued to shareholders in reinvestment
of distributions ...................................... 5,137,195 9,040,646 1,342,331 2,690,564
Repurchased ............................................. (7,259,622) (8,682,856) (5,115,531) (12,948,203)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding ........ 11,451,220 18,371,190 1,120,472 1,680,847
============= ============= ============= =============
<CAPTION>
---------------------------------
Money Market
Fund
---------------------------------
Six Months Ended Year Ended
June 30, 1997 December 31,
(Unaudited) 1996
---------------------------------
<S> <C> <C>
NET ASSETS at beginning of period .......................... $ 217,255,732 $ 155,211,174
------------- -------------
Increase (Decrease) in net assets resulting from operations:
Net investment income (loss) ............................ 6,054,474 9,613,835
Net realized gain (loss) on investments sold
and futures contracts ................................ (6,067) (35,900)
Net change in unrealized appreciation
(depreciation) of investments and
futures contracts .................................... -- --
------------- -------------
Net increase (decrease) in net assets resulting
from operations ...................................... 6,048,407 9,577,935
------------- -------------
Distributions to shareholders from:
Net investment income ................................... (6,054,474) (9,613,835)
Distribution in excess of net investment income ......... -- --
Net realized gain on investments ........................ -- --
------------- -------------
Total distributions .................................. (6,054,474) (9,613,835)
------------- -------------
Capital share transactions:
Net proceeds from sales of shares ....................... 105,829,327 189,973,951
Issued to shareholders in reinvestment
of distributions ...................................... 6,054,474 9,613,835
Cost of shares repurchased .............................. (74,622,005) (137,507,328)
------------- -------------
Net increase (decrease) from
capital share transactions ....................... 37,261,796 62,080,458
------------- -------------
Total increase (decrease) in net assets .............. 37,255,729 62,044,558
------------- -------------
NET ASSETS at the end of period (including line A) ......... $ 254,511,461 $ 217,255,732
============= =============
(A) Undistributed (distributions in excess of)
net investment income (loss) ......................... $ -- $ --
============= =============
OTHER INFORMATION:
Share transactions:
Sold .................................................... 105,829,327 189,973,951
Issued to shareholders in reinvestment
of distributions ...................................... 6,054,474 9,613,835
Repurchased ............................................. (74,622,005) (137,507,328)
------------- -------------
Net increase (decrease) in shares outstanding ........ 37,261,796 62,080,458
============= =============
</TABLE>
- ---------------------------------------------------------
F-41
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
-------------------------------------------------------------- -----------------------------------------------
Net Realized
Net and Distributions
Asset Unrealized Dividends from Net
Value Net Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Investment on Investment Investment Capital in
December 31, of Period Income/(2)/ Investments Operations Income Gains Excess
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997/(E)/ $ 2.037 $ (0.005) $ 0.142 $ 0.137 $ -- $ (0.030) $ --
1996 1.848 (0.009) 0.351 0.342 -- (0.153) --
1995 1.397 (0.001) 0.452 0.451 -- -- --
1994 1.431 (0.002) (0.032) (0.034) -- -- --
1993 1.197 0.001 0.234 0.235 (0.001) -- --
1992 1.000 0.001 0.197 0.198 (0.001) -- --
Select Capital
Appreciation Fund/(1)/
1997/(E)/ 1.485 (0.002) 0.058 0.056 -- -- --
1996 1.369 (0.003) 0.124 0.121 -- (0.005) --
1995 1.000 (0.001) 0.397 0.396 -- (0.027) --
Small-Mid Cap
Value Fund/(1)/
1997/(E)/ 1.511 0.005 0.191 0.196 -- (0.008) --
1996 1.238 0.011 0.342 0.353 (0.011) (0.069) --
1995 1.089 0.009 0.183 0.192 (0.009) (0.033) (0.001)/(3)/
1994 1.170 0.005 (0.081) (0.076) (0.005) -- --
1993 1.000 0.002 0.176 0.178 (0.002) (0.006) --
Select International
Equity Fund/(1)/
1997/(E)/ 1.356 0.010 0.104 0.114 (0.005) (0.006) --
1996 1.136 0.011 0.238 0.249 (0.012) (0.003) (0.014)/(4)/
1995 0.963 0.013 0.176 0.189 (0.011) (0.005) --
1994 1.000 0.003 (0.038) (0.035) (0.001) (0.001) --
Select Growth Fund/(1)/
1997/(E)/ 1.430 0.004 0.262 0.266 -- (0.011) --
1996 1.369 0.005 0.297 0.302 (0.005) (0.236) --
1995 1.099 -- 0.270 0.270 -- -- --
1994 1.119 0.003 (0.020) (0.017) (0.003) -- --
1993 1.111 0.001 0.008 0.009 (0.001) -- --
1992 1.000 0.001 0.111 0.112 (0.001) -- --
<CAPTION>
Less Distributions
------------------
Net
Increase
(Decrease)
in
Year Ended Return of Total Net Asset
December 31, Capital Distributions Value
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997/(E)/ $ -- $ (0.030) $ 0.107
1996 -- (0.153) 0.189
1995 -- -- 0.451
1994 -- -- (0.034)
1993 -- (0.001) 0.234
1992 -- (0.001) 0.197
Select Capital
Appreciation Fund/(1)/
1997/(E)/ -- -- 0.056
1996 -- (0.005) 0.116
1995 -- (0.027) 0.369
Small-Mid Cap
Value Fund/(1)/
1997/(E)/ -- (0.008) 0.188
1996 -- (0.080) 0.273
1995 -- (0.043) 0.149
1994 -- (0.005) (0.081)
1993 -- (0.008) 0.170
Select International
Equity Fund/(1)/
1997/(E)/ -- (0.011) 0.103
1996 -- (0.029) 0.220
1995 -- (0.016) 0.173
1994 -- (0.002) (0.037)
Select Growth Fund/(1)/
1997/(E)/ -- (0.011) 0.255
1996 -- (0.241) 0.061
1995 -- -- 0.270
1994 -- (0.003) (0.020)
1993 -- (0.001) 0.008
1992 -- (0.001) 0.111
</TABLE>
- -------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements, waivers, and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(D) For fiscal years beginning on or after September 1, 1995, a Portfolio
is required to disclose its average commission rate per share for
trades for which commissions are charged. This rate generally does not
reflect mark-ups, mark-downs, or spreads on shares traded on a
principal basis.
