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[CIGNA TREE LOGO GRAPHIC APPEARS HERE]
CIGNA VARIABLE PRODUCTS
S&P 500 INDEX FUND
Semiannual Report
June 30, 1997
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1
DEAR SHAREHOLDER:
We are pleased to provide this report for CIGNA Variable Products S&P 500 Index
Fund, covering the six months ended June 30, 1997.
MARKET REVIEW
During the second quarter of 1997 market participants appeared to shrug off
first quarter warnings that evidence of excessive growth within the economy
would cause a halt to the equity market's remarkable advance. There was
increasing sentiment in the bond markets that any moves to tighten credit would
be pushed further into the future. The market advanced over the second quarter
in almost linear fashion producing the best calendar quarter ending returns in
over ten years. Also aiding the stock market was evidence that the economy
continues to be largely self correcting. A decline in retail sales tempered
concerns associated with expanding consumer debt, and businesses worked to
maintain inventory by cutting consumer goods production.
FUND RESULTS
The Fund continued its excellent performance throughout the first half of the
year. The Fund returned 20.48% (20.60% before expenses of 0.12%) for the first
half, including a result of 17.45% for the second quarter alone. This compares
with 20.61% and 17.46%, respectively, for the S&P 500 Index, a group of
unmanaged securities. The Fund attempts to replicate the total return
performance of the S&P 500 Index, after Fund expenses.
OUTLOOK
Concerns over excessive investor optimism are appearing more frequently in
investment publications. Many would argue that the best possible scenario of
continued low inflation, increasing productivity, well-behaved growth and a
steady stream of positive earnings surprises is fully represented in current
market levels. There also seems to be consensus that even minor disappointments
would result in a noticeable correction. Yet the professional investment
management world is cluttered with those that have bet wrongly on the strength
of this market, and few now envision a sustainable or prolonged decline.
Sincerely,
/s/ R. Bruce Albro
R. Bruce Albro
Chairman of the Board and President
CIGNA Variable Products S&P 500 Index Fund
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES
June 30, 1997 (Unaudited) 2
MARKET
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------
COMMON STOCKS - 94.3%
General Electric Co. 39,400 $ 2,576
Coca-Cola Co. 29,600 1,998
Exxon Corp. 29,600 1,820
Microsoft Corp.* 14,300 1,807
Merck & Co., Inc. 14,400 1,490
Royal Dutch Petroleum Co. 25,600 1,392
Intel Corp. 9,800 1,390
Philip Morris Companies, Inc. 29,400 1,305
Procter & Gamble Co. 8,200 1,158
International Business Machines Corp. 12,400 1,118
Johnson & Johnson 15,900 1,024
Bristol-Myers Squibb Co. 12,000 972
Wal-Mart Stores, Inc. 27,400 926
Pfizer, Inc. 7,700 920
American International Group, Inc. 5,650 844
du Pont (E.I.) de Nemours & Co. 13,400 843
Lilly (Eli) & Co. 6,600 721
PepsiCo, Inc. 18,400 691
SBC Communications, Inc. 11,003 681
A T & T Corp. 19,400 680
Hewlett-Packard Co. 12,100 678
Citicorp 5,500 663
Mobil Corp. 9,400 657
Disney ( Walt) Co. 8,100 650
Gillette Co. 6,600 625
Abbott Laboratories 9,200 614
NationsBank Corp. 9,210 594
American Home Products Corp. 7,600 581
Federal National Mortgage Association 13,100 571
Chevron Corp. 7,700 569
