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Allmerica Financial Services
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JUNE 30, 1998
[PHOTO APPEARS HERE]
SOLUTIONS THAT TRANSCEND TIME
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Semi-Annual Report
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Vari-Exceptional Life Plus
1998
[LOGO OF ALLMERICA FINANCIAL APPEARS HERE]
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Table of Contents
General Information ................................... 2
A Letter from the Chairman ............................ 3
Fund Performance Summary .............................. 4
Product Performance Summary ........................... 6
Domestic & International Equity Market Overview ....... 8
Select Emerging Markets Fund .......................... 10
Select Aggressive Growth Fund ......................... 11
Select Capital Appreciation Fund ...................... 12
Select Value Opportunity Fund ......................... 13
Select International Equity Fund ...................... 14
Fidelity VIP/1/ Overseas Portfolio .................... 15
T. Rowe Price International Stock Portfolio ........... 16
DGPF/2/ International Equity Series ................... 17
Fidelity VIP/1/ Growth Portfolio ...................... 18
Select Growth Fund .................................... 19
Select Strategic Growth Fund .......................... 20
Growth Fund ........................................... 21
Equity Index Fund ..................................... 22
Fidelity VIP/1/ Equity-Income Portfolio ............... 23
Select Growth and Income Fund ......................... 24
Fidelity VIP/1/ II Asset Manager Portfolio ............ 25
Bond & Money Market Overview .......................... 26
Fidelity VIP/1/ High Income Portfolio ................. 28
Select Income Fund .................................... 29
Investment Grade Income Fund .......................... 30
Government Bond Fund .................................. 31
Money Market Fund ..................................... 32
Financials ............................................ F-1
For further information, see the accompanying semi-annual
reports.
See Client Notices on page F-66.
One or more Funds may not be available under the variable
annuity or variable life insurance policy which you have
chosen. Inclusion in this semi-annual report of a Fund which
is not available under your policy is not to be considered a
solicitation.
/1/VIP refers to Variable Insurance Products Fund.
/2/DGPF refers to Delaware Group Premium Fund.
1
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General Information
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Officers of Allmerica Financial Life Insurance
and Annuity Company (AFLIAC)
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 Financial Investment Management Services, Inc.
440 Lincoln Street, Worcester, MA 01653/1/
General Distributor
Allmerica Investments, Inc.
440 Lincoln Street, Worcester, MA 01653
Independent Accountants
PricewaterhouseCoopers 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, MA02110
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
George M. Boyd, Secretary
Board of Trustees of AIT
John F. O'Brien, Chairman
P. Kevin Condron/2/
Cynthia A. Hargadon/2/
Gordon Holmes/2/
John P. Kavanaugh
Bruce E. Langton/2/
Attiat F. Ott/2/
Richard M. Reilly
Ranne P. Warner/2/
/1/ Replaced Allmerica Investment Management Company, Inc. as Investment Manager
effective April 16, 1998.
/2/ Independent Trustees
/3/ T. Rowe Price Associates, Inc. replaced Janus Capital Corporation as
Investment Sub-Adviser, effective April 1, 1998.
/4/ VIPrefers to Variable Insurance Products Fund.
Investment Sub-Advisers
Allmerica Asset Management, Inc.
440 Lincoln Street, Worcester, MA 01653
Equity Index Fund
Investment Grade Income Fund,
Government Bond Fund
Money Market Fund
Bank of Ireland Asset Management (U.S.) Limited
U.S. Offices: 20 Horseneck Lane, Greenwich, CT 06830
Main Offices: 26 Fitzwilliam Place, Dublin 2, Ireland
Select International Equity Fund
Cambiar Investors, Inc.
8400 East Prentice Avenue, Suite 460, Englewood, CO 80111
Select Strategic Growth Fund
Cramer Rosenthal McGlynn, LLC
707 Westchester Avenue, White Plains, NY 10604
Select Value Opportunity Fund
John A. Levin & Co., Inc.
One Rockefeller Plaza, 25th Floor, 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 2900, San Diego, CA 92101
Select Aggressive Growth Fund
Putnam Investment Management, Inc.
One Post Office Square, Boston, MA 02109
Select Growth Fund
Schroder Capital Management International Inc.
787 Seventh Avenue, New York, NY 10019
Select Emerging Markets Fund
Standish, Ayer & Wood, Inc.
One Financial Center, Boston, MA 02111
Select Income Fund
T. Rowe Price Associates, Inc.
100 East Pratt Street, Baltimore, MD 21202
Select Capital Appreciation Fund/3/
Investment Advisers
Delaware International Advisers Ltd.
1818 Market Street, Philadelphia, PA 19103
Delaware Group Premium Fund, Inc. International Equity Series
Fidelity Management & Research Company
82 Devonshire Street, Boston, MA 02108
Fidelity VIP/4/ II Asset Manager Portfolio
Fidelity VIP/4/ Equity-Income Portfolio
Fidelity VIP/4/ Growth Portfolio
Fidelity VIP/4/ High Income Portfolio
Fidelity VIP/4/ Overseas Portfolio
Rowe Price-Fleming International, Inc.
100 East Pratt Street, Baltimore, MD 21202
T. Rowe Price International Stock Portfolio
<PAGE>
A Letter from the Chairman
[PHOTO APPEARS HERE]
Dear Client:
The first half of 1998 was marked by considerable divergence in the investment
world. European stock markets produced very strong investment returns while
Japan struggled and the emerging markets declined precipitously. The U.S.
exhibited very strong economic growth in the first quarter which led to a
continued rise in our stock market. As signs of slower economic growth developed
in the second quarter, the bond market rallied and long term interest rates
dropped to their lowest level in almost 30 years.
Even as the market continues to advance, many of our managers have noted that it
is being carried by relatively few stocks. For example, during the second
quarter, 14 of the largest stocks increased over 20% while the remaining 486
stocks in the S&P 500(R) actually declined almost 2%. These 14 stocks have an
average P/E ratio of over 42x trailing earnings and are thought to be highly
overvalued by some managers. These kinds of figures help explain the apparent
poor performance of many small- and mid-cap managers as well as those who pursue
a value style of investing.
As investment professionals, we know that markets do not increase forever and
that different investment styles go in and out of favor. That is why we offer a
broad range of investment options and urge you to maintain a widely diversified
portfolio. With this in mind, we continue to look at ways to enhance our manager
line-up while still offering distinct investment options.
In February of this year we introduced two new funds. The Select Emerging
Markets Fund invests in developing countries around the world. While this has
obviously been an underperforming sector of the market over the last six months,
we believe it will be an important longer term addition to the diversity of our
overall portfolio. The Select Strategic Growth Fund invests in stocks of
financially strong companies which have been out of favor but now show signs of
strong growth potential. For more information on these and all of our funds,
please read the market overviews and managers' commentaries found later in this
report.
The Investment Operations Committee continues to conduct its disciplined
quarterly evaluation process. In February 1998, they presented your Board with
an alternative investment manager for the Select Capital Appreciation Fund.
Effective April 1, 1998, T. Rowe Price Associates assumed sub-advisory
responsibility for this fund. This firm brings an outstanding track record of
producing superior returns with relatively low volatility by following a highly
diversified mid-cap growth investment strategy. While replacing a manager is
never easy, the committee and the Trustees of Allmerica Investment Trust
continue to demonstrate that they will make the necessary changes as we seek to
offer you an array of superior investment managers.
Thank you for your business. We will continue to work hard to earn your trust.
On behalf of the Board of Trustees,
John F. O'Brien
Chairman of the Board
Allmerica Financial Life Insurance and Annuity Company
<PAGE>
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Fund Performance Summary
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Average Annual Total Returns as of 6/30/98
For easy reference, the total returns for the Funds are summarized below.
Keep in mind that these returns are net of all Fund charges. For returns that
reflect the deduction of product charges, please refer to the Product
Performance Summary on the page 6.
<TABLE>
<CAPTION>
10 Years
Fund or Life
Inception 1 5 of Fund
Funds Date Year Years (if less)
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<S> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 N/A N/A -15.70%
Select Aggressive Growth Fund 8/21/92 29.31% 18.49% 20.85%
Select Capital Appreciation Fund 4/28/95 20.37% N/A 22.38%
Select Value Opportunity Fund 4/30/93 16.42% 16.25% 16.36%
Select International Equity Fund 5/2/94 14.30% N/A 14.30%
Select Growth Fund 8/21/92 38.92% 20.89% 19.00%
Select Strategic Growth Fund 2/20/98 N/A N/A 0.20%
Growth Fund 4/29/85 22.68% 19.37% 16.59%
Equity Index Fund 9/28/90 29.51% 22.24% 20.78%
Select Growth and Income Fund 8/21/92 20.21% 17.95% 16.14%
Select Income Fund 8/21/92 10.23% 5.97% 6.59%
Investment Grade Income Fund 4/29/85 10.25% 6.61% 9.06%
Government Bond Fund 8/26/91 7.81% 5.44% 6.86%
Money Market Fund 4/29/85 5.57% 4.97% 5.74%
Delaware Group Premium Fund, Inc.
DGPF International Equity Series 10/29/92 5.16% 14.02% 12.56%
T. Rowe Price International Series, Inc.
T. Rowe Price International Stock Portfolio 3/31/94 5.04% N/A 10.39%
Fidelity Variable Insurance Products
Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 1/28/87 11.10% 13.50% 11.08%
Fidelity VIP Growth Portfolio 10/9/86 29.23% 19.56% 17.56%
Fidelity VIP Equity-Income Portfolio 10/9/86 21.65% 20.01% 15.74%
Fidelity VIP II Asset Manager Portfolio 9/6/89 18.57% 13.05% 13.11%
Fidelity VIP High Income Portfolio 9/19/85 14.49% 12.42% 12.42%
</TABLE>
Fund performance returns given above reflect an investment in the underlying
funds listed on the date of inception of each Fund.
Fund performance returns in this report are historical and are not indicative of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
<PAGE>
Performance
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Product Performance Summary
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Vari-Exceptional Life Plus
Average Annual Total Returns as of 6/30/98
For easy reference, the total returns for the Vari-Exceptional Life Plus
sub-accounts of AFLIAC are summarized below. Keep in mind that these returns are
net of all product charges. For returns that do not reflect the deduction of
product charges, please refer to the individual Portfolio Reviews beginning on
page 10.
<TABLE>
<CAPTION>
Without Surrender and With Surrender and
and Monthly Policy Charges Monthly Policy Charges
10 Years 10 Years
Fund or Life or Life
Inception 1 5 of Fund 1 5 of Fund
Sub-Accounts Date Year Years (if less) Year Years (if less)
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<S> <C> <C> <C> <C> <C> <C> <C>
Allmerica Investment Trust
Select Emerging Markets Fund 2/20/98 N/A N/A -15.90% N/A N/A -100.00%
Select Aggressive Growth Fund 8/21/92 28.47% 17.59% 20.06% -84.63% 8.28% 11.97%
Select Capital Appreciation Fund 4/28/95 19.59% N/A 21.58% -92.74% N/A -8.04%
Select Value Opportunity Fund 4/30/93 15.66% 15.38% 15.60% -96.33% 5.81% 4.40%
Select International Equity Fund 5/2/94 13.55% N/A 13.56% -98.25% N/A -4.54%
Select Growth Fund 8/21/92 38.01% 19.96% 18.22% -75.91% 10.91% 9.95%
Select Strategic Growth Fund 2/20/98 N/A N/A -0.03% N/A N/A -100.00%
Growth Fund 4/29/85 21.88% 18.46% 15.63% -90.65% 9.25% 12.71%
Equity Index Fund 9/28/90 28.66% 21.30% 19.99% -84.46% 12.39% 15.34%
Select Growth and Income Fund 8/21/92 19.42% 17.05% 15.38% -92.90% 7.68% 6.81%
Investment Grade Income Fund 4/29/85 9.53% 5.79% 8.14% -100.00% -5.20% 4.88%
Government Bond Fund 8/26/91 7.13% 4.64% 6.16% -100.00% -6.56% -1.04%
Money Market Fund 4/29/85 4.89% 4.16% 4.86% -100.00% -7.12% 1.41%
Delaware Group Premium
Fund, Inc.
DGPF International Equity Series 10/29/92 4.47% 13.14% 11.83% -100.00% 3.28% 2.29%
T. Rowe Price International
Series, Inc.
T. Rowe Price International Stock
Portfolio 3/31/94 4.35% N/A 9.67% -100.00% N/A -8.40%
Fidelity Variable Insurance
Products Fund (VIP and VIP II)
Fidelity VIP Overseas Portfolio 1/28/87 10.37% 12.63% 10.13% -100.00% 2.70% 6.97%
Fidelity VIP Growth Portfolio 10/9/86 28.38% 18.65% 16.60% -84.71% 9.46% 13.71%
Fidelity VIP Equity-Income Portfolio 10/9/86 20.86% 19.09% 14.78% -91.58% 9.95% 11.82%
Fidelity VIP II Asset Manager Portfolio 9/6/89 17.79% 12.31% 12.37% -94.38% 2.34% 8.28%
Fidelity VIP High Income Portfolio 9/19/85 13.75% 11.56% 11.49% -98.07% 1.48% 8.40%
</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.
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.
<PAGE>
Overviews
<PAGE>
Domestic & International Equity Market Overview
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 large gains for the U.S. equity
markets. Europe turns in strongest performance of international equity markets.
1996: Despite a volatile marketplace, the U.S. stock market performs well.
Internationally, European countries post the most impressive gains.
1997: Robust economic growth, declining interest rates and low unemployment
produce a third consecutive year of unprecedented gains for the U.S.stock
market.
1998: Economic problems throughout Asia have drastically different effects on
both U.S. and international equity markets for the first half of 1998.
Entering 1998, a steady U.S. economy marked by low-to-declining interest rates,
little inflation and strong economic growth boded well for stocks overall.
However, economic problems throughout Asia had drastically different effects on
the market and now Asian markets are beginning to exert a restraining influence
on the U.S. and Europe as well.
During the first six months of 1998, the Asian crisis precipitated a flight to
quality as investors sought safety in big U.S. stocks. While this flight to
quality produced strong returns, especially for those companies with excellent
earnings and very little exposure to Asia, it also caused the market's
performance to become extremely tiered. Only a small number of stocks actually
earned sizable returns while most were relatively flat or posted losses. In
fact, during the second quarter, only a handful of stocks accounted for 100% of
the gain in S&P 500(R) Index.
The flight to quality also caused large-cap stocks to clearly beat out their
small- and mid-cap counterparts as investors sought out consistent earnings and
highly liquid stocks. Curiously, investors held fast to their large-cap bias
even in the face of rising valuations, as the average stock price rose to nearly
30 times company earnings.
But not all large caps stocks benefited. Performance was specifically
concentrated in the growth-oriented arena as different indices produced vastly
different results. The Russell 1000 Growth Index, for example, outperformed the
Russell 1000 Value Index 20.4% to 12.2%, respectively.
Sector performance was also mixed for the first part of 1998. Motor Vehicles was
a top performer as U.S. auto sales sped to record highs. Auto stocks also
benefited from corporate restructuring initiatives as Ford Motor Company,
spun-off Associates First Capital Corp., and Chrysler agreed
[TIME LINE APPEARS HERE]
A steady economy marked by low interest rates and strong economic growth bodes
well for stocks.
Uncertain about the effects of the Asian crisis, the Federal Reserve adopts a
wait and see approach to interest rates.
[GRAPHIC APPEARS HERE]
Declining commodity prices in oil, copper and coffee cause emerging markets of
Latin America to suffer.
[GRAPHIC APPEARS HERE]
U.S. manufacturing suffers due to decreased demand from Asia.
8
<PAGE>
Domestic & International Equity Market Overview
to merge with Daimler Benz. PC manufacturers also benefited as corporate
spending both in the U.S. and Europe appeared to be on the rise.
But the economic turmoil in Asia also decreased the overall demand for U.S.
goods and services. This lower demand seemed to cause other sectors of the
market, particularly manufacturing, to suffer as the National Association of
Purchasing Management Index fell below 50 for the first time since 1996.
Separately, Energy Services, which was hurt by a drop in oil prices, also lost
ground.
International equity markets produced divergent results with developed markets
faring better than emerging markets. Europe, for instance, remained fairly
immune from the Asia crisis as it moved closer to monetary union. With key
European economies adopting stronger fiscal measures and companies embracing
U.S.-style efficiencies, a bull market is developing in many countries.
The Mediterranean region in particular generated strong results, although some
investors avoided Italy and Portugal where concerns about local inflation
surfaced. Overall, Germany and France led the pack in Europe as they both showed
signs of continued economic recovery. And the U.K. stock market performed well
as steady growth continued -- in the absence of inflation.
In contrast, the markets of Asia continued to struggle for the first six months
of the year. In Japan, a range of problems plagued the economy. While the stock
market started the year optimistically, decreasing demand for Japanese exports
from Pacific Basin countries, rising unemployment, growing corporate
bankruptcies and worsening banking problems, all drove the market lower by the
end of the second quarter.
But while the financial problems in this corner of the world were certainly
damaging, not all economies were affected equally. China, for example,
experienced a slowdown, but its currency along with the Hong Kong dollar
remained stable during the first half of the year.
Simultaneously with Asia's problems, Latin America had a rough time as well. Not
only has this part of the world felt the effects of the flight to quality by
foreign investors, but declining commodity prices in oil, coffee and copper have
particularly hurt the economies of Mexico, Brazil, Columbia and Chile.
Heading into the second half of 1998, low inflation, low interest rates and
generally sound economies bode well for U.S. and European equity markets.
At the same time, investors are worried about slower earnings growth in the U.S.
and the effects the financial turmoil in the Far East will have throughout the
world.
[TIME LINE APPEARS HERE]
Many European stock markets benefit from a developing bull market.
[GRAPHIC APPEARS HERE]
Auto stocks fare well from corporate restructuring.
[GRAPHIC APPEARS HERE]
Large-cap U.S. growth stocks benefit from the flight to quality due to renewed
concerns in Asian markets.
[GRAPHIC APPEARS HERE]
Investors remain cautious about the effect the financial turmoil in Asia will
have throughout the world.
<PAGE>
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Select Emerging Markets Fund
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Since inception on February 20, 1998, the Select Emerging Markets Fund posted a
return of -15.70% versus the -17.59% return of the MSCI Emerging Markets Free
Index for the comparable period.
During the second quarter, continuing financial turmoil in Asia caused emerging
markets to suffer, not only in Asia, but throughout the world. Against this
backdrop, the Fund managers remained relatively defensive and looked for signs
of a turnaround in emerging markets.
Because the managers believe Korea offers the best potential for recovery, they
continued to heavily weight holdings from this market. The government's
commitment to labor reforms, ongoing financial restructuring and its
internationally competitive companies all represent favorable signs for a
turnaround in their market.
India remains the Fund's largest position in Asia. Although management has
reduced holdings there, they still believe that the Indian market offers quality
companies at attractive values, despite a poor economic outlook and an uncertain
political situation.
Latin America is also expected to continue to feel the effects of the Asian
crisis. While interest rates have been raised to slow economic growth, the Fund
managers remain cautious about investing here as the situation is unlikely to
reverse itself over the next few months.
The Fund managers' preferred area of investment continues to be Europe, the
Middle East and Africa. The managers particularly favor Greece, which is
benefiting from its efforts to join the European Monetary Union. They also like
Israel, which despite persistent political problems, is at a point in the
economic cycle when growth should accelerate.
Investment Sub-Adviser
Schroder Capital Management
International Inc.
About the Fund
Seeks long-term growth by investing in the world's emerging markets.
Portfolio Composition
As of June 30, 1998, the country allocation of net assets was:
Brazil 13%
Mexico 11%
South Africa 7%
India 7%
Portugal 4%
Hungary 4%
Israel 4%
South Korea 4%
Argentina 4%
U.S. Agency Obligations 7%
Other 35%
Average Annual Total Returns
Period ended June 30, 1998 Life of Fund
Select Emerging Markets Fund -15.70%
MSCI Emerging Markets Free Index -17.59%
Lipper Emerging Markets Fund Average -15.28%
Fund Inception Date
February 20, 1998
(No growth of $10,000 chart is provided)
The Select Emerging Markets Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The MSCI Emerging Markets Free Index is an unmanaged index of 26 emerging
markets. The Lipper Emerging Markets Fund Average is a non-weighted index of 179
funds within the emerging markets investment objective. Performance numbers are
net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
10
<PAGE>
Select Aggressive Growth Fund
Posting a return of 16.27% for the six-month period ended June 30, 1998, the
Select Aggressive Growth Fund outperformed the 5.66% return of the Russell 2500
Index for the same period.
Superior stock selection in the financial services and technology sectors
boosted Fund results during the first half of the year. Finance companies, in
particular, benefited from credit-quality stabilization, a direct result of
slower bankruptcy rates.
Holdings within the technology sector, specifically PC manufacturers, started to
benefit from corporate spending primarily in the U.S. and Europe. The focus on
building information technology infrastructure to maintain and enhance global
competitiveness in general spurred growth.
The Fund's exposure to stocks within the health care services, consumer services
and insurance services sectors also benefited overall performance. Holdings
within these sectors that exhibited strong performance included HBO & Co. and
Equitable Companies, Inc.
The Fund is currently overweighted in four sectors: consumer non-durables
(apparel), consumer durables (home furnishings), retail (clothing chains) and
technology (software and telecommunications).
For the remainder of the year, the managers' outlook is quite optimistic. While
the Asian financial crisis will be a source of ongoing negative earnings
surprises, U.S. economic fundamentals remain strong. Low inflation, moderate
growth and high employment rates continue to provide a favorable backdrop -- and
bode well for stocks of those companies which can produce consistent earnings
results.
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Average Annual Total Returns
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Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Aggressive Growth Fund 29.31% 18.49% 20.85%
Russell 2500 Index 18.10% 17.31% 18.90%
Lipper Capital Appreciation Fund Average 22.12% 16.02% 17.22%
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Growth of a $10,000 Investment Since 1992
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[LINE GRAPH APPEARS HERE]
Date Select Aggressive Growth Fund Russell 2500 Index
8/92 $10,000 $10,000
6/98 $30,288 $27,532
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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.
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Portfolio Composition
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As of June 30, 1998, the sector allocation of net assets was:
Computers and Software 17%
Technology 12%
Consumer Products 10%
Retail 9%
Finance 8%
Durable Goods 8%
Capital Goods 6%
Health Services 4%
Consumer Service 4%
Other 22%
The Select Aggressive Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2,500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Fund Average is a non-
weighted index of 263 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.
11
<PAGE>
Select Capital Appreciation Fund
Under new management since April 1, 1998, the Select Capital Appreciation Fund
returned 9.30% for the six-month period ended June 30, 1998. This result
compared to the 5.66% return of the Russell 2500 Index and the 12.85% return of
the Lipper Capital Appreciation Fund Average for the same period.
The Fund experienced heavy turnover in April as the new manager recast the
portfolio to match their investment discipline. The portfolio is now broadly
diversified across 70-100 securities in all industries. The portfolio focuses on
domestic mid-cap growth stocks and rarely allocates more than 3% to any one
security.
The Fund's managers added to the portfolio's positions in the health care and
financial sectors during the second quarter. Stable-to-declining interest rates
also continued to benefit the financial sector and the Fund participated with an
outstanding gain in Capital One Financial. In the technology sector, Synopsis
added results, as it also was a top performer for the Fund.
With holdings such as Affiliated Computer, Outdoor Systems and U.S. Foodservice,
the Fund's managers also maintained the weighting in business services, the
Fund's largest sector.
In looking toward the remainder of 1998, the Fund managers will continue to
manage the portfolio based on solid fundamental research and carefully selected
stock picks which they believe will produce solid returns within a reasonable
time.
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Investment Sub-Adviser
T. Rowe Price Associates, Inc.*
About the Fund
The Fund seeks to construct a diversified portfolio of mid-cap growth stocks
selling at a reasonable price.
*T. Rowe Price Associates, Inc. replaced Janus Capital Corporation as Investment
Sub-Adviser, effective April 1, 1998.
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Portfolio Composition
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As of June 30, 1998, the sector allocation of net assets was:
Retail 13%
Finance 10%
Business Services 10%
Computers and Software 8%
Communications 8%
Electronics 8%
Chemicals and Drugs 7%
Health Services 7%
Leisure/Entertainment 5%
Other 24%
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Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Capital Appreciation Fund 20.37% N/A 22.38%
Russell 2500 Index 18.10% 17.31% 22.51%
Lipper Capital Appreciation Fund Average 22.12% 16.02% 22.04%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1995
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Select Capital
Date Appreciation Fund Russell 2500 Index
4/95 $10,000 $10,000
6/98 $18,967 $19,043
The Select Capital Appreciation Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2500 small-to-mid
capitalization stocks. The Lipper Capital Appreciation Fund Average is a non-
weighted index of 263 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.
12
<PAGE>
- --------------------------------------------------------------------------------
Select Value Opportunity Fund
- --------------------------------------------------------------------------------
The Select Value Opportunity Fund returned 5.36% for the six-month period ended
June 30, 1998, slightly less than the 5.66% return of the Russell 2500 Index for
the same period.
During the first half of this year, the small- and mid-cap sectors of the equity
market underwent a downturn as investors fled smaller companies in favor of
their larger counterparts. However, the Fund managers adhered to their
value-oriented investment strategy of seeking companies that are undergoing a
change, are misunderstood or not widely followed and are, therefore,
undervalued.
A clear example of this strategy was the addition of Ashland, Inc. shares to the
portfolio. A new CEO has made a series of changes at this company, selling off
its oil and gas assets, merging Ashland Coal into a separate public company and
forming a joint venture with USX-Marathon for its refining and marketing
operations. Because these moves confused industry analysts, the stock is selling
at a level that the Fund's management believes does not reflect its true
potential.
The Fund managers also maintained ample diversification among the major economic
sectors, making stock selection within these sectors a priority. In fact,
several of the Fund's holdings outperformed the mid-cap benchmarks, including
Owens-Illinois, Fred Meyer, Coastal Corporation and Wellpoint Health Networks.
Other issues, however, hindered performance. Detractors included Raychem
Corporation, which suffered because of its exposure to Asia, and Cincinnati
Bell, which also declined as investors grew unsure of its ability to compete in
its market.
The Fund managers believe their
value-style of investing will provide solid returns over the long term.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Value Opportunity Fund 16.42% 16.25% 16.36%
Russell 2500 Index 18.10% 17.31% 17.83%
Lipper Small Company Growth Fund Average 17.65% 16.76% 17.44%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1993
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Select Value Opportunity Fund Russell 2500 Index
8/93 $10,000 $10,000
6/98 $21,884 $23,343
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Cramer Rosenthal McGlynn, LLC
About the Fund
Invests in attractively valued small-to mid-sized companies believed to have
above-average potential for capital appreciation.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
Durable Goods 22%
Energy 17%
Finance 10%
Consumer Products 8%
Commercial Paper 7%
Utilities 6%
Building and Construction 5%
Retail 5%
Health Care 5%
Other 15%
The Select Value Opportunity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Russell 2500 Index is an unmanaged composite of 2,500 small- to mid-
capitalization stocks. The Lipper Small Company Growth Fund Average is a non-
weighted index of 643 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.
13
<PAGE>
Select International Equity Fund
For the six-month period ended June 30, 1998, the Select International Equity
Fund returned 18.43% outpacing the 16.08% return of the Morgan Stanley EAFE
Index for the same period.
Continuing their upward momentum of the past two years, European financial
stocks again served as the linchpins of a strong equity market. The Fund's
financial holdings, such as Banco de Santander, were standout performers, driven
by low interest rates, the prospects of ongoing economic recovery and bank
consolidations.
Stocks benefiting from worldwide growth in telecommunications were the largest
contributors to the Fund's positive performance. Germany's Mannesmann led the
charge of telecomm-related stocks, as increasing earnings and massive expansion
of its customer base propelled results. U.K. holding, Vodafone, also benefited
from the increasing worldwide use of cellular phone technology.
Good news also came from stocks which represented the leading consumer
franchises sector in the portfolio. Nestle, the world's largest food maker, rose
as sales increased and recent acquisitions showed the potential for further
cost-savings. Cadbury Schweppes also continued solid performance. Its recent
acquisitions of two bottlers in the U.S. promise increased control over its
distribution in key markets. Health care issues, such as Zeneca, and insurance
holding, Swiss Reinsurance also contributed favorably to results.
Most of the portfolio's negative contributions came from stocks exposed to Asia
and selected holdings in Mexico.
Looking ahead, the Fund managers remain focused on European companies,
particularly in the telecom, pharmaceutical and financial sectors, as they
believe these issues should prove to benefit the Fund.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Bank of Ireland Asset Management (U.S.) Limited
About the Fund
Seeks maximum long-term total return by investing in established non-U.S.
companies based on fundamental value and strong opportunities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the country allocation of net assets was:
United Kingdom 29%
Switzerland 13%
Japan 13%
Netherlands 10%
Germany 9%
France 6%
Australia 5%
Cash Equivalents 6%
Other 9%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select International Equity Fund 14.30% NA 14.30%
Morgan Stanley EAFE Index 06.38% 10.34% 08.50%
Lipper International Fund Average 08.19% 12.22% 09.36%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1994
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
5/94 6/98
Select International Equity Fund $10,000 $17,448
Morgan Stanley EAFE Index $10,000 $14,048
The Select International Equity Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 576 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.
14
<PAGE>
Fidelity VIP* Overseas Portfolio
For the six-month period ended June 30, 1998, the Fidelity VIP* Overseas
Portfolio posted a 15.96% total return, only slightly behind the 16.08% return
of the Morgan Stanley EAFE Index for the same period.
For the first six months of the year, the most significant effect on performance
came from the Portfolio's European equity holdings, which enjoyed substantial
price appreciation due to positive economic factors and improving corporate
fundamentals. Unfortunately, underweighting certain European countries held back
overall Portfolio performance.
On the positive side, several sectors performed well for the Portfolio. Banks
benefited from cross-border mergers driven by technology, preparations for
introducing the euro and low interest and inflation rates. Manufacturers that
began major restructurings also benefited. And telecommunications issues
appreciated due to strong growth in data transmission and internet usage.
The Portfolio managers also limited exposure to Japan and Asia in response to
deteriorating business conditions in that part of the world. But the selected
Asian and Japanese equities it did hold were of world-class companies which were
relatively unaffected by the turmoil -- and contributed to results.
Detracting from overall performance were underweighted positions in selected
European countries, the underperformance of Latin America banks and the poor
performance of Japanese financials.
At mid-year, the fund's top industry sectors were finance, utilities, health and
energy. The managers continue to add to existing positions or buy new
investments consistent with the Portfolio's large-cap, relative value investment
style.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Fidelity VIP* Overseas Portfolio 11.10% 13.50% 11.08%
Morgan Stanley EAFE Index 06.38% 10.34% 07.10%
Lipper International Fund Average 08.19% 12.22% 10.21%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Fidelity VIP* Overseas Portfolio Morgan Stanley EAFE Index
6/88 $10,000 $10,000
6/98 $28,599 $19,806
*VIP refers to Variable Insurance Products Fund.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 576 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
- --------------------------------------------------------------------------------
Investment Adviser
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, 1998, the country allocation of net assets was:
Japan 16%
United Kingdom 14%
France 13%
United States 12%
Netherlands 8%
Switzerland 6%
Germany 6%
Sweden 5%
Other 20%
15
<PAGE>
T. Rowe Price International Stock Portfolio
With a 13.74% total return for the six-month period ended June 30, 1998, the T.
Rowe Price International Stock Portfolio trailed the 16.08% return of the Morgan
Stanley EAFE Index for the same period.
During the first half of 1998, international markets turned in sharply divergent
performances. European markets rose, due to improving economic factors and
buoyant fund flows along with a great deal of merger and acquisitions activity.
Although Germany and France fared quite well, the Portfolio's underweighting,
specifically in Germany, subtracted value.
Emerging markets throughout the world had a difficult time, particularly during
the second quarter. A growing realization that Asia's economic problems will not
be resolved rapidly led to sharp declines across this part of the world -- and
elsewhere -- as Latin American markets also felt the effects of this continuing
malaise. Nonetheless, the managers were able to add value by maintaining a low
exposure to Japan, Malaysia and Singapore in the Portfolio.
Stock selection also proved to be a small positive for the Portfolio. The Fund
managers increased European holdings with purchases in the French and German
banking sectors such as CCF, Societe Generale and Dresdner Bank. Japanese and
Hong Kong holdings were reduced. In Japan, blue chip exporters, Canon and
Pioneer were cut back and Hong Kong holdings of New World and Swire Pacific,
both real estate developers, were sold.
Currently, over 70% of the assets are invested in European issues. The Fund
managers believe that supportive economic fundamentals and a sharpened focus on
shareholder value will enable these markets to rise further.
- --------------------------------------------------------------------------------
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, 1998, the country allocation of net assets was:
United Kingdom 19%
Japan 15%
Netherlands 11%
France 10%
Germany 8%
Switzerland 7%
Italy 5%
Sweden 4%
Other 21%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
T. Rowe Price International Stock
Portfolio 5.04% NA 10.39%
Morgan Stanley EAFE Index 6.38% 10.34% 09.44%
Lipper International Fund Average 8.19% 12.22% 09.51%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1994
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
3/94 6/96
T. Rowe Price International Stock Portfolio $10,000 $15,223
Morgan Stanley EAFE Index $10,000 $14,625
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 576 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.
16
<PAGE>
DGPF* International Equity Series
The DGPF* International Equity Series provided a total return of 12.41% for the
six-month period ended June 30, 1998, trailing the 16.08% return of the Morgan
Stanley EAFE Index for the same period.
In the first half of 1998, the Series focused on economic growth prospects in
Europe. While the Mediterranean in particular performed exceptionally well, the
managers avoided certain markets there due to concerns over local inflation and
stock values. As a result, the Series was under-weighted in several solid-
performing countries. Most notably they stayed away from investments in Italy
and Portugal.
On the positive side, the managers sought dividend-paying stocks that were
selling below fair market value in established markets. This strategy led them
to opportunities in the United Kingdom, which offered higher dividend yields
than stocks of other developed countries around the world.
Favorable performance was also generated by holdings in Germany and France,
which accounted for just over 20% of the Series' net assets. Both of these
countries have benefited from reforms necessary for the introduction of a common
European currency in 1999.
While the managers avoided issues of most Asian countries, they garnered returns
from Japan. Recognizing that it remains a productive country, the Series held
positions in several export-oriented Japanese companies, which contributed to
the Series' total return during the first six months of the year.
In looking toward the second half of 1998, the DGPF* International Equity Series
will continue to offer a disciplined investment approach to prudent global
investing.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
DGPF* International Equity Series 5.16% 14.02% 12.56%
Morgan Stanley EAFE Index 6.38% 10.34% 13.50%
Lipper International Fund Average 8.19% 12.22% 13.96%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date DGPF* International Equity Series Morgan Stanley EAFE Index
10/92 $10,000 $10,000
6/98 $19,461 $20,474
*DGPF refers to Delaware Group Premium Fund.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Morgan Stanley EAFE Index is an unmanaged index of European, Australian &
Far East stocks. The Lipper International Fund Average is a non-weighted index
of 576 funds within the International Fund category. Performance numbers are net
of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
- --------------------------------------------------------------------------------
Investment Adviser
Delaware International Advisers Ltd.
About the Fund
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, 1998, the country allocation of net assets was:
[CHART APPEARS HERE]
United Kingdom 28%
Japan 14%
Germany 11%
Australia 11%
France 10%
Spain 7%
Netherlands 6%
Belgium 3%
Other 10%
17
<PAGE>
Fidelity VIP* Growth Portfolio
With a total return of 19.13% for the six-month period ended June 30, 1998, the
Fidelity VIP* Growth Portfolio surpassed the 17.72% return of the S&P 500(R)
Index for the same period.
As investors sought safety and liquidity in big names during the first half of
the year, large stocks outperformed smaller issues and growth funds in general
performed well. Since the managers of this Portfolio follow a large-cap growth
investment style, both of these factors contributed to its results.
Overweighting assets in strong-performing sectors like technology, health and
retail propelled returns for the Portfolio. Although stock selection proved to
be mixed for these sectors, Microsoft, the fourth best performing asset by
mid-year, boosted performance significantly. Also contributing favorably to
mid-year performance were the Portfolio's investments in Merck and Wal-Mart.
Underweighting the weak-performing utilities sector also helped results. Top
ten holding, WorldCom, accounted for the strong stock selection within this
sector.
Several factors detracted from performance. The Fund managers overweighted the
services sector, which turned in disappointing results. They also underweighted
assets in the durables sector, which was a strong performer, further detracting
from results. Poor stock selection in the nondurables sector dragged down
performance as number two holding Philip Morris posted dismal results in light
of continuing litigation. Finally, poor performance by top ten holding, AT&T and
excess cash holdings also detracted from fund performance.
The Fund managers continue to seek a large-cap growth strategy of long-term
capital appreciation with common stocks through above-average growth prospects.
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
Technology 26%
Health 18%
Retail & Wholesale 11%
Media & Leisure 10%
Finance 10%
Utilities 7%
Non-Durables 6%
Indust. Mach. & Equip. 3%
Other 9%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Fidelity VIP* Growth Portfolio 29.23% 19.56% 17.56%
S&P 500(R)Index 30.17% 23.06% 18.54%
Lipper Capital Appreciation Fund Average 22.12% 16.02% 14.15%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
6/88 6/98
Fidelity VIP* Growth Portfolio $10,000 $50,428
S&P 500* Index $10,000 $54,791
*VIP refers to Variable Insurance Products Fund.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R) is
a registered trademark of the Standard & Poor's Corporation.The Lipper Capital
Appreciation Fund Average is a non-weighted index of 263 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.