(E) For the six months ended June 30, 1997. (unaudited)
(1) The Select Aggressive Growth Fund commenced operations on August 21,
1992. The Select Capital Appreciation Fund commenced operations on
April 28, 1995. The Small-Mid Cap Value Fund (formerly the Small Cap
Value Fund) commenced operations on April 30, 1993 and changed
investment sub-adviser on January 1, 1997. The Select International
Equity Fund commenced operations on May 2, 1994. The Select Growth
Fund commenced operations on August 21,1992 and changed Investment
Sub-Adviser on July 1, 1996.
(2) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.000 in 1993 and $(0.001) in
1992 for Select Aggressive Growth Fund; $(0.001) in 1995 for Select
Capital Appreciation Fund; $0.004 for the six months ended June 30,
1997, $0.010 in 1996, $0.005 in 1994 and $(0.001) in 1993 for Small-
Mid Cap Value Fund; $0.010 for the six months ended June 30, 1997,
$0.011 in 1996 and $0.002 in 1994 for Select International Equity
Fund; and $0.003 for the six months ended June 30, 1997, $0.005 in
1996, $0.001 in 1993 and $0.000 in 1992 for Select Growth Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
---------------------------------------------------------
F-42
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------------------
Ratios To Average Net Assets
--------------------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(D)/
--------- -------- --------- --------- ------ ------ ------ ------ ------ --------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Aggressive
Growth Fund/(1)/
1997/(E)/ $2.144 6.74%** $490,500 (0.58)%* 1.10%* 1.10%* 1.10%* 1.00%* 1.00%* 55% $ 0.0595
1996 2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08% 1.00% 1.00% 113% 0.0597
1995 1.848 32.28% 254,872 (0.07)% 1.09% -- 1.09% 1.00% 1.00% 104% --
1994 1.397 (2.31)% 136,573 (0.21)% 1.16% -- 1.16% 1.00% 1.00% 100% --
1993 1.431 19.51% 66,251 0.10% 1.19% -- 1.23% 1.00% 0.96% 76% --
1992 1.197 19.85%** 9,270 0.34%* 1.35%* -- 1.88%* N/A N/A 33% --
Select Capital
Appreciation Fund/(1)/
1997/(E)/ 1.541 3.77%** 190,547 (0.29)%* 1.15%* 1.15%* 1.15%* 1.00%* 1.00%* 55% 0.0452
1996 1.485 8.80% 142,680 (0.32)% 1.13% 1.13% 1.13% 1.00% 1.00% 98% 0.0414
1995 1.369 39.56%** 41,376 (0.25)%* 1.35%* -- 1.42%* 1.00%* 0.93%* 95% --
Small-Mid Cap
Value Fund/(1)/
1997/(E)/ 1.699 12.98%** 155,648 0.66%* 0.96%* 1.05%* 1.08%* 0.91%* 0.88%* 89% 0.0584
1996 1.511 28.53% 113,969 0.91% 0.95% 0.97% 0.97% 0.85% 0.85% 20% 0.0497
1995 1.238 17.60% 64,575 0.86% 1.01% -- 1.01% 0.85% 0.85% 17% --
1994 1.089 (6.51)% 41,342 0.64% 1.08% -- 1.09% 0.85% 0.84% 4% --
1993 1.170 17.74%** 12,731 0.52%* 1.22%* -- 2.03%* 0.85%* 0.04%* 8% --
Select International
Equity Fund/(1)/
1997/(E)/ 1.459 8.43%** 352,299 1.79%* 1.20%* 1.22%* 1.22%* 1.00%* 1.00%* 6% 0.0260
1996 1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23% 1.00% 1.00% 18% 0.0248
1995 1.136 19.63% 104,312 1.68% 1.24% -- 1.24% 1.00% 1.00% 24% --
1994 0.963 (3.49)%** 40,498 0.87%* 1.50%* -- 1.78%* 1.00%* 0.72%* 19% --
Select Growth Fund/(1)/
1997/(E)/ 1.685 18.59%** 345,311 0.58%* 0.93%* 0.95%* 0.95%* 0.85%* 0.85%* 49% 0.0450
1996 1.430 22.02% 228,551 0.38% 0.92% 0.93% 0.93% 0.85% 0.85% 159% 0.0457
1995 1.369 24.59% 143,125 0.02% 0.97% -- 0.97% 0.85% 0.85% 51% --
1994 1.099 (1.49)% 88,263 0.37% 1.03% -- 1.03% 0.85% 0.85% 55% --
1993 1.119 0.84% 53,854 0.15% 1.05% -- 1.08% 0.85% 0.82% 65% --
1992 1.111 11.25%** 9,308 0.40%* 1.20%* -- 1.72%* N/A N/A 3% --
</TABLE>
- ----------------------------------------
F-43