BankAmerica Corp. 8,600 555
Lucent Technologies, Inc. 7,684 554
BellSouth Corp. 11,900 552
Motorola, Inc. 7,000 532
Ford Motor Co. 14,000 528
Cisco Systems, Inc.* 7,800 524
Minnesota Mining and Manufacturing Co. 5,100 520
Chase Manhattan Corp. 5,292 514
Amoco Corp. 5,900 $ 513
General Motors Corp. 9,000 501
GTE Corp. 11,400 500
Travelers Group, Inc. 7,493 473
Boeing Company 8,626 458
Ameritech Corp. 6,600 448
American Express Company 5,700 425
Schering-Plough Corp. 8,800 421
Unilever NV 1,900 414
McDonald's Corp. 8,300 401
Warner-Lambert Co. 3,200 398
Bell Atlantic Corp. 5,200 395
Oracle Systems Corp.* 7,675 387
Allstate Corp. 5,298 387
Home Depot, Inc. 5,600 386
Morgan Stanley, Dean Witter, Discover & Co. 8,870 382
Schlumberger Ltd. 2,900 362
Texaco, Inc. 3,300 359
Banc One Corp. 7,044 341
WorldCom, Inc.* 10,400 333
Kimberly-Clark Corp. 6,632 330
Time Warner, Inc. 6,600 318
Compaq Computer Corp.* 3,200 318
Columbia/HCA Healthcare Corp. 8,000 315
Wells Fargo & Co. 1,166 314
NYNEX Corp. 5,400 311
MCI Communications Corp. 8,133 311
First Union Corp. 3,320 307
Eastman Kodak Co. 4,000 307
Xerox Corp. 3,800 300
Federal Home Loan Mortgage Corp. 8,700 299
Monsanto Company 6,900 297
Emerson Electric Co. 5,200 286
Chrysler Corp. 8,700 285
Campbell Soup Company 5,600 280
Allied-Signal, Inc. 3,300 277
Northern Telecom Ltd. 3,000 273
Sprint Corp. 5,100 268
Atlantic Richfield Co. 3,800 268
The Notes to Financial Statements are an integral part of these statements.
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES (Continued)
June 30, 1997 (Unaudited) 3
MARKET
NUMBER OF VALUE
SHARES (000)
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Dow Chemical Co. 3,000 $ 261
Merrill Lynch & Co., Inc. 4,200 250
Sears, Roebuck & Company 4,600 247
Norwest Corp. 4,400 247
Dell Computer Corp.* 2,100 247
Sara Lee Corp. 5,900 246
First Chicago NBD Corp. 4,053 245
Anheuser-Busch Companies, Inc. 5,800 243
Lockheed Martin Corp. 2,330 241
Computer Associates International, Inc. 4,275 238
First Data Corp. 5,400 237
Caterpillar, Inc. 2,200 236
United Technologies Corp. 2,800 232
Morgan (J.P.) & Co. 2,200 230
Medtronic, Inc. 2,800 227
Colgate-Palmolive Co. 3,400 222
U. S. WEST Communications, Inc. 5,700 215
Kellogg Co. 2,500 214
Pharmacia & Upjohn, Inc. 6,010 209
Union Pacific Corp. 2,900 204
Bank of New York, Inc. 4,600 200
NIKE, Inc., Class B 3,400 198
Heinz (H.J.) Co. 4,300 198
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TOTAL 100-LARGEST STOCKS 54,072
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Fleet Financial Group, Inc. 3,016 191
Texas Instruments, Inc. 2,200 185
Waste Management, Inc. 5,700 183
General Re Corp. 1,000 182
Duke Power Co. 3,762 180
ConAgra, Inc. 2,800 180
Amgen, Inc.* 3,100 180
3Com Corp.* 4,000 180
CIGNA Corp. 1,000 178
Seagram Company Ltd. 4,400 177
Aetna, Inc. 1,726 177
Southern Company 7,900 173
McDonnell Douglas Corp. 2,500 171
International Paper Co. 3,507 170
Westinghouse Electric Corp. 7,300 $ 169
Baxter International, Inc. 3,200 167
PNC Bank Corp. 4,000 166
Deere & Co. 3,000 165
Burlington Northern Santa Fe Corp. 1,789 161
Sun Microsystems, Inc.* 4,300 160
Automatic Data Processing, Inc. 3,400 160
Airtouch Communications, Inc.* 5,800 159
Gannett Co., Inc. 1,600 158
Penney (J.C.) Co., Inc. 3,000 157
CPC International, Inc. 1,700 157
Walgreen Co. 2,900 156
Norfolk Southern Corp. 1,500 151
Aluminum Co. of America 2,000 151
Illinois Tool Works, Inc. 3,000 150