18
<PAGE>
Select Growth Fund
For the six-month period ended June 30, 1998, the Select Growth Fund posted a
total return of 22.88% and outpaced the total return of the S&P 500(R) Index of
17.72% for the same period.
Contributing to the Fund's outperformance was the positive effect of
overweighting the portfolio's assets in such favorable market sectors as
finance, consumer cyclicals and health care. Likewise, underweighting assets in
the energy and basic industry sectors also proved to be a positive move -- as
sluggish earnings growth caused both of these areas to lag.
Specifically, the portfolio's holdings in the retail, cable and cellular
industries served the Fund well. In the health care sector, performance was
generated by good stock selection and an overweighted exposure among major
pharmaceutical stocks. And the manager's decision to emphasize software and
telecommunications equipment manufacturers in the technology sector, while
de-emphasizing holdings in semi-conductors, also benefited mid-year results.
Detracting from performance were holdings in the commercial services and oil
services industries as both of these sectors suffered from weakening stock
prices.
Going forward, low inflation, low interest rates and generally stable earnings
growth bodes well for the U.S. equity market. However, the impact of the Asian
crisis may widen. Given this backdrop, the Fund's managers remain focused on
following a disciplined and systematic stock selection strategy. They will
continue to seek high-quality growth stocks and rigorously manage risk in the
Fund using both qualitative analysis and fundamental research.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Growth Fund 38.92% 20.89% 19.00%
S&P 500(R)Index 30.17% 23.06% 21.70%
Lipper Growth Fund Average 25.39% 18.91% 18.65%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
8/92 6/98
Select Growth Fund $10,000 $27,675
S&P 500* Index $10,000 $31,449
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
Finance 19%
Durable Goods 13%
Retail 13%
Chemicals and Drugs 12%
Technology 12%
Communications 8%
Consumer Products 5%
Health Services 3%
Other 15%
The Select Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth Fund Average is a non-weighted index of 1068 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.
19
<PAGE>
Select Strategic Growth Fund
Since inception on February 20, 1998, the Select Strategic Growth Fund has
provided a total return of 0.20% versus the 10.21% return of the S&P(R) 500 over
the comparable period.
The Fund's investments in out-of-favor mid-cap value stocks did not fare well in
a market that sought out ultra-large cap growth stocks. Nonetheless, the Fund's
managers continue to look for companies with excellent long-term prospects whose
stocks are currently selling at discount prices.
Two of this Fund's top five holdings demonstrate both the managers' conservative
approach to investing along with their current struggles. Electronic Data
Systems (EDS), a co-leader in the information services technology industry has
had a notable track record. Although its price has been stymied as revenue
bookings and earnings growth have been off since 1996, it remains an attractive
holding due to its double digit earnings growth, history of innovation, strong
cash flow and relatively low stock valuation.
Likewise, the Fund's position in Transocean Offshore also provides a strong
example. Because it specializes in oil drilling in extremely deep waters and in
harsh weather, Transocean has benefited from technological advances which have
made these operations less expensive and less risky. As a result, demand for
their drilling rigs has risen dramatically. Normally a signal for increasing
prices, this news was tempered by the recent short-term decline in oil prices.
Although it had virtually no effect on the company's activities, the decline
caused a 25% drop in Transocean's stock.
While the current market has been frustrating, the managers believe their
investment style will continue to be successful over the long term.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Cambiar Investors, Inc.
About the Fund
Seeks long-term growth of capital by investing primarily in common stocks of
established companies.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
Consumer Products 13%
Durable Goods 12%
Business Services 12%
Energy 11%
Technology 10%
Finance 8%
Retail 8%
Chemicals and Drugs 5%
U.S. Government and
Agency Obligations 8%
Other 13%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Period ended June 30, 1998 Life of Fund
Select Strategic Growth Fund 0.20%
S&P 500(R) Index 10.21%
Lipper Growth Fund Average 9.14%
Fund Inception Date
February 20, 1998
(No growth of $10,000 chart is provided)
The Select Strategic Growth Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged composite of 500 of the 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 1068 funds within the
growth fund average 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.
20
<PAGE>
- --------------------------------------------------------------------------------
Growth Fund
- --------------------------------------------------------------------------------
Posting a total return of 14.90% for the six-month period ended June 30, 1998,
the Growth Fund underperformed the 17.72% return of the S&P 500(R) Index for the
same period.
For the first half of 1998, the 50 largest stocks in the S&P 500(R) Index again
outperformed the market by a significant margin. While this Fund owned 20 of the
50 largest, negative earnings revisions and poor value scores forced the
managers to avoid the others.
Also, negatively impacting Fund performance were several stock selection and
sector allocation decisions. The poorest stock selections for the portfolio
crossed several industries. Retail stocks such as CompUSA and Office Depot
missed their earnings targets, amid concerns of overvaluation for the sector.
Oil drilling services firms, particularly ENSCO International and Nabors
Industries, were hurt by pessimistic energy announcements. But most of the
underperformance came from the Fund's exposure to tobacco companies,
specifically Philip Morris, RJR Nabisco Holdings and Loews Corporation.
Below-market allocation and individual stock selection in health care also hurt
overall results.
Positive contributors to the Fund included Ford Motor Company, the single
largest contributor with a 38% second quarter return, and Chrysler, which did
well due to the takeover offer by Daimler Benz. Telephone services companies,
such as MCI and WorldCom, and technology stocks, such as Microsoft, also aided
performance.
The portfolio remains diversified across all economic sectors of the market and
retains both growth and value characteristics. Although the market is currently
tilted toward growth, the managers have adopted a slight bias toward value
stocks.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Growth Fund 22.68% 19.37% 16.59%
S&P 500(R)Index 30.17% 23.06% 18.54%
Lipper Growth Fund Average 25.39% 18.91% 16.13%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Growth Fund S&P 500* Index
6/88 $10,000 $10,000
6/98 $46,428 $54,791
The Growth Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&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 1068 funds within the growth
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Miller Anderson & Sherrerd, LLP
About the Fund
Seeks long-term growth of capital by investing in stocks that are believed to
represent significant underlying value.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
Durable Goods 21%
Finance 16%
Chemicals and Drugs 11%
Technology 8%
Energy 7%
Consumer Products 7%
Retail 4%
Computer Equipment
and Technology 4%
Consumer Staples 4%
Other 18%
21
<PAGE>
- --------------------------------------------------------------------------------
Equity Index Fund
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1998, the Equity Index Fund returned
17.40%, slightly less than the 17.72% return of the S&P 500(R) Index for the
same period.
For the first half of 1998, the stock market was preoccupied with the continuing
financial crisis in Asia. In fact, a decline in U.S. exports to that part of the
world possibly caused the National Association of Purchasing Management index to
fall below 50 for the first time since 1996.
Economic indicators for the first half of this year also signaled a lack of
domestic inflation, although market participants remained concerned about growth
in the manufacturing sector.
The two highest performing industries within the S&P 500(R) Index were Motor
Vehicles and Business Machines which posted returns of 44% and 40.5%,
respectively. Within the Motor Vehicles sector, U.S. auto sales buoyed results,
as this group experienced record high sales. Shares of Ford and Chrysler, for
example, finished the half year mark as the top performers in this group with
returns in excess of 60%.
Within the Business Machines industry, shares of Dell Computer and Unisys Corp
each generated returns of more than 100%.
Entering the third quarter, the market remains focused on the current situation
in Asia and its potential impact on corporate profits. With inventories building
and manufacturing slowing, the Fund managers expect slower economic growth as
they continue to adhere to the Fund's investment objective to replicate returns
of the S&P 500(R) Index.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Seeks to replicate the returns of the S&P 500(R) Index.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
Finance 18%
Durable Goods 16%
Chemicals and Drugs 14%
Technology 10%
Consumer Products 9%
Energy 7%
Utilities 7%
Consumer Staples 7%
Retail 5%
Other 7%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Equity Index Fund 29.51% 22.24% 20.78%
S&P 500(R)Index 30.17% 23.06% 21.51%
Lipper S&P 500(R)Index Fund Average 29.39% 22.55% 21.04%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1990
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Equity Index Fund S&P 500* Index
9/90 $10,000 $10,000
8/98 $43,228 $45,248
The Equity Index Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
S&P500(R) Index is a non-weighted index of 94 funds within the S&P500(R) Index
investment objective. Performance numbers are net of all fund operating
expenses, but do not include insurance charges. If performance information
included the effect of these additional charges, it would have been lower.
22
<PAGE>
- --------------------------------------------------------------------------------
Fidelity VIP* Equity-Income Portfolio
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1998, the Fidelity VIP* Equity-Income
Portfolio turned in a 10.53% total return. Although this result outperformed the
9.13% return of the Lipper Equity Income Fund Average, it underperformed the
17.72% return of the S&P 500(R) Index for the same period.
For the first half of 1998, the most positive factor for the Portfolio's
performance was its large-cap investment focus. Seeking a safe haven from the
market volatility caused by the Asian financial crisis, investors flocked to
large-cap issues with predictable earnings. Favorites included issues of General
Electric, Wal-Mart and American Home Products which were included in the
Portfolio.
Takeover activity in the finance sector, the Portfolio's largest position,
boosted returns as well. BankAmerica and Citicorp, for example, announced plans
to merge with other major companies. Takeovers completed by industrial machinery
firms also contributed positively to first half performance.
The value orientation and dividend focus of the Fund restrained returns relative
to the overall market. In following its value orientation and dividend focus,
the Fund underweighted the technology and health care sectors, both of which
were among the top performers during the first six months.
The fund's sector focus is essentially unchanged from March 31 with finance
remaining the top sector. Energy is also overweighted as the manager seeks out
companies with restructuring opportunities.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Fidelity VIP* Equity-Income Fund 21.65% 20.01% 15.74%
S&P 500(R)Index 30.17% 23.06% 18.54%
Lipper Equity Income Fund Average 20.94% 17.52% 14.56%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Fidelity VIP* Equity-Income Portfolio S&P 500* Index
6/88 $10,000 $10,000
6/98 $43,143 $54,791
*VIP refers to Variable Insurance Products Fund.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The 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 index of 230 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.
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
Finance 25%
Energy 11%
Utilities 9%
Health 7%
Indust. Mach. & Equip. 7%
Basic Industries 7%
Non-Durables 6%
Aerospace & Defense 5%
Other 23%
23
<PAGE>
- --------------------------------------------------------------------------------
Select Growth and Income Fund
- --------------------------------------------------------------------------------
For the first six months of 1998, the Select Growth and Income Fund posted a
return of 11.63% trailing the 17.72% return of the S&P 500(R) Index for the same
period. The Fund also underperformed the 12.11% return of the Lipper Growth and
Income Fund Average.
For the first half of 1998, results from a number of the Fund's holdings were
mixed as some performed particularly well while others languished. MediaOne, for
example, increased 52% during the period. This increase was due to its
international assets, its relatively low leverage as well as the strong
performance of cable stocks in general. Black & Decker was also a top-performer.
Reflecting the success of its corporate restructuring plan, it appreciated 56%.
Wal-Mart Stores also increased 54%, reflecting strong sales growth, successful
inventory control, increases in gross margins and improvement in its
international business.
On the other hand, three positions in the Fund's portfolio experienced setbacks
which negatively impacted the Fund's overall results. Lowered earnings
expectations caused both Ikon Office Systems and Sealed Air shares to plummet.
And Marketspan's shares declined when the market reacted to controversy over the
CEO's severance package.
Going forward, the Fund's managers believe more risk control is justified for
the Fund's portfolio given current market dynamics. With many holdings now
offering high yields and value, they believe the portfolio is poised to offer
excellent relative value with a significant degree of downside protection.
- --------------------------------------------------------------------------------
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, 1998, the sector allocation of net assets was:
Finance 16%
Technology 10%
Aerospace/Airlines 9%
Energy 9%
Chemicals and Drugs 8%
Consumer Products 7%
Consumer Staples 7%
Utilities 5%
Corporate Notes and Bonds 3%
Other 26%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Growth and Income Fund 20.21% 17.95% 16.14%
S&P 500(R)Index 30.17% 23.06% 21.70%
Lipper Growth & Income Fund Average 22.87% 18.93% 18.54%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Select Growth and Income Fund S&P 500* Index
8/92 $10,000 $10,000
6/98 $24,001 $31,449
The Select Growth and Income Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P 500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Growth & Income Fund Average is a non-weighted index of 792 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.
24
<PAGE>
- --------------------------------------------------------------------------------
Fidelity VIP* II Asset Manager Portfolio
- --------------------------------------------------------------------------------
Posting a 9.29% return for the six-month period ended June 30, 1998, the
Fidelity VIP* II Asset Manager Portfolio trailed the 10.13% return of the Lipper
Flexible Portfolio Fund average for the same period.
During the first six months of the year, the market was led by strong equity
performance. Because the Portfolio assets were slightly overweighted in equities
relative to its neutral target mix of 50%, it was well positioned to capitalize
on their strength. However, weak stock selection dragged down overall
performance and prevented the Portfolio from fully benefiting from its equity
positioning.
Stock selection in the technology, nondurables and finance sectors held back
performance. The Portfolio's AT&T holdings also delivered disappointing results,
amid investor's skepticism about the potential impact of the TCI deal.
On the brighter side, security selection among specific drug and pharmaceutical
stocks, such as Pfizer and Shering Plough, helped performance. The Portfolio
managers decision to overweight holdings in the retail sector with shares of
Wal-Mart and Home Depot also boosted results.
As of June 30, the Portfolio was overweighted in the finance and retail sectors
and underweigted in technology, health and nondurable stocks. Although the
percentage of equities in the portfolio was reduced during the first part of the
year, the Portfolio managers continue to slightly overweight equities relative
to the neutral asset allocation mix.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Fidelity VIP* II Asset Manager Portfolio 18.57% 13.05% 13.11%
S&P 500(R) Index 30.17% 23.06% 17.52%
Lipper Flexible Portfolio Fund Average 18.16% 13.88% 12.06%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1989
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Fidelity VIP* II Asset Manager Portfolio S&P 500* Index
9/89 $10,000 $10,000
6/98 $29,667 $40,898
*VIP refers to Variable Insurance Products Fund II.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The S&P 500(R) Index is an unmanaged index of 500 leading stocks. S&P500(R)
Index is a registered trademark of the Standard & Poor's Corporation. The Lipper
Flexible Portfolio Fund Average is a non-weighted index of 215 funds within the
flexible portfolio fund category. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
- --------------------------------------------------------------------------------
Investment Adviser
Fidelity Management & Research Company
About the Fund
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, 1998, the sector allocation of net assets was:
Equities 53%
Bonds 39%
Money Market Securities 8%
25
<PAGE>
- --------------------------------------------------------------------------------
Bond & Money Market Overview
- --------------------------------------------------------------------------------
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: Low inflation and declining interest rates fuel the bond market, which
enjoys its best returns since 1995.
1998: Performance of the U.S. bond market is significantly affected by the
turmoil in Asia for the first half of 1998.
In much the same fashion as the equity market, the performance of the U.S. bond
market was significantly affected by the turmoil in Asia during the first half
of 1998. Given this backdrop, some sectors of the market fared well, while
others struggled.
Starting off on a positive note, the U.S. economy appeared strong with Gross
Domestic Product (GDP) rising nearly 5.4% in the first quarter. Low inflation,
favorable credit conditions and higher equity valuations all drove this strong
economic growth and price stability. As growth continued, fixed income investors
grew nervous and anticipated that the Federal Reserve would raise interest rates
to ward off inflation.
But, as Asia's markets grew weaker, growth in the U.S. slowed. So, the Federal
Reserve adopted a "wait and see" approach regarding any moves toward tightening
or relaxing monetary policy.
Bond investors, on the other hand, quickly reacted to these developments.
Initially content, they worried that the economy was growing too fast only to
gain comfort from the slowing effect of the Asian crisis. Their concerns drove
interest rates which rose during the first quarter only to fall to new lows
during the second quarter.
Corporate credit issues also went on a roller coaster ride. The volatility in
foreign exchanges and global markets, caused a flight to quality preference for
U.S. Treasuries. Coupled with concerns about future growth of the U.S. economy
and the expected level of corporate profits, corporate bond spreads widened
causing investment grade corporates to lag comparable duration Treasuries by 24
basis points for the first six months of the year. Although spreads initially
narrowed from their levels in January, they reversed course again in June,
[TIME LINE APPEARS HERE]
Ongoing financial crisis in Asia causes a flight to quality for both stock and
bond investors.
[GRAPHIC APPEARS HERE]
Uncertain about the potential effects of the Asian crisis on the U.S., the
Federal Reserve adopts a wait and see approach to changing interest rates.
[GRAPHIC APPEARS HERE]
Long-term U.S. Treasuries deliver their best performance in years as investors
favor their inherent safety.
26
<PAGE>
- --------------------------------------------------------------------------------
Bond & Money Market Overview
- --------------------------------------------------------------------------------
widening to levels not seen in six years. Surprisingly, the actual credit
quality of U.S. issuers remained at its best level in years, as ratings upgrades
outpaced downgrades in the market, unlike previous periods of under-performance
in this sector.
The yield on the 30-year bond fell to 5.62%, its lowest level in decades. But it
fell only modestly for shorter term issues. Overall, Treasuries outperformed
selected fixed income instruments and contributed to the overall 3.93% gain in
the market as measured by the Lehman Aggregate Bond Index.
Despite a poor showing in the second quarter, the high yield market remained the
best-performing fixed income sector for the first half of 1998. As with
investment grade corporate bonds, high yield issues suffered during the second
quarter in part from the renewed uncertainty surrounding emerging markets as
well as from the diminished flows of cash into high yield bond funds.
The significant declines in long-term interest rates had a major impact on the
mortgage market. With some of the lowest rates in years, homeowners refinanced
in record numbers, causing prepayments on mortgage-backed securities to
increase, adversely affecting their returns.
Entering the second half of 1998, solid fundamentals remain firmly in place for
the U.S. bond market. As investors continue to watch for signs of recovery in
Asia, the Federal Reserve is likely to maintain its neutral monetary policy.
Given this scenario, the outlook for Treasuries and highly rated corporates
should remain particularly favorable.
[TIME LINE APPEARS HERE]
Investors continue to watch for signs of recovery in Asia, causing the outlook
for U.S. Treasuries to remain favorable.
[GRAPHIC APPEARS HERE]
[GRAPHIC APPEARS HERE]
Mortgage-backed securities lose ground amid record mortgage refinancing.
High-yield issues suffer due to renewed uncertainty in the emerging markets.
[GRAPHIC APPEARS HERE]
Investors flight to quality benefits highly rated corporate bonds.
27
<PAGE>
- --------------------------------------------------------------------------------
Fidelity VIP* High Income Portfolio
- --------------------------------------------------------------------------------
With a total return of 4.80% for the six-month period ended June 30, 1998, the
Fidelity VIP* High Income Portfolio beat the 4.51% return of the Merrill Lynch
High Yield Master for the same period.
During the first half of 1998, there were several significant factors which
affected the high yield market, including strong new issue volume, low interest
rates and solid economic growth. The managers' decision to heavily weight the
Portfolio's assets in certain sectors of the market which performed well under
these market conditions boosted results.
Specifically, the Portfolio's holdings were concentrated in telecommunications,
cable TV and media issuers during the period, as these sectors continued to
benefit from healthy U.S. consumer spending. While a significant portion of the
Portfolio's holdings are currently in these particular sectors, the assets cover
a wide range of sub-sectors, including cable TV, media conglomerates and
competitive local exchange carriers (CLECS).
The managers ability to select from a wide range of an issuer's securities,
including both preferred and common stock, was also a positive influence on
results.
At mid-year, securities of telecommunications and media companies accounted for
47% of the fund's holdings. Going forward, the managers plan to continue to
maintain a meaningful percentage of noncash securities and common equities in
the Portfolio to capture superior risk-adjusted returns.
- --------------------------------------------------------------------------------
Investment Adviser
Fidelity Management & Research Company
About the Fund
Seeks high income and growth of capital by investing in high-yielding,
lower-rated, fixed-income securities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
Telecommunications 30%
Cable TV 12%
Specialty Retailing 4%
Broadcasting 4%
Healthcare 3%
Energy 3%
Publishing-Printing 3%
Aero/Elec/Computer 3%
Other 38%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Fidelity VIP* High Income Portfolio 14.49% 12.42% 12.42%
Merrill Lynch High Yield Master 11.41% 10.49% 11.70%
Salomon Brothers High-Yield Index 12.31% 10.67% 11.59%
Lipper High Current Yield Fund Average 11.45% 9.90% 10.23%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Fidelity VIP* Merrill Lynch Salomon Brothers
Date High Income Portfolio High Yield Master High-Yield Index
6/88 $10,000 $10,000 $10,000
6/98 $32,235 $30,244 $29,939
*VIP refers to Variable Insurance Products Fund.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The 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 index of 263 funds that seek high current yield from
fixed income securities. The Merrill Lynch High Yield Master is a market
capitalization weighted index of all domestic and yankee high-yield bonds.
Performance numbers are net of all fund operating expenses, but do not include
insurance charges. If performance information included the effect of these
additional charges, it would have been lower.
28
<PAGE>
- --------------------------------------------------------------------------------
Select Income Fund
- --------------------------------------------------------------------------------
With a total return of 3.66% for the six-month period ended June 30, 1998, the
Select Income Fund essentially paralleled the return of the Lehman Brothers
Aggregate Bond Index of 3.92% for the same period.
Overall, the Select Income Fund, like other bond funds, benefited from several
key economic factors. Declining interest rates, particularly in the second
quarter, boosted bond returns. The continuing problems in Asia precipitated a
flight to quality, which also enhanced the fund's performance.
To keep pace with market activity, the managers marginally shifted the Fund's
holdings during the first half of the year. A significant percentage of assets
were allocated to Treasuries and Federal Agency Discount Notes. However, later
in the period, some of these assets were re-allocated to mortgage-backed
securities and other investments to gain a yield spread advantage.
The portfolio also maintained its position in corporates although industrial and
bank bonds increased while finance issues were reduced.
The Fund managers' outlook for the remainder of the year remains relatively
positive. They expect to benefit from the moderating economic growth supported
by stable-to-declining interest rates.
To provide added returns for the Fund, the managers have stepped up their search
for Treasury-alternative investments, like collateralized mortgage obligations
and asset-backed securities. While they suspect bonds will continue to provide
excellent absolute and real rates of return, it's still early to predict how
bonds will fare relative to other asset classes, such as common stocks.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Select Income Fund 10.23% 05.97% 06.59%
Lehman Brothers Aggregate Bond Index 10.54% 06.88% 07.35%
Lipper Intermediate Investment
Grade Fund Average 09.42% 6.12% 6.66%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1992
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Select Income Fund Lehman Brothers Aggregate Bond Index
8/92 $10,000 $10,000
6/98 $14,531 $15,125
The Select Income Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed rate
debt issues with an investment grade rating at least one year to maturity and an
outstanding par value of at least $100 million. The Lipper Intermediate
Investment Grade Fund Average tracks the performance of 239 funds investing in
intermediate-term corporate and government debt securities. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Standish, Ayer & Wood, Inc.
About the Fund
The Fund seeks above-average income from corporate bonds, mortgages and
securities issued by the U.S. Government.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
U.S. Government and
Agency Obligations 46%
Corporate Notes
and Bonds 35%
Asset-Backed Securities 17%
Other 2%
29
<PAGE>
- --------------------------------------------------------------------------------
Investment Grade Income Fund
- --------------------------------------------------------------------------------
For the six-month period ended June 30, 1998, the Investment Grade Income Fund
posted a 3.96% return versus 3.92% for the Lehman Brothers Aggregate Bond Index
for the same period.
For the first half of 1998, the bond market posted solid returns as interest
rates declined and the economy stayed strong. U.S. Treasuries performed strongly
as investors sought high-quality investments. Investment grade corporates lagged
comparable duration Treasuries, as spreads widened due to credit concerns from
the Asian turmoil. Mortgage-backed securities (MBS) were particularly weak, as
consumers refinanced mortgages.
The Fund benefited from its heavy concentration in the media sector. Although
corporate spreads in general widened, selected media issues benefited from
positive credit developments. For example, the record-breaking merger between
TCI and AT&T prompted yield spreads to narrow for TCI paper on the expectations
that a ratings upgrade from BBB to A would result.
The managers' decision to increase exposure to domestic banks also benefited the
Fund. Specifically, they sold issues of Banco Santander and Merita to buy Chase
Manhattan and BankBoston. While the Fund's strategy has emphasized regional
banks for some time, the new purchases take advantage of an ongoing trend toward
large bank mergers.
The Fund managers are concerned about low interest rates and the implied
volatility for MBS in the near term. Given this, they have a neutral position in
MBS while looking for opportunities in an out of favor sector. The principal
overweighting is in corporate bonds where fundamental credit-quality remains
strong despite concerns about Asia.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
The Fund's objective is to generate a high level of total return, by investing
in highly diversified, investment grade, fixed-income securities.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
U.S. Government and
Agency Obligations 48%
Corporate Notes
and Bonds 36%
Asset-Backed Securities 15%
Other 1%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Investment Grade Income Fund 10.25% 6.61% 9.06%
Lehman Brothers Aggregate Bond Index 10.54% 6.88% 9.07%
Lipper Intermediate Investment 9.42% 6.12% 8.30%
Grade Fund Average
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Investment Grade Income Fund Lehman Brothers Aggregate Bond Index
6/88 $10,000 $10,000
6/98 $23,794 $23,817
The Investment Grade Income Fund is a portfolio of the Allmerica Investment
Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Brothers Aggregate Bond Index is an unmanaged index of all fixed rate
debt issues with an investment grade rating at least one year to maturity and an
outstanding par value of at least $100 million. The Lipper Intermediate
Investment Grade Fund Average tracks the performance of 239 funds investing in
intermediate-term corporate and government debt securities. Performance numbers
are net of all fund operating expenses, but do not include insurance charges. If
performance information included the effect of these additional charges, it
would have been lower.
30
<PAGE>
Government Bond Fund
For the first half of 1998, the Government Bond Fund provided a total return of
3.20% for the six-month period ended June 30, 1998, slightly less than the 3.39%
return of the Lehman Intermediate Government Bond Index for the same period.
Spurred by a federal budget surplus, the Southeast Asian economic crisis and
still-favorable inflation, a dramatic bond market rally marked the first half of
1998. This favorable economic position plus increasing demand for high-quality
bonds caused the benchmark 30-year Treasury bond to decline by 31 basis points.
The managers responded by increasing the Fund's exposure to agency bonds and
mortgage-backed securities. Because spreads on agencies, in particular, have
widened, lower prices have resulted -- making them more attractive alternatives
to Treasuries than at any time in the last two years.
Next, the managers chose to marginally increase holdings of mortgage-backed
securities over year-end levels. At the same time, though, they've taken steps
to reduce overall exposure to potential refinancing activity by homeowners by
investing in lower coupon securities.
Going forward, the Fund managers plan to continue investing in higher spread
instruments to generate greater income potential for investors. Given the good
news that is already reflected in bond prices, the managers are keeping a
neutral duration in the Fund relative to the benchmark. They recognize that
there is a slim possibility that the Federal Reserve could raise interest rates
in response to accelerating inflation and strong domestic growth -- and are
therefore comfortable with a neutral interest rate position.
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Generates high income while seeking to preserve capital and maintain liquidity
by investing in debt instruments issued or guaranteed by the U.S. Government or
its agencies.
Years ended June 30, 1998 1 Year 5 Years Life of Fund
Government Bond Fund 7.81% 5.44% 6.86%
Lehman Intermediate Government
Bond Index 8.38% 5.91% 7.18%
Lipper Short-Intermediate 7.00% 5.11% 6.37%
U.S. Government Fund Average
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1991
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Government Bond Fund Lehman Intermediate Government Bond Index
8/91 $10,000 $10,000
6/98 $15,757 $16,064
The Government Bond Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
Past performance is no guarantee of future results. Investment return and
principal value of an investment will fluctuate so that an investor's shares,
when redeemed, may be worth more or less than their original cost.
The Lehman Intermediate Government Bond Index is an unmanaged index of U.S.
Government and Agency bonds with remaining maturities of one to ten years. The
Lipper Short-Intermediate U.S. Government Fund Average is the non-weighted
average performance of 104 funds existing 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.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
U.S. Government
Agency Obligations 45%
U.S. Government
Notes and Bonds 41%
Asset-Backed
Securities 11%
Other 3%
31
<PAGE>
Money Market Fund
The Money Market Fund reported a total return of 2.74% for the six-month period
ended June 30, 1998. That compared to the 2.48% return of the IBC/Donoghue First
Tier Money Market Index for the same period.
As 1998 began, concerns surfaced that an overheating economy could prompt the
Federal Reserve to raise interest rates. But as the Asian currency crisis spread
and foreign demand slowed, a decline in both durable goods orders and the
National Association of Purchasing Managers Index, indicated that inflationary
pressure remained subdued -- and no action was taken by the Fed.
Given this economic environment, the Money Market Fund continued to focus on its
three primary objectives of preserving capital, maintaining liquidity and
earning attractive current income during the first half of this year. The
managers overweighted the Fund's allocation to commercial paper and were
successful in identifying a number of attractively valued securities.
Entering the second half of 1998, the Fund managers anticipate that the Federal
Reserve will maintain its neutral monetary policy.
Given this scenario, they will continue to emphasize commercial paper holdings
and short-medium term notes in the portfolio as corporate fundamentals remain
positive. They also plan to gain maximum liquidity by using a combination of
agency securities and repurchase agreements without sacrificing yield for the
Fund.
- --------------------------------------------------------------------------------
Investment Sub-Adviser
Allmerica Asset Management, Inc.
About the Fund
Strives to maximize current income for investors while preserving capital and
liquidity.
- --------------------------------------------------------------------------------
Portfolio Composition
- --------------------------------------------------------------------------------
As of June 30, 1998, the sector allocation of net assets was:
[GRAPH APPEARS HERE]
Corporate Notes and Bonds 32%
Commercial Paper 48%
Cash Equivalents 17%
Other 3%
- --------------------------------------------------------------------------------
Average Annual Total Returns
- --------------------------------------------------------------------------------
Years ended June 30, 1998 1 Year 5 Years 10 Years
Money Market Fund 5.57% 4.97% 5.74%
IBC/Donoghue First Tier
Money Market Index 5.07% 4.57% 5.36%
Lipper Money Market Fund Average 4.96% 4.54% 5.34%
- --------------------------------------------------------------------------------
Growth of a $10,000 Investment Since 1988
- --------------------------------------------------------------------------------
[LINE GRAPH APPEARS HERE]
Date Money Market Fund IBC/Donoghue First Tier Money Market Index
6/88 $10,000 $10,000
6/98 $17,477 $16,862
The Money Market Fund is a portfolio of the Allmerica Investment Trust.
Portfolio composition will vary over time.
The Fund is neither insured nor guaranteed 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 the average investment performance of 310
funds within the Money Market category. Performance numbers are net of all fund
operating expenses, but do not include insurance charges. If performance
information included the effect of these additional charges, it would have been
lower.
32
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 89.24%
Argentina - 4.13%
3,200 Banco Galicia Y Bueno Aires, ADR $ 58,400
1,400 Disco S.A., Sponsored ADR* 44,800
11,300 Inversions Y Representaciones S.A. 33,227
18,000 Perez Companc S.A., Class B 90,373
9,900 Telefonos de Argentina, Sponsored ADR 321,131
7,900 YPF S.A., Sponsored ADR 237,494
------------
785,425
------------
Botswana - 0.33%
47,000 Sechaba Breweries, Ltd. 62,293
------------
Brazil - 13.01%
3,500 Brasil Distr Pao Acu, Sponsored ADR 79,188
4,773 CEMIG S.A., Sponsored ADR 145,571
23,200 Centrais Electricas Brasileiras Sponsored ADR 342,200
1,472,200 Cia Paulista de Forca E Luz* 150,217
8,000 Cia Cervejaria Brahma, Sponsored ADR 100,000
450,000 Cia Cimento Portland Itav* 79,802
12,800 Cia Paranaense Enernergia-Copel, Sponsored ADR 118,400
9,400 Compania Vale Do Rio Doce, Sponsored ADR 189,222
87,000 Light Servicos De Eletrcidade S.A. 26,704
14,900 Petroleo Brasileiro S.A., Sponsored ADR 276,988
6,400 Telebras, Sponsored ADR 698,800
31,254 Telec De Sao Paulo S.A., Rights* 500
6,000 Unibanco, GDR 177,000
17,800 Usinas Sider Minas Gerais 90,804
------------
2,475,396
------------
Chile - 3.66%
7,900 Banco de A. Edwards, Sponsored ADR 112,081
6,500 Chilectra S.A., ADR 137,322
3,200 Compania Cerveceri AS Unibas S.A., ADR 67,600
449 Cia Telecom Chile Rights* 0
7,100 Cia Telecom Chile, Sponsored ADR 144,219
6,500 Distribucion Y Servicio, ADR 97,500
2,000 Gener S.A., Sponsored ADR 36,500
11,300 Quinenco S.A., ADR 101,700
------------
696,922
------------
China - 0.46%
6,500 Huaneng Power International, Sponsored ADR* 87,344
------------
Czech Republic - 0.78%
10,800 SPT Telecom As* 149,374
------------
Greece - 4.08%
1,660 Alpha Credit Bank 134,586
1,660 Alpha Credit Bank, Rights* 2,828
2,200 Delta Informatics S.A. 129,771
6,370 Hellenic Bottling Co.* 196,825
8,988 Hellenic Telecommunication Organization 230,446
636 National Bank of Greece S.A. 81,512
------------
775,968
------------
Hong Kong - 2.78%
171,000 Anhui Expressway Co., Ltd. 17,216
148,000 Beijing Datang Power Generation Co. 41,546
28,000 Cheung Kong Infrastructure Holdings 52,943
142,000 China Resources Beijing Land 45,818
50,000 China Telecom Ltd.* 86,797
26,000 Cosco Pacific, Ltd. 9,312
96,800 Founder Hong Kong, Ltd. 41,229
34,000 Guangnan Holdings 11,409
42,000 Guangong Kelon Electric Holdings Co. 33,067
25,000 Guangshen Railway Co., Ltd. 3,323
48,000 Legend Holdings, Ltd. 14,404
37,000 New World Infrastructure, Ltd.* 42,501
32,000 Ng Fung Hong, Ltd. 22,096
89,000 Qingling Motors Co. 24,697
342,000 Yanzhou Coal Mining Co.* 65,327
102,000 Zhehuang Expressway Co., Ltd. 17,114
------------
528,799
------------
Hungary - 4.37%
2,750 Gedeon Richter, GDR 219,313
5,000 Matav Rt. 147,188
5,750 MOL Magyar Olaj, GDR 154,963
6,350 OTP Bank Rt., GDR 311,150
------------
832,614
------------
India - 6.82%
6,000 Great Eastern Shipping Co., GDR 23,550
9,200 ITC Limited, Sponsored GDR 162,150
29,600 Mahanagar Telephone Nigam Ltd., GDR* 301,920
43,000 Mahindra & Mahindra Ltd., GDR 185,975
23,000 Reliance Industries Ltd., GDR 151,800
24,400 State Bank of India, GDR 287,920
400 Tata Electric Co., Sponsored GDR 96,000
8,500 Videsh Sanchar Nigam Ltd., GDR* 87,974
------------
1,297,289
------------
Indonesia - 0.47%
2,800 Gulf Indonesia Resources, Ltd.* 32,200
19,000 PT Gudang Garam 11,283
22,500 PT Indosat 26,416
67,000 PT Telekomunikasi 19,094
------------
88,993
------------
See Notes to Financial Statements.