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
------------------------------------------------ ------------------------------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net Distri- (Decrease)
Value Net Gain (Loss) Total from from Net Realized butions Total in
Year Ended Beginning Investment on Investment Investment Capital in Return of Distri- Net Asset
December 31, of Period Income/(2)/ Investments Operations Income Gains Excess Capital butions Value
------------ --------- ---------- ------------- ---------- ---------- ------------ -------- --------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Growth Fund/(1)/
1997/(E)/ $ 2.333 $ 0.018 $ 0.381 $ 0.399 $ (0.018) $ (0.070) $ -- $ -- $ (0.088) $ 0.311
1996 2.176 0.047 0.386 0.433 (0.048) (0.228) -- -- (0.276) 0.157
1995 1.814 0.049 0.539 0.588 (0.049) (0.177) -- -- (0.226) 0.362
1994 1.939 0.043 (0.041) 0.002 (0.043) (0.084) -- -- (0.127) (0.125)
1993 2.034 0.039 0.095 0.134 (0.039) (0.180) -- (0.010) (0.229) (0.095)
1992 1.976 0.034 0.105 0.139 (0.034) (0.047) -- -- (0.081) 0.058
1991 1.471 0.038 0.548 0.586 (0.039) (0.042) -- -- (0.081) 0.505
1990 1.558 0.041 (0.047) (0.006) (0.041) (0.040) -- -- (0.081) (0.087)
1989 1.308 0.043 0.289 0.332 (0.046) (0.036) -- -- (0.082) 0.250
1988 1.147 0.037 0.200 0.237 (0.037) (0.039) -- -- (0.076) 0.161
1987 1.308 0.035 0.011 0.046 (0.035) (0.172) -- -- (0.207) (0.161)
Equity Index Fund/(1)/
1997/(E)/ 2.165 0.016 0.416 0.432 (0.016) (0.004) -- -- (0.020) 0.412
1996 1.827 0.035 0.370 0.405 (0.035) (0.032) -- -- (0.067) 0.338
1995 1.468 0.035 0.474 0.509 (0.035) (0.047) (0.002)/(3)/ (0.066) (0.150) 0.359
1994 1.505 0.033 (0.018) 0.015 (0.033) (0.019) -- -- (0.052) (0.037)
1993 1.409 0.032 0.102 0.134 (0.031) (0.007) -- -- (0.038) 0.096
1992 1.354 0.030 0.066 0.096 (0.031) (0.010) -- -- (0.041) 0.055
1991 1.080 0.032 0.279 0.311 (0.032) (0.005) -- -- (0.037) 0.274
1990 1.000 0.009 0.080 0.089 (0.009) -- -- -- (0.009) 0.080
Select Growth and
Income Fund/(1)/
1997/(E)/ 1.405 0.010 0.183 0.193 (0.010) (0.019) -- -- (0.029) 0.164
1996 1.268 0.020 0.246 0.266 (0.020) (0.109) -- -- (0.129) 0.137
1995 1.027 0.019 0.290 0.309 (0.019) (0.049) -- -- (0.068) 0.241
1994 1.069 0.025 (0.018) 0.007 (0.025) (0.017) (0.007)/(3)/ -- (0.049) (0.042)
1993 0.990 0.023 0.079 0.102 (0.023) -- -- -- (0.023) 0.079
1992 1.000 0.008 (0.009) (0.001) (0.008) (0.001) -- -- (0.009) (0.010)
</TABLE>
- ------------------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(D) For fiscal years beginning on or after September 1, 1995, a Portfolio
is required to disclose its average commission rate per share for
trades for which commissions are charged. This rate generally does not
reflect mark-ups, mark-downs, or spreads on shares traded on a
principal basis.
(E) For the six months ended June 30, 1997. (unaudited)
(1) The Equity Index Fund commenced operations on September 28, 1990. The
Select Growth and Income Fund commenced operations on August 21, 1992.
The Growth Fund changed Investment Sub-Adviser on April 1, 1988.
(2) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.018 for the six months ended
June 30, 1997, $0.046 in 1996 and $0.038 in 1993 for Growth Fund;
$0.031 in 1993, $0.028 in 1992, and $0.031 in 1991 for Equity Index
Fund; $0.010 for the six months ended June 30, 1997, and $0.019 in
1996, $0.023 in 1993 and $0.005 in 1992 for Select Growth and Income
Fund.
(3) Distributions in excess of net realized capital gains.
(4) Unaudited.
See Notes to Financial Statements.