Corning, Inc. 2,700 150
Mellon Bank Corp. 3,300 149
KeyCorp 2,658 149
Archer-Daniels-Midland 6,332 149
Applied Materials, Inc.* 2,100 149
U.S. WEST Media Group 7,300 148
Rockwell International Corp. 2,500 147
Chubb Corp. 2,200 147
Dayton Hudson Corp. 2,700 144
CSX Corp. 2,600 144
SunTrust Corp. 2,600 143
Raytheon Co. 2,800 143
MBNA Corp. 3,875 142
Household International, Inc. 1,200 141
CoreStates Financial Corp. 2,600 140
American General Corp. 2,898 138
National City Corp. 2,600 137
May Department Stores Co. 2,900 137
First Bank System, Inc. 1,600 137
Philips Petroleum Co. 3,100 136
Textron, Inc. 2,000 133
Conseco, Inc. 3,600 133
Loews Corp. 1,300 130
Bank of Boston Corp. 1,800 130
The Notes to Financial Statements are an integral part of these statements.
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES (Continued)
June 30, 1997 (Unaudited) 4
MARKET
NUMBER OF VALUE
SHARES (000)
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Viacom, Inc. Class B* 4,300 $ 129
Boston Scientific Corp.* 2,100 129
Marsh & McLennan Companies, Inc. 1,800 128
GAP, Inc. 3,300 128
Edison International 5,100 127
Barnett Banks, Inc. 2,400 126
Tyco International Ltd. 1,800 125
Tellabs, Inc.* 2,200 123
Wachovia Corp. 2,100 122
U.S. Bancorp, Inc. 1,900 122
Tele-Communications, Inc., Class A* 8,200 122
PPG Industries, Inc. 2,100 122
Enron Corp. 3,000 122
Goodyear Tire & Rubber Co. 1,900 120
Toys 'R' Us, Inc.* 3,400 119
Pitney-Bowes, Inc. 1,700 118
General Mills, Inc. 1,800 117
PG & E Corp. 4,800 116
Hartford Financial Services Group* 1,400 116
CUC International, Inc.* 4,500 116
Weyerhaeuser Co. 2,200 114
United Healthcare Corp. 2,200 114
Honeywell, Inc. 1,500 114
Unocal Corp. 2,900 113
AMP, Inc. 2,712 113
Halliburton Co. 1,400 111
EMC Corp.* 2,800 109
Ralston Purina Co. 1,300 107
Mattel, Inc. 3,145 107
Fifth Third Bancorp. 1,300 107
Tribune Co. 2,200 106
Tenet Healthcare Corp. 3,600 106
Seagate Technology, Inc.* 3,000 106
Avon Products, Inc. 1,500 106
Albertson's, Inc. 2,900 106
Air Products & Chemicals, Inc. 1,300 106
Hershey Foods Corp. 1,900 105
USX-Marathon Group 3,600 104
Micron Technology, Inc. 2,600 104
Avery Dennison Corp. 2,600 $ 104
CVS Corp. 2,000 103
Praxair, Inc. 1,800 101
Aon Corp. 1,950 101
Occidental Petroleum Corp. 4,000 100
Marriott International, Inc. 1,600 98
FPL Group, Inc. 2,100 97
Barrick Gold Corp. 4,400 97
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TOTAL 200-LARGEST STOCKS 67,668
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American Electric Power Co., Inc. 2,300 97
Alcan aluminum Ltd. 2,800 97
Wrigley (Wm.) Jr. Company 1,400 94
Georgia-Pacific Corp. 1,100 94
Kroger Co.* 3,200 93
AMR Corp.* 1,000 93
ITT Corp. 1,500 92
Great Western Financial Corp. 1,700 91
Texas Utilities Co. 2,600 90
Tenneco, Inc. 2,000 90
Federated Department Stores, Inc.* 2,600 90
Browning-Ferris Industries, Inc. 2,700 90
Service Corporation International 2,700 89
American Stores Co. 1,800 89
Thermo Electron Corp.* 2,600 88
Comerica, Inc. 1,300 88
HFS, Inc.* 1,500 87
Bankers Trust New York Corp. 1,000 87
Ingersol-Rand Co. 1,400 86
Dover Corp. 1,400 86
Crown Cork & Seal Co., Inc. 1,600 86
Williams Companies, Inc. 1,950 85
Schwab (Charles) Corp. 2,100 85
Cognizant Corp. 2,100 85
Sysco Corp. 2,300 84
Masco Corp. 2,000 84
Lincoln National Corp. 1,300 84
Hilton Hotels Corp. 3,100 82
Costco Companies, Inc.* 2,500 82
The Notes to Financial Statements are an integral part of these statements.