- --------------------------------------------------------- F-1
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Israel - 4.35%
33,690 Bank Hapoalim $ 101,921
92,000 Bank Leumi Le-Israel 183,544
13,000 Blue Square-Israel, Ltd., ADR* 200,688
4,400 NICE-Systems, Ltd., ADR* 165,000
5,000 Teva Pharmaceutical Industries, ADR 175,938
------------
827,091
------------
Luxembourg - 0.24%
4,600 Quilmes Industrial, ADR 44,850
------------
Malaysia - 0.31%
1,500 Berjaya Sports Toto Berhad 2,223
3,000 Magnum Corporation Berhad 1,113
20,000 Resorts World Berhad 21,975
8,000 Tanjong Plc 11,084
18,000 Tenaga Nasional Berhad 21,685
------------
58,080
------------
Mauritius - 0.30%
85,000 State Bank of Mauritius, Ltd. 56,784
------------
Mexico - 10.86%
92,700 Cemex S.A. CPO 347,670
172,000 Cifra S.A. De C.V., Series C* 238,892
79,400 Controladora Comercial Mexicana S.A. 65,567
7,000 Corporacion Geo S.A.* 38,874
7,000 Fomento Economico Mexicano S.A. 218,129
28,500 Grupo Carso S.A., Series A1 117,197
31,900 Grupo Financiero Banamex, Series B* 62,128
71,000 Grupo Industrial Bimbo, Series A 143,809
23,000 Grupo Industrial Saltillo, Class B 76,790
4,800 Grupo Vista S.A., Sponsored GDR* 180,600
26,000 Kimberley-Clark De Mexico, Series A 91,870
8,500 Telefonos de Mexico, Sponsored ADR 408,531
2,500 Tubos de Acero de Mexico S.A. 31,996
4,200 TV Azteca S.A., Sponsored ADR 45,411
------------
2,067,464
------------
Pakistan - 0.10%
3,200 Hub Power Co., ADR 19,657
------------
Peru - 1.42%
13,200 Telefonica de Peru, Sponsored ADR 269,775
------------
Phillipines - 1.77%
364,000 Ayala Land, Inc. 104,748
877,000 Digital Telecom* 27,341
26,050 Manila Electric Co., Class B 68,717
6,000 Phillipine Long Distance Telephone Co. 136,691
------------
337,497
------------
Poland - 3.98%
26,600 Bank Handlowy W Warszawie, GDR 508,060
600 Bank of Przemyslowo-Handlowy SA 43,017
17,700 Exbud S.A., GDR* 205,763
------------
756,840
------------
Portugal - 4.40%
4,068 Banco Espirito Santo 122,238
3,390 Banco Espirito Santo Rights* 2,403
4,760 Cimpor-Cimentos De Portugal S.A. 167,348
4,110 Jeronimo Martins 197,574
3,750 Mundial Confianca* 99,743
4,670 Portugal Telecom S.A. 247,667
------------
836,973
------------
Russia - 1.51%
12,080 Gazprom, ADR 134,994
3,450 LUKoil Holding, Sponsored ADR 117,300
2,750 Unified Energy Systems, GDR 36,094
------------
288,388
------------
South Africa - 7.46%
8,600 ABSA Group, Ltd. 53,659
2,800 Anglo America Corporation of South Africa 94,435
2,000 Anglo American Industrial Corp., Ltd. 33,390
30,247 Barlow, Ltd. 159,396
6,200 Dimension Data Holdings, Ltd.* 33,457
9,000 Ellerine Holdings, Ltd. 49,325
9,000 Fedsure Holdings, Ltd. 109,275
148,500 FirstRand, Ltd. 227,884
23,000 Ingwe Coal Corp., Ltd. 65,936
20,100 LA Retail Stores, Ltd. 37,116
58,000 Malbak, Ltd. 39,123
27,000 Nampak, Ltd. 63,744
17,100 Rembrandt Group, Ltd. 106,695
23,000 Sasol, Ltd. 133,229
6,600 South African Breweries, Ltd. 158,415
11,900 South African Druggists, Ltd. 55,386
------------
1,420,465
------------
South Korea - 4.13%
20,000 Daewood Heavy Industries 60,889
14,875 Kookmin Bank 55,253
20,008 Kookmin Bank, Sponsored GDR (B) 78,530
5,000 Korea Electric Power Corp. 53,350
17,000 LG Electronics 139,294
800 Pohang Iron & Steel Co. 22,607
1,600 Samsung Display Devices Co. 43,700
7,000 Samsung Electronics Co. 216,679
6,000 Samsung Heavy Industries* 29,934
12,000 Shinhan Bank 39,854
150 SK Telecom Co., Ltd. 46,759
------------
786,849
------------
See Notes to Financial Statements.
F-2 ----------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Taiwan - 4.11%
8,000 Acer Inc., GDR* $ 46,400
14,900 Asustek Computer, Inc., GDR* 119,386
5,000 Fubon Insurance Co., GDR* 86,875
23,100 R.O.C Taiwan Fund 155,925
9,600 Siliconware Precision Industries Co., GDR* 77,520
7,000 Taiwan Fund Inc. 94,063
10,450 Taiwan Semiconductor Manufacturing Co., ADR* 176,343
3,000 Teco Electric & Machinery, GDR 25,305
------------
781,817
------------
Thailand - 0.57%
4,000 Advanced Info Service Public Co., Ltd. 17,062
21,000 Electricity Generating Public Co., Ltd.* 32,595
5,000 PTT Exploration & Production Public Co., Ltd.* 37,915
23,000 Thai Farmers Bank Public Co.* 20,302
------------
107,874
------------
Turkey - 2.19%
892,242 Akbank Non Tradable Receipts* 22,918
1,586,208 Akbank T.A.S. 51,226
132,160 Migros Turk T.A.S. 129,033
17,700 Turkiye Is Bankasi, Series C 715
8,374,730 Yapi Ve Kredi Bankasi 213,850
------------
417,742
------------
Venezuela - 0.39%
3,000 Compania Anonima Telefonos De Venezula, ADR 75,000
------------
Zimbabwe - 0.26%
65,000 NMBZ Holdings, Ltd.* 50,375
------------
Total Common Stocks 16,983,938
(Cost $20,083,398) ------------
PREFERRED STOCKS - 2.57%
Brazil -2.57%
2,320 Centrais Geradoras DO ADR, Series B* 15,950
315,000 Petroleo Brasileiro S.A., ADR 58,558
665,000 Telec De Sao Paulo S.A. 156,396
252,000 Telepar 63,188
665,000 Telesp Celular S.A. Series B 55,199
26,700 Usinas Siderurgicas, Sponsored ADR 140,174
------------
Total Preferred Stocks 489,465
(Cost $582,351) ------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATION (A) - 6.56%
Federal National Mortgage Association
$1,250,000 5.44%, 07/06/98 $ 1,249,056
------------
Total U.S. Government Agency Obligation 1,249,056
(Cost $1,249,056) ------------
COMMERCIAL PAPER (A) - 0.36%
825,000,000 Sertifikat Bank of Indonesia(1)
4.87%, 07/03/98 68,107
------------
Total Commercial Paper 68,107
(Cost $68,107) ------------
Total Investments - 98.73% 18,790,566
(Cost $21,982,912) ------------
Net Other Assets and Liabilities - 1.27% 241,258
------------
Net Assets - 100.00% $ 19,031,824
============
- -----------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
(B) Security exempt from registration under rule 144A of the Securities Act
of 1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1998, this
security amounted to $78,530 or 0.41% of net assets.
(1) Par Value denominated in Indonesia Rupiahs. Market Value denominated in
U.S. dollars.
ADR American Depositary Receipt. Shares of a foreign based corporation held
in U.S. banks entitling the shareholder to
all dividends and capital gains.
GDR Global Depositary Receipt. A negotiable certificate held in the bank of
one country representing a specific number of shares of a stock traded on
an exchange of another country.
See Notes to Financial Statements.
- --------------------------------------------------------- F-3
<PAGE>
- --------------------------------------------------------------------------------
SELECT EMERGING MARKETS FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Industry Concentration of Common and Preferred Stocks
-----------------------------------------------------
as Percentage of Net Assets:
----------------------------
Finance 18.39%
Utilities 14.63
Food and Beverage 9.45
Telecommunications 7.94
Electronics 6.96
Building and Construction 6.06
Retail 5.38
Energy 5.24
Basic Materials 5.17
Diversified Operations 3.72
Chemicals and Drugs 2.37
Computers and Technology 2.26
Transportation 1.25
Business Services 1.24
Tobacco 0.91
Closed End Funds 0.82
Leisure and Entertainment 0.02
-------
Total 91.81%
=======
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $21,982,912. Net unrealized appreciation (depreciation) aggregated
$(3,192,346) of which $616,811 related to appreciated investment securities and
$(3,809,157) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $24,815,380
and $3,813,198 of non-governmental issuers, respectively.
See Notes to Financial Statements.
F-4 ----------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 98.43%
Computers and Software - 16.79%
267,900 Apple Computer, Inc.* $ 7,685,381
176,800 Autodesk Inc. 6,828,900
244,800 BMC Software, Inc.* 12,714,300
253,600 Cadence Design Systems, Inc.* 7,925,000
168,800 Citrix Systems, Inc.* 11,541,700
178,900 Computer Task Group 5,993,150
162,100 Compuware Corp. 8,287,363
104,400 Comverse Technology, Inc.* 5,415,750
154,100 Dell Computer Corp.* 14,302,406
181,100 Information Management Resources 6,123,444
267,000 Learning Company, Inc.* 7,909,875
205,100 Paychex Inc. 8,345,006
212,000 PeopleSoft, Inc.* 9,964,000
118,300 Pomeroy Computer Resources, Inc. 3,083,194
290,478 Siebel Systems, Inc.* 9,367,916
------------
125,487,385
------------
Technology - 11.77%
169,800 Applied Power, Inc. 5,836,875
182,200 Avid Technology, Inc.* 6,103,700
445,200 DSP Communications* 6,121,500
164,400 EMC Corp.* 7,367,175
87,500 Microsoft Corp.* 9,482,813
177,336 Network Associates, Inc.* 8,489,961
298,000 Premisys Communications, Inc.* 7,412,750
351,200 Unisys Corp.* 9,921,400
202,100 Veritas DGC, Inc.* 7,788,550
130,900 VISX Inc.* 10,092,369
59,300 Yahoo!, Inc.* 9,339,750
------------
87,956,843
------------
Consumer Products - 10.29%
199,350 American Eagle Outfitters* 7,687,434
442,600 Burlington Industries. Inc.* 6,224,063
468,200 Best Buy Co., Inc.* 16,913,725
250,100 Intimate Brands, Inc. 6,893,381
139,800 Maytag Corp. 6,902,625
219,900 Nautica Enterprises, Inc.* 5,896,069
350,000 Safeskin Corp.* 14,393,750
90,800 Timberland Co. Class A* 6,531,925
249,700 Wolverline Worldwide Inc. 5,415,369
------------
76,858,341
------------
Retail - 8.83%
170,500 Costco Cos., Inc.* 10,752,156
290,700 Fingerhut Cos., Inc. 9,593,100
167,100 Fleming Cos., Inc. 2,934,694
248,200 Jones Apparel Group, Inc.* 9,074,813
113,300 Michaels Stores, Inc.* 3,997,366
364,200 Pier 1 Imports, Inc. 8,695,275
262,000 Ross Stores, Inc. 11,266,000
400,800 TJX Cos., Inc. 9,669,300
------------
65,982,704
------------
Finance - 8.43%
228,600 AmeriCredit Corp. 8,158,163
141,370 Bear Stearns Cos., Inc. 8,040,419
135,100 Capital One Financial Corp. 16,777,731
106,300 Equitable Cos., Inc. 7,965,856
132,900 Financial Security Assurance 7,807,875
219,300 Fidelity National Financial, Inc. 8,730,881
150,900 Mutual Risk Management, Ltd.* 5,498,419
------------
62,979,344
------------
Durable Goods - 8.36%
100,300 Arvin Industries, Inc. 3,642,144
137,700 Caterpillar, Inc. 7,280,888
282,000 CIBER, Inc.* 10,716,000
131,300 Dana Corp. 7,024,550
64,600 Federal-Mogul Corp. 4,360,500
152,700 Ingersoll-Rand Co. 6,728,344
40,900 Johnson Controls, Inc. 2,333,856
130,200 Ladd Furniture, Inc. 3,906,000
123,700 Tellabs, Inc.* 8,860,013
383,000 Varco International, Inc.* 7,588,188
------------
62,440,483
------------
Capital Goods - 5.57%
183,700 Fleetwood Enterprises 7,348,000
103,700 Manitowoc Inc. 4,186,888
190,400 McDermott International, Inc. 6,556,900
54,400 NACCO Industries, Inc., Class A 7,031,200
283,800 Navistar International Corp.* 8,194,725
82,500 Precision Castparts, Inc. 4,403,438
94,800 Trinity Industries, Inc. 3,934,200
------------
41,655,351
------------
Health Services - 4.45%
150,200 Allegiance Corp. 7,697,750
226,800 General Nutrition Cos., Inc.* 7,059,150
319,000 HBO & Co. 11,244,750
192,600 Integrated Health Services, Inc. 7,222,500
------------
33,224,150
------------
Consumer Service - 3.71%
218,100 AccuStaff, Inc.* 6,815,625
268,500 ACNielson Corp.* 6,779,625
268,600 FileNet Corp.* 7,755,825
192,000 Harte-Hanks, Inc. 4,956,000
26,100 Robert Half International, Inc.* 1,458,338
------------
27,765,413
------------
Chemicals and Drugs - 3.52%
129,200 Cooper Cos., Inc.* 4,707,724
247,300 Lyondell Petrochemical Co. 7,527,193
154,900 Medicis Pharmaceutical Corp., Class A* 5,653,850
171,200 Quintiles Transnational Corp.* 8,420,900
------------
26,309,667
------------
See Notes to Financial Statements.
- --------------------------------------------------------- F-5
<PAGE>
- --------------------------------------------------------------------------------
SELECT AGGRESSIVE GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Electronics - 3.33%
300,700 Inter-Tel Inc. $ 4,811,200
58,100 Linear Technology Corp. 3,504,156
86,400 Sanmina Corp.* 3,747,600
80,000 Thomas & Betts Corp. 3,940,000
288,000 Vitesse Semiconductor Corp.* 8,892,000
------------
24,894,956
------------
Transportation Services - 2.29%
241,200 Airborne Freight Corp. 8,426,925
244,000 Hunt (J.B.) Transport Services, Inc. 8,692,500
------------
17,119,425
------------
Real Estate - 2.23%
284,000 Lennar Corp. 8,378,000
276,000 Pulte Corp. 8,245,500
------------
16,623,500
------------
Metals and Mining - 2.15%
613,300 Bethlehem Steel Corp.* 7,627,919
165,900 Fluor Corp. 8,460,900
------------
16,088,819
------------
Consumer Staples - 2.08%
209,800 Danaher Corp.* 7,697,037
235,500 Interstate Bakeries Corp. 7,815,655
------------
15,512,692
------------
Aerospace-Airlines - 1.94%
59,000 Continental Airlines, Inc., Class B* 3,591,624
85,300 Northwest Airlines Corp., Class A* 3,289,381
82,000 United Technologies Corp. 7,585,000
------------
14,466,005
------------
Food Services - 1.87%
355,500 Brinker International, Inc. 6,843,374
454,500 Buffets, Inc. 7,129,968
------------
13,973,342
------------
Recreational Equipment - 0.82%
78,500 Anchor Gaming* 6,093,563
------------
Total Common Stocks 735,431,983
(Cost $563,594,887) ------------
Par Value
- ---------
COMMERCIAL PAPER (A) - 2.00%
$14,929,000 Merrill Lynch, Pierce, Fenner and Smith
6.10%, 07/01/98 14,929,000
------------
Total Commercial Paper 14,929,000
Cost ($14,929,000) ------------
Shares
------
INVESTMENT COMPANIES - 0.07%
3,953 ILA Prime Obligation Money Market Fund 3,953
550,870 ILA Prime Obligation Portfolio Fund, Class B 550,870
------------
Total Investment Companies 554,823
(Cost $554,823) ------------
Total Investments - 100.50% 750,915,806
(Cost $579,078,710) ------------
Net Other Assets and Liabilities - (0.50)% (3,728,569)
------------
Net Assets - 100.00% $747,187,237
============
- --------------------------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $579,078,710. Net unrealized appreciation (depreciation) aggregated
$171,837,096 of which $196,225,708 related to appreciated investment securities
and $(24,388,612) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $397,042,028
and $361,074,789 of non-governmental issuers, respectively.
At June 30, 1998, the value of the securities loaned and the value of collateral
amounted to $109,045,807 and $109,199,150, respectively.
See Notes to Financial Statements.
F-6 ----------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 95.69%
Retail - 13.38%
119,000 AutoZone, Inc. $ 3,800,563
84,000 BJ's Wholesale Club, Inc. 3,412,500
92,000 Circuit City Stores Co. 4,312,500
277,000 Corporate Express, Inc. 3,514,438
55,000 Costco Cos., Inc. 3,468,438
89,000 General Nutrition Cos., Inc. 2,770,125
74,500 Gymboree Corp. 1,129,141
69,500 Henry Schein, Inc. 3,205,688
57,800 Kohl's Corp. 2,998,375
70,000 Meyer (Fred), Inc. 2,975,000
102,250 MSC Industrial Co., Class A 2,914,125
80,800 Shopko Stores, Inc. 2,747,200
------------
37,248,093
------------
Finance - 10.45%
70,000 ACE, Ltd. 2,730,000
87,000 AMRESCO, Inc. 2,533,875
43,400 Capital One Financial Corp. 5,389,738
59,000 Finova Group, Inc. 3,340,875
14,000 Heller Financial, Inc. 420,000
67,000 PartnerRe, Ltd. 3,417,000
79,000 Protective Life Corp. 2,898,313
108,000 Security Capital Group, Inc. 2,875,500
113,000 Waddell & Reed Financial, Inc., Class A 2,704,938
51,500 Franklin Resources, Inc. 2,781,000
------------
29,091,239
------------
Business Services - 10.21%
8,800 AccuStaff, Inc. 275,000
26,000 Acxiom Corp. 648,375
20,300 ADVO, Inc. 572,206
44,800 Catalina Marketing Corp. 2,326,800
38,500 Cendant Corp. 803,688
70,000 Checkfree Holdings Corp. 2,060,625
86,000 Corrections Corp. of America 2,021,000
117,000 Iterim Services Co. 3,758,625
72,600 National Data Corp. 3,176,250
75,800 NOVA Corp. 2,709,850
185,775 Outdoor Systems, Inc. 5,201,700
47,900 Romac International, Inc. 1,454,963
70,000 Sterling Commerce Corp. 3,395,000
------------
28,404,082
------------
Computers and Software - 8.30%
143,000 Affiliated Computer Services Corp., Class A 5,505,500
49,600 BMC Software, Inc. 2,576,100
68,000 DST Systems, Inc. 3,808,000
29,400 Learning Company, Inc. 870,976
57,150 Networks Associates, Inc. 2,736,056
118,000 Renaissance Worldwide, Inc. 2,566,500
70,000 Security Dynamics Technology, Inc. 1,295,000
97,000 Sungard Data Systems, Inc. 3,722,375
------------
23,080,507
------------
Communications - 7.80%
75,800 Comcast Corp., Class A 3,077,006
59,000 Cox Communications Corp., Class A 2,857,813
47,000 Jacor Communications, Inc. 2,773,000
134,000 Omnipoint Corp. 3,073,625
232,000 Paging Network, Inc. 3,248,000
35,500 Vanguard Cellular Systems, Inc. 670,063
190,000 Western Wireless Corp Cia 3,788,125
59,200 Univision Communications, Inc. 2,205,200
------------
21,692,832
------------
Electronics - 7.77%
112,000 Analog Devices, Inc. 2,751,000
73,000 Anixter International, Inc. 1,391,563
123,000 Berg Electronics Corp. 2,406,188
85,500 Maxim Integrated Products, Inc. 2,709,281
70,000 Microchip Technology, Inc. 1,828,750
46,200 PMC Sierra, Inc. 2,165,625
73,000 Synopsys, Inc. 3,339,750
75,000 Teleflex, Inc. 2,850,000
64,000 Xilinx, Inc. 2,176,000
------------
21,618,157
------------
Chemicals and Drugs - 7.02%
32,400 Agouron Pharmaceuticals, Inc. 982,125
69,300 ALZA Corp. 2,997,225
75,000 Centocor, Inc. 2,718,750
154,000 Covance, Inc. 3,599,750
118,000 Dura Pharmaceuticals, Inc. 2,640,250
58,800 Great Lakes Chemical Corp. 2,318,925
28,000 Medimmune, Inc. 1,746,500
72,000 Teva Pharmaceutical Industries, Inc., ADR 2,533,500
------------
19,537,025
------------
Health Services - 6.92%
101,000 Biogen, Inc. 4,949,000
84,000 Gilead Sciences, Inc. 2,693,250
83,000 Omnicare, Inc. 3,164,375
119,000 Quorum Health Group, Inc. 3,153,500
23,000 Scherer (R.P.) Corp. 2,038,375
94,000 Total Renal Care Holdings, Inc. 3,243,000
------------
19,241,500
------------
Leisure-Entertainment - 5.33%
123,600 Galileo International, Inc. 5,569,725
62,000 Premier Parks, Inc. 4,107,500
64,815 Royal Caribbean Cruises, Ltd. 5,152,793
------------
14,830,018
------------
Food Services - 3.74%
59,000 Sodexho Mariott Services, Inc. 1,711,000
65,000 Suiza Foods Corp. 3,879,688
137,000 U.S. Foodservice, Inc. 4,803,563
------------
10,394,251
------------
See Notes to Financial Statements.
- --------------------------------------------------------- F-7
<PAGE>
- --------------------------------------------------------------------------------
SELECT CAPITAL APPRECIATION FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Energy - 3.58%
48,000 Camco International, Inc. $ 3,738,000
31,800 Cooper Cameron Corp. 1,621,800
121,000 Ocean Energy, Inc. 2,367,063
64,000 Smith International, Inc. 2,228,000
------------
9,954,863
------------
Textiles - 2.39%
157,000 Warnaco Group, Inc., Class A 6,662,687
------------
Medical Equipment - 1.93%
120,000 Sybron International Corp. 3,030,000
51,000 U.S. Surgical Corp. 2,326,874
------------
5,356,874
------------
Consumer Staples - 1.45%
109,600 Danaher Corp. 4,020,950
------------
Aerospace - 1.33%
127,000 BE Aerospace, Inc. 3,698,875
------------
Metals/Mining - 1.22%
294,400 Battle Mountain Gold Co. 1,748,000
118,000 Cambior, Inc. 693,250
311,700 TVX Gold, Inc. 954,580
------------
3,395,830
------------
Restaurants - 1.12%
80,000 Outback Steakhouse, Inc. 3,120,000
------------
Utilities - 0.92%
51,800 USA Waste Services, Inc. 2,557,625
------------
Real Estate - 0.83%
102,000 Indymac Mortgage Holdings, Inc., REIT 2,320,500
------------
Total Common Stocks 266,225,908
(Cost $258,415,333) ------------
FOREIGN COMMON STOCK - 1.22%
Canada
8,700 Fairfax Financial Holdings, Ltd. 3,393,565
------------
Total Foreign Common Stock 3,393,565
(Cost $3,010,437) ------------
Par Value
- ---------
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) - 3.19%
Federal Home Loan
Mortgage Corporation - 2.66%
$7,402,000 5.46%, 07/14/98 7,387,406
------------
Federal National
Mortgage Association - 0.53%
1,484,000 5.45%, 08/10/98 1,475,004
------------
Total U.S. Government Agency Obligations 8,862,410
(Cost $8,862,410) ------------
Total Investments - 100.10% 278,481,883
(Cost $270,288,180) ------------
Net Other Assets and Liabilities - (0.10)% (274,295)
------------
Net Assets - 100.00% $278,207,588
------------
- ----------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
REIT Real Estate Investment Trust.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $270,288,180. Net unrealized appreciation (depreciation) aggregated
$8,193,703, of which $23,942,507 related to appreciated investment securities
and $(15,748,804) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had a capital loss carryforward of
$1,543,496 which expires in 2004.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $308,449,637
and $293,832,402 of non-governmental issuers, respectively.
See Notes to Financial Statements.
F-8 ----------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
SELECT VALUE OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 85.38%
Durable Goods - 21.70%
235,333 CommScope, Inc.* $ 3,809,452
180,200 Comsat Corp. 5,101,913
125,100 GTECH Holdings Corp.* 4,214,306
226,700 Hussmann International, Inc. 4,250,625
60,000 Kaydon Corp. 2,118,750
712,600 Laidlaw Environmental Services* 2,583,175
170,000 MascoTech, Inc. 4,080,000
90,000 Perkin-Elmer Corp. 5,596,875
253,700 Raychem Corp. 7,500,006
94,100 Thomas & Betts Corp. 4,634,425
151,800 UCAR International, Inc.* 4,430,663
129,000 Unifi, Inc. 4,418,250
------------
52,738,440
------------
Energy - 16.93%
75,000 Amerada Hess Corp. 4,073,437
73,500 Ashland, Inc. 3,794,438
115,000 Coastal Corp. 8,028,438
91,200 Columbia Energy Group 5,073,000
275,600 EEX Corp.* 2,583,750
264,000 MarketSpan Corp.* 7,903,500
233,606 Ocean Energy, Inc.* 4,569,917
184,216 Sempra Energy* 5,111,980
------------
41,138,460
------------
Finance - 9.83%
176,300 Golden State Bancorp, Inc. 5,244,925
161,300 Golden State Bancorp, Inc., Warrants* 856,905
13,500 Jefferson-Pilot Corp. 782,156
178,280 Sovereign Bancorp, Inc. 2,913,764
140,400 Torchmark Corp. 6,423,300
221,800 TrizecHahn Corp. 4,754,838
49,386 Union Planters Corp. 2,904,514
------------
23,880,402
------------
Consumer Products - 8.12%
229,200 Owens-Illinois, Inc.* 10,256,700
143,600 Snap-On, Inc. 5,205,500
122,100 World Color Press, Inc.* 4,273,500
------------
19,735,700
------------
Utilities - 5.58%
309,000 Cincinnati Bell, Inc. 8,845,125
135,900 Montana Power Co. 4,722,525
------------
13,567,650
------------
Building and Construction - 5.48%
134,600 Applied Power, Inc. 4,626,875
96,600 Dal-Tile International, Inc.* 947,888
121,100 Ingersoll-Rand, Co. 5,335,969
127,500 Walter Industries, Inc.* 2,414,531
------------
13,325,263
------------
Retail - 5.29%
214,500 Meyer (Fred), Inc. 9,116,250
110,200 Shopko Stores, Inc.* 3,746,800
------------
12,863,050
------------
Health Care - 5.27%
125,000 Allergan, Inc. 5,796,875
81,100 Vencor, Inc.* 587,975
86,900 Wellpoint Health Networks, Inc., Class A* 6,430,600
------------
12,815,450
------------
Technology - 4.17%
209,300 General Instrument Corp.* 5,690,344
336,200 National Semiconductor Corp.* 4,433,637
------------
10,123,981
------------
Consumer Staples - 2.08%
220,000 Whitman Corp. 5,046,250
------------
Metals and Mining - 0.93%
213,400 MacMillan Bloedel, Ltd. 2,267,375
------------
Total Common Stocks 207,502,021
(Cost $187,944,152) ------------
Par Value
- ---------
COMMERCIAL PAPER (A) - 6.98%
$1,000,000 Alliance & Leicester, Plc
5.95%, 07/06/98 999,174
500,000 Banc One Funding Corp.
5.48%, 07/06/98 499,619
2,500,000 Cargill Financial Services Corp.
5.65%, 07/07/98 2,497,646
3,000,000 Distribution Funding Corp.
5.80%, 07/08/98 2,996,617
2,000,000 Ford Motor Credit Corp.
5.64%, 07/01/98 2,000,000
2,000,000 International Business Machines Corp.
5.62%, 07/01/98 2,000,000
500,000 Merrill Lynch & Co., Inc.
5.50%, 09/08/98 494,630
500,000 Merrill Lynch & Co., Inc.
5.50%, 10/01/98 492,884
See Notes to Financial Statements.
- --------------------------------------------------------- F-9
<PAGE>
- --------------------------------------------------------------------------------
SELECT VALUE OPPORTUNITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (continued)
$ 500,000 Merrill Lynch & Co., Inc.
5.50%, 01/04/99 $ 485,722
2,000,000 OGE Energy Corp.
5.70%, 07/02/98 1,999,683
2,500,000 Oyster Creek Fuel Corp.
5.75%, 07/06/98 2,498,003
------------
Total Commercial Paper 16,963,978
(Cost $16,964,188) ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 3.29%
U.S. Treasury Bills - 1.65%
2,000,000 4.70%, 07/02/98 1,999,739
2,000,000 4.74%, 07/09/98 1,997,893
------------
3,997,632
------------
Federal Home Loan
Mortgage Corporation - 1.64%
1,000,000 5.35%, 07/01/98 1,000,000
3,000,000 5.41%, 07/07/98 2,997,300
------------
3,997,300
------------
Total U.S. Government and
Agency Obligations 7,994,932
(Cost $7,994,932) ------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANIES - 4.43%
1,015,158 ILA Prime Obligation Money Market Fund $ 1,015,158
1,015,126 ILA Prime Obligation Portfolio Fund, Class B 1,015,126
402,500 John Hancock Bank and Thrift Opportunity Fund 4,804,844
391,600 Pilgrim America Prime Rate Trust 3,916,000
------------
Total Investment Companies 10,751,128
(Cost $9,314,752) ------------
Total Investments - 100.08% 243,212,059
(Cost $222,218,024) ------------
Net Other Assets and Liabilities - (0.08)% (185,702)
------------
Net Assets - 100.00% $243,026,357
============
- --------------------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $222,218,024. Net unrealized appreciation (depreciation) aggregated
$20,994,035 of which $31,545,887 related to appreciated investment securities
and $(10,551,852) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $594,977.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $110,131,642
and $88,524,545 of non-governmental issuers, respectively.
See Notes to Financial Statements.
F-10
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 93.74%
Australia - 4.58%
656,320 National Australia Bank, Ltd. $ 8,677,849
1,373,000 News Corp., Ltd. 11,233,182
1,062,800 Telstra Corp. 2,731,296
------------
22,642,327
------------
Canada - 0.52%
42,550 Royal Bank of Canada 2,558,985
------------
Denmark - 0.46%
23,770 Tele Danmark 2,283,747
------------
France - 6.13%
29,211 Alcatel Alsthom 5,947,820
44,240 Axa 4,975,966
57,180 Michelin, Class B 4,061,670
16,570 Total SA, Class B 9,159,188
28,845 Vivendi 6,159,567
------------
30,304,211
------------
Germany - 8.91%
2,799 Bayerische Motoren Werke (BMW) AG 2,826,787
63,580 Bayerische Motoren Werke (BMW) AG (New) 835,032
63,580 Bayerische Vereinsbank AG 5,412,639
124,595 Hoechst AG 6,225,949
183,650 Mannesmann AG 18,649,168
99,220 Veba AG 6,768,377
4,873 Viag AG 3,297,133
------------
44,015,085
------------
Hong Kong - 1.04%
210,600 HSBC Holdings 5,150,839
------------
Ireland - 0.13%
218,900 Smurfit (Jefferson) Group 651,268
------------
Italy - 2.00%
365,835 ENI 2,398,750
1,015,900 Telecom Italia 7,481,667
------------
9,880,417
------------
Japan - 12.77%
523,000 Canon, Inc. 11,914,733
233,000 Dai Nippon Printing Co., Ltd. 3,732,516
202,000 Honda Motor Co., Ltd. 7,216,894
281,000 Kao Corp. 4,349,027
22,700 Keyence Corp. 2,478,990
107,000 Murata Manufacturing Co., Ltd. 3,482,317
44,000 Rohm Co., Ltd. 4,534,606
264,000 Shiseido Co., Ltd. 3,009,069
146,200 Sony Corp. 12,635,351
365,000 Takeda Chemical Industries, Ltd. 9,740,725
------------
63,094,228
------------
Malaysia - 0.22%
349,000 Hume Industries, Berhad $ 262,365
1,181,200 Sime-Darby, Berhad 813,983
------------
1,076,348
------------
Mexico - 0.31%
811,700 Grupo Financiero Banamex, Series B* 1,537,492
------------
Netherlands - 9.60%
181,762 ABN-Amro Holdings 4,256,449
283,495 Elsevier, NV 4,281,749
314,292 ING Groep, NV 20,595,624
91,525 Kloninklijke Ahold NV 2,940,291
129,160 Kloninklijke KPN NV 4,975,391
69,650 Kloninklijke Numico NV 2,182,720
88,380 Royal Dutch Petroleum 4,904,565
129,160 TNT Post Group NV* 3,304,219
------------
47,441,008
------------
Philippines - 0.20%
748,130 San Miguel, Class B 986,742
------------
Portugal - 0.31%
64,542 Electricidade De Portugal 1,501,318
------------
Singapore - 2.04%
673,000 City Developments, Ltd. 1,885,199
822,900 Development Bank of Singapore 4,566,240
436,600 Fraser and Neave, Ltd., Ord 1,176,358
367,233 Singapore Press 2,462,748
------------
10,090,545
------------
Spain - 1.80%
315,620 Banco De Santander 8,078,308
17,350 Telefonica 802,162
------------
8,880,470
------------
Switzerland - 13.04%
3,772 Alusuisse Lonza Holdings, REGD 4,792,530
6,849 Nestle SA 14,681,275
8,971 Novartis AG 14,952,654
656 Roche Holdings AG 6,452,566
5,779 Schweiz Ruckverisch, REGD 14,639,268
23,860 UBS AG, REGD 8,886,641
------------
64,404,934
------------
Thailand - 0.29%
1,155,000 Bangkok Bank Public Co., Ltd. 1,423,223
------------
United Kingdom - 29.39%
471,050 Barclays Bank, Plc 13,590,930
1,285,150 B.A.T. Industries, Plc 12,874,889
517,000 Cable & Wireless, Plc 6,284,350
360,030 Cadbury Schweppes, Plc 5,575,593
666,040 Diageo, Plc 7,895,817
381,050 Glaxo Wellcome, Plc 11,445,943
See Notes to Financial Statements.
F-11
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
United Kingdom (continued)
541,850 Granada Group, Plc $ 9,970,091
209,360 Kingfisher, Plc 3,373,335
821,650 Ladbroke Group, Plc 4,513,581
728,650 Lloyds TSB Group, Plc 10,201,416
124,460 National Westminster, Plc 2,225,654
753,900 Prudential Corp., Plc 9,938,122
588,300 Safeway, Plc 3,855,467
212,900 Scottish Power, Plc 1,866,265
1,128,550 Shell Transportation & Trading, Plc 7,951,914
379,700 Siebe, Plc 7,588,801
545,750 TI Group, Plc 4,146,136
905,650 Vodafone Group, Plc 11,500,005
242,650 Zeneca Group Ord 10,420,527
------------
145,218,836
------------
Total Common Stocks 463,142,023
------------
(Cost $367,118,184)
PREFERRED STOCK - 0.22%
153,835 News Corp., Ltd. (Australia) $ 1,092,441
------------
Total Preferred Stock 1,092,441
------------
(Cost $632,568)
INVESTMENT COMPANIES - 6.22%
7,499,118 Federated Investors 7,499,118
10,217,477 ILA Prime Obligation Portfolio Fund,
Class B 10,217,477
13,015,168 SSgA Prime Money Market Fund 13,015,168
------------
Total Investment Companies 30,731,763
------------
(Cost $30,731,763)
Total Investments - 100.18% 494,966,227
(Cost $398,482,515)
Net Other Assets and Liabilities - (0.18)% (887,549)
------------
Net Assets - 100.00% $494,078,678
------------
- ---------------------------------------------
* Non income producing security.
- --------------------------------------------------------------------------------
Industry Concentration of Common and Preferred Stocks
- -----------------------------------------------------
as Percentage of Net Assets:
----------------------------
Finance 16.54%
Chemicals and Drugs 14.96
Banking 9.10
Telecommunications 8.24
Durable Goods 7.34
Electronics 5.05
Consumer Goods and Services 4.98
Energy 4.66
Food and Beverage 4.39
Business Services 3.02
Transportation 2.97
Utilities 2.80
Tobacco 2.61
Publishing 2.12
Basic Materials 1.98
Retail 1.28
Agriculture 1.01
Leisure and Entertainment 0.91
------
Total 93.96%
======
See Notes to Financial Statements.
F-12
<PAGE>
- --------------------------------------------------------------------------------
SELECT INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<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>
20,142,000 CHF 07/07/98 $13,308,614 $13,290,883 $ (17,731)
7,542,000 CHF 07/31/98 4,996,569 5,114,607 118,038
7,208,000 CHF 08/13/98 4,781,425 4,935,296 153,871
10,865,000 DEM 07/17/98 6,031,886 6,065,427 33,541
7,690,000 DEM 09/25/98 4,287,217 4,315,085 27,868
3,594,000 GBP 07/27/98 5,991,917 5,968,376 (23,541)
697,645,000 JPY 07/13/98 5,054,751 5,432,103 377,352
669,603,000 JPY 08/18/98 4,878,569 5,049,796 171,227
647,730,000 JPY 08/28/98 4,725,985 4,765,524 39,539
665,622,000 JPY 09/16/98 4,869,934 4,671,033 (198,901)
----------- ----------- -----------
$58,926,867 $59,608,130 $ 681,263
=========== =========== ===========
</TABLE>
- --------------------------------
CHF Swiss Francs
DEM Deutsche Marks
GBP British Pounds
JPY Japanese Yen
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $398,482,515. Net unrealized appreciation (depreciation) aggregated
$96,483,712, of which $126,550,124 related to appreciated investment securities
and $(30,066,412) related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $78,209,900
and $64,956,814 of non-governmental issuers, respectively.
At June 30, 1998, the value of the securities loaned and the value of collateral
amounted to $31,307,212 and $32,910,960, respectively.
See Notes to Financial Statements.