---------------------------------------------------------
F-44
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
-----------------------------------------------------------------------------------------------------
Ratios To Average Net Assets
--------------------------------------------------------
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(D)/
--------- ------ ---------- ---------- --- --- --- ----- --- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Growth Fund/(1)/
1997/(E)/ $2.644 17.20%** $668,211 1.46%* 0.45%* 0.48%* 0.48%* 0.42%* 0.42%* 44% $ 0.0574
1996 2.333 20.19% 556,751 2.04% 0.48% 0.51% 0.51% 0.44% 0.44% 72% 0.0576
1995 2.176 32.80% 444,871 2.34% 0.54% -- 0.54% 0.46% 0.46% 64% --
1994 1.814 0.16% 335,714 2.25% 0.56% -- 0.56% 0.48% 0.48% 46% --
1993 1.939 6.66% 338,545 1.92% 0.54% -- 0.55% 0.49% 0.48% 42% --
1992 2.034 7.11% 270,828 1.85% 0.58% -- 0.58% N/A N/A 19% --
1991 1.976 40.44% 182,965 2.26% 0.57% -- 0.57% N/A N/A 24% --
1990 1.471 (0.30)% 97,179 2.82% 0.60% -- 0.60% N/A N/A 39% --
1989 1.558 25.64% 76,783 2.98% 0.71% -- 0.71% N/A N/A 33% --
1988 1.308 20.80%/(4)/ 52,439 2.93% 0.75% -- 0.75% N/A N/A 99% --
1987 1.147 2.30%/(4)/ 45,703 2.64% 0.43% -- 0.43% N/A N/A 28% --
Equity Index Fund/(1)/
1997/(E)/ 2.577 20.03%** 229,655 1.46%* 0.47%* 0.47%* 0.47%* 0.31%* 0.31%* 6% 0.0388
1996 2.165 22.30% 151,130 1.79% 0.46% 0.46% 0.46% 0.32% 0.32% 12% 0.0395
1995 1.827 36.18% 90,889 1.96% 0.55% -- 0.55% 0.34% 0.34% 8% --
1994 1.468 1.06% 52,246 2.25% 0.57% -- 0.57% 0.35% 0.35% 7% --
1993 1.505 9.53% 42,842 2.28% 0.57% -- 0.63% 0.35% 0.29% 4% --
1992 1.409 7.25% 22,393 2.47% 0.57% -- 0.75% N/A N/A 6% --
1991 1.354 29.16% 9,700 2.73% 0.55% -- 0.64% N/A N/A 6% --
1990 1.080 8.90%** 5,469 3.39%* 0.38%* -- 0.38%* N/A N/A 0.24% --
Select Growth and
Income Fund/(1)/
1997/(E)/ 1.569 13.77%** 389,389 1.38%* 0.80%* 0.83%* 0.83%* 0.75%* 0.75%* 23% 0.0565
1996 1.405 21.26% 295,638 1.44% 0.80% 0.83% 0.83% 0.75% 0.75% 78% 0.0563
1995 1.268 30.32% 191,610 1.69% 0.85% -- 0.85% 0.75% 0.75% 112% --
1994 1.027 0.73% 110,213 2.51% 0.91% -- 0.91% 0.75% 0.75% 107% --
1993 1.069 10.37% 60,518 2.73% 0.99% -- 1.03% 0.75% 0.71% 25% --
1992 0.990 (0.11)%** 7,302 3.20%* 1.10%* -- 2.37%* N/A N/A 4% --
</TABLE>
- ---------------------------------------------------------
F-45
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
------------------------------------------------ ------------------------------------------
Net Realized Net
Net and Distributions Increase
Asset Unrealized Dividends from Net Distri- (Decrease)
Value Net Gain (Loss) Total from from Net Realized butions Total in
Year Ended Beginning Investment on Investment Investment Capital in Return of Distri- Net Asset
December 31, of Period Income/(4)/ Investments Operations Income Gains Excess Capital butions Value
------------ --------- ---------- ------------ ---------- ---------- ------------ -------- --------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Grade
Income Fund/(1)/
1997/(E)/ $ 1.084 $ 0.036 $(0.002) $ 0.034 $ (0.036) $ -- $ -- $ -- $ (0.036) $(0.002)
1996 1.117 0.070 (0.033) 0.037 (0.070) -- -- -- (0.070) (0.033)
1995 1.012 0.071 0.106 0.177 (0.071) -- (0.001)/(2)/ -- (0.072) 0.105
1994 1.111 0.066 (0.099) (0.033) (0.066) -- -- -- (0.066) (0.099)
1993 1.074 0.065 0.049 0.114 (0.065) (0.012) -- -- (0.077) 0.037
1992 1.085 0.075 0.013 0.088 (0.075) (0.024) -- -- (0.099) (0.011)
1991 1.004 0.080 0.081 0.161 (0.080) -- -- -- (0.080) 0.081
1990 1.011 0.083 (0.006) 0.077 (0.084) -- -- -- (0.084) (0.007)
1989 0.968 0.082 0.044 0.126 (0.083) -- -- -- (0.083) 0.043
1988 0.974 0.084 (0.006) 0.078 (0.084) -- -- -- (0.084) (0.006)
1987 1.095 0.089 (0.080) 0.009 (0.093) (0.037) -- -- (0.130) (0.121)
Government
Bond Fund/(1)/
1997/(E)/ 1.036 0.031 (0.005) 0.026 (0.031) -- -- -- (0.031) (0.005)
1996 1.062 0.062 (0.026) 0.036 (0.062) -- -- -- (0.062) (0.026)
1995 0.997 0.062 0.066 0.128 (0.062) -- (0.001)/(2)/ -- (0.063) 0.065
1994 1.070 0.063 (0.073) (0.010) (0.063) -- -- -- (0.063) (0.073)
1993 1.051 0.055 0.024 0.079 (0.055) (0.003) -- (0.002) (0.060) 0.019
1992 1.047 0.057 0.009 0.066 (0.057) (0.005) -- -- (0.062) 0.004
1991 1.000 0.022 0.051 0.073 (0.022) (0.004) -- -- (0.026) 0.047
Money Market
Fund
1997/(E)/ 1.000 0.026 -- 0.026 (0.026) -- -- -- (0.026) --
1996 1.000 0.052 -- 0.052 (0.052) -- -- -- (0.052) --
1995 1.000 0.057 -- 0.057 (0.057) -- -- -- (0.057) --
1994 1.000 0.039 -- 0.039 (0.039) -- -- -- (0.039) --
1993 1.000 0.030 -- 0.030 (0.030) -- -- -- (0.030) --
1992 1.000 0.037 -- 0.037 (0.037) -- -- -- (0.037) --
1991 1.000 0.060 -- 0.060 (0.060) -- -- -- (0.060) --
1990 1.000 0.078 -- 0.078 (0.078) -- -- -- (0.078) --
1989 1.000 0.086 -- 0.086 (0.086) -- -- -- (0.086) --
1988 1.000 0.071 -- 0.071 (0.071) -- -- -- (0.071) --
1987 1.000 0.061 -- 0.061 (0.061) -- -- -- (0.061) --
</TABLE>
- -----------------------------------------------------
* Annualized
** Not Annualized
(A) Including reimbursements and reductions.