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES (Continued)
June 30, 1997 (Unaudited) 5
MARKET
NUMBER OF VALUE
SHARES (000)
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PacifiCorp 3,700 $ 81
Federal Express Corp.* 1,400 81
Dominion Resources, Inc. 2,200 81
Becton, Dickinson and Co. 1,600 81
TRW, Inc. 1,400 80
Pioneer Hi-Bred International, Inc. 1,000 80
ALLTEL Corp. 2,400 80
Newell Company 2,000 79
Eaton Corp. 900 79
Clorox Co. 600 79
Lowes Companies, Inc. 2,100 78
Newmont Mining Corp. 1,963 77
Guidant Corp. 900 77
UNUM Corp. 1,800 76
St. Paul Companies, Inc. 1,000 76
Quaker Oats Co. 1,700 76
Genuine Parts Co. 2,250 76
Transamerica Corp. 800 75
SAFECO Corp. 1,600 75
Republic New York Corp. 700 75
Fortune Brands, Inc. 2,000 75
Dresser Industries, Inc. 2,000 75
Delta Air Lines, Inc. 900 74
Consolidated Edison Co. of N.Y., Inc. 2,500 74
Cardinal Health, Inc. 1,300 74
Union Pacific Resources Group, Inc. 2,949 73
Salomon, Inc. 1,300 72
Rohm & Haas Co. 800 72
Freeport McMoRan Copper & Gold, Inc., Class B 2,300 72
Winn-Dixie Stores, Inc. 1,900 71
Union Carbide Corp. 1,500 71
McGraw-Hill, Inc. 1,200 71
Kmart Corp. 5,800 71
International Flavors & Fragrances, Inc. 1,400 71
Rite Aid Corp. 1,400 70
Public Service Enterprises Group, Inc. 2,800 70
Donnelley (R.R.) & Sons Co. 1,900 70
Cooper Industries, Inc. 1,400 70
Baker Hughes, Inc. 1,800 70
Limited, Inc. 3,400 $ 69
Coastal Corp. 1,300 69
VF Corp. 800 68
Sherwin-Williams Co. 2,200 68
Phelps Dodge Corp. 800 68
Parametric Technology Corp.* 1,600 68
Entergy Corp. 2,500 68
Carolina Power & Light Co. 1,900 68
MGIC Investment Corp. 1,400 67
Equifax, Inc. 1,800 67
Digital Equipment Corp.* 1,900 67
Amerada Hess Corp. 1,200 67
Times Mirror Co., Class A 1,200 66
Champion International Corp. 1,200 66
Burlington Resources, Inc. 1,500 66
Consolidated Natural Gas Co. 1,200 65
Computer Sciences Corp.* 900 65
Torchmark Corp. 900 64
Eastman Chemical Co. 1,000 64
Nucor Corp. 1,100 62
Case Corp. 900 62
UST, Inc. 2,200 61
Interpublic Group of Companies, Inc. 1,000 61
Green Tree Financial Corp. 1,700 61
Bay Networks, Inc.* 2,300 61
Unicom Corp. 2,700 60
Inco Ltd. 2,000 60
General Dynamics Corp. 800 60
Rubbermaid, Inc. 2,000 59
PECO Energy Co. 2,800 59
New York Times Co., Class A 1,200 59
Knight-Ridder, Inc. 1,200 59
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TOTAL 300-LARGEST STOCKS 75,218
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Jefferson-Pilot Corp. 850 59
Parker-Hannifin Corp. 950 58