F-13
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 97.09%
Finance - 19.24%
123,000 American Express Co. $ 14,022,000
75,350 American International Group, Inc. 11,001,100
42,700 Associates First Capital Corp. 3,282,563
172,700 BankAmerica Corp. 14,927,756
67,400 Chase Manhattan Corp. 5,088,700
94,350 Comerica, Inc. 6,250,688
123,600 Conseco, Inc. 5,778,300
92,000 Equitable Cos. 6,894,250
166,000 Federal Home Loan Mortgage Corp. 7,812,375
76,500 Fifth Third Bancorp 4,819,500
226,600 MBNA Corp. 7,477,800
21,300 Morgan (JP) & Co. 2,494,763
100,700 Morgan Stanley, Dean Witter, Discover and Co. 9,201,463
79,900 Norwest Corp. 2,986,263
48,450 SouthTrust Corp. 2,107,575
100,000 SunAmerica, Inc. 5,743,750
310,800 Travelers Group, Inc. 18,842,250
--------------
128,731,096
--------------
Durable Goods - 13.14%
214,300 BMC Software, Inc.* 11,130,206
314,900 CBS Corp. 9,998,075
48,100 Cooper Cameron Corp.* 2,453,100
211,900 General Electric Co. 19,282,900
178,600 Ingersoll-Rand Co. 7,869,563
92,600 Office Depot, Inc.* 2,922,688
103,400 PeopleSoft, Inc.* 4,859,800
97,300 Tellabs, Inc.* 6,969,112
356,100 Tyco International, Ltd. 22,434,300
--------------
87,919,744
--------------
Retail - 12.75%
198,800 Costco Cos., Inc.* 12,536,825
361,700 CVS Corp. 14,083,693
201,400 Dayton-Hudson Corp. 9,767,900
91,800 Home Depot, Inc. 7,625,138
53,900 Meyer (Fred), Inc.* 2,290,750
171,900 Safeway, Inc.* 6,994,181
330,800 TJX Cos., Inc. 7,980,550
186,800 Walgreen Co. 7,717,175
268,800 Wal-Mart Stores, Inc. 16,329,600
--------------
85,325,812
--------------
Technology - 12.20%
93,800 Cisco Systems* 8,635,462
162,300 Computer Associates International, Inc 9,017,794
106,900 Compuware Corp.* 5,465,263
41,900 Dell Computer Corp.* 3,888,844
175,500 EMC Corp.* 7,864,593
176,600 Lucent Technologies, Inc. 14,690,913
177,300 Microsoft Corp.* 19,214,888
150,400 Parametric Technology Corp.* 4,079,600
116,300 Pitney Bowes, Inc.* 5,596,937
37,000 Western Atlas, Inc. 3,140,375
--------------
81,594,669
--------------
Chemicals and Drugs - 11.77%
115,300 Bristol-Myers Squibb Co. 13,252,293
37,400 Clorox Co. 3,567,024
124,100 Lilly (Eli) & Co. 8,198,356
51,500 Merck & Co., Inc. 6,888,125
129,800 Pfizer, Inc. 14,107,638
67,100 Quintiles Transnational Corp.* 3,300,481
133,700 Schering-Plough Corp. 12,250,262
247,200 Warner-Lambert Co. 17,149,500
--------------
78,713,679
--------------
Communications - 7.80%
39,800 AON Inc. 4,218,800
96,600 Airtouch Communications, Inc.* 5,645,063
153,900 AT&T Corp. 8,791,538
73,100 Northern Telecom Ltd. 4,148,425
126,100 Sprint Corp. 8,890,050
302,500 Tele-Communications, Inc., TCI Venture* 6,068,906
203,400 Tele-Communications, Inc. Class A, Liberty Media* 7,818,187
135,700 WorldCom, Inc. 6,572,969
--------------
52,153,938
--------------
Consumer Products - 4.50%
75,600 Colgate-Palmolive Co. 6,652,800
108,600 Jones Apparel Group, Inc.* 3,970,687
76,200 Lauder (Estee) Cos., Inc., Class A 5,310,188
22,100 McKesson Corp. 1,795,625
72,600 Owens Illinois Inc.* 3,248,850
100,000 Procter & Gamble Co. 9,106,250
--------------
30,084,400
--------------
Health Services - 3.26%
60,500 Cardinal Health, Inc. 5,671,875
293,000 HBO & Co. 10,328,250
218,800 HEALTHSOUTH Corp.* 5,839,225
--------------
21,839,350
--------------
Printing and Publishing - 3.04%
195,900 Gannett Co., Inc. 13,921,145
75,400 Time Warner, Inc. 6,441,988
--------------
20,363,133
--------------
Business Services - 2.10%
394,500 Cendant Corp.* 8,235,187
95,900 Interpublic Group of Companies, Inc. 5,819,931
--------------
14,055,118
--------------
See Notes to Financial Statements.
F-14
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Food and Beverage - 1.83%
198,100 Coca-Cola Enterprises, Inc. $ 7,775,425
80,200 Sara Lee Corp. 4,486,187
--------------
12,261,612
--------------
Hotels-Leisure - 1.77%
211,800 Carnival Corp., Class A 8,392,574
106,100 Marriott International, Inc., Class A 3,434,988
--------------
11,827,562
--------------
Energy - 1.13%
106,000 Exxon Corp. 7,559,125
--------------
Building and Construction - 0.92%
101,900 Masco Corp. 6,164,950
--------------
Aerospace/Airlines - 0.82%
66,100 AMR* 5,502,825
--------------
Utilities - 0.82%
111,100 USA Waste Services, Inc.* 5,485,563
--------------
Total Common Stocks 649,582,576
--------------
Cost ($464,531,741)
Par Value
- ---------
U.S. GOVERNMENT OBLIGATIONS - 0.60%
U.S. Treasury Notes - 0.60%
$2,000,000 6.75%, 05/31/99 2,021,250
1,000,000 6.88%, 07/31/99 1,013,750
1,000,000 5.63%, 12/31/99 1,001,250
--------------
Total U.S. Government Obligations 4,036,250
--------------
Cost ($4,043,906)
CORPORATE BOND - 0.15%
$1,000,000 Associates Corp. of North America
6.38%, 08/15/99 1,003,724
--------------
Total Corporate Bond 1,003,724
--------------
Cost ($1,006,090)
COMMERCIAL PAPER (A) - 0.93%
3,200,000 BBL North America, Inc.
6.32%, 07/01/98 3,200,000
3,000,000 Republic Industrial Funding
5.58%, 07/13/98 2,994,420
--------------
Total Commerical Paper 6,194,420
--------------
Cost ($6,194,420)
Shares
- ------
INVESTMENT COMPANIES - 1.00%
4,145 ILA Prime Obligation Portfolio Fund, Class B 4,145
6,712,003 SSgA Prime Money Market Fund 6,712,003
--------------
Total Investment Companies 6,716,148
--------------
Cost ($6,716,148)
Total Investments - 99.77% 667,533,118
--------------
Cost ($482,492,305)
Net Assets and Other Liabilities - 0.23% 1,538,727
--------------
Net Assets - 100.00% $669,071,845
==============
- ---------------------------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $482,492,305. Net unrealized appreciation (depreciation) aggregated
$185,040,813 of which $194,269,716 related to appreciated investment securities
and $(9,228,903) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $5,885,274.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $271,699,399
and $211,241,951 of non-governmental issuers, respectively, and $20,352,537 and
$8,100,508 of U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
F-15
<PAGE>
- --------------------------------------------------------------------------------
SELECT STRATEGIC GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 90.79%
Consumer Products - 12.78%
9,200 Budget Group, Inc., Class A* $ 293,825
2,600 Bandag, Inc. 101,400
6,100 Crown Cork & Seal, Inc. 289,750
3,800 Office Depot, Inc.* 119,938
6,000 Philip Morris Cos., Inc. 236,250
3,400 Warnaco Group, Class A 144,288
--------------
1,185,451
--------------
Durable Goods - 12.01%
4,600 Adobe Systems, Inc. 195,213
2,800 Cooper Industries, Inc. 153,825
3,000 Lear Corp.* 153,938
4,700 Millipore Corp. 128,075
7,500 Raychem Corp. Del 221,719
6,300 Trinity Industries, Inc. 261,450
--------------
1,114,220
--------------
Business Services - 11.93%
7,700 Electronic Data Systems Co. 308,000
6,000 Equifax, Inc. 217,875
3,000 Reuters Group Plc, Sponsored ADR 205,500
6,300 Sabre Group Holding, Inc. 239,400
5,700 Wallace Computer Services, Inc. 135,375
--------------
1,106,150
--------------
Energy - 10.85%
3,400 Barrett Resources Corp.* 127,288
4,200 Camco International, Inc. 327,075
11,000 R & B Falcon Corp.* 248,875
6,800 Transocean Offshore, Inc. 302,600
--------------
1,005,838
--------------
Technology - 10.05%
7,600 Communications Satellite Corp. 215,175
18,500 Novell, Inc.* 235,875
6,000 Sun Microsystems, Inc.* 260,625
12,290 Vishay International, Inc.* 220,452
--------------
932,127
--------------
Finance - 7.64%
6,800 Everest Reinsurance Holdings, Inc. 261,375
10,400 HCC Insurance Holdings, Inc. 228,800
9,100 Pacific Century Financial Corp. 218,400
--------------
708,575
--------------
Retail - 7.50%
76 Abercrombie & Fitch Co.* 3,344
12,500 Eagle Hardware & Garden, Inc.* 289,062
5,600 Limited, Inc. 185,500
5,000 Neiman Marcus Group* 217,187
--------------
695,093
--------------
Chemicals and Drugs - 5.29%
8,600 Mallinckrodt, Inc. 255,313
6,400 St. Jude Medical, Inc.* 235,600
--------------
490,913
--------------
Healthcare - 3.25%
11,800 Genzyme Corp. 301,637
--------------
Metal and Mining - 2.89%
15,300 De Beers Consolidated Mines, ADR 267,750
--------------
Building and Construction - 2.20%
5,000 Owens Corning 204,062
--------------
Utilities - 1.97%
12,500 Western Gas Resources, Inc. 182,812
--------------
Food Services - 1.61%
9,400 Darden Restaurants, Inc. 149,224
--------------
Industrial Services - 0.82%
18,400 Philip Services Corp.* 75,900
--------------
Total Common Stocks 8,419,752
--------------
(Cost $8,507,800)
Par Value
- ---------
U.S. GOVERNMENT AGENCY OBLIGATIONS (A) - 8.08%
Federal National Mortgage Association - 8.08%
$ 750,000 5.44%, 07/06/98 749,433
--------------
Total U.S. Government
Agency Obligations 749,433
--------------
(Cost $749,433)
Total Investment - 98.87% 9,169,185
--------------
(Cost $9,257,233)
Net Other Assets and Liabilities - 1.13% 104,777
--------------
Net Assets - 100.00% $ 9,273,962
==============
- -------------------------------------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held in
U.S. banks entitling the shareholder to all dividends and capital gains.
See Notes to Financial Statements.
F-16
<PAGE>
- --------------------------------------------------------------------------------
SELECT STRATEGIC GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $9,257,233. Net unrealized appreciation (depreciation) aggregated $(88,048)
of which $603,899 related to appreciated investment securities and $(691,947)
related to depreciated investment securities.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $8,940,757
and $383,871 of non-governmental issuers, respectively.
See Notes to Financial Statements.
F-17
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 94.08%
Durable Goods - 21.22%
10,700 Advanced Fibre Communications, Inc.* $ 428,670
136,200 Ameritech Corp. 6,111,975
14,500 Arrow Electronics, Inc.* 315,375
13,100 Arterial Vascular Engineer, Inc.* 468,325
10,900 At Home Corp.* 515,706
11,700 Bell Atlantic Corp. 533,812
209,700 BMC Software, Inc.* 10,891,294
6,400 Broadcom Corp., Class A* 471,200
339,000 Case Corp. 16,356,750
8,400 Caterpillar, Inc. 444,150
11,400 Cellular Communication International, Inc.* 568,575
61,900 CIENA Corp.* 4,309,788
17,000 Computer Horizons Corp.* 630,062
8,800 Compuware Corp.* 449,900
231,700 Cummins Engine Co., Inc. 11,874,625
3,800 Eaton Corp. 295,450
397,100 Ford Motor Co. 23,428,900
268,800 General Motors Corp. 17,959,200
32,836 Globalstar Telecommunication* 886,572
107,500 Goodyear Tire & Rubber Co. 6,927,010
10,700 Heftel Broadcasting Corp., Class A* 478,825
7,400 Iridium World Commns, Ltd.* 393,588
7,600 Kennametal, Inc. 317,300
5,300 Level 3 Communications, Inc.* 392,200
61,900 Lockheed Martin Corp. 6,553,662
130,600 LucasVarity Plc, ADR 5,199,512
19,800 Mapics, Inc.* 389,812
193,100 MCI Communications Corp. 11,223,938
11,000 Nextlink Communications, Class A* 416,625
75,300 Northern Telecom, Ltd. 4,273,275
42,600 Orange, Plc* 451,671
21,100 Paging Network, Inc.* 295,400
11,950 Parker-Hannifin Corp. 455,595
65,100 PPG Industries, Inc. 4,528,520
22,561 Qwest Communications International, Inc.* 786,827
14 Raytheon Co., Class A* 807
186,800 SBC Communications 7,472,000
113,200 Sprint Corp. 7,980,600
8,600 Standard Register Co. 304,225
21,400 Stratus Computer, Inc.* 543,025
8,200 Tecumseh Products Co., Class A 433,062
85,900 Tellabs, Inc.* 6,152,588
65,600 Textron, Inc. 4,702,700
7,300 Uniphase Corp.* 458,302
7,900 United Video Satellite Group I* 313,038
16,100 Western Wireless Corp., Class A* 320,994
200,689 WorldCom, Inc.* 9,720,872
--------------
178,426,302
--------------
Finance - 15.51%
70,890 Allstate Corp. 6,490,866
117,700 Ambac, Inc. 6,885,450
42,100 American Express Co. 4,799,400
10,100 American General Corp. 718,994
4,000 AMVESCAP Plc, Sponsored ADR* 196,500
15,100 AON Corp. 1,060,775
11 Associates First Capital Corp. 875
9,900 Banc One Corp. 552,544
24,600 BankAmerica Corp. 2,126,363
109,200 BankBoston Corp. 6,074,250
41,000 Bear Stearns Cos., Inc. 2,331,875
153,400 Chase Manhattan Corp. 11,581,700
3,600 Chubb Corp. 289,350
13,700 CIGNA Corp. 945,300
62,100 Citicorp 9,268,425
2,500 Crestar Financial Corp. 136,406
207,100 Everest Reinsurance Holdings, Inc. 7,960,406
88,400 EXEL, Ltd. 6,878,625
9,400 Finova Group (The), Inc. 532,275
161,980 First Union Corp. 9,435,335
61,300 Green Tree Financial Corp. 2,624,406
109,600 Hartford Financial Services Group, Inc. 12,535,500
198,400 Lincare Holding, Inc.* 8,345,200
112,800 NationsBank Corp. 8,629,200
18,350 Old Republic International Corp. 537,884
7,400 Providian Financial Corp. 581,362
11,300 Reliastar Financial Corp. 542,400
9,200 Republic New York Corp. 579,025
15,899 Security Capital Industrial Trust, REIT* 397,475
21,900 Sirrom Capital Corp. 569,400
181,250 SLM Holding Corp. 8,881,250
6,100 State Street Corp. 423,950
13,600 Tel-Save Holdings, Inc.* 200,600
6,100 TransAtlantic Holdings, Inc. 471,605
150,800 Travelers Property and Casualty Group, Class A 6,465,550
8,900 Washington Mutual Savings Bank 386,595
--------------
130,437,116
--------------
Chemicals and Drugs - 10.78%
123,500 Air Products & Chemicals, Inc. 4,940,000
156,300 American Home Products Corp. 8,088,525
155,400 Baxter International, Inc. 8,362,462
16,300 Beckman Coulter, Inc. 949,475
58,480 Bristol-Myers Squibb Co. 6,721,545
12,900 Cabot Corp. 416,831
5,300 Dow Chemical Co. 512,445
110,700 Du Pont (E.I.) DeNemours & Co. 8,260,988
102,100 FMC Corp.* 6,961,945
227,300 Grace (W.R.) & Co.* 3,878,306
8,000 Great Lakes Chemical Corp. 315,500
15,200 HBO & Co. 535,800
178,730 Health Management Associates, Inc.* 5,976,284
167,100 HEALTHSOUTH Corp.* 4,459,481
7,800 Lauder (Estee) Co., Inc. 543,563
8,100 Lubrizol Corp. 252,113
16,800 Mallinckrodt, Inc. 498,750
See Notes to Financial Statements.
F-18
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Chemicals and Drugs (continued)
17,900 Maxicare Health Plans, Inc.* $ 120,825
53,300 Merck & Co, Inc. 7,128,875
64,300 Mylan Labs 1,933,019
2,500 Octel Corp.* 49,688
82,900 Praxair 3,880,756
9,600 Rexall Sundown, Inc.* 338,400
52,400 Rohm & Haas Co. 5,446,325
168,300 Solutia, Inc. 4,828,106
168,900 Tenet Healthcare Corp.* 5,278,125
--------------
90,678,132
--------------
Technology - 7.87%
10,200 Accelr8 Technology Corp.* 124,950
94,600 Airtouch Communications, Inc. 5,528,188
15,100 Apple Computer, Inc.* 433,181
111,100 Compaq Computer Corp. 3,152,463
10,200 Computer Sciences Corp.* 652,800
112,700 Intel Corp. 8,353,888
8,400 Intermedia Communications, Inc.* 352,275
7,000 Linear Technology Corp. 422,188
176,000 Micron Technology, Inc.* 4,367,000
295,500 Microsoft Corp.* 32,024,813
207,268 Networks Associates, Inc.* 9,922,956
26,300 Rational Software* 401,075
8,200 Sapient Corp.* 432,550
--------------
66,168,327
--------------
Energy - 7.12%
3,300 Anadarko Petroleum Co. 221,719
60,900 Atlantic Richfield Co. 4,757,813
91,400 British Petroleum Co. Plc, Sponsored ADR 8,066,050
6,100 Burlington Resources, Inc. 262,681
127,300 Coastal Corp. 8,887,131
62,250 Columbia Energy Group 3,462,656
49,400 Diamond Offshore Drilling, Inc. 1,976,000
54,700 EEX Corp.* 512,813
9,300 McDermott (J. Ray) SA* 385,950
57,600 Mobil Corp. 4,413,600
199,400 Nabors Industries, Inc.* 3,950,613
18,500 Ocean Energy, Inc.* 361,906
123,500 Phillips Petroleum Co. 5,951,156
56,900 Schlumberger Ltd. 3,886,981
66,100 Texaco, Inc. 3,945,344
14,100 Ultramar Diamond Shamrock Corp. 445,031
115,700 USX-Marathon Group 3,969,956
146,900 YPF Sociedad Anonima, Class D, Sponsored ADR 4,416,181
--------------
59,873,581
--------------
Consumer Products - 6.80%
124,800 Anheuser-Busch Cos., Inc. 5,889,000
100,400 Applied Materials, Inc.* 2,961,800
8,600 Beringer Wine Estates, Class B* 378,938
71,400 Bowater, Inc.* 3,373,650
8,500 Cablevision Systems Corp., Class A* 709,750
12,400 Cintas Corp. 632,400
69,600 Clear Channel Communications, Inc.* 7,595,100
105,900 Coca-Cola Entrerprises, Inc. 4,156,575
243,300 CompUSA, Inc.* 4,394,606
127,200 Dial Corp. 3,299,250
15,700 Dillards, Inc., Class A 650,569
10,400 Friendly Ice Cream Corp.* 175,500
12,300 GEAC Computer Corp., Ltd.* 409,848
23,500 Imax Corp.* 536,094
14,000 IMC Global, Inc. 421,750
9,700 Jacor Communications, Inc.* 572,300
17,600 Metro-Goldwyn-Mayer, Inc.* 387,200
248,600 Office Depot, Inc.* 7,846,438
102,000 PepsiCo, Inc. 4,201,125
11,800 Russell Corp. 356,213
7,400 TRW, Inc. 404,225
10,600 Tupperware Corp. 298,125
173,400 York International Corp. 7,553,738
--------------
57,204,194
--------------
Retail - 4.23%
18,700 Borders Group, Inc.* 691,900
76,800 Consolidated Stores Corp.* 2,784,000
247,400 CVS Corp. 9,633,138
20,200 Federated Department Store* 1,087,013
7,000 K & G Men's Center, Inc.* 158,375
14,100 Koninklijke Ahold NV, Sponsored ADR 451,200
104,100 Polo Ralph Lauren Corp.* 2,914,800
113,700 Ross Stores 4,889,100
16,400 Sears Roebuck & Co. 1,001,425
21,800 Toys `R' Us, Inc.* 513,663
22,600 Venator Group, Inc.* 432,225
181,700 Wal-Mart Stores, Inc. 11,038,275
--------------
35,595,114
--------------
Computer Equipment and Technology - 3.83%
29,750 3Com Corp.* 912,953
13,000 Burr Brown Corp.* 273,000
117,250 Cisco Systems, Inc.* 10,794,328
147,900 General Instrument Corp.* 4,021,030
129,900 Harnischfeger Industries, Inc. 3,677,794
65,700 International Business Machines Corp. 7,543,180
49,000 Xerox Corp. 4,979,625
--------------
32,201,910
--------------
Consumer Staples - 3.70%
10,500 Danaher Corp. 385,219
89,400 General Mills, Inc. 6,112,725
16,000 IBP, Inc. 290,000
417,900 Philip Morris Cos., Inc. 16,454,812
289,500 RJR Nabisco Holdings Corp. 6,875,625
6,600 Springs Industries, Inc. 304,425
14,100 VF Corp. 725,269
--------------
31,148,075
--------------
See Notes to Financial Statements.
F-19
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Building and Construction - 2.98%
125,800 Aeroquip-Vickers, Inc. $ 7,343,575
78,400 Champion International Corp. 3,856,300
118,200 Loews Corp. 10,298,175
87,300 Owens Corning 3,562,930
1 Sealed Air Corp.* 37
--------------
25,061,017
--------------
Broadcasting - 2.41%
10,250 Comcast Corp., Special, Class A 416,085
4,100 Scripps (E.W.), Class A 224,730
206,262 Tele-Communication, Inc., Class A* 7,928,195
177,948 Tele-Communications, Inc., TCI Group* 3,570,082
199,427 Tele-Com Liberty Media Group, Series A* 7,740,260
10,300 Univision Communications, Inc.* 383,675
--------------
20,263,027
--------------
Aerospace-Airlines - 2.10%
56,500 AMR Corp.* 4,703,625
7,800 Gulfstream Aerospace Corp.* 362,700
5,900 Orbital Sciences Corp. 220,513
133,900 United Technologies Corp. 12,385,750
--------------
17,672,588
--------------
Business Services - 1.72%
22,350 Concord EFS, Inc.* 583,894
13,500 Diamond Tech Partners, Inc.* 408,375
15,275 FiServ, Inc.* 648,710
29,700 Olsten Corp. 332,269
6,000 Republic Services, Inc., Class A* 144,000
16,400 Stewart Enterprises, Inc., Class A 436,650
14,000 Servicemaster Co. 532,875
11,600 USA Waste Services, Inc.* 572,750
308,200 Waste Management, Inc. 10,787,000
--------------
14,446,523
--------------
Consumer Services - 1.08%
190,700 Service Corp. International 8,176,263
21,700 United Rentals, Inc.* 911,400
--------------
9,087,663
--------------
Utilities - 0.89%
243,500 Allied Waste Industries, Inc.* 5,844,000
9,700 American Disposal Services, Inc.* 454,688
5,162 Duke Power Co. 305,846
11,000 Entergy Corp. 316,250
15,000 GPU, Inc. 567,188
--------------
7,487,972
--------------
Electronics - 0.52%
4,600 AvNet, Inc.* 251,563
21,500 Onix Systems, Inc.* 276,813
86,500 SCI Systems, Inc.* 3,254,563
16,250 Tektronix, Inc. 574,844
--------------
4,357,783
--------------
Metals and Mining - 0.33%
16,300 Inland Steel Industries, Inc. $ 459,456
103,500 R & B Falcon Corp.* 2,341,688
--------------
2,801,144
--------------
Entertainment - 0.30%
21,700 AMF Bowling, Inc.* 629,300
28,300 Cinar Films, Inc. Sub Voting Shares* 551,850
8,000 Premier Parks, Inc.* 530,000
6,100 SFX Entertainment, Inc., Class A* 279,838
13,500 Trans World Entertaiment Co.* 582,188
--------------
2,573,176
--------------
Health Services - 0.29%
42,200 ColumbiaHCA Healthcare Corp. 1,229,075
24,750 Foundation Health Systems* 652,780
22,700 Orthodontic Centers of America* 475,280
10,500 Vencor, Inc.* 76,125
--------------
2,433,260
--------------
Transportation - 0.15%
9,100 CSX Corp. 414,050
6,700 Delta Air Lines, Inc. 865,975
--------------
1,280,025
--------------
Food Service - 0.10%
10,100 Aurora Foods, Inc.* 213,362
6,300 Earthgrains Co.* 352,012
5,300 Suiza Foods Corp.* 316,344
--------------
881,718
--------------
Advertising - 0.07%
19,013 Outdoor Systems, Inc.* 532,350
2,800 Young & Rubicam, Inc.* 89,600
--------------
621,950
--------------
Printing and Publishing - 0.03%
10,400 Mail-Well, Inc.* 225,550
--------------
Paper and Plastic - 0.03%
22,200 Earthshell Corp.* 216,450
--------------
Real Estate - 0.02%
10,500 Ventas, Inc.* 145,031
--------------
Total Common Stocks 791,287,628
--------------
(Cost $618,884,762)
PREFERED STOCKS - 2.09%
337,500 Loral Space & Communication* 9,534,375
285,800 News Corp., Ltd., Sponsored ADR 8,073,850
1 Sealed Air Corp. 21
--------------
Total Prefered Stocks 17,608,246
--------------
(Cost $13,959,488)
See Notes to Financial Statements.
F-20
<PAGE>
- --------------------------------------------------------------------------------
GROWTH FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 0.89%
$ 2,500,000 Asset Backed Capital, Ltd., MTN
5.68%, 09/23/98 $ 2,499,750
1,500,000 Heller Financial, Inc., Series G, MTN
5.98%, 09/03/99 1,500,621
2,000,000 Paine Webber Group, Inc., Series C,
Senior MTN
5.76% 03/10/99 2,001,116
1,500,000 NationsBank of North America
5.87%, 06/21/99 1,499,820
--------------
Total Corporate Notes and Bonds 7,501,307
(Cost $7,499,384) --------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 0.60%
U.S. Treasury Note - 0.30%
1,000,000 6.88%, 07/31/99 1,013,750
60,000 5.88%, 08/31/99 60,206
1,300,000 6.00%, 08/15/00 1,312,188
175,000 5.75%, 08/15/03 176,859
--------------
2,563,003
--------------
Federal Home Loan Bank - 0.30%
2,500,000 6.07%, 01/17/01 2,494,620
--------------
Total U.S. Government and
Agency Obligations 5,057,623
(Cost $5,053,336) --------------
ASSET-BACKED SECURITIES - 0.47%
1,576,031 Green Tree Lease Finance, LLC,
Series 1997-1, Class A1
5.91%, 01/20/99 1,577,197
370,751 WFS Financial Owner Trust,
Series 1997-1, Class A2
5.71%, 09/20/98 370,811
2,000,000 WFS Financial Owner Trust,
Series 1998-B, Class A1
5.66%, 07/20/99 2,000,000
--------------
Total Asset-Backed Securities 3,948,008
(Cost $3,946,782) --------------
COMMERICAL PAPER (A) - 1.76%
6,800,000 BBL North America
6.32%, 07/01/98 6,800,000
2,054,000 Budget Funding
5.60%, 07/08/98 2,051,763
4,000,000 Donaldson, Lufkin & Jenrette
5.66%, 08/12/98 3,973,587
2,000,000 Paine Webber Group, Inc.
5.62%, 08/18/98 1,985,013
--------------
Total Commercial Paper 14,810,363
(Cost $14,810,363) --------------
Shares
- ------
INVESTMENT COMPANY - 0.01%
8,092 SSgA Prime Money Market Fund 8,092
--------------
Total Investment Company 8,092
(Cost $8,092) --------------
Total Investments - 99.90% 840,221,267
(Cost $664,162,207) --------------
Net Other Assets and Liabilities - 0.10% 836,094
--------------
Net Assets - 100.00% $ 841,057,361
==============
- ------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held
in U.S. banks entitling the shareholder to all dividends and capital
gains.
MTN Medium Term Note
REIT Real Estate Investment Trust
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $664,162,207. Net unrealized appreciation (depreciation) aggregated
$176,059,060, of which $201,349,039 related to appreciated investment securities
and ($25,289,979) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $5,864,170.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $341,057,622
and $306,906,476 of non-governmental issuers, respectively, and $8,580,750 and
$20,510,864 of U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
- -------------------------------------------------------- F-21
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 98.98%
Finance - 17.88%
6,385 Aetna, Inc. $ 486,058
4,800 Ahmanson (H.F.) & Co. 340,800
18,569 Allstate Corp. 1,700,224
20,000 American Express Co. 2,280,000
10,917 American General Corp. 777,154
30,200 American International Group, Inc. 4,409,200
7,300 AON Corp. 512,825
14,895 Associates First Capital Corp. 1,145,021
30,284 Banc One Corp. 1,690,226
16,300 Bank of New York Co., Inc. 989,206
29,904 BankAmerica Corp. 2,584,827
12,600 BankBoston Corp. 700,875
4,300 Bankers Trust New York Corp. 499,069
6,200 BB&T Corp. 419,275
1,081 Bear Stearns Cos., Inc. 61,482
2,400 Beneficial Corp. 367,650
1,979 Capital One Financial Corp. 245,767
36,352 Chase Manhattan Corp. 2,744,576
7,400 Chubb Corp. 594,775
9,500 CIGNA Corp. 655,500
7,000 Cincinnati Financial Corp. 268,625
19,800 Citicorp 2,955,150
6,850 Comerica, Inc. 453,813
8,100 Conseco, Inc. 378,675
4,700 Countrywide Credit Industries, Inc. 238,525
30,000 Federal Home Loan Mortgage Corp. 1,411,875
45,800 Federal National Mortgage Association 2,782,350
10,075 Fifth Third Bancorp 634,725
12,558 First Chicago NBD Corp. 1,112,953
41,696 First Union Corp. 2,428,792
11,855 Fleet Financial Group, Inc. 989,893
10,830 Franklin Resources Inc. 584,820
3,500 General Re Corp. 887,250
2,500 Golden West Financial Corp. 265,781
5,900 Green Tree Financial Corp. 252,594
5,100 Hartford Financial Services Group, Inc 583,313
13,900 Household International, Inc. 691,525
7,000 Humana, Inc. 218,313
8,100 Huntington Bancshares, Inc. 271,350
4,500 Jefferson-Pilot Corp. 260,719
18,800 KeyCorp 669,750
4,400 Lehman Brothers Holdings Inc. 341,275
4,400 Lincoln National Corp. 402,050
10,950 Marsh & McLennan Cos., Inc. 661,791
4,200 MBIA, Inc. 314,475
21,612 MBNA Corp. 713,196
10,900 Mellon Bank Corp. 758,913
5,600 Mercantile Bankorp Inc. 282,100
14,400 Merrill Lynch & Co., Inc. 1,328,400
4,900 MGIC Investment Corp. 279,606
25,617 Morgan Stanley, Dean Witter, Discover 2,340,753
7,700 Morgan (J.P.) & Co., Inc. 901,863
14,200 National City Corp. 1,008,200
40,462 NationsBank Corp. 3,095,343
2,000 NICOR, Inc. 80,250
4,900 Northern Trust Corp. 373,625
32,500 Norwest Corp. 1,214,688
13,100 PNC Bank Corp. 704,944
3,100 Progressive Corp. 437,100
4,100 Providian Financial Corp. 322,106
4,800 Republic New York Corp. 302,100
6,000 SAFECO Corp. 272,625
11,300 Schwab (Charles) Corp. 367,250
7,357 SLM Holding Corp. 360,493
6,900 State Street Corp. 479,550
10,000 St. Paul Cos., Inc. 420,625
7,500 Summit Bankcorp 356,250
4,000 Sun Co., Inc. 155,250
8,450 SunAmerica, Inc. 485,347
9,200 SunTrust Banks, Inc. 748,075
11,300 Synovus Financial Corp. 268,375
6,100 Torchmark Corp. 279,075
2,800 TransAmerica Corp. 322,350
49,360 Travelers Group, Inc. 2,992,450
5,900 UNUM Corp. 327,450
7,900 UST, Inc. 213,300
31,650 U.S. Bancorp 1,360,950
9,000 Wachovia Corp. 760,500
16,675 Washington Mutual, Inc. 724,320
3,733 Wells Fargo & Co. 1,377,477
--------------
69,679,791
--------------
Durable Goods - 15.50%
3,000 Adobe Systems, Inc. 127,313
24,200 AlliedSignal, Inc. 1,073,875
7,800 Alltel Corp. 362,700
47,100 Ameritech Corp. 2,113,613
9,400 AMP, Inc. 323,125
1,800 Armstrong World Industries, Inc. 121,275
4,500 Avery-Dennison Corp. 241,875
7,300 Baker Hughes, Inc. 252,306
9,300 Bay Networks, Inc.* 299,925
43,038 Boeing Co. 1,917,881
3,300 Case Corp. 159,225
16,000 Caterpillar, Inc. 846,000
30,500 CBS Corp. 968,375
28,000 Chrysler Corp. 1,578,500
5,300 Cooper Industries, Inc. 291,169
3,200 Cooper Tire & Rubber Co. 66,000
1,900 Crane Co. 92,269
1,700 Cummins Engine Co., Inc. 87,125
4,600 Dana Corp. 246,100
10,800 Deere & Co. 571,050
28,200 Dell Computer Corp.* 2,617,313
8,350 Dominion Resources, Inc. 340,263
4,900 DSC Communications Corp.* 147,000
3,200 Eaton Corp. 248,800
2,700 Echlin, Inc. 132,469
1,900 EG & G, Inc. 57,000
19,200 Emerson Electric Co. 1,158,000
1,600 Fleetwood Enterprises, Inc. 64,000
51,800 Ford Motor Co. 3,056,200
See Notes to Financial Statements.
F-22 ----------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Durable Goods (continued)
6,900 Frontier Corp. $ 217,350
6,630 Gateway 2000* 335,644
141,000 General Electric Co. 12,831,000
6,300 General Instrument Corp.* 171,281
30,600 General Motors Corp. 2,044,463
1,900 General Signal Corp. 68,400
7,650 Genuine Parts Co. 264,403
3,000 Goodrich (B.F.) Co. 148,875
6,800 Goodyear Tire & Rubber Co. 438,175
4,200 Grainger (W.W.), Inc. 209,213
3,400 Harris Corp. 151,938
2,000 Helmerich & Payne, Inc. 44,500
44,800 Hewlett-Packard Co. 2,682,400
10,800 Illinois Tool Works, Inc. 720,225
7,200 Ingersoll-Rand Co. 317,250
70,600 Intel Corp. 5,233,225
3,600 Johnson Controls, Inc. 205,425
3,600 Kla-Tencor Corp.* 99,675
8,441 Lockheed Martin Corp. 893,691
2,600 McDermott International, Inc. 89,538
30,100 MCI Communications Corporation 1,749,563
1,900 Millipore Corp. 51,775
3,700 Moore Corp., Ltd. 49,025
25,800 Motorola, Inc. 1,356,113
1,900 National Service Industries, Inc. 96,663
22,400 Northern Telecom, Ltd. 1,271,200
2,900 Northrop Grumman Corp. 299,063
3,380 PACCAR, Inc. 176,605
5,200 Pall Corp. 106,600
4,775 Parker-Hannifin Corp. 182,047
2,600 Pep Boys-Manny, Moe & Jack 49,238
2,100 Perkin-Elmer Corp. 130,594
10,500 Pioneer Hi-Bred International, Inc. 434,438
3,600 Raychem Corp. 106,425
14,700 Raytheon Co., Class B* 869,138
8,700 Rockwell International Corp. 418,144
3,700 Rowan Cos., Inc.* 71,919
3,300 Ryder System, Inc. 104,156
3,400 Scientific-Atlanta, Inc. 86,275
18,600 Sprint Corp. 1,311,300
4,400 Tandy Corp. 233,475
7,800 Tellabs, Inc.* 558,675
16,800 Texas Instruments, Inc. 979,650
7,100 Textron, Inc. 508,981
6,800 Thermo Electron Corp.* 232,475
10,700 Union Pacific Corp. 472,138
4,000 US Airways Group, Inc.* 317,000
14,000 Xerox Corp. 1,422,750
--------------
60,372,842
--------------
Chemicals and Drugs - 13.68%
65,800 Abbott Laboratories 2,689,575
10,200 Air Products & Chemicals, Inc. 408,000
2,300 Alberto-Culver Co., Class B 66,700
2,800 Allergan, Inc. 129,850
3,600 ALZA Corp.* 155,700
56,000 American Home Products Corp. 2,898,000
11,300 AMGEN, Inc.* 738,738
5,800 Avon Products, Inc. 449,500
2,300 Bausch & Lomb, Inc. 115,288
12,000 Baxter International, Inc. 645,750
5,300 Becton Dickinson & Co. 411,413
8,300 Boston Scientific Corp.* 594,488
43,000 Bristol-Myers Squibb Co. 4,942,313
4,800 Cardinal Health, Inc. 450,000
12,800 Colgate Palmolive Co. 1,126,400
9,800 Dow Chemical Co. 947,538
48,800 duPont (E.I.) deNemours & Co. 3,641,700
3,400 Eastman Chemical Co. 211,650
6,050 Engelhard Corp. 122,513
1,600 FMC Corp.* 109,100
3,000 Grace (W.R.) & Co.* 51,188
2,600 Great Lakes Chemical Corp. 102,538
6,600 Guidant Corp. 470,663
4,100 Hercules, Inc. 168,613
4,600 International Flavors & Fragrances, Inc. 199,813
58,000 Johnson & Johnson Co. 4,277,500
47,900 Lilly (Eli) & Co. 3,164,394
3,000 Mallinckrodt, Inc. 89,063
20,300 Medtronic, Inc. 1,294,125
51,800 Merck & Co., Inc. 6,928,250
25,600 Monsanto Co. 1,430,400
5,500 Morton International, Inc. 137,500
2,800 Nalco Chemical Co. 98,350
55,800 Pfizer, Inc. 6,064,763
21,780 Pharmacia & Upjohn, Inc. 1,004,603
6,700 Praxair, Inc. 313,644
2,700 Rohm & Haas Co. 280,631
31,500 Schering-Plough Corp. 2,886,188
1,200 Shared Medical Systems Corp. 88,125
7,300 Sherwin-Williams Co. 241,813
4,300 Sigma Aldrich Corp. 151,038
3,600 St. Jude Medical, Inc.* 132,525
5,200 Union Carbide Corp. 277,550
3,200 United States Surgical Corp. 146,000
35,300 Warner-Lambert Co. 2,448,938
--------------
53,302,431
--------------
Technology - 9.78%
15,200 3Com Corp.* 466,450
6,100 Advanced Micro Devices, Inc.* 104,081
24,300 Airtouch Communications, Inc.* 1,420,031
5,600 Apple Computer, Inc. 160,650
8,400 Ascend Communications, Inc.* 416,325
2,000 Autodesk, Inc. 77,250
12,900 Automatic Data Processing, Inc. 940,088
6,800 Cabletron Systems, Inc.* 91,375
3,100 Ceridian Corp.* 182,125
43,900 Cisco Systems, Inc.* 4,041,544
70,557 Compaq Computer Corp. 2,002,055
23,450 Computer Associates International, Inc. 1,302,941
6,800 Computer Sciences Corp.* 435,200
2,000 Data General Corp.* 29,875
21,400 EMC Corp.* 958,988
See Notes to Financial Statements.