(B) Excluding reductions. Certain Portfolios have entered into varying
arrangements with brokers who reduced a portion of the Portfolio's
expenses.
(C) Excluding reimbursements and reductions.
(D) For fiscal years beginning on or after September 1, 1995, a Portfolio
is required to disclose its average commission rate per share for
trades for which commissions are charged. This rate generally does not
reflect mark-ups, mark-downs, or spreads on shares traded on a
principal basis.
(E) For the six months ended June 30, 1997. (unaudited)
(1) The Government Bond Fund commenced operations on August 26, 1991.
The Investment Grade Income Fund was formerly known as Income
Appreciation Fund.
(2) Distributions in excess of net investment income.
(3) Unaudited.
(4) Net investment income per share before reimbursement of fees by the
investment adviser were $0.065 in 1993 for Investment Grade Income
Fund; $0.055 in 1993 and $0.056 in 1992 for Government Bond Fund; and
$0.030 in 1993, $0.084(3) in 1988, and $0.076(3) in 1987 for Money
Market Fund.
See Notes to Financial Statements.
---------------------------------------------------------
F-46
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratios/Supplemental Data
--------------------------------------------------------------------------------
Ratios To Average Net Assets
-----------------------------------------------------------
Net Asset Net Assets
Value End of Net Portfolio Average
End of Total Period Investment Operating Expenses Management Fee Turnover Commissions
Period Return (000's) Income (A) (B) (C) Gross Net Rate Rate/(D)/
--------- ------ --------- ---------- --- --- --- ----- --- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Grade
Income Fund/(1)/
1997/(E)/ $1.082 3.21%** $169,438 6.65%* 0.51%* 0.51%* 0.51%* 0.40%* 0.40%* 34% $ --
1996 1.084 3.56% 157,327 6.50% 0.52% 0.52% 0.52% 0.40% 0.40% 108% --
1995 1.117 17.84% 141,625 6.66% 0.53% -- 0.53% 0.41% 0.41% 126% --
1994 1.012 (2.96)% 109,972 6.25% 0.58% -- 0.58% 0.42% 0.42% 129% --
1993 1.111 10.80% 107,124 6.16% 0.54% -- 0.55% 0.45% 0.44% 55% --
1992 1.074 8.33% 52,874 7.25% 0.59% -- 0.59% N/A N/A 71% --
1991 1.085 16.75% 29,018 8.10% 0.60% -- 0.60% N/A N/A 52% --
1990 1.004 8.02% 18,226 9.14% 0.56% -- 0.56% N/A N/A 5% --
1989 1.011 13.52% 13,171 8.67% 0.78% -- 0.78% N/A N/A 4% --
1988 0.968 8.20%/(3)/ 8,951 8.57% 0.77% -- 0.77% N/A N/A 12% --
1987 0.974 1.00%/(3)/ 8,118 8.37% 0.55% -- 0.55% N/A N/A 54% --
Government
Bond Fund/(1)/
1997/(E)/ 1.031 2.50%** 47,345 5.97%* 0.72%* 0.72%* 0.72%* 0.50%* 0.50%* 30% --
1996 1.036 3.51% 46,396 5.90% 0.66% 0.66% 0.66% 0.50% 0.50% 112% --
1995 1.062 13.06% 45,778 5.91% 0.69% -- 0.69% 0.50% 0.50% 180% --
1994 0.997 (0.88)% 42,078 5.60% 0.70% -- 0.70% 0.50% 0.50% 106% --
1993 1.070 7.51% 77,105 5.51% 0.61% -- 0.62% 0.50% 0.49% 35% --
1992 1.051 6.59% 33,689 6.13% 0.68% -- 0.69% N/A N/A 67% --
1991 1.047 7.60%** 7,591 5.55%* 0.54%* -- 0.54%* N/A N/A 65% --
Money Market
Fund
1997/(E)/ 1.000 2.62%** 254,511 5.24%* 0.37%* 0.37%* 0.37%* 0.27%* 0.27%* N/A --
1996 1.000 5.36% 217,256 5.22% 0.34% 0.34% 0.34% 0.28% 0.28% N/A --
1995 1.000 5.84% 155,211 5.68% 0.36% -- 0.36% 0.29% 0.29% N/A --
1994 1.000 3.93% 95,991 3.94% 0.45% -- 0.45% 0.31% 0.31% N/A --
1993 1.000 3.00% 71,052 2.95% 0.42% -- 0.43% 0.32% 0.31% N/A --
1992 1.000 3.78% 64,506 3.65% 0.44% -- 0.44% N/A N/A N/A --
1991 1.000 6.22% 39,909 5.98% 0.43% -- 0.43% N/A N/A N/A --
1990 1.000 8.17% 28,330 8.22% 0.42% -- 0.42% N/A N/A N/A --
1989 1.000 9.07% 12,060 8.62% 0.58% -- 0.58% N/A N/A N/A --
1988 1.000 7.30%/(3)/ 7,156 7.13% 0.60% -- 0.71% N/A N/A N/A --
1987 1.000 6.20%/(3)/ 4,726 6.14% 0.60% -- 0.75% N/A N/A N/A --
</TABLE>
- ---------------------------------------------------------
F-47
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company established as a Massachusetts business trust for the purpose
of providing a vehicle for the investment of assets of various separate accounts
established by Allmerica Financial Life Insurance and Annuity Company, a wholly-
owned subsidiary of First Allmerica Financial Life Insurance Company ("First
Allmerica") or other affiliated insurance companies. As of the date of this
report, the Trust offered twelve managed investment portfolios. The accompanying
financial statements and financial highlights are those of the Select Aggressive
Growth, Select Capital Appreciation, Small-Mid Cap Value (formerly known as
Small Cap Value), Select International Equity, Select Growth, Growth, Equity
Index, Select Growth and Income, Investment Grade Income, Government Bond and
Money Market Funds (individually, a "Portfolio," collectively, the "Portfolios")
only.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent assets
and liabilities at the date of the financial statements and the reported amounts
of revenues and expenses during the reporting period. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies which are in conformity with generally accepted accounting
principles and consistently followed by the Trust in the preparation of its
financial statements.