- -------------------------------------------------------- F-23
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Technology (continued)
2,000 Harnischfeger Industries, Inc. $ 56,625
5,600 Honeywell, Inc. 467,950
42,000 International Business Machines Corp. 4,822,125
5,100 ITT Industries, Inc. 190,613
6,100 LSI Logic Corp.* 140,681
56,196 Lucent Technologies, Inc. 4,674,805
9,000 Micron Technology, Inc. 223,313
105,000 Microsoft Corp.* 11,379,321
6,900 National Semiconductor Corp.* 90,994
15,000 Novell, Inc.* 191,250
42,387 Oracle Corp.* 1,041,131
11,000 Parametric Technology Corp.* 298,375
11,800 Pitney Bowes, Inc. 567,875
10,400 Seagate Technology, Inc.* 247,650
7,900 Silicon Graphics, Inc.* 95,788
16,300 Sun Microsystems, Inc.* 708,031
10,600 Unisys Corp.* 299,450
--------------
38,124,955
--------------
Consumer Products - 8.78%
3,100 American Greetings Corp., Class A 157,906
3,800 Andrew Corporatrion* 68,638
21,200 Anheuser-Busch Cos., Inc. 1,000,375
15,600 Applied Materials, Inc.* 460,200
24,543 Archer-Daniels-Midland Co. 475,521
1,200 Ball Corp. 48,225
2,200 Bemis Co., Inc. 89,925
2,400 Boise Cascade Corp. 78,600
2,900 Brown-Forman Corp., Class B* 186,325
19,700 Campbell Soup Co. 1,046,563
5,300 Clear Channel Communications, Inc. 578,363
20,400 ConAgra, Inc. 646,425
9,900 Corning, Inc. 344,025
5,500 Crown Cork & Seal Co., Inc. 261,250
3,500 Deluxe Corp. 125,344
4,800 Dillard's, Inc., Class A 198,900
29,143 Disney (Walt) Co. 3,061,836
6,300 Donnelley (R.R.) & Sons Co. 288,225
4,200 Dow Jones & Co., Inc. 234,150
7,300 Dun & Bradstreet Corp.* 263,713
14,100 Eastman Kodak Co. 1,030,181
9,000 Fort James Corp. 400,500
12,200 Gannett Co., Inc. 866,963
3,900 Georgia-Pacific Corp, 229,856
11,300 Halliburton Co. 503,556
5,700 Hasbro, Inc. 224,081
15,700 Heinz (H.J.) Co. 881,163
6,200 Hershey Foods Corp. 427,800
5,800 Ikon Office Solutions, Inc. 84,463
13,000 International Paper Co. 559,000
17,700 Kellogg Co. 664,856
23,840 Kimberly-Clark Corp. 1,093,660
3,000 King World Productions, Inc.* 76,500
3,400 Knight-Ridder, Inc. 187,213
2,800 Liz Claiborne, Inc. 146,300
1,500 Longs Drug Stores Corp. 43,313
12,412 Mattel, Inc. 525,183
4,100 Maytag Corp. 202,438
4,300 McGraw-Hill Cos., Inc. 350,719
4,400 Mead Corp. 139,700
2,200 Meredith Corp. 103,263
4,200 New York Times Co., Class A 332,850
12,500 Nike, Inc., Class B 608,594
6,600 Owens-Illinois, Inc. 295,350
1,900 Polaroid Corp. 67,569
1,200 Potlatch Corp. 50,400
57,800 Procter & Gamble Co. 5,263,413
5,900 Quaker Oats Co. 324,131
2,300 Reebok International, Ltd.* 63,681
6,400 Rubbermaid, Inc. 212,400
1,400 Russell Corp. 42,263
20,500 Sara Lee Corp. 1,146,719
15,400 Seagram Co., Ltd. 630,438
2,600 Snap-On, Inc. 94,250
3,800 Stanley Works 157,938
4,110 Stone Container Corp.* 64,219
14,600 Sysco Corp. 374,125
2,500 Temple-Inland, Inc. 134,688
7,300 Tenneco, Inc. 277,856
24,880 Time Warner, Inc. 2,125,685
3,800 Times Mirror Co., Class A 238,925
14,000 TJX Cos., Inc. 337,750
5,300 Tribune Co. 364,706
5,400 TRW, Inc. 294,975
2,500 Tupperware Corp. 70,313
2,900 Union Camp Corp. 143,913
15,163 Viacom, Inc., Class B* 883,245
4,350 Westvaco Corp. 122,888
8,600 Weyerhaeuser Co. 397,213
3,300 Whirlpool Corp. 226,875
5,100 Wrigley (Wm.) Jr. Co. 499,800
--------------
34,202,389
--------------
Energy - 7.47%
3,900 Amerada Hess Corp. 211,819
42,000 Amoco Corp. 1,748,250
2,500 Anadarko Petroleum Corp. 167,969
4,100 Apache Corp. 129,150
1,600 ASARCO, Inc. 35,600
3,300 Ashland, Inc. 170,363
13,900 Atlantic Richfield Co. 1,085,938
7,582 Burlington Resources, Inc. 326,500
28,300 Chevron Corp. 2,350,669
4,500 Coastal Corp. 314,156
7,500 Dresser Industries, Inc. 330,469
900 Eastern Enterprises 38,588
14,100 Enron Corp. 762,281
106,400 Exxon Corp. 7,587,650
8,900 Homestake Mining Co. 92,338
2,000 Kerr-McGee Corp. 115,750
4,600 Louisiana-Pacific Corp. 83,950
33,900 Mobil Corp. 2,597,588
See Notes to Financial Statements.
----------------------------------------------------------
F-24
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Energy (continued)
14,600 Occidental Petroleum Corp. $ 394,200
1,300 Oneok, Inc. 51,838
4,500 Oryx Energy Co.* 99,563
2,000 Pennzoil Co. 101,250
11,300 Phillips Petroleum Co. 544,519
92,400 Royal Dutch Petroleum Co. 5,064,675
21,500 Schlumberger, Ltd. 1,468,719
5,414 Sempra Energy 150,230
4,700 Sonat, Inc. 181,538
23,600 Texaco, Inc. 1,408,625
10,781 Union Pacific Resources Co. 189,341
10,600 Unocal Corp. 378,950
3,620 USX-U.S. Steel Group, Inc. 119,460
2,400 Western Atlas, Inc.* 203,700
17,600 Williams Cos., Inc. 594,000
--------------
29,099,636
--------------
Utilities - 7.45%
5,800 Ameren Corp. 230,550
8,100 American Electric Power, Inc. 367,538
69,967 American Telephone & Telegraph Corp. 3,996,865
6,350 Baltimore Gas & Electric Co. 197,247
66,946 Bell Atlantic Corp. 3,054,411
42,800 BellSouth Corp. 2,872,950
7,900 Browning-Ferris Industries, Inc. 274,525
6,400 Carolina Power & Light Co. 277,600
9,100 Central & South West Corp. 244,563
6,643 CINergy Corp. 232,505
3,600 Columbia Energy Group 200,250
10,100 Consolidated Edison Co. of New York 465,231
4,200 Consolidated Natural Gas Co. 247,275
6,200 DTE Energy Co. 250,325
15,617 Duke Energy Corp. 925,307
16,300 Edison International 481,869
10,400 Entergy Corp. 299,000
9,900 FirstEnergy Corp. 304,425
7,900 FPL Group, Inc. 497,700
5,400 GPU, Inc. 204,188
41,200 GTE Corp. 2,291,750
12,198 Houston Industries, Inc. 376,613
11,200 Nextel Communications, Inc.* 278,600
6,200 Niagara Mohawk Power Corp.* 92,613
6,400 Northern States Power Co. 183,200
12,600 Pacificorp 285,075
9,500 PECO Energy Co. 277,281
1,400 Peoples Energy Corp. 54,075
16,400 PG&E Corp. 517,625
7,100 PP & L Resources, Inc. 161,081
10,000 Public Service Enterprise Group, Inc. 344,375
78,908 SBC Communications, Inc. 3,156,320
29,700 Southern Co. 822,319
10,640 Texas Utilities Co. 442,890
9,300 Unicom Corp. 326,081
21,504 US West Inc. 1,010,688
19,600 Waste Management, Inc. 686,000
43,600 WorldCom, Inc.* 2,111,875
--------------
29,042,785
--------------
Consumer Staples - 6.67%
12,400 Best Foods 719,975
4,100 Black & Decker Corp. 250,100
4,500 Clorox Co. 429,188
106,700 Coca-Cola Co. 9,122,850
1,600 Coors (Adolph) Co., Class B 54,400
7,300 Fortune Brands, Inc. 280,594
3,100 Fruit of the Loom, Inc., Class A* 102,881
6,800 General Mills, Inc. 464,950
48,200 Gillette Co. 2,732,338
17,700 Minnesota Mining & Manufacturing Co. 1,454,719
6,900 Newell Co. 343,706
65,300 PepsiCo, Inc. 2,689,544
104,500 Philip Morris Cos., Inc. 4,114,688
4,700 Ralston Purina Co. 549,019
900 Springs Industries, Inc., Class A 41,513
6,410 Tricon Global Restaurants, Inc.* 203,117
27,700 Unilever NV 2,186,569
5,200 VF Corp. 267,475
--------------
26,007,626
--------------
Retail - 5.16%
10,600 Albertson's, Inc. 549,213
11,600 American Stores Co. 280,575
6,400 AutoZone, Inc.* 204,400
4,300 Circuit City Stores, Inc. 201,563
4,600 Consolidated Stores 166,750
9,256 Costco Cos., Inc.* 583,707
16,400 CVS Corp. 638,575
18,800 Dayton-Hudson Corp. 911,800
9,000 Federated Department Stores, Inc.* 484,313
17,000 Gap, Inc. 1,047,625
2,600 Giant Food, Inc., Class A 111,963
1,500 Great Atlantic & Pacific Tea Co., Inc. 49,594
3,000 Harcourt General, Inc. 178,500
31,649 Home Depot, Inc. 2,628,845
21,000 Kmart Corp. 404,250
11,000 Kroger Co.* 471,625
9,700 Limited, Inc. 321,313
10,000 May Department Stores Co. 655,000
1,600 Mercantile Stores Co., Inc. 126,300
3,300 Nordstrom, Inc. 254,925
10,700 Penney (J.C.) Co., Inc. 773,744
11,000 Rite Aid Corp. 413,188
16,900 Sears Roebuck & Co. 1,031,956
2,600 Supervalu, Inc. 115,375
12,200 Toys `R' Us, Inc.* 287,463
5,700 Venator Group Inc.* 109,013
21,300 Walgreen Co. 879,956
96,900 Wal-Mart Stores, Inc. 5,886,675
6,400 Winn-Dixie Stores, Inc. 327,600
--------------
20,095,806
--------------
See Notes to Financial Statements.
F-25
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Building and Construction - 1.25%
1,300 Aeroquip-Vickers, Inc. $ 75,888
4,600 Armco, Inc.* 29,325
1,000 Briggs & Stratton Corp. 37,438
2,600 Centex Corp. 98,150
4,200 Champion International Corp. 206,588
9,600 Dover Corp. 328,800
3,600 Fluor Corp. 183,600
1,500 Kaufman & Broad Home Corp. 47,625
5,000 Loews Corp. 435,625
15,200 Lowe's Cos., Inc. 616,550
7,200 Masco Corp. 435,600
2,200 Owens Corning Fiberglass Corp. 89,788
7,600 PPG Industries, Inc. 528,675
1,800 Pulte Corp. 53,775
24,600 Tyco International, Ltd. 1,549,800
4,800 Willamette Industries, Inc. 153,600
--------------
4,870,827
--------------
Metals and Mining - 0.81%
9,600 Alcan Aluminum, Ltd. 265,200
8,302 Allegheny Teledyne, Inc. 189,908
7,400 Aluminum Co. of America 487,938
16,000 Barrick Gold Corp. 307,000
9,900 Battle Mountain Gold Co. 58,781
5,500 Bethlehem Steel Corp.* 68,406
4,700 Biomet, Inc. 155,394
3,900 Cyprus Amax Minerals Co. 51,675
8,300 Freeport-McMoRan Copper & Gold, Inc., Class B 126,056
7,000 Inco, Ltd., Class A 95,375
1,500 Jostens, Inc. 36,188
6,611 Newmont Mining Corp. 156,185
3,700 Nucor Corp. 170,200
2,500 Phelps Dodge Corp. 142,969
10,500 Placer Dome, Inc. 123,375
3,200 Reynolds Metals Co. 179,000
2,700 Timken Co. 83,194
12,300 USX-Marathon Group 422,044
4,000 Worthington Industries, Inc. 60,250
--------------
3,179,138
--------------
Health Services - 0.77%
2,300 Bard (C.R.), Inc. 87,544
27,800 Columbia/HCA Healthcare Corp. 809,675
18,000 HBO & Co. 634,500
16,800 HEALTHSOUTH Corp.* 448,350
2,700 Manor Care, Inc. 103,781
13,200 Tenet Healthcare Corp.* 412,500
8,200 United Healthcare Corp. 520,700
--------------
3,017,050
--------------
Business Services - 0.77%
34,833 Cendant Corp.* $ 727,139
7,000 Cognizant Corp. 441,000
5,400 Ecolab, Inc. 167,400
6,400 Equifax, Inc. 232,400
18,300 First Data Corp. 609,619
5,450 Interpublic Group of Companies, Inc. 330,747
7,000 Omnicom Group Inc. 349,125
3,608 Sealed Air Corp.* 132,594
--------------
2,990,024
--------------
Broadcasting - 0.67%
15,000 Comcast Corp. Special, Class A 608,906
26,200 MediaOne Group* 1,151,163
21,800 Tele-Communications, Inc., TCI Group, Class A* 837,938
--------------
2,598,007
--------------
Aerospace-Airlines - 0.65%
7,800 AMR Corp.* 649,350
3,300 Delta Air Lines, Inc. 426,525
5,400 General Dynamics Corp 251,100
9,450 Southwest Airlines Co. 279,956
10,000 United Technologies Corp. 925,000
--------------
2,531,931
--------------
Food Services - 0.59%
6,300 Darden Restaurants, Inc. 100,013
29,800 McDonald's Corp. 2,056,200
5,600 Wendy's International, Inc. 131,600
--------------
2,287,813
--------------
Transportation - 0.55%
6,784 Burlington Northern Santa Fe Corp. 666,104
9,300 CSX Corp. 423,150
6,400 FDX Corporation* 401,600
14,100 Laidlaw, Inc. 171,844
16,200 Norfolk Southern Corp. 482,963
--------------
2,145,661
--------------
Hotels-Leisure - 0.24%
4,200 Harrah's Entertainment, Inc.* 97,650
10,800 Hilton Hotels Corp. 307,800
10,900 Marriott International, Inc. 352,888
7,700 Mirage Resorts, Inc.* 164,106
--------------
922,444
--------------
Consumer Services - 0.17%
4,500 Block (H & R), Inc. 189,563
10,800 Service Corp. International 463,050
--------------
652,613
--------------
See Notes to Financial Statements.
F-26 ----------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
EQUITY INDEX FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Capital Goods - 0.06%
1,700 Cincinnati Milacron, Inc. $ 41,331
1,600 Foster Wheeler Corp. 34,300
500 Nacco Industries, Inc., Class A 64,625
3,000 Navistar International Corp.* 86,625
--------------
226,881
--------------
Electronics - 0.05%
2,150 Tektronix, Inc. 76,056
2,400 Thomas & Betts Corp. 118,200
--------------
194,256
--------------
Leisure and Entertainment - 0.03%
4,100 Brunswick Corp. 101,475
--------------
Total Common Stocks 385,646,381
(Cost $253,173,104) --------------
PREFERRED STOCKS - 0.01%
261 Aetna, Inc., Class C 19,608
2,400 Fresenius National Medical Care, Inc., Class D* 159
--------------
Total Preferred Stocks 19,767
(Cost $17,063) --------------
Par Value
- ---------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (A) - 0.14%
$ 350,000 U.S. Treasury Bill - 0.09%
5.13%, 11/12/98 (1) 343,317
--------------
Federal Home Loan
Mortgage Corporation - 0.05%
200,000 5.47%, 07/15/98 199,575
--------------
Total U.S. Government
and Agency Obligations 542,892
(Cost $542,892) --------------
INVESTMENT COMPANY - 0.71%
2,763,011 SSgA Prime Money Market Fund $ 2,763,011
--------------
Total Investment Company 2,763,011
(Cost $2,763,011) --------------
Total Investments - 99.84% 388,972,051
(Cost $256,496,070) --------------
Net Other Assets and Liabilities - 0.16% 640,871
--------------
Net Assets - 100.00% $ 389,612,922
==============
- ------------------------------------------
* Non income producing security.
(A) Effective yield at time of purchase.
(1) Security has been deposited as initial margin on open futures contracts.
At June 30, 1998, the Portfolio's open futures contracts were as follows:
Number of
Contracts Contract Expiration Current Opening Market Value at
Purchased Type Date Position June 30,1998
--------- ---- ---- -------- ------------
10 S&P 500 Sep-98 $ 2,839,030 $ 2,857,500
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $256,496,070. Net unrealized appreciation (depreciation) aggregated
$132,475,981, of which $139,158,254 related to appreciated investment securities
and $(6,682,273) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $531,349.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $95,752,178
and $56,496,506 of non-governmental issuers, respectively.
See Notes to Financial Statements.
- -------------------------------------------------------- F-27
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
COMMON STOCKS - 92.01%
Finance - 15.95%
404,700 ACE, Ltd. $ 15,783,300
227,300 Aetna Life & Casualty Co. 17,303,213
99,400 Bank of New York Co., Inc. 6,032,337
32,900 Citicorp 4,910,325
157,100 EXEL, Ltd. 12,224,343
164,100 First Union Corp 9,558,825
119,600 NationsBank Corp. 9,149,400
136,900 PartnerRE, Ltd. 6,981,900
291,700 TIG Holdings, Inc. 6,709,100
79,600 Tokio Marine & Fire
Insurance Co., Sponsored ADR 4,049,650
--------------
92,702,393
--------------
Technology - 10.34%
96,800 AirTouch Communications, Inc.* 5,656,750
311,938 Globalstar Telecommunications, Ltd. 8,422,326
123,500 Hewlett-Packard Co. 7,394,563
126,900 International Business Machines Corp. 14,569,706
302,800 Loral Space & Communications, Ltd. 8,554,100
60,500 Philips Electronics 5,142,500
177,100 Texas Instruments, Inc. 10,327,144
--------------
60,067,089
--------------
Aerospace-Airlines - 9.10%
116,400 AMR Corp.* 9,690,300
84,500 Lockheed Martin Corp. 8,946,438
104,700 Northrop Corp. 10,797,188
179,400 Sundstrand Corp. 10,270,650
142,400 United Technologies Corp. 13,172,000
--------------
52,876,576
--------------
Energy - 8.94%
90,300 Amerada Hess Corp. 4,904,419
102,400 Chevron Corp. 8,505,600
567,248 MarketSpan Corp. 16,981,987
309,310 Sempra Energy 8,583,345
362,800 Unocal Corp. 12,970,100
--------------
51,945,451
--------------
Chemicals and Drugs - 8.35%
24,000 Air Products & Chemicals, Inc. 960,000
119,200 duPont (E.I.) deNemours & Co. 8,895,300
104,300 Genentech, Inc.* 7,079,363
183,100 Lilly Eli & Co. 12,096,043
133,800 Monsanto Co. 7,476,075
106,700 Pfizer, Inc. 11,596,956
72,000 Rhone-Poulenc SA, Sponsored ADR
(Warrants), exp. 11/05/01 459,000
--------------
48,562,737
--------------
Consumer Products - 7.05%
138,000 Anheuser-Busch Cos., Inc. 6,511,875
127,100 General Mills, Inc. 8,690,463
329,700 Ikon Office Solutions, Inc. 4,801,256
176,200 Kimberly-Clark Corp. 8,083,175
178,600 Philip Morris Cos., Inc. 7,032,375
142,700 Seagram Co., Ltd. 5,841,781
--------------
40,960,925
--------------
Consumer Staples - 6.80%
250,600 Black & Decker Corp. 15,286,600
260,500 Fortune Brands, Inc. 10,012,969
173,300 Minnesota Mining & Manufacturing Co. 14,243,094
--------------
39,542,663
--------------
Utilities - 4.54%
191,360 Bell Atlantic Corp. 8,730,800
58,800 Consolidated Edison Co. of New York 2,708,475
218,900 Potomac Electric Power 5,486,181
227,500 Texas Utilities Co. 9,469,688
--------------
26,395,144
--------------
Manufacturing - 2.97%
19,300 FMC, Corp.* 1,316,019
356,300 Owens-Illinois, Inc.* 15,944,425
--------------
17,260,444
--------------
Entertainment - 2.92%
231,500 MediaOne Group, Inc. 10,171,531
102,500 Premier Parks, Inc.* 6,790,625
--------------
16,962,156
--------------
Durable Goods - 2.71%
115,200 General Electric Co. 10,483,200
109,300 Rockwell International Corp. 5,253,231
--------------
15,736,431
--------------
Metals and Mining - 2.70%
259,100 Allegheny Teledyne, Inc. 5,926,913
179,300 Getchell Gold Corp.* 2,689,500
251,000 Inland Steel Industries, Inc. 7,075,063
--------------
15,691,476
--------------
Printing and Publishing - 2.62%
221,500 Tribune Co. 15,241,980
--------------
Business Services - 2.53%
440,800 First Data Corp. 14,684,150
--------------
Automotive - 1.61%
1 Meritor Automotive 24
171,300 TRW, Inc. 9,357,263
--------------
9,357,287
--------------
See Notes to Financial Statements.
F-28
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
Retail - 1.15%
110,500 Wal-Mart Stores, Inc. $ 6,712,875
--------------
Packaging - 1.14%
180,138 Sealed Air Corp.* 6,620,056
--------------
Paper and Forest - 0.47%
258,800 MacMillan Bloedel, Ltd. 2,749,750
--------------
Health Services - 0.12%
9,800 Johnson & Johnson 722,750
--------------
Total Common Stocks 534,792,333
(Cost $455,103,950) --------------
Par Value
- ---------
CORPORATE NOTES AND BONDS - 3.12%
$ 2,000,000 Associates Corp. of North America
6.38%, 08/15/99 2,007,448
1,000,000 Ford Motor Credit Corp., MTN
7.47%, 07/29/99 1,014,576
10,700,000 Hewlett-Packard Co., Convertible
3.39%, 10/14/17 (A) (B) 5,711,125
2,292,000 National Semiconductor Corp.
6.50%, 10/01/02 (A) 2,091,450
6,250,000 Roche Holdings, Inc.
5.43%, 05/06/12 (B) 2,988,311
5,150,000 Security CAP US Realty, Convertible
2.00%, 05/22/03 (A) 4,316,344
--------------
Total Corporate Notes and Bonds 18,129,254
(Cost $18,120,959) --------------
Shares
------
PREFERRED STOCKS - 1.71%
30,100 AirTouch Communications, Inc., Class B* 1,452,325
43,400 Owens-Illinois, Inc.* 2,262,225
32,823 Sealed Air Corp. 1,378,545
105,200 Union Pacific Capital Trust 4,826,050
--------------
Total Preferred Stocks 9,919,145
(Cost $9,575,982) --------------
Par Value
- ---------
U.S. GOVERNMENT OBLIGATIONS - 0.87%
U.S. Treasury Notes - 0.87%
$ 3,000,000 6.88%, 07/31/99 3,041,250
2,000,000 5.63%, 12/31/99 2,002,500
--------------
Total U.S. Government Obligations 5,043,750
(Cost $5,045,547) --------------
ASSET-BACKED SECURITY - 0.04%
220,089 Green Tree Lease Finance
5.91%, 01/20/99 220,252
--------------
Total Asset-Backed Security 220,252
(Cost $220,089) --------------
CERTIFICATE OF DEPOSIT (C) - 0.17%
1,000,000 National Bank of Canada
5.73%, 06/07/99 999,000
--------------
Total Certificate of Deposit 999,000
(Cost $999,422) --------------
COMMERCIAL PAPER - 0.85%
3,000,000 Paine Webber Group
5.62%, 08/18/98 2,977,520
2,000,000 Republic Industries Funding Corp.
5.58%, 07/13/98 1,996,280
--------------
Total Commercial Paper 4,973,800
(Cost $4,973,800) --------------
Shares
------
INVESTMENT COMPANY - 0.06%
340,574 SSgA Prime Money Market Fund 340,574
--------------
Total Investment Company 340,574
(Cost $340,574) --------------
Total Investments - 98.83% 574,418,108
(Cost $494,380,323) --------------
Net Other Assets and Liabilities - 1.17% 6,776,344
--------------
Net Assets - 100.00% $ 581,194,452
==============
- ------------------------------------------
* Non income producing security.
(A) Security 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, 1998, these
securities amounted to $12,118,919 or 2.09% of net assets.
(B) Zero coupon bond. Rate shown reflects effective yield to maturity.
(C) Effective Yield at time of purchase.
ADR American Depositary Receipt. Shares of a foreign based corporation held
in U.S. banks entitling the shareholder to all dividends and capital
gains.
MTN Medium Term Note
See Notes to Financial Statements.
F-29
<PAGE>
- --------------------------------------------------------------------------------
SELECT GROWTH AND INCOME
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $494,380,323. Net unrealized appreciation (depreciation) aggregated
$80,037,785, of which $98,386,668 related to appreciated investment securities
and $(18,348,883) related to depreciated investment securities.
Distributions from long-term capital gains for the year ended December 31, 1997
were $1,176,558.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $390,862,037
and $344,099,055 of non-governmental issuers, respectively, and $15,100,547 and
$12,083,672 of U.S. Government and Agency issuers, respectively.
See Notes to Financial Statements.
F-30 ----------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 46.01%
Government National
Mortgage Association (B) - 15.01%
$ 968,053 8.00%, 07/15/17 Aaa $ 1,017,980
96,826 8.00%, 11/15/17, # 780263 Aaa 101,864
710,152 7.00%, 07/15/23, # 326534 Aaa 723,077
294,708 7.00%, 11/15/23, # 370890 Aaa 300,072
324,873 7.00%, 02/15/24, # 366855 Aaa 330,870
338,054 7.00%, 07/15/24, # 352919 Aaa 344,295
290,765 8.00%, 11/15/25, # 419283 Aaa 301,529
106,296 7.50%, 02/15/26, # 420512 Aaa 109,252
277,296 8.00%, 05/15/26, # 421245 Aaa 287,345
193,905 8.00%, 07/15/26, # 436213 Aaa 200,932
267,059 8.00%, 08/15/26, # 432017 Aaa 276,737
95,353 7.50%, 06/15/27, # 447298 Aaa 97,996
1,962,098 8.00%, 07/15/27, # 447790 Aaa 2,033,302
615,780 8.00%, 09/15/27, # 448981 Aaa 638,127
265,116 8.00%, 09/15/27, # 449475 Aaa 274,737
874,392 7.50%, 10/15/27, # 430267 Aaa 898,621
340,291 8.00%, 10/15/27, # 430270 Aaa 352,640
678,020 8.00%, 10/15/27, # 430274 Aaa 702,626
126,612 7.50%, 10/15/27, # 460921 Aaa 130,120
869,203 7.50%, 11/15/27, # 448876 Aaa 893,288
4,800,000 7.00%, 07/15/28 (D) Aaa 4,876,463
4,775,000 8.00%, 07/15/28 (D) Aaa 4,945,109
------------
19,836,982
------------
Federal Home Loan
Mortgage Corporation (B) - 10.68%
4,775,000 5.46%, 07/20/98 (C) (E) Aaa 4,761,240
2,000,000 5.42%, 09/08/98 (C) Aaa 1,979,146
3,030,000 5.43%, 09/25/98 (C) Aaa 2,990,622
557,189 6.00%, 12/01/10, # E00411 Aaa 552,247
886,199 6.00%, 03/01/11, # E20228 Aaa 878,091
1,176,778 6.00%, 05/01/12, # G10691 Aaa 1,166,011
808,354 6.50%, 03/01/28, # D87134 Aaa 805,937
988,429 6.50%, 03/01/28, # D88041 Aaa 985,108
------------
14,118,402
------------
U.S. Treasury Bond (E) - 10.28%
7,750,000 8.13%, 08/15/19 Aaa 10,002,344
3,175,000 6.63%, 02/15/27 Aaa 3,586,759
------------
13,589,103
------------
Federal National
Mortgage Association (B) - 9.64%
3,300,000 5.43%, 09/28/98 (C) Aaa 3,255,618
187,048 6.00%, 03/01/03, # 303790 Aaa 186,596
516,992 6.00%, 01/01/11, # 334836 Aaa 511,780
873,472 6.00%, 03/01/11, # 303779 Aaa 864,781
223,904 7.00%, 07/01/23, # 50765 Aaa 227,471
1,250,000 8.00%, 07/25/23, REMIC Aaa 1,387,071
261,945 7.00%, 12/01/23, # 240476 Aaa 266,118
235,317 7.00%, 01/01/24, # 261764 Aaa 238,907
39,488 7.00%, 05/01/24, # 265289 Aaa 40,090
330,478 7.00%, 06/01/24, # 283173 Aaa 335,521
797,162 7.00%, 06/01/24, # 284717 Aaa 809,327
955,718 6.50%, 10/01/27, # 400976 Aaa 952,172
983,588 6.50%, 02/01/28, # 408825 Aaa 979,358
332,221 6.50%, 02/01/28, # 415390 Aaa 330,988
588,376 6.50%, 03/01/28, # 419506 Aaa 585,846
664,057 6.50%, 03/01/28, # 419932 Aaa 661,202
334,911 6.50%, 04/01/28, # 420881 Aaa 333,471
74,039 6.50%, 04/01/28, # 398335 Aaa 73,721
688,181 6.50%, 04/01/28, # 251697 Aaa 685,221
17,126 7.50%, 05/01/28, # G10691 Aaa 17,569
------------
12,742,828
------------
U.S. Treasury Strip - 0.40%,
975,000 4.21%, 08/15/09 (C) Aaa 523,458
------------
Total U.S. Government and
Agency Obligations 60,810,773
(Cost $59,860,532) ------------
CORPORATE NOTES AND BONDS - 35.08%
Finance - 8.70%
400,000 American Annuity Group
6.88%, 06/01/08 Baa 399,256
400,000 Franchise Finance Corp. of America
7.00%, 11/30/00 Baa 404,332
600,000 General Electric Capital Corp.
6.66%, 05/01/18 Aaa 608,414
725,000 Green Tree Financial Corp.
7.54%, 04/15/28 Aa 759,982
1,625,000 Green Tree Financial Corp.
7.53%, 07/15/28 Aa 1,719,520
650,000 Green Tree Financial Corp.
7.24%, 11/15/28 (F) AA- 676,767
850,000 Green Tree Financial Corp.
7.22%, 02/15/29 Aa 893,255
850,000 Green Tree Financial Corp.
6.95%, 05/15/29 Aa 871,862
125,000 Greyhound Financial Corp.
8.50%, 02/15/99 Baa 126,846
875,000 Homeside Lending, Inc., MTN
6.88%, 06/30/02 Baa 895,295
500,000 Integra Financial Corp.
6.50%, 04/15/00 A 504,998
800,000 Keystone Financial Mid-Atlantic Funding
Senior Note
7.30%, 05/15/04 Baa 840,351
625,000 Sears Roebuck Acceptance Corp.
Series II, MTN
6.69%, 04/30/01 A 634,941
See Notes to Financial Statements.
F-31
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Finance (continued)
$ 900,000 Susa Partnership, LP
8.20%, 06/01/17 Baa $ 1,009,921
450,000 TIG Holdings, Inc.
8.13%, 04/15/05 Baa 486,240
750,000 Wharf Capital International, Ltd.
8.88%, 11/01/04 Baa 668,266
-------------
11,500,246
-------------
Real Estate - 5.65%
275,000 Avalon Properties, Inc.
Senior Note
7.38%, 09/15/02 Baa 285,805
300,000 Colonial Realty, LP, MTN
7.16%, 01/17/03 Baa 308,038
750,000 Colonial Realty, LP, MTN
6.96%, 07/26/04 Baa 764,599
400,000 ERP Operating, LP
8.50%, 05/15/99 (A) A 407,298
750,000 IRT Property Co.
7.25%, 08/15/07 Baa 775,133
900,000 JDN Realty Corp.
6.80%, 08/01/04 Baa 902,288
500,000 La Quinta Inns, Inc., MTN
7.11%, 10/17/01 Baa 510,756
650,000 Meditrust, REIT
7.82%, 09/10/26 Baa 675,285
450,000 Security Capital Industrial Trust
7.6250%, 07/01/17 Baa 483,238
500,000 Shopping Center Associates
6.75%, 01/15/04 (A) A 499,305
450,000 Spieker Properties, LP
6.65%, 12/15/00 Baa 454,061
750,000 Summit Properties, Inc.
7.20%, 08/15/07 Baa 769,257
625,000 Trinet Corporate Realty Trust, Inc.
7.30%, 05/15/01 Baa 639,728
-------------
7,474,791
-------------
Industrial - 4.74%
425,000 Abitibi-Consolidated,Yankee
Debenture 7.40%, 04/01/18 Baa 438,760
650,000 Abitibi-Consolidated,Yankee
Debenture 7.50%, 04/01/28 Baa 674,879
1,250,000 Blount, Inc.
7.00%, 06/15/05 Ba 1,230,463
1,500,000 Brascan Corp.
7.38%, 10/01/02 Baa 1,579,378
1,250,000 Cominco, Ltd.
6.88%, 02/15/06 Baa 1,270,931
1,075,000 Idex Corp., Senior Note
6.88%, 02/15/08 Ba 1,074,527
-------------
6,268,938
-------------
Banking - 4.31%
375,000 BankBoston, Corp., MTN
6.37%, 04/15/08 A 375,804
1,350,000 BB&T Corp.
6.37%, 06/30/25 A 1,346,598
450,000 First USA Bank, MTN
5.75%, 01/15/99 Aa 449,842
400,000 First USA Bank, MTN
7.00%, 08/20/01 Aa 412,574
575,000 Key Bank, MTN
6.50%, 10/15/27 Baa 581,164
1,165,000 National Westminster Bank
7.48%, 04/29/49 Aa 1,255,841
400,000 St. George Bank, Ltd.
6.88%, 04/01/99 (A) A 402,664
875,000 Union Planters
6.50%, 03/15/18 Baa 877,389
-------------
5,701,876
-------------
Security Broker and Dealers - 2.21%
190,000 Bear Stearns Cos., Inc.
6.75%, 08/15/00 A 192,945
1,150,000 Goldman Sachs Group, LP
7.20%, 03/01/07 (A) A 1,213,391
575,000 Merrill Lynch & Co., Inc.
6.00%, 01/15/01 Aa 576,215
50,000 Salomon, Inc.
5.58%, 04/05/99 A 49,863
100,000 Salomon, Inc.
7.12%, 08/01/99 A 101,083
250,000 Salomon, Inc.
6.62%, 11/30/00 A 253,723
175,000 Salomon, Inc., Series D, MTN
6.82%, 07/26/99 A 176,483
350,000 Smith Barney Holdings, Inc.
7.87%, 10/01/99 A 357,512
-------------
2,921,215
-------------
Communications - 1.99%
625,000 Clear Channel Communications, Inc.
6.87%, 06/15/18 Baa 621,281
730,000 MCI Communications Corp., MTN
6.13%, 04/15/12 Baa 731,497
200,000 TCI Communications, Inc.
7.88%, 02/15/26 Baa 224,594
1,000,000 Tele-Communications, Inc.
7.13%, 02/15/28 Baa 1,051,823
-------------
2,629,195
-------------
See Notes to Financial Statements.
F-32
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Manufacturing - 1.52%
$ 775,000 Georgia-Pacific Corp.
9.95%, 06/15/02 Baa $ 790,237
375,000 Georgia-Pacific Corp.
7.25%, 06/01/28 Baa 379,263
425,000 Noranda Forest, Inc., Debenture
8.87%, 10/15/99 Baa 437,240
400,000 Scherer (R.P.) Corp., Senior Note
6.75%, 02/01/04 Ba 402,053
-------------
2,008,793
-------------
Insurance - 1.41%
600,000 Conseco, Inc.
6.80%, 06/15/05 Baa 600,660
800,000 Markel Corp.
7.25%, 11/01/03 Baa 835,961
400,000 USF&G Corp.
8.38%, 06/15/01 A 424,016
-------------
1,860,637
-------------
Business Services - 0.99%
1,400,000 Olsten Corp.
4.75%, 10/01/00 Ba 1,309,000
-------------
Transportation - 0.76%
1,000,000 Wisconsin Central Transportation
6.63%, 04/15/08 Baa 1,001,674
-------------
Energy - 0.73%
925,000 Canadian Occidental Petroleum
Yankee Bond
7.40%, 05/01/28 Baa 964,960
-------------
Equipment - 0.67%
850,000 Toro Co.
7.80%, 06/15/27 Baa 890,003
-------------
Merchandising and Retail - 0.62%
800,000 Great Atlantic & Pacific Tea Co., Inc.
7.70%, 01/15/04 Baa 815,985
-------------
Entertainment/Leisure - 0.36%
450,000 Royal Caribbean Cruises, Ltd.
7.50%, 10/15/27 Baa 474,872
-------------
Technology - 0.34%
450,000 Tyco International Group, Inc.
6.38%, 06/15/05 Baa 450,850
-------------
Utilities - 0.08%
100,000 System Energy Resources, Inc.
7.63%, 04/01/99 Baa 100,886
-------------
Total Corporate Notes and Bonds 46,373,921
(Cost $46,292,961) -------------
ASSET-BACKED SECURITIES - 16.87%
$ 325,287 Advanta Mortgage Loan Trust, Series 93-4
5.50%, 03/25/10 Aaa $ 318,343
1,200,000 AMRESCO Residential Mortgage Securities
6.45%, 03/25/27 Baa 1,227,840
1,270,566 Bear Stearns Mortgage Securities
6.75%, 04/30/30 Aa 1,271,240
1,000,000 Chase Commercial Mortgage Securities
7.60%, 06/18/06 (F) BBB- 1,020,940
700,000 Chase Commercial Mortgage Securities
7.37%, 05/19/27 (F) BBB 722,071
1,123,991 Citicorp Mortgage Securities
7.50%, 11/25/25 Baa 1,150,762
1,200,000 Contimortgage Home Equity Loan Trust
Class A 6.88%, 01/15/28 Aaa 1,229,208
925,000 EQCC Home Equity Loan Trust, Series
1996-4 6.89%, 01/15/28 Aaa 953,135
100,103 Fund America Investors Corp. II, 1993-F
5.40%, 09/25/09 Aaa 98,416
900,000 GMAC Commercial Mortgage Securities
7.09%, 11/15/10 Baa 915,471
637,460 Housing Securities, Inc.
6.50%, 07/25/09 (F) AAA 640,743
1,000,000 Merrill Lynch Mortgage Investors, Inc.
6.96%, 11/21/28 Aa 981,720
825,000 Merrill Lynch Mortgage Investors, Inc.
7.12%, 06/18/29 Aa 837,119
575,000 Mortgage Capital Funding, Inc.
7.90%, 02/15/06 (F) AAA 616,331
1,033,199 Norwest Asset Securities Corp.
6.75%, 02/25/13 Aaa 1,044,182
2,521,280 Norwest Asset Securities Corp.
6.50%, 04/25/13 Aaa 2,534,013
1,000,000 Oakwood Mortgage Investors, Inc.
7.33%, 02/15/28 Baa 1,013,280
700,000 Preferred Credit Corp.
7.59%, 07/25/26 Aaa 737,586
2,100,000 Residential Funding Mortgage Securities
6.50%, 02/25/13 (F) AAA 2,117,598
115,737 Resolution Trust Corp.
8.00%, 04/25/25 Baa 118,725
625,000 Resolution Trust Corp.
8.00%, 06/25/26 (F) A 637,306
275,000 Resolution Trust Corp.
6.90%, 02/25/27 A 274,486
234,398 Resolution Trust Corp.
7.45% 05/25/29 Baa 237,964
1,550,000 The Money Store Home Equity Trust, 1996-D
7.00%, 04/15/28 Aaa 1,595,600
12,154 UCFC Home Equity Loan Trust, 1994-B2
7.10%, 06/10/23 Aaa 12,396
-------------
Total Asset-Backed Securities 22,306,475
(Cost $20,843,142) -------------
See Notes to Financial Statements.
F-33
<PAGE>
- --------------------------------------------------------------------------------
SELECT INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANY - 4.20%
5,551,277 ILA Prime Obligation Portfolio
Fund Class B Aaa $ 5,551,277
-------------
Total Investment Company 5,551,277
(Cost $5,551,277) -------------
Par Value
- ---------
COMMERCIAL PAPER (C) - 1.51%
$ 1,000,000 General Electric Capital Corp.
5.50%, 07/29/98 (E) Aaa 995,722
1,000,000 J.P. Morgan & Co.
5.51%, 07/27/98 (F) A 996,021
-------------
Total Commercial Paper 1,991,743
(Cost $1,991,743) -------------
Total Investments - 103.67% 137,034,189
(Cost $134,539,655) -------------
Net Other Assets and Liabilities - (3.67)% (4,852,945)
-------------
Net Assets - 100.00% $ 132,181,244
=============
- ---------------------------------------
(A) Security exempt from registration under rule 144A of the Securities Act
of 1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1998, these
securities amounted to $2,522,658 or 1.91% of net assets.
(B) Pass Through Certificates
(C) Effective yield at time of purchase.
(D) Forward Commitment
(E) Designated as Collateral on Forward Commitment
(F) Standard & Poor's ("S&P") credit ratings are used in the absence of a
rating by Moody's Investors, Inc.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $134,539,655. Net unrealized appreciation (depreciation) aggregated
$2,494,534, of which $2,769,471 related to appreciated investment securities and
$(274,937) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had capital loss carryforwards which
expire as follows: $570,218 in 2002; and $500,277 in 2004.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $26,481,698
and $15,084,312 from non-governmental issuers, respectively, and $71,679,901 and
$60,199,780 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:
Moody's Ratings S&P Ratings
Aaa 55.37% AAA 2.46%
Aa 7.32 AA 0.49
A 5.27 A 1.17
Baa 23.72 BBB 1.27
Ba 2.93
------- -------
94.61% 5.39%
======= =======
See Notes to Financial Statements.
F-34
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 48.21%
Federal National
Mortgage Association - 16.74%
$ 233,539 6.00%, 05/01/01, Pool # 190806 (A) Aaa $ 233,161
1,371,025 7.38%, 08/17/03, REMIC (A) Aaa 1,392,029
731,405 6.50%, 05/01/08, Pool # 50730 (A) Aaa 736,642
548,165 8.50%, 07/01/08, Pool # 10001 (A) Aaa 571,967
180,300 8.00%, 04/01/09, Pool # 111253 (A) Aaa 185,354
567,785 9.00%, 02/01/10, Pool # 303165 (A) Aaa 594,301
1,549,418 6.50%, 09/01/10, Pool # 327824 (A) Aaa 1,559,288
199,207 7.00%, 05/01/17, Pool # 68635 (A) Aaa 202,044
1,216,008 8.00%, 04/01/22, Pool # 124267 (A) Aaa 1,261,888
1,452,538 8.00%, 01/01/23, Pool # 125178 (A) Aaa 1,507,342
707,097 8.00%, 04/01/23, Pool # 124834 (A) Aaa 733,776
41,925 7.00%, 11/01/23, Pool # 249703 (A) Aaa 42,593
2,022,995 7.00%, 11/01/23, Pool # 50930 (A) Aaa 2,055,221
3,133,811 6.50%, 01/01/24, Pool # 50965 (A) Aaa 3,136,349
2,701,011 7.00%, 02/01/24, Pool # 50993 (A) Aaa 2,742,227
1,616,296 7.50%, 10/01/25, Pool # 321152 (A) Aaa 1,657,689
229,570 7.50%, 10/01/26, Pool # 359890 (A) Aaa 235,449
294,632 7.50%, 12/01/26, Pool # 362034 (A) Aaa 302,274
565,625 7.50%, 12/01/26, Pool # 366778 (A) Aaa 580,297
375,000 7.50%, 07/01/28 (B) Aaa 384,607
7,700,000 7.50%, 08/01/28 (B) Aaa 7,793,833
8,126,481 7.50%, 08/01/28 (B) Aaa 8,322,029
-------------
36,230,360
-------------
U.S. Treasury Bonds - 10.64%
6,115,000 6.63%, 03/31/02 (C) Aaa 6,332,847
4,565,000 7.25%, 05/15/16 (D) Aaa 5,349,609
1,500,000 7.50%, 11/15/16 Aaa 1,800,938
650,000 7.63%, 11/15/22 Aaa 810,266
7,385,000 7.13%, 02/15/23 (E) Aaa 8,735,074
-------------
23,028,734
-------------
U.S. Treasury Notes - 9.13%
2,780,000 5.87%, 03/31/99 Aaa 2,787,820
90,000 7.75%, 01/31/00 Aaa 92,953
5,175,000 5.63%, 02/28/01 Aaa 5,187,938
4,025,000 5.75%, 08/15/03 Aaa 4,067,766
250,000 6.50%, 08/15/05 Aaa 263,906
6,785,000 6.88%, 05/15/06 Aaa 7,349,003
-------------
19,749,386
-------------
Federal Home Loan
Mortgage Corporation - 5.90%
2,000,000 5.48%, 07/14/98 (F) Aaa 1,996,042
231,852 9.50%, 03/01/01, Pool # 200029 Aaa 239,473
86,752 6.50%, 06/01/04, Pool # 548801 Aaa 86,318
161,150 6.50%, 08/01/04, Pool # 181863 Aaa 161,377
1,141,422 7.50%, 01/01/07, Pool # E00071 Aaa 1,173,793
276,132 8.00%, 04/01/07, Pool # 170014 Aaa 285,095
312,861 8.00%, 09/01/08, Pool # 530125 Aaa 321,581
195,155 8.00%, 04/01/09, Pool # 534627 Aaa 198,998
127,668 8.00%, 06/01/09, Pool # 184989 Aaa 131,548
267,143 8.00%, 08/01/09, Pool # 546108 Aaa 275,262
3,009,123 7.00%, 08/01/10, Pool # E20187 Aaa 3,064,159
31,480 7.00%, 09/01/11, Pool # E65257 Aaa 32,053
452,667 7.00%, 11/01/11, Pool # E65777 Aaa 460,915
1,021,478 7.00%, 12/01/11, Pool # E20276 Aaa 1,040,089
1,281,144 7.90%, 07/01/16, Pool # W30001 Aaa 1,371,425
434,934 8.75%, 05/01/17, Pool # A00870 Aaa 461,400
356,376 7.50%, 10/01/18, Pool # 304313 Aaa 362,748
533,549 9.50%, 08/01/19, Pool # 555229 Aaa 567,354
16,394 9.50%, 08/01/20, Pool # A00742 Aaa 17,706
24,031 10.00%, 10/01/20, Pool # D06613 Aaa 26,265
202,997 10.00%, 12/01/20, Pool # D13442 Aaa 221,693
245,119 9.50%, 02/01/21, Pool # D06612 Aaa 264,353
-------------
12,759,647
-------------
Government National
Mortgage Association - 5.80%
1,100,963 9.50%, 02/15/06, Pool # 780238 Aaa 1,158,326
224,231 6.50%, 09/15/08, Pool # 357124 (A) Aaa 226,705
129,227 9.00%, 08/15/16, Pool # 165233 (A) Aaa 139,699
172,832 9.00%, 08/15/16, Pool # 173341 (A) Aaa 186,838
213,855 8.00%, 08/15/22, Pool # 323199 (A) Aaa 222,578
934,757 7.00%, 05/15/23, Pool # 352154 (A) Aaa 951,770
939,594 7.00%, 06/15/23, Pool # 349678 (A) Aaa 956,695
3,345,076 6.50%, 01/15/24, Pool # 370999 Aaa 3,348,922
102,071 8.00%, 09/15/26, Pool # 421495 Aaa 105,770
296,483 8.00%, 09/15/26, Pool # 431341 Aaa 307,228
924,880 8.00%, 09/15/26, Pool # 436476 Aaa 958,398
4,000,000 6.50%, 08/01/28 (B) Aaa 3,981,252
-------------
12,544,181
-------------
Total U.S. Government
and Agency Obligations 104,312,308
(Cost $100,104,422) -------------
CORPORATE NOTES AND BONDS - 35.80%
Finance - 11.81%
1,000,000 AON Capital Trust, Series A
8.50%, 01/01/27 A 1,157,542
1,500,000 AT&T Capital Corp., MTN
6.25%, 05/15/01 Baa 1,500,502
1,925,000 BankBoston
6.38%, 03/25/08 A 1,929,325
1,450,000 BCH Cayman Islands
Yankee Subordinated Note, Guaranteed
6.50%, 02/15/06 A 1,462,838
2,000,000 Chase Manhattan Corp.
6.38%, 02/15/08 A 2,001,660
500,000 Coles Myer Finance USA, Ltd., Series A,
MTN 5.45%, 07/16/98 A 500,010
1,000,000 Compass Trust I
8.23%, 01/15/27 A 1,095,467
See Notes to Financial Statements.
F-35
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Finance (continued)
$ 1,500,000 Conseco Financing Trust III
8.80%, 04/01/27 Ba $ 1,704,196
1,075,000 First Empire Capital Trust I
8.23%, 02/01/27 A 1,178,122
1,300,000 Ford Motor Credit Co.
6.25%, 12/08/05 A 1,305,924
1,805,000 General Motors Acceptance Corp.
5.88%, 01/22/03 A 1,788,186
1,750,000 Homeside Lending, Inc., MTN
6.88%, 05/15/00 A 1,773,728
1,750,000 MBNA Corp., MTN
6.96%, 09/12/02 Baa 1,787,366
2,000,000 Star Banc Corp., Series A, MTN
6.97%, 05/01/00 A 2,031,632
1,000,000 Travelers Group, Inc.
7.25%, 05/01/01 A 1,031,987
1,700,000 The Money Store, Inc.
8.05%, 04/15/02 Ba 1,806,479
1,500,000 U.S. West Capital Funding
6.13%, 07/15/02 A 1,500,173
-------------
25,555,137
-------------
Utilities - 3.95%
2,195,000 Connecticut Light & Power Co.
First Mortgage, Series 94D
7.88%, 10/01/24 Ba 2,351,927
1,000,000 Empresa Electrica Pehuenche SA
Yankee Note
7.30%, 05/01/03 Baa 1,010,732
2,000,000 K.N. Energy, Inc., Senior Note
6.45%, 03/01/03 Baa 2,008,146
1,250,000 Philadelphia Electric Co.
First Mortgage, Series 1992
7.50%, 01/15/99 Baa 1,259,614
1,100,000 Sithe/Independence Funding Corp.
Guaranteed, Series A
9.00%, 12/30/13 Baa 1,312,938
580,000 Texas Utilities Electric Co.
7.38%, 10/01/25 Baa 600,271
-------------
8,543,628
-------------
Industry - 3.83%
1,225,000 Chesapeake Corp.
7.00%, 03/15/05 Baa 1,279,645
1,900,000 Donohue Forest Products, Inc.
Senior Note
7.63%, 05/15/07 Baa 2,022,029
1,350,000 Georgia Gulf Corp.
7.63%, 11/15/05 Ba 1,391,462
2,000,000 News America Holdings, Inc.
7.38%, 10/17/08 Baa 2,094,924
1,500,000 Tyco International Group SA
Yankee Subordinated Note
6.25%, 06/15/13 Baa 1,495,527
-------------
8,283,587
-------------
Communications - 2.89%
1,225,000 LCI International, Inc., Senior Note
7.25%, 06/15/07 Baa 1,229,220
2,550,000 TCI Communications, Inc.,
Senior Debenture
7.88%, 02/15/26 Baa 2,863,578
2,000,000 WorldCom, Inc., Note
7.75%, 04/01/07 Baa 2,160,512
-------------
6,253,310
-------------
Securities Brokers and Dealers - 2.46%
2,045,000 Donaldson Lufkin & Jennrette, Inc.
Senior Note
6.88%, 11/01/05 A 2,112,327
1,500,000 Legg Mason, Inc., Senior Note
6.50%, 02/15/06 Baa 1,512,694
1,700,000 Paine Webber Group, Inc., Senior Note
6.55%, 04/15/08 Baa 1,705,753
-------------
5,330,774
-------------
Transportation - 2.35%
1,300,000 AMR Corp.
9.50%, 05/15/01 Baa 1,414,720
900,000 Consolidated Freightways, Inc.
9.13%, 08/15/99 Baa 927,409
2,003,000 United Air Lines, Inc.
9.00%, 12/15/03 Baa 2,241,821
446,443 United Air Lines, Inc.
9.30%, 03/22/08 Baa 512,065
-------------
5,096,015
-------------
Oil, Gas, and Petroleum - 2.21%
700,000 Southwest Gas Corp.
Debenture, Series F
9.75%, 06/15/02 Baa 785,188
1,500,000 Tennessee Gas Pipeline Co.
7.50%, 04/01/17 Baa 1,637,995
800,000 Union Pacific Resources, Co.
6.50%, 05/15/05 Baa 805,468
1,500,000 Valero Energy Corp., MTN
7.50%, 05/31/01 (H) BBB 1,547,071
-------------
4,775,722
-------------
Book Publishing - 1.09%
1,230,000 Time Warner, Inc., Debenture
8.05%, 01/15/16 Baa 1,403,242
750,000 Time Warner, Inc., Debenture
9.15%, 02/01/23 Baa 951,713
-------------
2,354,955
-------------
Technology - 0.92%
2,000,000 Computer Associates International, Inc.
6.25%, 04/15/03 (G) Baa 2,000,824
-------------
See Notes to Financial Statements.
F-36
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
Electronics - 0.81%
$ 1,700,000 Clear Channel Communications, Inc.
7.25%, 10/15/27 Baa $ 1,751,442
------------
Processed Foods - 0.78%
1,500,000 Ralston Purina Co.
7.75%, 10/01/15 Baa 1,679,812
------------
Manufacturing - 0.70%
1,500,000 Black & Decker Corp.
6.63%, 11/15/00 Baa 1,515,546
------------
Pharmaceuticals - 0.70%
1,500,000 Watson Pharmaceuticals, Inc.
7.13%, 05/15/08 Ba 1,503,997
------------
Media - 0.53%
1,125,000 Hearst-Argyle Television, Inc.
7.00%, 01/15/18 Baa 1,141,763
------------
Engineering and Construction - 0.40%
850,000 Pulte Corp., Senior Note
7.00%, 12/15/03 Baa 874,131
------------
Consumer Products - 0.37%
675,000 Time Warner Entertainment Co., LP
Senior Debenture
8.38%, 03/15/23 Baa 790,259
------------
Total Corporate Notes and Bonds 77,450,902
(Cost $77,256,916) ============
ASSET-BACKED SECURITIES (A) - 14.71%
1,743,925 Associates Manufactured Housing
6.70%, 03/15/27 Aaa 1,754,894
2,350,000 BankBoston RV Asset Backed Trust
1997-1, Series A8
6.54%, 02/15/09 Aaa 2,383,934
2,000,000 Barnett Auto Trust, 1997-A, A3
6.03%, 11/15/01 Aaa 2,004,500
1,620,686 Bear Stearns Mortgage Securities, Inc.
1995-1, Series 1A, CMO
6.48%, 05/25/10 Aaa 1,627,347
1,250,000 Bear Stearns Mortgage Securities, Inc.
1996-1, Series A10, CMO
7.75%, 06/25/27 Aaa 1,290,065
750,000 Carco Auto Loan Master Trust,
1997-1, Series A
6.69%, 08/15/04 Aaa 761,565
3,000,000 Chase Manhattan Auto Owner Trust
1998-A, Series A3
5.70%, 09/17/01 Aaa 2,994,780
1,075,000 Comcast Cable Communications, Inc.
8.13%, 05/01/04 Baa 1,168,901
1,684,760 Financial Asset Securitization, Inc.
1997-NAMC, Series FXA2, CMO
7.75%, 05/25/27 (H) Aaa 1,738,587
1,599,526 First Plus Home Loan Owner Trust
1996-2, Series A5
7.47%, 02/20/11 Aaa 1,636,187
1,414,700 General Motors Acceptance Corp.
1996-C1, Series A2A, CMO
6.79%, 10/15/28 A 1,446,715
440,877 Green Tree Financial Corp., 1992-1
Series A3
6.70%, 10/15/17 Aaa 443,487
1,700,000 Green Tree Financial Corp., 1994-1
Series A3
6.90%, 04/15/19 Aaa 1,717,731
128,325 Green Tree Financial Corp., 1994-2
Series A2
7.35%, 05/15/19 Aaa 128,784
173,024 Green Tree Financial Corp., 1994-8
Series A3
8.25%, 04/15/25 Aaa 173,856
378,745 Green Tree Recreation
Equipment & Consumer Trust
1997-B, Series A1
5.55%, 02/15/18 Aaa 377,237
1,098,838 Green Tree Recreation
Equipment & Consumer Trust
6.55%, 07/15/28 (H) Aaa 1,117,408
187,498 NationsBank Auto Grantor Trust
1995-A, Series B
6.00%, 06/15/02 A 187,777
1,950,000 Olympic Automobile Receivables Trust
Series 1996-A, Class A-4
5.85%, 07/15/01 Aaa 1,950,780
1,000,000 PSB Lending Home Loan Owner Trust
1997-3, Series A2
6.57%, 02/20/13 Aaa 1,009,190
1,560,000 Residential Asset Securities Trust
7.50%, 11/25/11 Aaa 1,574,992
1,750,000 Resolution Trust Corp.
1995-C1, Series A4C, CMO
6.85%, 02/25/27 Aaa 1,759,153
775,000 Vendee Mortgage Trust, 1997-1
Series 2B, CMO
7.50%, 09/15/01 NR 783,914
38,273 Western Financial Grantor Trust
1994-2, Series A2
6.38%, 09/01/99 Aaa 38,322
183,151 Western Financial Grantor Trust
1995-2, Series A2
7.10%, 07/01/00 Aaa 184,259
1,575,000 WFS Financial Owner Trust, 1998-B
6.05%, 04/20/03 # Aaa 1,573,805
------------
Total Asset-Backed Securities 31,828,170
(Cost $30,410,389) ------------
See Notes to Financial Statements.
F-37
<PAGE>
- --------------------------------------------------------------------------------
INVESTMENT GRADE INCOME FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value Moody's Ratings (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (F) - 7.61%
$ 2,500,000 BBL North America
5.51%, 07/09/98, (H) A $ 2,496,938
4,000,000 Budget Funding Corp.
5.58%, 07/14/98, (H) A 3,991,939
2,500,000 Ciesco
5.50%, 07/14/98 Aa 2,495,034
2,200,000 CitiCorp
5.50%, 07/14/98 Aa 2,195,630
1,300,000 Ford Motor Credit Corp
5.49%, 07/14/98 A 1,297,422
2,000,000 Goldman Sachs Group
5.51%, 07/10/98 A 1,997,245
2,000,000 Republic Industrial Funding
5.55%, 07/13/98 A 1,996,300
-------------
Total Commercial Paper 16,470,508
(Cost $16,470,508) -------------
REPURCHASE AGREEMENT - 2.31%
5,000,000 First Union Repurchase Agreement
6.65%, 07/01/98, Dated 06/30/98
Repurchase Price $5,000,924
(Collateralized by RBMG Funding Co., 5.84%
Due 10/25/29; Total Par $5,250,000;
Market Value $5,250,000) NR 5,000,000
-------------
Total Repurchase Agreement 5,000,000
(Cost $5,000,000) -------------
INVESTMENT COMPANY - 0.05%
104,862 SSgA Prime Money Market Fund NR $ 104,862
-------------
Total Investment Company 104,862
(Cost $104,862) -------------
Total Investments - 108.69%
(Cost $229,347,097) 235,166,750
-------------
Net Assets and Other Liabilities - (8.69)% (18,808,255)
-------------
Net Assets - 100.00% $ 216,358,495
=============
- -----------------------------------------------
(A) Pass Through Certificates
(B) Forward Commitments
(C) Designated as collateral on Forward Commitment, par value of $6,115,000.
(D) Designated as collateral on Forward Commitment, par value of $4,565,000.
(E) Designated as collateral on Forward Commitment, par value of $5,600,000.
(F) Effective yield at time of purchase
(G) Security exempt from registration under rule 144A or the Securities Act
of 1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1998, this
security amounted to $2,000,824 or 0.92% of net assets.
(H) Standard & Poor's ("S&P") credit ratings are used in the absence of a
rating by Moody's Investors, Inc.
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REMIC Real Estate Mortgage Conduit
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $229,347,097. Net unrealized appreciation (depreciation) aggregated
$5,819,653, of which $6,010,548 related to appreciated investment securities and
$(190,895) related to depreciated investment securities.
As of December 31, 1997, the Portfolio had a capital loss carryforward of
$1,388,318 which expires 2002.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $84,027,623
and $78,523,404 of non-governmental issuers, respectively, and $34,399,894 and
$26,450,073 of 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:
Moody's Ratings S&P Ratings
Aaa 55.16% AAA 1.21%
Aa 1.99 A 2.76
A 11.82 BBB 0.66
Baa 20.18
Ba 3.72
NR (Not Rated) 2.50
-------- -------
95.37% 4.63%
======== =======
See Notes to Financial Statements.
F-38
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 85.51%
U.S. Treasury Notes - 38.81%
$ 3,950,000 7.13%, 02/29/00 $ 4,048,750
3,000,000 6.50%, 08/31/01 3,080,625
6,025,000 6.38%, 09/30/01 6,168,094
1,000,000 6.25%, 02/28/02 1,022,813
4,525,000 5.75%, 08/15/03 4,573,078
6,350,000 6.88%, 05/15/06 6,877,844
------------
25,771,204
------------
Federal National Mortgage Association - 21.72%
1,850,000 6.45%, 04/23/01, MTN 1,887,116
1,000,000 6.20%, 07/10/03, Note 993,583
825,919 7.38%, 08/17/03, REMIC, (A) 838,572
1,300,000 5.80%, 12/10/03, Note 1,305,248
350,000 6.40%, 01/13/04, Note 350,096
950,000 6.82%, 08/23/05, MTN 1,012,480
1,147,434 7.50%, 03/01/07, Pool # 50545 (A) 1,179,447
1,200,000 6.57%, 08/22/07, MTN 1,270,413
1,097,108 6.50%, 05/01/08, Pool # 50730, (A) 1,104,963
1,300,000 8.40%, 02/25/09, Class A3,
Series 1996-W2, CMO, (A) 1,376,805
108,180 8.00%, 04/01/09, Pool # 111253, (A) 111,212
476,642 7.00%, 01/01/10, Pool # 303194 485,388
439,113 6.40%, 11/25/10, Class A2,
Series 1995-T2, REMIC, (A) 441,138
73,549 7.00%, 05/01/17, Pool # 68635, (A) 74,596
708,154 8.00%, 09/01/21, Pool # 70941, (A) 735,793
1,250,000 7.00%, 06/25/26, Class A3,
Series 1996-M6, REMIC, (A) 1,256,400
------------
14,423,250
------------
Federal Home Loan Mortgage Corporation - 8.67%
241,749 9.50%, 03/01/01, Pool # 200029 249,695
1,000,000 5.99%, 03/06/01, Bond 996,515
61,883 6.50%, 06/01/04, Pool # 548801, (A) 61,573
140,644 6.50%, 08/01/04, Pool # 181863, (A) 140,842
434,553 7.50%, 02/01/07, Pool # E00075, (A) 446,877
312,861 8.00%, 09/01/08, Pool # 530125, (A) 321,581
1,109,649 6.50%, 02/01/09, Pool # E00279, (A) 1,119,015
221,508 8.00%, 04/01/09, Pool # 534627, (A) 225,869
79,799 8.00%, 06/01/09, Pool # 184989, (A) 82,224
267,144 8.00%, 08/01/09, Pool # 546108, (A) 275,262
139,123 8.00%, 09/01/09, Pool # 273699, (A) 141,863
337,143 7.90%, 07/01/16, Pool # W30001, (A) 360,901
259,979 8.00%, 06/01/19, Pool # 544250, (A) 269,630
246,541 10.00%, 03/01/21, Pool # A00969, (A) 269,456
797,140 6.50%, 06/01/23, Pool # N30118, (A) 798,527
------------
5,759,830
------------
Federal Farm Credit Bank - 5.29%
2,000,000 6.71%, 04/25/01, MTN 2,052,478
1,400,000 6.65%, 08/08/03, MTN 1,457,636
------------
3,510,114
------------
Government National Mortgage Association (A) - 4.63%
328,046 9.50%, 02/15/06, Pool # 780238 345,138
91,062 8.00%, 12/15/06, Pool # 014758 95,517
87,780 6.50%, 06/15/09, Pool # 376548 88,735
1,859,301 7.00%, 06/15/09, Pool # 374332 1,904,593
627,335 7.00%, 06/15/12, Pool # 411797 642,309
------------
3,076,292
------------
Federal Home Loan Bank - 2.56%
550,000 6.55%, 03/07/05, Note, Series FX05 575,503
1,100,000 6.19%, 05/06/08, Series EB08 1,126,812
------------
1,702,316
------------
U.S. Treasury Bond - 2.16%
1,100,000 10.75%, 08/15/05 1,431,032
------------
U.S. Government Backed Bond - 1.67%
1,100,000 Tennessee Valley Authority, Series D
6.00%, 11/01/00 1,108,392
------------
Total U.S. Government and Agency Obligations 56,782,430
(Cost $56,091,422) ------------
ASSET-BACKED SECURITIES (A) - 11.03%
1,500,000 American Express Master Trust, 1998-1, Series A
5.90%, 04/15/04 1,493,496
1,170,921 Associates Manufactured Housing, 1996-1, Series A2
6.70%, 03/15/27 1,178,286
1,550,000 Chase Credit Card Master Trust, 1997-2, Series A
6.30%, 04/15/03 1,567,515
1,500,000 Discover Card Master Trust, 1998-2, Series A
5.80%, 09/16/03 1,501,215
111,125 Green Tree Financial Corp.
Class A3, Series 1994-7
8.00%, 03/15/20 111,498
60,599 Green Tree Recreation Equipment & Consumer Trust
Class A1, Series 1996-A
5.55%, 02/15/18 60,358
1,400,000 Premier Auto Trust, 1996-4, Series A4
6.40%, 10/06/01 1,410,444
------------
Total Asset-Backed Securities 7,322,812
(Cost $7,313,297) ------------
See Notes to Financial Statements.
F-39
<PAGE>
- --------------------------------------------------------------------------------
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANY - 2.00%
1,327,510 SSgA Prime Money Market Fund $ 1,327,510
------------
Total Investment Company 1,327,510
(Cost $1,327,510) ------------
Total Investments - 98.54% 65,432,752
(Cost $64,732,229) ------------
Net Other Assets and Liabilities - 1.46% 969,961
------------
Net Assets - 100.00% $ 66,402,713
============
- ----------------------------------------------
(A) Pass Through Certificates
CMO Collateralized Mortgage Obligations
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $64,732,229. Net unrealized appreciation (depreciation) aggregated $700,523,
of which $799,955 related to appreciated investment securities and $(99,432)
related to depreciated investment securities.
As of December 31, 1997, the Portfolio had a capital loss carryforwards which
expire as follows: $1,544,794 in 2002, $515,322 in 2003, $461,593 in 2004; and
$64,602 in 2005.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $10,628,738
and $8,620,927 of non-governmental issuers, respectively, and $25,401,612 and
$18,253,499 of 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:
Moody's Ratings (Unaudited)
Aaa 98.00%
NR (Not Rated) 2.00
------
100.00%
======
See Notes to Financial Statements.
F-40
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CORPORATE NOTES AND BONDS - 32.13%
Finance - 16.81%
$3,165,000 Abbey National Treasury Services, Plc
6.50%, 12/21/98 $ 3,171,659
5,000,000 American Honda Finance Corp., MTN
5.66%, 10/23/98 (B) 5,000,172
2,000,000 Asset-Backed Capital Finance, Inc.
5.68%, 09/23/98 (B) * 2,000,000
1,000,000 Associates Corp.of North America
6.75%, 06/28/99 1,007,609
2,500,000 Avco Financial Service, Inc., MTN
5.63%, 11/17/98 * 2,500,000
3,000,000 Bell Atlantic Financial Services, MTN
5.30%, 09/01/98 2,997,548
3,500,000 CIT Group Holdings, Inc., Senior MTN
5.57%, 01/27/99 * 3,499,023
2,500,000 CIT Group Holdings, Inc., Senior MTN
6.20%, 06/17/99 2,510,370
1,000,000 Compass Auto Receivables Trust
5.66%, 07/15/99 1,000,000
700,000 Ford Motor Credit Co., MTN
8.21%, 03/16/99 711,722
4,000,000 General Motors Acceptance Corp., MTN
5.56%, 09/21/98 * 3,999,378
3,650,000 General Motors Acceptance Corp., MTN
5.70%, 02/09/99 3,647,458
1,500,000 Household Financial Corp., Ltd., Senior Note
7.13%, 04/30/99 1,515,319
2,500,000 New England Loan Marketing Corp., MTN
5.85%, 07/17/98 * 2,500,210
6,000,000 New England Loan Marketing Corp., MTN
5.83%, 09/18/98 * 6,002,431
1,000,000 PACCAR Financial Corp., MTN
6.46%, 05/19/99 1,005,662
2,250,000 Sears Roebuck Acceptance Corp., MTN
6.54%, 05/06/99 2,263,760
------------
45,332,321
------------
Security Brokers and Dealers - 7.67%
5,000,000 Bear Stearns Cos., Inc., Series B, MTN
5.66%, 08/25/98 * 5,000,000
2,000,000 Lehman Brothers Holdings, Inc., MTN
6.65%, 07/14/98 2,000,553
5,500,000 Paine Webber Group, Inc., MTN
5.75%, 11/04/98 * 5,500,000
1,000,000 Paine Webber Group, Inc., MTN
8.45%, 12/16/98 1,011,264
5,000,000 Paine Webber Group, Inc., MTN
5.75%, 03/10/99 * 5,000,000
1,164,000 Salomon-Smith Barney Holdings
5.50%, 01/15/99 1,161,979
1,000,000 Shearson-Lehman Holdings, Inc., MTN
6.08%, 07/08/98 1,000,054
------------
20,673,850
------------
Commercial Banks - 4.29%
$2,000,000 First Chicago Corp.
9.00%, 06/15/99 $ 2,058,609
1,000,000 First Interstate Bancorp, Senior Subordinated Note
8.63%, 04/01/99 1,020,314
3,500,000 First Union National Bank, MTN
5.79%, 04/30/99 * 3,500,000
3,000,000 Key Bank N.A., MTN
5.76%, 01/14/99 * 2,999,563
1,000,000 Norwest Corp., Series G, MTN
6.00%, 10/13/98 1,000,116
1,000,000 Wells Fargo & Co., Euro-Dollar
5.81%, 07/31/98 * 1,000,070
------------
11,578,672
------------
Communication - 1.89%
2,000,000 MCI Communications Corp.
5.88%, 03/16/99 * 2,001,935
3,100,000 Nippon Telegraph & Telephone Corp.
9.50%, 07/27/98 3,107,607
------------
5,109,542
------------
Insurance - 0.90%
2,400,000 SunAmerica, Inc.
9.00%, 01/15/99 2,438,323
------------
Utilities - 0.38%
1,000,000 Virginia Electric & Power Co., MTN, Series C
9.30%, 06/09/99 1,032,435
------------
Retail - 0.19%
500,000 Sears Roebuck Co., Debenture
8.20%, 04/15/99 * 508,866
------------
Total Corporate Notes and Bonds 86,674,009
(Cost $86,674,009) ------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.55%
Federal Home Loan Bank - 0.81%
2,200,000 5.78%, 05/14/99 2,198,806
------------
Federal Farm Credit Bank (A) - 0.74%
2,000,000 5.50%, 08/12/98 1,987,167
------------
Total U.S. Government
Agency Obligations 4,185,973
(Cost $4,185,973) ------------
See Notes to Financial Statements.
F-41
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER - 48.17%
Finance - 23.56%
$6,500,000 Asset-Backed Capital Finance, Inc.
5.54%, 11/16/98 (C) $ 6,361,962
1,450,000 Budget Funding Corp.
5.57%, 07/09/98 (A) 1,448,194
2,250,000 China Merchants (Cayman), Inc.
5.55%, 08/26/98 (A) 2,230,575
3,000,000 Den Norske Stats Oljeselska
5.52%, 08/27/98 (A) 2,973,780
4,000,000 Harley-Davidson Dealer Funding Corp.
5.55%, 07/08/98 (A) 3,995,683
2,300,000 Harley-Davidson Dealer Funding Corp.
5.55%, 07/22/98 (A) 2,292,554
400,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 07/06/98 (A) 399,692
618,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 07/28/98 (A) 615,428
4,397,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 08/11/98 (A) 4,369,223
1,300,000 Jefferson Smurfit Finance Corp., Series B
5.55%, 08/18/98 (A) 1,290,380
1,672,000 Jefferson Smurfit Finance Corp., Series B
5.54%, 08/25/98 (A) 1,657,848
5,000,000 Mitsubishi Motors Credit of America, Inc.
5.65%, 09/11/98 (A) 4,943,500
2,000,000 Pegasus Two, Ltd.
5.57%, 07/29/98 (C) 1,991,336
3,000,000 Pegasus Two, Ltd.
5.62%, 09/09/98 (C) 2,967,625
2,000,000 Prudential Funding Corp.
5.44%, 09/16/98 (A) 1,976,729
5,000,000 Republic Industrial Funding Corp.
5.54%, 07/22/98 (A) 4,983,842
3,000,000 Standard Credit Card Master Trust
5.53%, 07/14/98 (C) 2,994,009
1,700,000 Toshiba Capital (Asia) Corp.
5.77%, 08/14/98 (A) 1,688,011
1,000,000 Toshiba Capital (Asia) Corp.
5.75%, 09/01/98 (A) 990,097
1,500,000 Toshiba Capital (Asia) Corp.
5.77%, 10/06/98 (A) 1,476,680
3,000,000 Trident Capital Finance, Inc.
5.54%, 07/07/98 (C) 2,997,230
8,000,000 Westways Funding I, Ltd.