Security Valuation: Securities which are traded on a recognized exchange
(including securities traded through the National Market System) are valued at
the last sale price on the securities exchange on which such securities are
primarily traded or, if there were no sales that day, at the mean of the closing
bid and asked price. Over-the-counter securities that are not traded through the
National Market System are valued on the basis of the bid price at the close of
business each day. Short-term investments that mature in 60 days or less are
valued at amortized cost. Corporate debt securities and debt securities of the
U.S. Government and its agencies (other than short-term investments) are valued
by an independent pricing service approved by the Board of Trustees which
utilizes market quotations and transactions, quotations from dealers and various
relationships among securities in determining value. If not valued by a pricing
service, such securities are valued at prices obtained from independent brokers.
Investments with prices that cannot be readily obtained are carried at fair
value as determined in good faith under consistently applied procedures
established by and under the supervision of the Board of Trustees. The
investments of the Money Market Fund are valued utilizing the amortized cost
valuation method permitted in accordance with Rule 2a-7 under the Investment
Company Act of 1940. This method involves valuing a portfolio security initially
at its cost and thereafter assuming a constant amortization to maturity of any
discount or premium.
Forward Foreign Currency Contracts: The Select International Equity and Select
Capital Appreciation Funds may enter into forward foreign currency contracts
whereby the Portfolios agree to sell a specific currency at a specific price at
a future date in an attempt to hedge against fluctuations in the value of the
underlying currency of certain portfolio instruments. Forward foreign currency
contracts are valued at the daily exchange rate of the underlying currency with
any fluctuations recorded as unrealized gains or losses. Purchases and sales of
forward foreign currency contracts are offset and presented on a net basis in
the Statements of Assets and Liabilities. Gains or losses on the purchase or
sale of forward foreign currency contracts having the same settlement date and
broker are recognized on the date of offset, otherwise gains and losses are
recognized on the settlement date.
Foreign Currency Translation: Investment valuations, other assets and
liabilities denominated in foreign currencies are converted each business day
into U.S. dollars based upon current exchange rates. Purchases and sales of
foreign investments and income and expenses are converted into U.S. dollars
based upon exchange rates prevailing on the respective dates of such
transactions. That portion of unrealized gains or losses on investments due to
fluctuations in foreign currency exchange rates is not separately disclosed.
---------------------------------------------------------
F-48
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
Security Transactions and Investment Income: Security transactions are recorded
on the trade date. Net realized gains and losses from security transactions are
recorded on the basis of identified cost. Interest income is recorded on the
accrual basis and consists of interest accrued and, if applicable, discounts
earned on original issue discount bonds, zero coupton bonds, stepped-coupon
bonds and payment in kind bond, which are accreted. Dividend income is recorded
on the ex-dividend date.
Federal Income Taxes: The Trust treats each Portfolio as a separate entity for
Federal income tax purposes. Each Portfolio intends to continue to qualify as a
"regulated investment company" under Subchapter M of the Internal Revenue Code
of 1986, as amended. By so qualifying, each Portfolio will not be subject to
Federal income taxes to the extent it distributes all of its taxable income and
net realized gains for the tax year ending December 31. In addition, by
distributing during each calendar year substantially all of its net investment
income, capital gains and certain other amounts, if any, each Portfolio will not
be subject to Federal excise tax. Therefore, no Federal income tax provision is
required. Withholding taxes on foreign dividend income and gains have been paid
or provided for in accordance with the applicable country's tax rules and rates.
Paid-in capital, undistributed net investment income and accumulated net
realized gain (loss) have been adjusted in the Statements of Assets and
Liabilities for permanent book-tax differences for all Portfolios with the
exception of the Money Market Portfolio for the year ended December 31, 1996.
Distributions to Shareholders: Dividends from net investment income are declared
and reinvested daily for the Money Market Fund, declared and distributed
quarterly for the Growth, Select Growth and Income, Equity Index, Investment
Grade Income and Government Bond Funds, and annually for the Select
International Equity, Select Aggressive Growth, Select Capital Appreciation,
Small-Mid Cap Value and Select Growth Funds. All Portfolios declare and
distribute all net realized capital gains, if any, at least annually. The
distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing book and tax treatments in the timing of the
recognition of gains or losses and forwards, including "Post October Losses" and
permanent differences due to differing treatments for paydown gains/losses on
certain securities, foreign currency transactions, market discount, non-taxable
dividends and losses deferred due to wash sales. Any taxable income or gain
remaining at fiscal year end is distributed in the following year.
Permanent book-tax differences, if any, are not included in ending undistributed
net investment income for the purpose of calculating net investment income per
share in the Financial Highlights.
Futures Contracts: All Portfolios, except the Small-Mid Cap Value Fund and the
Money Market Fund, may enter into futures contracts for the delayed delivery of
securities at a fixed price at some future date or the change in value of a
specified financial index over a predetermined time period. Cash or securities
are deposited with brokers in order to establish and maintain a position.