5.55%, 08/28/98 (C) 7,928,467
1,000,000 Westways Funding II, Ltd.
5.55%, 09/16/98 (C) 988,129
------------
63,560,974
------------
Banking- 8.19%
1,225,743 BankBoston
5.41%, 07/20/98 (A) 1,222,244
1,500,000 Corestates Bank
5.45%, 09/08/98 (A) 1,484,331
3,000,000 Den Norske Bank
5.47%, 08/10/98 (A) 2,981,767
6,000,000 Den Norske Bank
5.51%, 08/18/98 (A) 5,955,920
1,087,872 European American Bank
5.51%, 07/15/98 (A) 1,085,583
6,500,000 Household International, Inc.
5.58%, 07/15/98 (C) 6,485,895
3,000,000 UniBanco - Grand Cayman
5.49%, 04/15/99 (A) 2,868,240
------------
22,083,980
------------
Securities Brokers and Dealers - 7.67%
2,000,000 Bear Stearns Co., Inc.
5.52%, 07/22/98 (A) 1,993,560
3,000,000 Bear Stearns Co., Inc.
5.51%, 11/24/98 (A) 2,932,962
6,000,000 BT Alex Brown, Inc.
5.47%, 12/16/98 (A) 5,846,560
1,500,000 Donaldson Lufkin & Jenrette, Inc.
5.75%, 07/27/98 (A) 1,493,771
5,000,000 Donaldson Lufkin & Jenrette, Inc.
5.67%, 08/12/98 (A) 4,966,983
3,500,000 Donaldson Lufkin & Jenrette, Inc.
5.66%, 09/23/98 (A) 3,453,777
------------
20,687,613
------------
Utilities - 4.05%
11,000,000 Electricity Corp. of New Zealand
5.62%, 08/11/98 (A) 10,929,617
------------
Energy - 3.33%
9,000,000 Texaco, Inc.
5.46%, 07/16/98 (A) 8,979,525
------------
Industry - 1.37%
3,765,000 Monsanto Co.
5.52%, 10/15/98 (C) 3,703,806
------------
Total Commercial Paper 129,945,515
(Cost $129,945,515) ------------
See Notes to Financial Statements.
F-42
<PAGE>
- --------------------------------------------------------------------------------
MONEY MARKET FUND
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS, Continued . June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Value
Par Value (Note 2)
- --------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT - 13.53%
$2,500,000 Bankers Trust Co.
5.92%, 07/17/98 $ 2,499,969
7,000,000 Barclays Bank Plc
5.67%, 12/16/98 6,999,765
3,000,000 Deutsche Bank Financial
5.95%, 10/26/98 2,999,541
5,000,000 First Tennessee Bank
5.75%, 01/22/99 5,000,000
4,500,000 National Bank of Canada
5.73%, 06/07/99 4,497,585
5,000,000 Sanwa Bank, Ltd., New York
5.97%, 09/30/98 5,000,124
6,500,000 Societe Generale, New York
5.77%, 09/11/98 6,499,836
3,000,000 Societe Generale, New York
5.97%, 09/15/98 3,000,060
------------
Total Certificates of Deposit 36,496,880
------------
(Cost $36,496,880)
REPURCHASE AGREEMENT - 3.71%
10,000,000 First Union Repurchase Agreement
6.65%, 7/1/98, Dated 6/30/98
Repurchase Price $10,001,847
(Collateralized by First Alliance
Mortgage Loan Trust
7.20%, Due 6/20/28,
Total Par $14,237,000;
Market Value $14,418,237) NR 10,000,000
------------
Total Repurchase Agreement 10,000,000
------------
(Cost $10,000,000)
Value
Shares (Note 2)
- --------------------------------------------------------------------------------
INVESTMENT COMPANY - 0.20%
525,796 SSgA Prime Money Market $ 525,796
------------
Total Investment Company 525,796
------------
(Cost $525,796)
Total Investments - 99.29% 267,828,173
------------
(Cost $267,828,173)
Net Other Assets and Liabilities - 0.71% 1,914,613
------------
Net Assets - 100.00% $269,742,786
============
- -------------------------------------------------------
* Variable rate security. The rate shown reflects rate in effect at June
30, 1998.
(A) Effective yield at time of purchase
(B) Security exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold, in transactions exempt from
registration, to qualified institutional buyers. At June 30, 1998, these
securities amounted to $7,000,172 or 2.60% of net assets.
(C) Security exempt from registration under section 4(2) of the Securities
Act of 1933, as amended. This security may be resold to qualified
institutional buyers. At June 30, 1998, these securities amounted to
$36,418,459 or 13.50% of net assets.
MTN Medium Term Note
FEDERAL INCOME TAX INFORMATION (SEE NOTE 2)
At June 30, 1998, the aggregate cost of investment securities for tax purposes
was $267,831,189.
As of December 31, 1997, the Portfolio had a capital loss carryforwards which
expire as follows: $347 in 2002, $144 in 2003, $35,977 in 2004; and $8,154 in
2005.
OTHER INFORMATION
For the six months ended June 30, 1998, the aggregate cost of purchases and the
proceeds of sales, other than from short-term investments, included $95,752,178
and $56,496,506 of non-governmental issuers, respectively.
Moody's Ratings
Aaa 96.09%
NR (Not Rated) 3.91
------
100.00%
======
See Notes to Financial Statements.
F-43
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (in 000's). June 30, 1998 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Select Select
Select Select Capital Value Select
Emerging Aggressive Appreciation Opportunity International
Markets Fund Growth Fund Fund Fund Equity Fund
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost......................... $ 21,983 $ 579,079 $ 270,288 $ 222,218 $ 398,483
Repurchase agreements at cost............... -- -- -- -- --
Net unrealized appreciation (depreciation).. (3,192) 171,837 8,194 20,994 96,483
----------- ----------- ------------ ----------- -----------
Total investments at value................ 18,791 750,916 278,482 243,212 494,966
Cash ........................................ 233 -- 1,442 15 3,934
Foreign currency
(Cost $259 and $4,825 respectively)
(Notes 2 and 7)............................. 256 -- -- -- 6,958
Short-term investments held as collateral
for securities loaned (Note 2).............. -- 109,199 -- -- 32,911
Receivable for investments sold................ 46 -- 2,155 1,712 30,505
Receivable for shares sold .................... 51 637 356 409 93
Receivable for foreign currency sold........... 46 -- -- -- 4,576
Interest and dividend receivables.............. 105 141 55 108 3,977
Receivable from investment adviser (Note 4).... -- -- -- -- --
Deferred organizational expense (Note 2)....... -- -- 2 -- --
Dividend tax reclaim receivables............... -- -- -- -- 742
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8).. -- -- -- -- 681
----------- ----------- ------------ ----------- -----------
Total Assets.............................. 19,528 860,893 282,492 245,456 579,343
----------- ----------- ------------ ----------- -----------
LIABILITIES:
Payable for investments purchased.............. 195 3,794 1,900 2,200 36,330
Foreign currency (Cost $1,614)................. -- -- 2,031 -- --
Payable for foreign currency purchased......... 192 -- -- -- 14,749
Payable for shares repurchased................. -- -- -- 3 737
Payable to custodian........................... -- 23 -- -- --
Payable for variation margin................... -- -- -- -- --
Collateral for securities loaned............... -- 109,199 -- -- 32,911
Advisory fee payable (Note 3).................. 31 515 203 177 352
Trustees' fees and expenses payable............ -- 6 2 2 4
Accrued expenses and other payables ........... 78 169 148 48 181
----------- ----------- ------------ ----------- -----------
Total Liabilities......................... 496 113,706 4,284 2,430 85,264
----------- ----------- ------------ ----------- -----------
NET ASSETS..................................... $ 19,032 $ 747,187 $ 278,208 $ 243,026 $ 494,079
=========== =========== ============ =========== ===========
NET ASSETS consist of
Paid-in capital (Note 6)....................... $ 22,486 $ 520,767 $ 216,513 $ 205,596 $ 392,951
Undistributed (distribution in excess of)
net investment income (loss) ............... 75 (1,233) (611) 519 2,593
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold,
foreign currency transactions and futures
contracts................................... (337) 55,816 54,530 15,917 (1,210)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts...... (3,192) 171,837 7,776 20,994 99,745
----------- ----------- ------------ ----------- -----------
TOTAL NET ASSETS .............................. $ 19,032 $ 747,187 $ 278,208 $ 243,026 $ 494,079
=========== =========== ============ =========== ===========
Shares of beneficial interest outstanding
(unlimited authorization, no par value)........ 22,616 288,798 149,981 142,405 313,385
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)................ $ 0.842 $ 2.587 $ 1.855 $ 1.707 $ 1.577
=========== =========== ============ =========== ===========
</TABLE>
See Notes to Financial Statements.
F-44
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------------------
Select Select Equity Select Growth
Growth Strategic Growth Index and Income
Fund Growth Fund Fund Fund Fund
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost........................................ $ 482,492 $ 9,257 $ 664,162 $ 256,496 $ 494,380
Repurchase agreements at cost.............................. -- -- -- -- --
Net unrealized appreciation (depreciation)................. 185,041 (88) 176,059 132,476 80,038
--------- --------- --------- --------- ---------
Total investments at value............................... 667,533 9,169 840,221 388,972 574,418
Cash.......................................................... 32 82 462 44 --
Foreign currency
(Cost $259 and $4,825 respectively)
(Notes 2 and 7)............................................ -- -- -- -- --
Short-term investments held as collateral
for securities loaned (Note 2)............................. -- -- -- -- --
Receivable for investments sold............................... 948 -- 5,562 -- 7,367
Receivable for shares sold.................................... 736 37 175 409 408
Receivable for foreign currency sold.......................... -- -- -- -- --
Interest and dividend receivables............................. 460 3 1,050 401 617
Receivable from investment adviser (Note 4)................... -- 24 -- -- --
Deferred organizational expense (Note 2)...................... -- -- -- -- --
Dividend tax reclaim receivables.............................. -- -- -- -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8)................. -- -- -- -- --
--------- --------- --------- --------- ---------
Total Assets............................................. 669,709 9,315 847,470 389,826 582,810
--------- --------- --------- --------- ---------
LIABILITIES:
Payable for investments purchased............................. 86 -- 5,945 -- 937
Foreign currency (Cost $1,614)................................ -- -- -- -- --
Payable for foreign currency purchased........................ -- -- -- -- --
Payable for shares repurchased................................ -- -- -- -- --
Payable to custodian.......................................... -- -- -- -- 241
Payable for variation margin.................................. -- -- -- 18 --
Collateral for securities loaned.............................. -- -- -- -- --
Advisory fee payable (Note 3)................................. 420 19 296 90 320
Trustees' fees and expenses payable........................... 5 -- 6 3 5
Accrued expenses and other payables........................... 126 22 166 102 113
--------- --------- --------- --------- ---------
Total Liabilities........................................ 637 41 6,413 213 1,616
--------- --------- --------- --------- ---------
NET ASSETS.................................................... $ 669,072 $ 9,274 $ 841,057 $ 389,613 $ 581,194
========= ========= ========= ========= =========
NET ASSETS consist of
Paid-in capital (Note 6)...................................... $ 460,466 $ 9,398 $ 610,398 $ 247,722 $ 451,143
Undistributed (distribution in excess of)
net investment income (loss)............................... 219 13 28 33 3
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold, foreign
currency transactions and futures contracts................ 23,346 (49) 54,572 9,333 50,010
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts..................... 185,041 (88) 176,059 132,525 80,038
--------- --------- --------- --------- ---------
TOTAL NET ASSETS.............................................. $ 669,072 $ 9,274 $ 841,057 $ 389,613 $ 581,194
========= ========= ========= ========= =========
Shares of beneficial interest outstanding
(unlimited authorization, no par value)....................... 303,519 9,271 307,652 121,400 338,414
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)............................... $ 2.204 $ 1.000 $ 2.734 $ 3.209 $ 1.717
========= ========= ========= ========= =========
<CAPTION>
--------------------------------------------------------
Select Investment Grade Government Money
Income Income Bond Market
Fund Fund Fund Fund
--------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost............................................ $ 134,540 $ 224,347 $ 64,732 $ 257,828
Repurchase agreements at cost.................................. -- 5,000 -- 10,000
Net unrealized appreciation (depreciation)..................... 2,494 5,820 701 --
--------- --------- --------- ---------
Total investments at value................................... 137,034 235,167 65,433 267,828
Cash.............................................................. -- 149 88 26
Foreign currency
(Cost $259 and $4,825 respectively)
(Notes 2 and 7)................................................ -- -- -- --
Short-term investments held as collateral
for securities loaned (Note 2)................................. -- -- -- --
Receivable for investments sold................................... 4,932 20,450 -- 350
Receivable for shares sold........................................ 348 38 90 --
Receivable for foreign currency sold.............................. -- -- -- --
Interest and dividend receivables................................. 1,271 2,372 849 1,655
Receivable from investment adviser (Note 4)....................... -- -- -- --
Deferred organizational expense (Note 2).......................... -- -- -- --
Dividend tax reclaim receivables.................................. -- -- -- --
Net unrealized appreciation on
forward currency contracts (Notes 2 and 8)..................... -- -- -- --
--------- --------- --------- ---------
Total Assets................................................. 143,585 258,176 66,460 269,859
--------- --------- --------- ---------
LIABILITIES:
Payable for investments purchased................................. 9,840 41,667 -- --
Foreign currency (Cost $1,614).................................... -- -- -- -
Payable for foreign currency purchased............................ -- -- -- -
Payable for shares repurchased.................................... -- -- -- -
Payable to custodian.............................................. 1,472 -- 2 --
Payable for variation margin...................................... -- -- -- --
Collateral for securities loaned.................................. -- -- -- -
Advisory fee payable (Note 3)..................................... 58 77 27 59
Trustees' fees and expenses payable............................... 1 2 1 2
Accrued expenses and other payables............................... 33 72 27 55
--------- --------- --------- ---------
Total Liabilities............................................ 11,404 41,818 57 116
--------- --------- --------- ---------
NET ASSETS........................................................ $ 132,181 $ 216,358 $ 66,403 $ 269,743
========= ========= ========= =========
NET ASSETS consist of
Paid-in capital (Note 6).......................................... $ 129,629 $ 210,979 $ 68,245 $ 269,806
Undistributed (distribution in excess of)
net investment income (loss)................................... 22 (5) (15) --
Accumulated (distribution in excess of) net
realized gain (loss) on investments sold, foreign
currency transactions and futures contracts.................... 35 (436) (2,528) (63)
Net unrealized appreciation (depreciation) of
investments, assets and liabilities in
foreign currency and futures contracts......................... 2,495 5,820 701 --
--------- --------- --------- ---------
TOTAL NET ASSETS.................................................. $ 132,181 $ 216,358 $ 66,403 $ 269,743
========= ========= ========= =========
Shares of beneficial interest outstanding
(unlimited authorization, no par value)........................... 128,271 192,851 63,198 269,806
NET ASSET VALUE,
Offering and redemption price per share
(Net Assets/Shares Outstanding)................................... $ 1.030 $ 1.122 $ 1.051 $ 1.000
========= ========= ========= =========
</TABLE>
F-45
<PAGE>
- -------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS (in 000's) . For the period ended June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------------------------------------
Select Select Select
Emerging Aggressive Capital
Markets Fund* Growth Fund Appreciation Fund
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)..................................... $ 65 $ 410 $ 419
Dividends (Note 2).................................... 198 1,429 326
Securities lending income (Note 2).................... -- 117 --
Less net foreign taxes withheld....................... (4) -- (12)
----------- ----------- ------------
Total investment income............................. 259 1,956 733
----------- ----------- ------------
EXPENSES
Investment advisory fees (Notes 3 and 4).............. 100 3,026 1,186
Custodian and securities lending fees (Note 3)........ 54 45 19
Fund accounting fees (Note 3)......................... 15 45 27
Legal fees............................................ -- 8 6
Audit fees............................................ 19 6 5
Trustees' fees and expenses (Note 3).................. -- 14 5
Reports to shareholders............................... 12 64 86
Amortization of organization costs (Note 2)........... -- -- 1
Insurance............................................. -- 1 --
Miscellaneous......................................... 11 2 4
----------- ----------- ------------
Total expenses before reductions and waiver......... 211 3,211 1,339
Less reductions (Note 5)............................ (1) (22) (5)
Less reimbursement/waiver (Notes 3 and 4)........... (26) -- --
----------- ----------- ------------
Total expenses net of reductions and waiver......... 184 3,189 1,334
----------- ----------- ------------
NET INVESTMENT INCOME (LOSS)............................. 75 (1,233) (601)
----------- ----------- ------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold.......... (337) 57,740 56,653
Net realized gain on futures contracts............... -- -- 336
Net realized gain (loss)
on foreign currency transactions...................... -- -- (615)
Net change in unrealized appreciation (depreciation)
of assets and liabilities in foreign currency....... (3) -- (428)
Net change in unrealized appreciation (depreciation)
of investments and futures contracts................ (3,189) 44,512 (33,082)
----------- ----------- ------------
NET GAIN (LOSS) ON INVESTMENTS........................... (3,529) 102,252 22,864
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS......................... $ (3,454) $ 101,019 $ 22,263
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
Select Select
Value Opportunity International
Fund Equity Fund
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Interest (Note 2)...................................... $ 338 $ 356
Dividends (Note 2)..................................... 1,235 6,585
Securities lending income (Note 2)..................... -- 59
Less net foreign taxes withheld........................ -- (719
----------- -----------
Total investment income.............................. 1,573 6,281
----------- -----------
EXPENSES
Investment advisory fees (Notes 3 and 4)............... 1,033 2,000
Custodian and securities lending fees (Note 3)......... 13 180
Fund accounting fees (Note 3).......................... 25 32
Legal fees............................................. 3 5
Audit fees............................................. 5 6
Trustees' fees and expenses (Note 3)................... 5 9
Reports to shareholders................................ 27 46
Amortization of organization costs (Note 2)............ -- --
Insurance.............................................. -- --
Miscellaneous.......................................... -- --
----------- -----------
Total expenses before reductions and waiver.......... 1,111 2,278
Less reductions (Note 5)............................. (42) (25)
Less reimbursement/waiver (Notes 3 and 4)............ (18) --
----------- -----------
Total expenses net of reductions and waiver.......... 1,051 2,253
----------- -----------
NET INVESTMENT INCOME (LOSS).............................. 522 4,028
----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold........... 15,974 (2,795)
Net realized gain on futures contracts................ -- --
Net realized gain (loss)
on foreign currency transactions..................... -- 5,149
Net change in unrealized appreciation (depreciation)
of assets and liabilities in foreign currency........ -- 1,657
Net change in unrealized appreciation (depreciation)
of investments and futures contracts................. (6,048) 65,658
----------- -----------
NET GAIN (LOSS) ON INVESTMENTS............................ 9,926 69,669
----------- -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS....................... $ 10,448 $ 73,697
=========== ===========
</TABLE>
- --------------------------------------------------------------------------
* The Select Emerging Markets Fund and Select Strategic Growth Fund
commenced operations on February 20, 1998.
See Notes to Financial Statements.
F-46
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
Select Select Equity Select Growth
Growth Strategic Growth Index and Income
Fund Growth Fund* Fund Fund Fund
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2).................................. $ 450 $ 14 $ 1,374 $ 91 $ 1,135
Dividends (Note 2)................................. 2,222 24 4,930 2,545 3,775
Securities lending income (Note 2)................. -- -- -- -- --
Less net foreign taxes withheld.................... -- -- -- -- --
--------- --------- --------- --------- ---------
Total investment income.......................... 2,672 38 6,304 2,636 4,910
--------- --------- --------- --------- ---------
EXPENSES
Investment advisory fees (Notes 3and 4)............ 2,356 20 1,752 502 1,826
Custodian and securities lending fees (Note 3)..... 16 5 25 26 15
Fund accounting fees (Note 3)...................... 42 11 50 37 42
Legal fees......................................... 6 -- 9 4 6
Audit fees......................................... 5 6 6 5 5
Trustees' fees and expenses (Note 3)............... 12 -- 17 7 11
Reports to shareholders............................ 48 9 56 33 40
Amortization of organization costs (Note 2)........ -- -- -- -- --
Insurance.......................................... 1 -- 1 -- 1
Miscellaneous...................................... 1 2 6 13 2
--------- --------- --------- --------- ---------
Total expenses before reductions and waiver...... 2,487 53 1,922 627 1,948
Less reductions (Note 5)......................... (53) (4) (86) -- (75)
Less reimbursement/waiver (Notes 3 and 4)........ -- (24) -- -- --
--------- --------- --------- --------- ---------
Total expenses net of reductions and waiver...... 2,434 25 1,836 627 1,873
--------- --------- --------- --------- ---------
NET INVESTMENT INCOME (LOSS).......................... 238 13 4,468 2,009 3,037
--------- --------- --------- --------- ---------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold....... 23,530 (49) 55,519 9,358 50,660
Net realized gain on futures contracts............ -- -- -- 136 --
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........................... 91,850 (88) 48,648 42,591 2,355
--------- --------- --------- --------- ---------
NET GAIN (LOSS) ON INVESTMENTS........................ 115,380 (137) 104,167 52,085 53,015
--------- --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS................... $ 115,618 $ (124) $ 108,635 $ 54,094 $ 56,052
========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Select Investment Grade Government Money
Income Income Bond Market
Fund Fund Fund Fund
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 2)...................................... $ 3,785 $ 6,568 $ 1,925 $ 7,184
Dividends (Note 2)..................................... 65 160 19 74
Securities lending income (Note 2)..................... -- -- -- --
Less net foreign taxes withheld........................ -- -- -- --
--------- --------- --------- ---------
Total investment income.............................. 3,850 6,728 1,944 7,258
--------- --------- --------- ---------
EXPENSES
Investment advisory fees (Notes 3and 4)................ 322 443 153 337
Custodian and securities lending fees (Note 3)......... 9 14 6 14
Fund accounting fees (Note 3).......................... 25 29 21 26
Legal fees............................................. 1 2 1 3
Audit fees............................................. 5 5 5 5
Trustees' fees and expenses (Note 3)................... 2 4 1 6
Reports to shareholders................................ 8 22 6 13
Amortization of organization costs (Note 2)............ -- -- -- --
Insurance.............................................. -- -- -- --
Miscellaneous.......................................... -- 1 5 9
--------- --------- --------- ---------
Total expenses before reductions and waiver.......... 372 520 198 413
Less reductions (Note 5)............................. -- -- -- --
Less reimbursement/waiver (Notes 3 and 4)............ -- -- -- --
--------- --------- --------- ---------
Total expenses net of reductions and waiver.......... 372 520 198 413
--------- --------- --------- ---------
NET INVESTMENT INCOME (LOSS).............................. 3,478 6,208 1,746 6,845
--------- --------- --------- ---------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold........... 1,105 979 124 (18)
Net realized gain 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............................... (318) 676 55 --
--------- --------- --------- ---------
NET GAIN (LOSS) ON INVESTMENTS............................ 787 1,655 179 (18)
--------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS....................... $ 4,265 $ 7,863 $ 1,925 $ 6,827
========= ========= ========= =========
</TABLE>
F-47
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (in 000's)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Emerging Select Aggressive Select Capital
Markets Fund* Growth Fund Appreciation Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Period Ended Six Months Ended Year Ended Six Months Ended Year Ended,
June 30, 1998 June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) (Unaudited) 1997 (Unaudited) 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSETS at beginning of period ...................... $ 20,010(B) $ 604,123 $ 407,442 $ 240,526 $ 142,680
--------- --------- --------- --------- ---------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ....................... 75 (1,233) (2,312) (601) (704)
Net realized gain (loss) on investments sold
and foreign currency transactions ............... (337) 57,740 38,455 56,374 244
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency ............. (3,192) 44,512 49,159 (33,510) 30,339
--------- --------- --------- --------- ---------
Net increase (decrease) in net assets
resulting from operations ....................... (3,454) 101,019 85,302 22,263 29,879
--------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income .............................. -- -- -- -- --
Distribution in excess of net investment income .... -- -- -- -- --
Net realized gain on investments ................... -- -- (45,242) -- --
Distribution in excess of net realized
gain on investments ............................. -- -- (1,941) -- --
Return of capital .................................. -- -- -- -- --
--------- --------- --------- --------- ---------
Total distributions ............................. -- -- (47,183) -- --
--------- --------- --------- --------- ---------
Capital share transactions:
Net proceeds from sales of shares .................. 2,482 50,188 125,270 29,095 72,527
Issued to shareholders in reinvestment
of distributions ................................ -- -- 47,183 -- --
Cost of shares repurchased ......................... (6) (8,143) (13,891) (13,676) (4,560)
--------- --------- --------- --------- ---------
Net increase from
capital share transactions .................. 2,476 42,045 158,562 15,419 67,967
--------- --------- --------- --------- ---------
Total increase (decrease) in net assets ......... (978) 143,064 196,681 37,682 97,846
--------- --------- --------- --------- ---------
NET ASSETS at end of period (including line A) ......... $ 19,032 $ 747,187 $ 604,123 $ 278,208 $ 240,526
========= ========= ========= ========= =========
(A) Undistributed (distribution in excess of)
net investment income (loss) .................... $ 75 $ (1,233) $ -- $ (611) $ (11)
========= ========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold ............................................... 2,612 22,230 56,853 17,274 48,567
Issued to shareholders in reinvestment
of distributions ................................ -- -- 21,321 -- --
Repurchased ........................................ (6) (4,993) (6,666) (8,972) (2,995)
--------- --------- --------- --------- ---------
Net increase in shares outstanding .............. 2,606 17,237 71,508 8,302 45,572
========= ========= ========= ========= =========
</TABLE>
- ------------------------------------------------
* The Select Emerging Markets Fund and the Select Strategic Growth Fund
commenced operations on February 20, 1998.
(B) Represents initial seed money and shares. Original shares were priced at
$1.00.
See Notes to Financial Statements.
F-48
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Select Value Select International
Opportunity Fund Equity Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period ............................ $ 202,139 $ 113,969 $ 397,915 $ 246,877
--------- --------- --------- ---------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ............................. 522 1,135 4,028 3,941
Net realized gain (loss) on investments sold
and foreign currency transactions ..................... 15,974 26,736 2,354 14,653
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency ................... (6,048) 6,770 67,315 (6,505)
--------- --------- --------- ---------
Net increase (decrease) in net assets
resulting from operations ............................. 10,448 34,641 73,697 12,089
--------- --------- --------- ---------
Distributions to shareholders from:
Net investment income .................................... (29) (1,109) (3,490) (5,222)
Distribution in excess of net investment income .......... -- -- -- (3,846)
Net realized gain on investments ......................... (836) (26,701) -- (12,588)
Distribution in excess of net realized gain on investments -- -- -- --
Return of capital ........................................ -- -- -- --
--------- --------- --------- ---------
Total distributions ................................... (865) (27,810) (3,490) (21,656)
--------- --------- --------- ---------
Capital share transactions:
Net proceeds from sales of shares ........................ 31,074 54,787 52,789 156,121
Issued to shareholders in reinvestment of distributions .. 864 27,810 3,490 21,656
Cost of shares repurchased ............................... (634) (1,258) (30,322) (17,172)
--------- --------- --------- ---------
Net increase from
capital share transactions ........................ 31,304 81,339 25,957 160,605
--------- --------- --------- ---------
Total increase (decrease) in net assets ............... 40,887 88,170 96,164 151,038
--------- --------- --------- ---------
NET ASSETS at end of period (including line A)................ $ 243,026 $ 202,139 $ 494,079 $ 397,915
========= ========= ========= =========
(A) Undistributed (distribution in excess of)
net investment income (loss) .......................... $ 519 $ 26 $ 2,593 $ 2,056
========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold ..................................................... 17,924 32,573 33,836 110,808
Issued to shareholders in reinvestment of distributions .. 506 17,084 2,096 15,986
Repurchased .............................................. (376) (754) (19,263) (12,167)
--------- --------- --------- ---------
Net increase in shares outstanding .................... 18,054 48,903 16,669 114,627
========= ========= ========= =========
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Select Growth Select Strategic
Fund Growth Fund Growth Fund
- -----------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Period Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) (Unaudited) 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSETS at beginning of period ....................... $ 470,356 $ 228,551 $ 5,010(B) $ 728,679 $ 556,751
--------- --------- --------- --------- ---------
Increase (decrease) in net assets
resulting from operations:
Net investment income (loss) ........................ 238 1,457 13 4,468 9,740
Net realized gain (loss) on investments sold
and foreign currency transactions ................ 23,530 27,996 (49) 55,519 108,102
Net change in unrealized appreciation
(depreciation) of investments and assets
and liabilities in foreign currency .............. 91,850 68,271 (88) 48,648 24,922
--------- --------- --------- --------- ---------
Net increase (decrease) in net assets
resulting from operations ........................ 115,618 97,724 (124) 108,635 142,764
--------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income ............................... (120) (1,356) -- (4,575) (9,604)
Distribution in excess of net investment income ..... -- -- -- -- --
Net realized gain on investments .................... (6,306) (23,994) -- (8,113) (117,671)
Distribution in excess of net realized gain on
investments ...................................... -- -- -- -- --
Return of capital ................................... -- -- -- -- --
--------- --------- --------- --------- ---------
Total distributions .............................. (6,426) (25,350) -- (12,688) (127,275)
--------- --------- --------- --------- ---------
Capital share transactions:
Net proceeds from sales of shares ................... 86,248 148,448 4,397 15,327 45,743
Issued to shareholders in reinvestment of
distributions .................................... 6,426 25,350 -- 12,687 127,275
Cost of shares repurchased .......................... (3,150) (4,367) (9) (11,583) (16,579)
--------- --------- --------- --------- ---------
Net increase from
capital share transactions ................... 89,524 169,431 4,388 16,431 156,439
--------- --------- --------- --------- ---------
Total increase (decrease) in net assets .......... 198,716 241,805 4,264 112,378 171,928
--------- --------- --------- --------- ---------
NET ASSETS at end of period (including line A) .......... $ 669,072 $ 470,356 $ 9,274 $ 841,057 $ 728,679
========= ========= ========= ========= =========
(A) Undistributed (distribution in excess of)
net investment income (loss) ..................... $ 219 $ 101 $ 13 $ 28 $ 135
========= ========= ========= ========= =========
OTHER INFORMATION:
Share transactions:
Sold ................................................ 42,469 88,503 4,269 6,392 17,277
Issued to shareholders in reinvestment of
distributions .................................... 2,915 14,089 -- 4,533 51,826
Repurchased ......................................... (1,557) (2,711) (8) (4,833) (6,222)
--------- --------- --------- --------- ---------
Net increase in shares outstanding ............... 43,827 99,881 4,261 6,092 62,881
========= ========= ========= ========= =========
</TABLE>
F-49
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (in 000's) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Index Select Growth and
Fund Income Fund
- -----------------------------------------------------------------------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period ......................... $ 297,191 $ 151,130 $ 473,552 $ 295,638
---------- ---------- ---------- ----------
Increase in net assets
resulting from operations:
Net investment income .................................. 2,009 3,154 3,037 5,190
Net realized gain (loss) on investments sold
and futures contracts ............................... 9,494 8,124 50,660 37,150
Net change in unrealized appreciation
(depreciation) of investments and futures contracts.. 42,591 49,226 2,355 33,412
---------- ---------- ---------- ----------
Net increase in net assets resulting
from operations ..................................... 54,094 60,504 56,052 75,752
---------- ---------- ---------- ----------
Distributions to shareholders from:
Net investment income .................................. (2,070) (3,062) (3,100) (5,133)
Distribution in excess of net investment income ........ -- -- -- --
Net realized gain on investments ....................... (592) (7,995) (2,017) (40,366)
---------- ---------- ---------- ----------
Total distributions ................................. (2,662) (11,057) (5,117) (45,499)
---------- ---------- ---------- ----------
Capital share transactions:
Net proceeds from sales of shares ...................... 60,697 89,175 52,684 106,418
Issued to shareholders in reinvestment
of distributions..................................... 2,662 11,057 5,117 45,498
Cost of shares repurchased ............................. (22,369) (3,618) (1,094) (4,255)
---------- ---------- ---------- ----------
Net increase from
capital share transactions ...................... 40,990 96,614 56,707 147,661
---------- ---------- ---------- ----------
Total increase in net assets ........................ 92,422 146,061 107,642 177,914
---------- ---------- ---------- ----------
NET ASSETS at end of period (including line A) ............ $ 389,613 $ 297,191 $ 581,194 $ 473,552
========== ========== ========== ==========
(A) Undistributed (distributions in excess of)
net investment income (loss) ........................ $ 33 $ 95 $ 3 $ 66
========== ========== ========== ==========
OTHER INFORMATION:
Share transactions:
Sold ................................................... 21,627 35,527 30,963 68,177
Issued to shareholders in reinvestment
of distributions..................................... 838 4,100 2,967 29,288
Repurchased ............................................ (9,014) (1,473) (695) (2,757)
---------- ---------- ---------- ----------
Net increase in shares outstanding .................. 13,451 38,154 33,235 94,708
========== ========== ========== ==========
</TABLE>
See Notes to Financial Statements.
F-50
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------
Select Investment Grade
Income Fund Income Fund
----------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
----------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period ............................... $ 104,253 $ 77,498 $ 189,503 $ 157,327
------------ ----------- ----------- -----------
Increase in net assets
resulting from operations:
Net investment income ........................................... 3,478 5,435 6,208 11,198
Net realized gain (loss) on investments sold
and futures contracts ........................................ 1,105 418 979 207
Net change in unrealized appreciation
(depreciation) of investments and futures contracts .......... (318) 2,198 676 4,490
------------ ----------- ----------- -----------
Net increase in net assets resulting
from operations .............................................. 4,265 8,051 7,863 15,895
------------ ----------- ----------- -----------
Distributions to shareholders from:
Net investment income ........................................... (3,457) (5,484) (6,231) (11,253)
Distribution in excess of net investment income ................. -- (43) -- (9)
Net realized gain on investments ................................ -- -- -- --
------------ ----------- ----------- -----------
Total distributions .......................................... (3,457) (5,527) (6,231) (11,262)
------------ ----------- ----------- -----------
Capital share transactions:
Net proceeds from sales of shares ............................... 25,375 23,119 21,676 27,270
Issued to shareholders in reinvestment of distributions ......... 3,457 5,528 6,231 11,262
Cost of shares repurchased ...................................... (1,712) (4,416) (2,684) (10,989)
------------ ----------- ----------- -----------
Net increase from
capital share transactions ............................... 27,120 24,231 25,223 27,543
------------ ----------- ----------- -----------
Total increase in net assets ................................. 27,928 26,755 26,855 32,176
------------ ----------- ----------- -----------
NET ASSETS at end of period (including line A) ..................... $ 132,181 $ 104,253 $ 216,358 $ 189,503
============ =========== =========== ===========
(A) Undistributed (distributions in excess of)
net investment income (loss) ................................. $ 22 $ 1 $ (5) $ 18
============ =========== =========== ===========
OTHER INFORMATION:
Share transactions:
Sold ............................................................ 25,159 22,957 19,165 24,928
Issued to shareholders in reinvestment of distributions ......... 3,057 5,531 5,578 10,340
Repurchased ..................................................... (1,920) (4,382) (2,284) (10,070)
------------ ----------- ----------- -----------
Net increase in shares outstanding ........................... 26,296 24,106 22,459 25,198
============ =========== =========== ===========
<CAPTION>
------------------------------------------------------------------
Government Money Market
Bond Fund Fund
------------------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1998 December 31, June 30, 1998 December 31,
(Unaudited) 1997 (Unaudited) 1997
------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period .............................. $ 55,513 $ 46,396 $ 260,620 $ 217,256
----------- ----------- ----------- ------------
Increase in net assets resulting from operations:
Net investment income ....................................... 1,746 2,893 6,845 12,775
Net realized gain (loss) on investments sold
and futures contracts .................................... 124 (70) (18) (8)
Net change in unrealized appreciation
(depreciation) of investments and futures contracts ...... 55 570 -- --
----------- ----------- ----------- ------------
Net increase in net assets resulting
from operations .......................................... 1,925 3,393 6,827 12,767
----------- ----------- ----------- ------------
Distributions to shareholders from:
Net investment income ....................................... (1,765) (2,898) (6,845) (12,775)
Distribution in excess of net investment income ............. -- -- -- --
Net realized gain on investments ............................ -- -- -- --
----------- ----------- ----------- ------------
Total distributions ...................................... (1,765) (2,898) (6,845) (12,775)
----------- ----------- ----------- ------------
Capital share transactions:
Net proceeds from sales of shares ........................... 11,319 13,847 119,084 198,111
Issued to shareholders in reinvestment of distributions ..... 1,765 2,898 6,845 12,775
Cost of shares repurchased .................................. (2,354) (8,123) (116,788) (167,514)
----------- ----------- ----------- ------------
Net increase from
capital share transactions ........................... 10,730 8,622 9,141 43,372
----------- ----------- ----------- ------------
Total increase in net assets ............................. 10,890 9,117 9,123 43,364
----------- ----------- ----------- ------------
NET ASSETS at end of period (including line A) ................. $ 66,403 $ 55,513 $ 269,743 $ 260,620
=========== =========== =========== ============
(A) Undistributed (distributions in excess of)
net investment income (loss) ............................. $ (15) $ 4 $ -- $ --
=========== =========== =========== ============
OTHER INFORMATION:
Share transactions:
Sold ........................................................ 10,698 13,258 119,085 198,111
Issued to shareholders in reinvestment of distributions ..... 1,802 2,801 6,845 12,775
Repurchased ................................................. (2,343) (7,820) (116,788) (167,514)
----------- ----------- ----------- ------------
Net increase in shares outstanding ....................... 10,157 8,239 9,142 43,372
=========== =========== =========== ============
</TABLE>
F-51
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
----------------------------------------------- ----------------------------------------------------
Net Realized
Net and Distributions
Asset Net Unrealized Dividends from Net
Value Investment Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Income on Investment Investment Capital in Return of
December 31, of Period (Loss)/(2)/ Investments Operations Income Gains Excess Capital
--------------- --------- ---------- ----------- ---------- ---------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Select Emerging
Markets Fund/(1)/
1998/(E)/ $ 1.000 $ 0.003 $ (0.161) $ (0.158) $ -- $ -- $ -- $ --
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 2.225 (0.004) 0.366 0.362 -- -- -- --
1997 2.037 (0.009) 0.387 0.378 -- (0.182) (0.008)/(3)/ --
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)/
1998/(D)/ 1.698 (0.004) 0.161 0.157 -- -- -- --
1997 1.485 (0.005) 0.218 0.213 -- -- -- --
1996 1.369 (0.003) 0.124 0.121 -- (0.005) -- --
1995 1.000 (0.001) 0.397 0.396 -- (0.027) -- --
Select Value
Opportunity Fund/(1)/
1998/(D)/ 1.626 0.004 0.083 0.087 -- (0.006) -- --
1997 1.511 0.010 0.364 0.374 (0.010) (0.249) -- --
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)/
1998/(D)/ 1.341 0.012 0.235 0.247 (0.011) -- -- --
1997 1.356 0.015 0.049 0.064 (0.019) (0.046) (0.014)/(4)/ --
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) -- --
<CAPTION>
Less Distributions
------------------
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
-------------- ------------- ----------
<S> <C> <C>
Select Emerging
Markets Fund/(1)/
1998/(E)/ $ -- $ (0.158)
Select Aggressive
Growth Fund/(1)/
1998/(D)/ -- 0.362
1997 (0.190) 0.188
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)/
1998/(D)/ -- 0.157
1997 -- 0.213
1996 (0.005) 0.116
1995 (0.027) 0.369
Select Value
Opportunity Fund/(1)/
1998/(D)/ (0.006) 0.081
1997 (0.259) 0.115
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)/
1998/(D)/ (0.011) 0.236
1997 (0.079) (0.015)
1996 (0.029) 0.220
1995 (0.016) 0.173
1994 (0.002) (0.037)
</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 six months ended June 30, 1998 (Unaudited)
(E) For period ended June 30, 1998 (Unaudited)
(1) The Select Emerging Markets Fund commenced operations on February 20, 1998.