Subsequent payments made or received by the Fund based on the daily change in
the market value of the position are recorded as unrealized gain or loss until
the contract is closed out, at which time the gain or loss is realized. At a
meeting held on May 13, 1997, the Trustees of the Trust approved an amendment to
the investment policies of the Small-Mid Cap Value Fund to permit the Portfolio
to enter into futures contracts. This amendment will go into affect if
approved by the shareholders at a meeting that will be held on August 15, 1997.
Organization Costs: Each Portfolio bears all costs in connection with its
organization, including the fees and expenses of registering and qualifying its
shares for distribution under Federal and state securities regulations. All such
costs are being amortized using the straight-line method over a period of five
years beginning with the commencement of the Portfolio's operation. The
Investment Adviser incurred all start up costs of the Portfolios except for
Select Capital Appreciation.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
- ---------------------------------------------------------
F-49
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
Forward Commitments: The Select Capital Appreciation Fund, Investment Grade
Income Fund, and Government Bond Fund may enter into contracts to purchase
securities for a fixed price at a specified future date beyond customary
settlement time ("forward commitments"). If the Funds do so, they will maintain
cash or other liquid obligations having a value in an amount at all times
sufficient to meet the purchase price. Forward commitments involve a risk of
loss if the value of the security to be purchased declines prior to the
settlement date. Although the Funds generally will enter into forward
commitments with the intention of acquiring securities for their portfolio, they
may dispose of a commitment prior to settlement if their Sub-Adviser deems it
appropriate to do so.
3. INVESTMENT ADVISORY, ADMINISTRATION
AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Investment Management Company, Inc. (the "Manager"), a wholly-owned
subsidiary of First Allmerica, serves as Investment Adviser and Administrator to
the Trust. Under the terms of the management agreement, the Portfolios pay a
management fee, calculated daily and payable monthly, at an annual rate based
upon the following fee schedules:
<TABLE>
<CAPTION>
Percentage of Average Daily Net Asset Value
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Select Aggressive Growth 1.00% 1.00% 1.00%
Select Capital Appreciation 1.00% 1.00% 1.00%
Select International Equity 1.00% 1.00% 1.00%
Select Growth 0.85% 0.85% 0.85%
Growth 0.60% 0.50% 0.35%
Equity Index 0.35% 0.30% 0.25%
Select Growth and Income 0.75% 0.75% 0.75%
Investment Grade Income 0.50% 0.35% 0.25%
Government Bond 0.50% 0.50% 0.50%
Money Market 0.35% 0.25% 0.20%
</TABLE>
<TABLE>
<CAPTION>
First Next Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $250,000,000 $750,000,000
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Small-Mid Cap Value 1.00% 0.85% 0.80% 0.75% 0.70%
</TABLE>
At a meeting held on May 13, 1997, the Trustees of the Trust approved amendments
to the management agreement, which will go into effect if approved by the
shareholders at a meeting that will be held on August 15, 1997, as follows:
<TABLE>
<CAPTION>
First Next Next Over
Portfolio $100,000,000 $150,000,000 $250,000,000 $500,000,000
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85%
Select Capital Appreciation 1.00% 0.90% 0.85% 0.85%
Select International Equity 1.00% 0.90% 0.85% 0.85%
Growth 0.60% 0.60% 0.40% 0.35%
Select Growth and Income 0.75% 0.70% 0.65% 0.65%
</TABLE>
<TABLE>
<CAPTION>
First Next Next Over
Portfolio $50,000,000 $50,000,000 $150,000,000 $250,000,000
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Grade Income 0.50% 0.45% 0.40% 0.40%
</TABLE>
---------------------------------------------------------
F-50
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers. The Sub-Advisers for each of the
Portfolios are as follows:
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Select Capital Appreciation Janus Capital Corporation
Small-Mid Cap Value CRM Advisors, LLC
Select International Equity Bank of Ireland Asset Management (U.S.) Limited
Select Growth Putnam Investment Management, Inc.
Growth Miller Anderson & Sherrerd, LLP
Equity Index Allmerica Asset Management, Inc.
Select Growth and Income John A. Levin & Co., Inc.
Investment Grade Income Allmerica Asset Management, Inc.
Government Bond Allmerica Asset Management, Inc.
Money Market Allmerica Asset Management, Inc.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("FDISG"), a wholly-owned subsidiary of First
Data Corporation, whereby FDISG performs administrative services for the
Portfolios and is entitled to receive an administrative fee and certain
out-of-pocket expenses. The Manager is solely responsible for the payment of the
administration fee to FDISG. In a separate agreement, FDISG receives separate
fees from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
The Trust pays no salaries or compensation to any of its officers. Trustees who
are not directors, officers, or employees of the Trust or any investment adviser
are reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such amounts
are paid by the Trust.
4. REIMBURSEMENT OF EXPENSES AND WAIVER OF FEES
In the event normal operating expenses of each Portfolio, excluding taxes,
interest, broker commissions and extraordinary expenses, but including the
advisory fee, exceed certain voluntary expense limitations (Select International
Equity Fund - 1.50%, Select Aggressive Growth Fund - 1.35%, Select Capital
Appreciation Fund - 1.35%, Small-Mid Cap Value Fund - 1.25%, Growth Fund -
1.20%, Select Growth Fund - 1.20%, Equity Index Fund - 0.60%, Select Growth and
Income Fund - 1.10%, Investment Grade Income Fund - 1.00%, Government Bond Fund
- - 1.00% and Money Market Fund - 0.60%), the Manager will bear such expenses
directly or reduce its compensation from the Portfolios by the excess of the
stated expense limitations. The Manager has committed to a voluntary limitation
of its adviser fee on the Small-Mid Cap Value Fund to an annual rate of 0.90% of
average daily net assets of the Portfolio. As of June 30, 1997, the Small-Mid
Cap Value Fund waived $20,072 of the adviser fee. Expense limitations may be
removed or revised at any time after a Portfolio's first fiscal year of
operations without prior notice to existing shareholders. The Manager will
voluntarily reimburse its fees and any expenses in excess of the expense
limitations.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of commissions. Such amounts earned by the Portfolios,
under such agreements, are presented as a reduction of expenses in the
Statements of Operations.