The Select Aggressive Growth Fund commenced operations on August 21, 1992.
The Select Capital Appreciation Fund commenced operations on April 28, 1995
and changed sub-advisers on April 1, 1998. The Select Value Opportunity
Fund commenced operations on April 30, 1993 and changed sub-advisers on
January 1, 1997. The Select International Equity Fund commenced operations
on May 2, 1994.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $0.002 for the period ended June 30,
1998 for Select Emerging Markets Fund; ($0.004) for the six months ended
June 30, 1998, $(0.010) in 1997, $0.000 in 1993 and $(0.001) in 1992 for
Select Aggressive Growth Fund; $(0.004) for the six months ended June 30,
1998, $(0.001) in 1995 for Select Capital Appreciation Fund; $0.003 for the
six months ended June 30, 1998, $0.009 in 1997, $0.010 in 1996, $0.005 in
1994 and $(0.001) in 1993 for Select Value Opportunity Fund; and $0.012 for
the six months ended June 30, 1998, $0.015 in 1997, $0.011 in 1996 and
$0.002 in 1994 for Select International Equity Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
See Notes to Financial Statements.
F-52
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
----------------------------------------------
Ratios To Average Net Assets
--------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
Year Ended End of Total Period Investment Operating Expenses Management Fee Turnover
December 31, Period Return (000's) Income (Loss) (A) (B) (C) Gross Net Rate
-------------- ------- -------- ---------- ------------- ------- ------- ------- ------ ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Emerging
Markets Fund/(1)/
1998/(E)/ $ 0.842 (15.70)%** $ 19,032 1.01%* 2.50%* 2.51%* 2.86%* 1.35%* 1.00%* 26%
Select Aggressive
Growth Fund/(1)/
1998/(D)/ 2.587 16.27%** 747,187 (0.36)%* 0.93%* 0.94%* 0.94%* 0.88%* 0.88%* 53%
1997 2.225 18.71% 604,123 (0.45)% 0.99% 1.04% 1.04% 0.95% 0.95% 95%
1996 2.037 18.55% 407,442 (0.53)% 1.08% 1.08% 1.08% 1.00% 1.00% 113%
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)/
1998/(D)/ 1.855 9.30%** 278,208 (0.47)%* 1.06%* 1.06%* 1.06%* 0.94%* 0.94%* 121%
1997 1.698 14.28% 240,526 (0.38)% 1.13% 1.13% 1.13% 0.98% 0.98% 133%
1996 1.485 8.80% 142,680 (0.32)% 1.13% 1.13% 1.13% 1.00% 1.00% 98%
1995 1.369 39.56%** 41,376 (0.25)%* 1.35%* -- 1.42%* 1.00%* 0.93%* 95%
Select Value
Opportunity Fund/(1)/
1998/(D)/ 1.707 5.36%** 243,026 0.46%* 0.93%* 0.95%* 0.99%* 0.92%* 0.90%* 42%
1997 1.626 24.85% 202,139 0.73% 0.98% 1.04% 1.06% 0.92% 0.90% 110%
1996 1.511 28.53% 113,969 0.91% 0.95% 0.97% 0.97% 0.85% 0.85% 20%
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)/
1998/(D)/ 1.577 18.43%** 494,079 1.81%* 1.07%* 1.08%* 1.08%* 0.90%* 0.90%* 15%
1997 1.341 4.65% 397,915 1.17% 1.15% 1.17% 1.17% 0.97% 0.97% 20%
1996 1.356 21.94% 246,877 1.22% 1.20% 1.23% 1.23% 1.00% 1.00% 18%
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%
</TABLE>
F-53
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS - For a Share Outstanding Throughout Each Period
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income from Investment Operations Less Distributions
----------------------------------------------- ----------------------------------------------------
Net Realized
Net and Distributions
Asset Net Unrealized Dividends from Net
Value Investment Gain (Loss) Total from from Net Realized Distributions
Year Ended Beginning Income on Investment Investment Capital in Return of
December 31, of Period (Loss)/(2)/ Investments Operations Income Gains Excess Capital
------------ --------- ---------- ------------ ---------- ---------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth Fund/(1)/
1998/(D)/ $ 1.811 $ 0.001 $ 0.413 $ 0.414 $ -- $ (0.021) $ -- $ --
1997 1.430 0.006 0.480 0.486 (0.006) (0.099) -- --
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) -- -- --
Select Strategic
Growth Fund/(1)/
1998/(E)/ 1.000 0.001 (0.001) -- -- -- -- --
Growth Fund/(1)/
1998/(D)/ 2.416 0.015 0.345 0.360 (0.015) (0.027) -- --
1997 2.333 0.039 0.540 0.579 (0.038) (0.458) -- --
1996 2.176 0.047 0.386 0.433 (0.048) (0.228) -- --
1995 1.814 0.049 0.539 0.588 (0.049) (0.177) -- --
1994 1.939 0.043 (0.041) 0.002 (0.043) (0.084) -- --
1993 2.034 0.039 0.095 0.134 (0.039) (0.180) -- (0.010)
1992 1.976 0.034 0.105 0.139 (0.034) (0.047) -- --
1991 1.471 0.038 0.548 0.586 (0.039) (0.042) -- --
1990 1.558 0.041 (0.047) (0.006) (0.041) (0.040) -- --
1989 1.308 0.043 0.289 0.332 (0.046) (0.036) -- --
1988 1.147 0.037 0.200 0.237 (0.037) (0.039) -- --
Equity Index Fund/(1)/
1998/(D)/ 2.753 0.017 0.462 0.479 (0.018) (0.005) -- --
1997 2.165 0.034 0.664 0.698 (0.033) (0.077) -- --
1996 1.827 0.035 0.370 0.405 (0.035) (0.032) -- --
1995 1.468 0.035 0.474 0.509 (0.035) (0.047) (0.002)/(3)/ (0.066)
1994 1.505 0.033 (0.018) 0.015 (0.033) (0.019) -- --
1993 1.409 0.032 0.102 0.134 (0.031) (0.007) -- --
1992 1.354 0.030 0.066 0.096 (0.031) (0.010) -- --
1991 1.080 0.032 0.279 0.311 (0.032) (0.005) -- --
1990 1.000 0.009 0.080 0.089 (0.009) -- -- --
<CAPTION>
Less Distributions
------------------
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
------------ ------------- ----------
<S> <C> <C>
Select Growth Fund/(1)/
1998/(D)/ $ (0.021) $ 0.393
1997 (0.105) 0.381
1996 (0.241) 0.061
1995 -- 0.270
1994 (0.003) (0.020)
1993 (0.001) 0.008
1992 (0.001) 0.111
Select Strategic
Growth Fund/(1)/
1998/(E)/ -- --
Growth Fund/(1)/
1998/(D)/ (0.042) 0.318
1997 (0.496) 0.083
1996 (0.276) 0.157
1995 (0.226) 0.362
1994 (0.127) (0.125)
1993 (0.229) (0.095)
1992 (0.081) 0.058
1991 (0.081) 0.505
1990 (0.081) (0.087)
1989 (0.082) 0.250
1988 (0.076) 0.161
Equity Index Fund/(1)/
1998/(D)/ (0.023) 0.456
1997 (0.110) 0.588
1996 (0.067) 0.338
1995 (0.150) 0.359
1994 (0.052) (0.037)
1993 (0.038) 0.096
1992 (0.041) 0.055
1991 (0.037) 0.274
1990 (0.009) 0.080
- -----------------------------------------------
</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 six months ended June 30, 1998 (Unaudited)
(E) For period ended June 30, 1998 (Unaudited)
(1) The Select Growth Fund commenced operations on August 21, 1992 and changed
sub-advisers on July 1, 1996. The Select Strategic Growth Fund commenced
operations on February 20, 1998. The Equity Index Fund commenced operations
on September 28, 1990. The Growth Fund changed sub-advisers on April 1,
1988.
(2) Net investment income (loss) per share before reimbursement of fees by the
investment adviser or reductions were $0.011 for the six months ended June
30, 1998, $0.006 in 1997, $0.005 in 1996, $0.001 in 1993 and $0.000 in 1992
for Select Growth Fund; $(0.001) for the period ended June 30, 1998 for
Select Strategic Growth Fund; $0.015 for the six months ended June 30,
1998, $0.038 in 1997, $0.046 in 1996 and $0.038 in 1993 for Growth Fund;
and $0.031 in 1993, $0.028 in 1992, and $0.031 in 1991 for Equity Index
Fund.
(3) Distributions in excess of net realized capital gains.
(4) Unaudited
See Notes to Financial Statements.
F-54
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------
Ratios To Average Net Assets
-------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
Year Ended End of Total Period Investment Operating Expenses Management Fee Turnover
December 31, Period Return (000's) Income (Loss) (A) (B) (C) Gross Net Rate
-------------- --------- -------- ----------- ------------- ------- ------- ------- ------ ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth Fund/(1)/
1998/(D)/ 2.204 22.88%** $ 669,072 0.09%* 0.87%* 0.89%* 0.89%* 0.84%* 0.84%* 39%
1997 1.811 34.06% 470,356 0.42% 0.91% 0.93% 0.93% 0.85% 0.85% 75%
1996 1.430 22.02% 228,551 0.38% 0.92% 0.93% 0.93% 0.85% 0.85% 159%
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%
Select Strategic
Growth Fund/(1)/
1998/(E)/ 1.000 0.20%** 9,274 0.54%* 1.05%* 1.20%* 2.19%* 0.85%* 0.85%* 6%
Growth Fund/(1)/
1998/(D)/ 2.734 14.90%** 841,057 1.50%* 0.47%* 0.49%* 0.49%* 0.44%* 0.44%* 42%
1997 2.416 25.14% 728,679 1.48% 0.47% 0.49% 0.49% 0.43% 0.43% 79%
1996 2.333 20.19% 556,751 2.04% 0.48% 0.51% 0.51% 0.44% 0.44% 72%
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%
Equity Index Fund/(1)/
1998/(D)/ 3.209 17.40%** 389,613 1.18%* 0.37%* 0.37%* 0.37%* 0.29%* 0.29%* 17%
1997 2.753 32.41% 297,190 1.38% 0.44% 0.44% 0.44% 0.31% 0.31% 9%
1996 2.165 22.30% 151,129 1.79% 0.46% 0.46% 0.46% 0.32% 0.32% 12%
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 1%
</TABLE>
F-55
<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 Return of
December 31, of Period Income/(2)/ Investments Operations Income Gains Excess Capital
------------ --------- ---------- ------------ ---------- ---------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund/(1)/
1998/(D)/ $ 1.552 $ 0.010 $ 0.171 $ 0.181 $ (0.010) $ (0.006) $ -- $ --
1997 1.405 0.020 0.293 0.313 (0.020) (0.146) -- --
1996 1.268 0.020 0.246 0.266 (0.020) (0.109) -- --
1995 1.027 0.019 0.290 0.309 (0.019) (0.049) -- --
1994 1.069 0.025 (0.018) 0.007 (0.025) (0.017) (0.007)/(3)/ --
1993 0.990 0.023 0.079 0.102 (0.023) -- -- --
1992 1.000 0.008 (0.009) (0.001) (0.008) (0.001) -- --
Select Income Fund/(1)/
1998/(D)/ 1.022 0.029 0.008 0.037 (0.029) -- -- --
1997 0.995 0.060 0.028 0.088 (0.061) -- -- --
1996 1.024 0.061 (0.029) 0.032 (0.061) -- -- --
1995 0.930 0.060 0.095 0.155 (0.060) -- (0.001)/(4)/ --
1994 1.035 0.055 (0.105) (0.050) (0.055) -- -- --
1993 0.988 0.052 0.055 0.107 (0.052) (0.008) -- --
1992 1.000 0.018 (0.012) 0.006 (0.018) -- -- --
Investment Grade
Income Fund
1998/(D)/ 1.112 0.033 0.011 0.044 (0.034) -- -- --
1997 1.084 0.071 0.028 0.099 (0.071) -- -- --
1996 1.117 0.070 (0.033) 0.037 (0.070) -- -- --
1995 1.012 0.071 0.106 0.177 (0.071) -- (0.001)/(4)/ --
1994 1.111 0.066 (0.099) (0.033) (0.066) -- -- --
1993 1.074 0.065 0.049 0.114 (0.065) (0.012) -- --
1992 1.085 0.075 0.013 0.088 (0.075) (0.024) -- --
1991 1.004 0.080 0.081 0.161 (0.080) -- -- --
1990 1.011 0.083 (0.006) 0.077 (0.084) -- -- --
1989 0.968 0.082 0.044 0.126 (0.083) -- -- --
1988 0.974 0.084 (0.006) 0.078 (0.084) -- -- --
<CAPTION>
Less Distributions
------------------
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
------------ ------------- ----------
<S> <C> <C>
Select Growth and
Income Fund/(1)/
1998/(D)/ $ (0.016) $ 0.165
1997 (0.166) 0.147
1996 (0.129) 0.137
1995 (0.068) 0.241
1994 (0.049) (0.042)
1993 (0.023) 0.079
1992 (0.009) (0.010)
Select Income Fund/(1)/
1998/(D)/ (0.029) 0.008
1997 (0.061) 0.027
1996 (0.061) (0.029)
1995 (0.061) 0.094
1994 (0.055) (0.105)
1993 (0.060) 0.047
1992 (0.018) (0.012)
Investment Grade
Income Fund
1998/(D)/ (0.034) 0.010
1997 (0.071) 0.028
1996 (0.070) (0.033)
1995 (0.072) 0.105
1994 (0.066) (0.099)
1993 (0.077) 0.037
1992 (0.099) (0.011)
1991 (0.080) 0.081
1990 (0.084) (0.007)
1989 (0.083) 0.043
1988 (0.084) (0.006)
</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 six months ended June 30, 1998 (Unaudited).
(1) The Select Growth and Income Fund and Select Income Fund commenced
operations on August 21, 1992.
(2) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.010 for the six months ended June
30, 1998, $0.019 in 1997, $0.019 in 1996, $0.023 in 1993 and $0.005 in 1992
for Select Growth and Income Fund; $0.060 in 1995, $0.055 in 1994, $0.050
in 1993, and $0.015 in 1992 for Select Income Fund; and $0.065 in 1993 for
Investment Grade Income Fund.
(3) Distributions in excess of net realized capital gains.
(4) Distributions in excess of net investment income.
(5) Unaudited
See Notes to Financial Statements.
F-56
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
----------------------------------------------------
Ratios To Average Net Assets
----------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
Year Ended End of Total Period Investment Operating Expenses Management Fee Turnover
December 31, Period Return (000's) Income (A) (B) (C) Gross Net Rate
-------------- --------- -------- ----------- ------------- ------- ------- ------- ------ ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Select Growth and
Income Fund/(1)/
1998/(D)/ $ 1.717 11.63 %** $ 581,194 1.14%* 0.70%* 0.73%* 0.73%* 0.68%* 0.68%* 65%
1997 1.552 22.51 % 473,552 1.34% 0.77% 0.80% 0.80% 0.73% 0.73% 71%
1996 1.405 21.26 % 295,638 1.44% 0.80% 0.83% 0.83% 0.75% 0.75% 78%
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%
Select Income Fund/(1)/
1998/(D)/ 1.030 3.66 %** 132,181 6.02%* 0.64%* 0.64%* 0.64%* 0.56%* 0.56%* 71%
1997 1.022 9.17 % 104,253 6.12% 0.72% 0.72% 0.72% 0.59% 0.59% 79%
1996 0.995 3.32 % 77,498 6.29% 0.74% 0.74% 0.74% 0.60% 0.60% 108%
1995 1.024 16.96 % 60,368 6.24% 0.79% -- 0.80% 0.60% 0.59% 131%
1994 0.930 (4.82)% 40,784 6.07% 0.83% -- 0.85% 0.60% 0.58% 105%
1993 1.035 10.95 % 25,302 5.91% 0.91% -- 1.08% 0.60% 0.43% 171%
1992 0.988 0.62 %** 5,380 5.38%* 1.00%* -- 1.67%* N/A N/A 119%
Investment Grade
Income Fund
1998/(D)/ 1.122 3.96 %** 216,358 6.12%* 0.51%* 0.51%* 0.51%* 0.44%* 0.44%* 54%
1997 1.112 9.45 % 189,503 6.48% 0.51% 0.51% 0.51% 0.41% 0.41% 48%
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 %/(5)/ 8,951 8.57% 0.77% -- 0.77% N/A N/A 12%
</TABLE>
F-57
<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 Return of
December 31, of Period Income/(3)/ Investments Operations Income Gains Excess Capital
------------ --------- ---------- ------------ ---------- ---------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Government
Bond Fund/(1)/
1998/(D)/ $ 1.047 $ 0.029 $ 0.004 $ 0.033 $ (0.029) $ -- $ -- $ --
1997 1.036 0.061 0.011 0.072 (0.061) -- -- --
1996 1.062 0.062 (0.026) 0.036 (0.062) -- -- --
1995 0.997 0.062 0.066 0.128 (0.062) -- (0.001)/(2)/ --
1994 1.070 0.063 (0.073) (0.010) (0.063) -- -- --
1993 1.051 0.055 0.024 0.079 (0.055) (0.003) -- (0.002)
1992 1.047 0.057 0.009 0.066 (0.057) (0.005) -- --
1991 1.000 0.022 0.051 0.073 (0.022) (0.004) -- --
Money Market
Fund
1998/(D)/ 1.000 0.026 -- 0.026 (0.026) -- -- --
1997 1.000 0.053 -- 0.053 (0.053) -- -- --
1996 1.000 0.052 -- 0.052 (0.052) -- -- --
1995 1.000 0.057 -- 0.057 (0.057) -- -- --
1994 1.000 0.039 -- 0.039 (0.039) -- -- --
1993 1.000 0.030 -- 0.030 (0.030) -- -- --
1992 1.000 0.037 -- 0.037 (0.037) -- -- --
1991 1.000 0.060 -- 0.060 (0.060) -- -- --
1990 1.000 0.078 -- 0.078 (0.078) -- -- --
1989 1.000 0.086 -- 0.086 (0.086) -- -- --
1988 1.000 0.071 -- 0.071 (0.071) -- -- --
<CAPTION>
Less Distributions
------------------
Net
Increase
(Decrease)
in
Year Ended Total Net Asset
December 31, Distributions Value
------------ ------------- ----------
<S> <C> <C>
Government
Bond Fund/(1)/
1998/(D)/ $ (0.029) $ 0.004
1997 (0.061) 0.011
1996 (0.062) (0.026)
1995 (0.063) 0.065
1994 (0.063) (0.073)
1993 (0.060) 0.019
1992 (0.062) 0.004
1991 (0.026) 0.047
Money Market
Fund
1998/(D)/ (0.026) --
1997 (0.053) --
1996 (0.052) --
1995 (0.057) --
1994 (0.039) --
1993 (0.030) --
1992 (0.037) --
1991 (0.060) --
1990 (0.078) --
1989 (0.086) --
1988 (0.071) --
</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) Six months ended June 30, 1998 (Unaudited)
(1) The Government Bond Fund commenced operations on August 26, 1991.
(2) Distributions in excess of net investment income.
(3) Net investment income per share before reimbursement of fees by the
investment adviser or reductions were $0.055 in 1993 and $0.056 in 1992 for
Government Bond Fund; and $0.030 in 1993 and $0.084 in 1988 for Money
Market Fund.
(4) Unaudited
See Notes to Financial Statements.
F-58
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------
Ratios To Average Net Assets
------------------------------------
<TABLE>
<CAPTION>
Net Asset Net Assets
Value End of Net Portfolio
Year Ended End of Total Period Investment Operating Expenses Management Fee Turnover
December 31, Period Return (000's) Income (A) (B) (C) Gross Net Rate
-------------- --------- -------- ----------- ------------- ------- ------- ------- ------- ----- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government
Bond Fund/(1)/
1998/(D)/ $ 1.051 3.20%** $ 66,403 5.71%* 0.65%* 0.65%* 0.65%* 0.50%* 0.50%* 45%
1997 1.047 7.08% 55,513 5.92% 0.67% 0.67% 0.67% 0.50% 0.50% 56%
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
1998/(D)/ 1.000 2.74%** 269,743 5.45%* 0.33%* 0.33%* 0.33%* 0.27%* 0.27%* N/A
1997 1.000 5.47% 260,620 5.33% 0.35% 0.35% 0.35% 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 6.67% 39,909 5.98% 0.43% -- 0.43% N/A N/A N/A
1990 1.000 8.63% 28,330 8.22% 0.42% -- 0.42% N/A N/A N/A
1989 1.000 9.69% 12,060 8.62% 0.58% -- 0.58% N/A N/A N/A
1988 1.000 7.30%/(4)/ 7,156 7.13% 0.60% -- 0.71% N/A N/A N/A
</TABLE>
F-59
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Allmerica Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, 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
("Allmerica Financial"), 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 fourteen managed
investment portfolios. The accompanying financial statements and financial
highlights are those of the Select Emerging Markets, Select Aggressive Growth,
Select Capital Appreciation, Select Value Opportunity, Select International
Equity, Select Growth, Select Strategic Growth, Growth, Equity Index, Select
Growth and Income, Select Income, Investment Grade Income, Government Bond and
Money Market Funds (individually, a "Portfolio," collectively, the
"Portfolios").
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally accepted
accounting principles requires 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 Emerging Markets, Select Capital
Appreciation, Select International Equity, and Select Income 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. Receivables and payables of forward foreign currency
contracts are presented on a net basis in the Statements of Assets and
Liabilities. Gains or losses on the purchase or sale of forward 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-60
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
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 coupon bonds, stepped-coupon
bonds and payment in kind bonds, 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 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.
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, Select Income and Government Bond Funds, and annually for the
Select Emerging Markets, Select Aggressive Growth, Select Capital Appreciation,
Select Value Opportunity, Select International Equity, Select Growth, and Select
Strategic Growth Funds. All Portfolios declare and distribute all net realized
capital gains, if any, at least annually. The distributions are recorded on 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 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 Portfolio based on the daily change in the market value of the position
are recorded as unrealized gain or loss until the contract is closed out, at
which time the gain or loss is realized.
Organization Costs: Each Portfolio records as expenses 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. For the Select Capital Appreciation Fund all such costs were
capitalized and are being amortized using the straight-line method over a period
of five years beginning with the commencement of the Portfolio's operation.
Securities Lending: Each Portfolio, using Bankers Trust Company ("Bankers
Trust") as their agent, may loan securities to brokers who pay the Portfolio
negotiated lenders' fees. These fees are disclosed as "Security lending income"
on the Statement of Operations. Each applicable Portfolio receives obligations
of the U.S. government and its agencies, cash and/or cash equivalents as
collateral against the loaned securities, in an amount at least equal to 102% of
the market value of the loaned securities at the inception of each loan. This
collateral must be maintained at not less than 100% of the market value of the
loaned securities during the period of the loan. Information regarding the value
of the securities loaned and the value of collateral at period end is included
under the caption "Other Information" at the end of each applicable Portfolio's
schedule of investments.
F-61
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
Each Portfolio pays Bankers Trust fees for its services equal to 25% of net
income from the securities lending program. For the period end, the Select
Aggressive Growth Fund and Select International Equity Fund paid Bankers Trust
$29,309 and $14,626, respectively.
Expenses: The Trust accounts separately for assets, liabilities and operations
of each Portfolio. Expenses directly attributed to a Portfolio are charged to
the Portfolio, while expenses which are attributable to more than one Portfolio
of the Trust are allocated among the respective Portfolios.
Forward Commitments: The Select Capital Appreciation Fund, Select Income Fund,
Investment Grade Income Fund, Government Bond Fund and Money Market Fund may
enter into contracts to purchase securities for a fixed price at a specified
future date beyond customary settlement time ("forward commitments"). If the
Portfolios do so, they will maintain cash or other liquid obligations having a
value in an amount at all times sufficient to meet the purchase price. Forward
commitments involve a risk of loss if the value of the security to be purchased
declines prior to the settlement date. Although the Portfolios generally will
enter into forward commitments with the intention of acquiring securities for
their portfolio, they may dispose of a commitment prior to settlement if their
Sub-Adviser deems it appropriate to do so.
Repurchase Agreements: Each Portfolio may engage in repurchase agreement
transactions with institutions that the Sub-Adviser has determined are
creditworthy pursuant to guidelines established by the Trust's Board of
Trustees. Each repurchase agreement transaction is recorded at cost. Each
Portfolio requires that the securities purchased in a repurchase agreement
transaction be transferred to the Trust's Custodian in a manner that is intended
to enable the Portfolio to obtain those securities in the event of a
counterparty default. The Investment Adviser monitors the value of the
securities, including accrued interest, daily to ensure that the value of the
collateral equals or exceeds amounts due under the repurchase agreement.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon the Portfolio's ability to dispose of the underlying securities, and a
possible decline in the value of the underlying securities during the period
while the Portfolio seeks to assert its rights.
3. INVESTMENT ADVISORY, ADMINISTRATION
AND OTHER RELATED PARTY TRANSACTIONS
Allmerica Financial Investment Management Services, Inc. (the "Manager"), a
wholly-owned subsidiary of First Allmerica, serves as Investment Adviser and
Administrator to the Trust. The Manager succeeded Allmerica Investment
Management Company, Inc. as manager of the Trust on April 16, 1998. 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:
Percentage of Average Daily Net Assets
<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>
Select Emerging Markets 1.35% 1.35% 1.35% 1.35% 1.35%
Select Aggressive Growth 1.00% 0.90% 0.85% 0.85% 0.85%
Select Capital Appreciation 1.00% 0.90% 0.85% 0.85% 0.85%
Select Value Opportunity 1.00% 0.85% 0.80% 0.75% 0.70%
Select International Equity 1.00% 0.90% 0.85% 0.85% 0.85%
Select Growth * 0.85% 0.85% 0.80% 0.75% 0.75%
Select Strategic Growth 0.85% 0.85% 0.85% 0.85% 0.85%
Growth 0.60% 0.60% 0.40% 0.35% 0.35%
Select Growth and Income 0.75% 0.70% 0.65% 0.65% 0.65%
</TABLE>
F-62
<PAGE>
- --------------------------------------------------------------------------------
ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
First Next Over
Portfolio $50,000,000 $200,000,000 $250,000,000
- --------------------------------------------------------------------------------
Equity Index 0.35% 0.30% 0.25%
Government Bond 0.50% 0.50% 0.50%
Money Market 0.35% 0.25% 0.20%
First Next Over
Portfolio $50,000,000 $50,000,000 $100,000,000
- --------------------------------------------------------------------------------
Select Income 0.60% 0.55% 0.45%
Investment Grade Income 0.50% 0.45% 0.40%
*Prior to June 1, 1998, the Select Growth Fund paid a management fee, calculated
daily and payable monthly, at an annual rate of 0.85%.
The Manager has entered into Sub-Adviser Agreements for the management of the
investments of each of the Portfolios. The Manager is solely responsible for the
payment of all fees to the Sub-Advisers. The Sub-Advisers for each of the
Portfolios are as follows:
<TABLE>
<S> <C>
Select Emerging Markets Schroder Capital Management International Inc.("SCMI")
Select Aggressive Growth Nicholas-Applegate Capital Management, L.P.
Select Capital Appreciation T. Rowe Price Associates, Inc.
Select Value Opportunity Cramer Rosenthal McGlynn, LLC
Select International Equity Bank of Ireland Asset Management (U.S.) Limited
Select Growth Putnam Investment Management, Inc.
Select Strategic Growth Cambiar Investors, Inc.
Growth Miller Anderson & Sherrerd, LLP
Equity Index Allmerica Asset Management, Inc.
Select Growth and Income John A. Levin & Co., Inc.
Select Income Standish, Ayer & Wood, Inc.
Investment Grade Income Allmerica Asset Management, Inc.
Government Bond Allmerica Asset Management, Inc.
Money Market Allmerica Asset Management, Inc.
</TABLE>
Effective January 2, 1998, Cramer Rosenthal McGlynn, LLC assumed sub-adviser
responsibilities from CRM Advisors, LLC for the Select Value Opportunity Fund.
Effective April 1, 1998, T. Rowe Price Associates, Inc. assumed sub-adviser
responsibilities from Janus Capital Corporation for the Select Capital
Appreciation Fund. The Sub-Adviser Agreement with T. Rowe Price Associates, Inc.
was approved by shareholders at a meeting held on June 3, 1998. T. Rowe Price
International Series, Inc., an investment company managed by an affiliate of T.
Rowe Price Associates, Inc., is currently used as an investment vehicle for
certain insurance products sponsored by Allmerica Financial and First Allmerica.
In addition, the same affiliate currently serves as investment adviser to a
corporate investment account of Allmerica Financial Corporation ("AFC"). Miller
Anderson & Sherrerd, LLP also manages certain assets for First Allmerica and its
affiliates. Standish, Ayer & Wood, Inc. also currently serves as investment
adviser to an institutional account sponsored by First Allmerica.
The Manager has entered into an Administrative Services Agreement with First
Data Investor Services Group, Inc. ("Investor Services Group"), a wholly-owned
subsidiary of First Data Corporation, whereby Investor Services Group performs
certain administrative services for the Portfolios and is entitled to receive an
administrative fee and certain out-of-pocket expenses. The Manager is solely
responsible for the payment of the administration fee to Investor Services
Group. In a separate agreement, Investor Services Group receives separate fees
from the Portfolios for certain fund accounting services provided in its
capacity as pricing and bookkeeping agent.
F-63
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ALLMERICA INVESTMENT TRUST
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NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
The Trust pays no salaries or compensation to any of its officers. Trustees who
are not directors, officers, or employees of the Trust or any investment adviser
are reimbursed for their travel expenses in attending meetings of the Trustees,
and receive quarterly meeting and retainer fees for their services. Such amounts
are paid by the Trust.
4. REIMBURSEMENT OF EXPENSES AND WAIVER OF FEES
In the event normal operating expenses of each Portfolio, except for the Select
Emerging Markets Fund, excluding taxes, interest, broker commissions and
extraordinary expenses, but including the advisory fee, exceed certain voluntary
expense limitations (Select Aggressive Growth Fund - 1.35%, Select Capital
Appreciation Fund - 1.35%, Select Value Opportunity Fund - 1.25%, Select
International Equity Fund - 1.50%, Select Growth Fund - 1.20%, Select Strategic
Growth - 1.20%, Growth Fund - 1.20%, Equity Index Fund - 0.60%, Select Growth
and Income Fund - 1.10%, Select Income Fund - 1.00%, Investment Grade Income
Fund - 1.00%, Government Bond Fund - 1.00% and Money Market Fund - 0.60%), the
Manager will voluntarily reimburse fees and any expenses in excess of the
expense limitations. Expense limitations may be removed or revised at any time
after a Portfolio's first fiscal year of operations without prior notice to
existing shareholders. For the period ended June 30, 1998, the operating
expenses of the Select Strategic Growth Fund exceeded the amount of its expense
limitations by $24,100.
The Manager voluntarily has agreed until further notice to waive its management
fee in the event that expenses of the Select Emerging Markets Fund exceed 2.00%
of the Fund's average daily net assets. The amount of such waiver will be
limited to the net amount of management fees earned by the Manager from the Fund
after subtracting the fees paid by the Manager to SCMI for sub-advisory
services. The Manager has also voluntarily agreed to limit its management fee
from the Select Value Oppportunity Fund to an annual rate of 0.90% of average
daily net assets. For the period ended June 30, 1998, management fees waived
with respect to the Select Emerging Markets and the Select Value Opportunity
Funds amounted to $25,799 and $17,994, respectively.
5. REDUCTION OF EXPENSES
Certain Portfolios have entered into agreements with brokers whereby the brokers
will rebate a portion of brokerage commissions. Such amounts earned by the
Portfolios, under such agreements, are presented as a reduction of expenses in
the Statements of Operations.
6. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Trustees to issue an unlimited
number of shares of beneficial interest for the Portfolios, each without a par
value. At June 30, 1998, First Allmerica owned 20,010,000 shares of Select
Emerging Markets and 5,010,000 of Select Strategic Growth. During the six months
ended June 30, 1998, First Allmerica redeemed 5,112,597 shares of Select Capital
Appreciation, 5,231,487 shares of Select International Equity, and 6,353,213
shares of Equity Index.
7. FOREIGN SECURITIES AND EMERGING MARKETS
All Portfolios, except the Government Bond Fund, may purchase securities of
foreign issuers. The Money Market Fund may invest in only U.S. dollar
denominated foreign securities. Investing in foreign securities involves special
risks not typically associated with investing in securities of U.S. issuers. The
risks include revaluation of currencies and future adverse political and
economic developments. Moreover, securities of many foreign issuers and their
markets may be less liquid and their prices more volatile than those of
securities of comparable U.S. issuers.
Investing in emerging markets may involve special risks and considerations not
typically associated with investing in the United States. These risks include
revaluation of currencies, high rates of inflation, repatriation restrictions on
income and capital, and future adverse political and economic developments.
Moreover, securities issued in these markets may be less liquid, subject to
government ownership controls, subject to delayed settlements, and their prices
more volatile than those of comparable securities in the United States.
F-64
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ALLMERICA INVESTMENT TRUST
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (Unaudited), Continued
- --------------------------------------------------------------------------------
8. FINANCIAL INSTRUMENTS
Investing in certain financial instruments including futures and options
transactions, and forward foreign currency contracts involves risk other than
that reflected in the Statements of Assets and Liabilities. Risks associated
with these instruments include the potential for an imperfect correlation
between the movements in the price of the instruments and the price of the
underlying securities and interest rates, an illiquid secondary market for the
instruments or inability of counterparties to perform under the terms of the
contracts, and changes in the value of foreign currency relative to the U.S.
dollar. The Select Emerging Markets Fund, the Select International Equity Fund,
the Select Income Fund and the Select Capital Appreciation Fund may enter into
these forward contracts primarily to protect the Portfolio from adverse currency
movement.
OTHER INFORMATION
- --------------------------------------------------------------------------------
SHAREHOLDER VOTING RESULTS: (Unaudited)
At a special meeting of the shareholders of the Select Capital Appreciation Fund
held on June 3, 1998, shareholders approved the proposed Sub-Adviser Agreement
with T. Rowe Price Associates, Inc. The voting results were as follows:
Shares Shares Shares Percent of
For Against Abstaining Shares Voted
------------- ------------ ----------------- -----------------
137,219,092 2,053,458 4,249,555 100.00%
F-65
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ALLMERICA INVESTMENT TRUST
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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 Portfolios 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 Variable Annuity, Allmerica Advantage Variable
Annuity/ExecAnnuity Plus, Vari-Exceptional Life and/or Variable Inheiritage
contracts. Separate account financial statements are not provided.
- ----------------------------------------
F-66
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<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.
[LOGO OF ALLMERICA FINANCIAL APPEARS HERE]
First Allmerica Financial Life Insurance Company . Allmerica Financial Life
Insurance and Annuity Company (licensed in all states except NY & HI) Allmerica
Trust Company, N.A. . Allmerica Investments, Inc. . Allmerica Investment
Management Company, Inc. The Hanover Insurance Company . AMGRO, Inc. . Allmerica
Financial Alliance Insurance Company Allmerica Asset Management, Inc.
. Allmerica Financial Benefit Insurance Company . Sterling Risk Management
Services, Inc. Citizens Corporation . Citizens Insurance Company of America
. Citizens Management Inc. 440 Lincoln Street, Worcester, Massachusetts 01653
AFSVELPLSEMI (6/98)