- ---------------------------------------------------------
F-51
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, Continued (Unaudited)
- --------------------------------------------------------------------------------
6. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value.
7. FOREIGN SECURITIES
Each Portfolio, except Government Bond Fund, may purchase securities of foreign
issuers. Money Market Fund may invest in only U.S. dollar denominated foreign
securities. Investing in foreign securities involves special risks not typically
associated with investing in securities of U.S. issuers. The risks include
revaluation of currencies and future adverse political and economic
developments. Moreover, securities of many foreign issuers and their markets may
be less liquid and their prices more volatile than those of securities of
comparable U.S. issuers.
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including forward foreign currency
contracts involves risk other than that reflected in the Statements of Assets
and Liabilities. Risks associated with these instruments include the potential
for an imperfect correlation between the movements in the price of the
instruments and the price of the underlying securities and interest rates, an
illiquid secondary market for the instruments or inability of counterparties to
perform under the terms of the contracts, and changes in the value of foreign
currency relative to the U.S. dollar. The Select International Equity Fund and
the Select Capital Appreciation Fund enter into these contracts primarily to
protect the Portfolio from adverse currency movement.
---------------------------------------------------------
F-52
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
OTHER INFORMATION
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS: (Unaudited)
At the Meeting of Shareholders of the Small Cap Value Fund, held on March 18,
1997, shareholders approved the revisions in the investment objective, name and
policies of the Fund to change from investing primarily in small cap value
stocks to investing primarily in small and mid-cap value stocks. The results
were as follows:
<TABLE>
<CAPTION>
Shares For Shares Against Shares Abstaining % of Shares Voted
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
71,709,589 2,460,389 2,138,428 100.00%
</TABLE>
At the Meeting of Shareholders of the Small Cap Value Fund, held on March 18,
1997, shareholders approved the new Sub-Adviser agreement between the Manager
and CRM Advisors, LLC. with respect to the Portfolio. The results were as
follows:
<TABLE>
<CAPTION>
Shares For Shares Against Shares Abstaining % of Shares Voted
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
68,597,068 4,758,723 2,952,615 100.00%
</TABLE>
At the Meeting of Shareholders of the Small Cap Value Fund, held on March 18,
1997, shareholders approved the amendment to the management agreement between
the Manager and Allmerica Investment Trust with respect to the Portfolio. The
results were as follows:
<TABLE>
<CAPTION>
Shares For Shares Against Shares Abstaining % of Shares Voted
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
67,576,608 5,555,742 3,176,056 100.00%
</TABLE>
- ---------------------------------------------------------
F-53
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
REGULATORY DISCLOSURES
- --------------------------------------------------------------------------------
The performance data quoted represents past performance and the investment
return and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
An investment in the Money Market Fund is neither insured nor guaranteed by the
U.S. Government, and there can be no assurance that the Portfolio will be able
to maintain a stable net asset value of $1.00 per share.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Funds and are not authorized for
distribution to prospective investors in the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company unless accompanied
or preceded by effective prospectuses for the flexible premium variable life
insurance or annuity products of Allmerica Financial Life Insurance and Annuity
Company or First Allmerica Financial Life Insurance Company, Allmerica
Investment Trust, Variable Insurance Products Fund, Variable Insurance Products
Fund II, Delaware Group Premium Fund International Equity Series, and T. Rowe
Price International Stock Portfolio, which include important information related
to charges and expenses.
CLIENT NOTICES
- --------------------------------------------------------------------------------
This semi-annual report includes financial statements for Allmerica Investment
Trust. It does not include financial statements for the separate accounts that
correspond to the Group Vari-Exceptional Life Plus contracts. Separate account
financial statements will no longer be provided.
---------------------------------------------------------
F-54
<PAGE>
This page left blank intentionally.
<PAGE>
This page left blank intentionally.
<PAGE>
Vari-Exceptional Life Plus
Allmerica Financial is a diversified group of insurance and financial
services companies. Vari-Exceptional Life Plus is issued by Allmerica Financial
Life Insurance and Annuity Company, a leading provider of insurance and annuity
products which was founded in 1967, and is a wholly owned subsidiary of First
Allmerica Financial Life Insurance Company. Established in 1844, First Allmerica
Financial is the fifth oldest, and one of the most respected, life insurance
companies in the nation. Our financial expertise, combined with a range of
insurance and investment products, allows us to help you create sound financial
solutions to meet your individual needs.
To be preceded or accompanied by the current prospectus. Read it carefully
before investing.
Vari-Exceptional Life Plus is issued by
Allmerica Financial Life Insurance and Annuity Company
and distributed by Allmerica Investments, Inc.
[ALLMERICA FINANCIAL LOGO APPEARS HERE]
First Allmerica Financial Life Insurance Company . Allmerica Financial Life
Insurance and Annuity Company (licensed in all states except NY & HI)
Allmerica Trust Company, N.A. . Allmerica Investments, Inc. . Allmerica
Investment Management Company, Inc. .
The Hanover Insurance Company . AMGRO, Inc. . Allmerica Financial
Alliance Insurance Company
Allmerica Asset Management, Inc. . Allmerica Financial Benefit
Insurance Company . Sterling Risk Management Services, Inc.
Citizens Corporation . Citizens Insurance Company of America . Citizens
Management Inc.
440 Lincoln Street, Worchester, Massachusetts 01653