Houston Industries, Inc. 2,700 58
Frontier Corp. 2,900 58
Comcast Corp., Class A (Special) 2,700 58
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES (Continued)
June 30, 1997 (Unaudited) 6
MARKET
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------
Advanced Micro Devices, Inc.* 1,600 $ 58
Reynolds Metals Co. 800 57
Hercules, Inc. 1,200 57
GPU, Inc. 1,600 57
Central & Southwest Corp. 2,700 57
Sonat, Inc. 1,100 56
MBIA, Inc. 500 56
Cinergy Corp. 1,620 56
Grace (W.R.) & Co. 1,000 55
Fluor Corp. 1,000 55
Dun & Bradstreet Corp. 2,100 55
Allegheny Teledyne, Inc. 2,040 55
Laidlaw, Inc., Class B, (non-voting) 3,900 54
TJX Companies, Inc. 2,000 53
Northrop Grumman Corp. 600 53
National Semiconductor Corp.* 1,700 52
Ahmanson (H. F.) & Co. 1,200 52
Western Atlas, Inc.* 700 51
Morton International, Inc. 1,700 51
LSI Logic Corp.* 1,600 51
Cabletron Systems, Inc.* 1,800 51
Baltimore Gas & Electric Co. 1,900 51
HealthSouth Corp.* 2,000 50
DTE Energy Co. 1,800 50
Beneficial Corp. 700 50
Willamette Industries, Inc. 700 49
Whirlpool Corp. 900 49
Union Electric Co. 1,300 49
Placer Dome, Inc. 3,000 49
Nordstrom, Inc. 1,000 49
Golden West Financial Corp. 700 49
Stanley Works (The) 1,200 48
Perkin-Elmer Corp. 600 48
Dow Jones & Co., Inc. 1,200 48
Dillard Department Stores, Inc., Class A 1,400 48
Southwest Airlines Co. 1,800 47
Northern States Power Co. 900 47
Hasbro, Inc. 1,650 47
Grainger (W.W.), Inc. 600 47
Pennzoil Co. 600 $ 46
Humana, Inc.* 2,000 46
Union Camp Corp. 900 45
Tandy Corp. 800 45
Raychem Corp. 600 45
PACCAR, Inc. 950 44
Mead Corp. 700 44
Brown-Forman Corporation, Class B 900 44
Harcourt General, Inc. 900 43
Circuit City Stores, Inc. 1,200 43
Sigma-Aldrich Corp. 1,200 42
Liz Claiborne, Inc. 900 42
Harris Corp. 500 42
Great Lakes Chemical Corp. 800 42
Dana Corp. 1,100 42
Block (H & R), Inc. 1,300 42
Autozone, Inc. 1,800 42
Woolworth Corp. 1,700 41
Wendy's International, Inc. 1,600 41
Ohio Edison Co. 1,900 41
Johnson Controls, Inc. 1,000 41
James River Corp. 1,100 41
Engelhard Corp. 1,950 41
Brunswick Corp. 1,300 41
Black & Decker Corp. 1,100 41
PP & L Resources, Inc. 2,000 40
Ikon Office Solutions, Inc. 1,600 40
FMC Corp.* 500 40
USX-U.S. Steel Group 1,100 39
Providian Corp. 1,200 39
Columbia Gas Systems, Inc. 600 39
Temple-Inland, Inc. 700 38
Lehman Brothers Holdings, Inc. 940 38
Kerr-McGee Corp. 600 38
Ecolab, Inc. 800 38
Reebok International Ltd. 800 37
Pacific Enterprises 1,100 37
General Instrument Corp.* 1,500 37
Countrywide Credit Industries, Inc. 1,200 37
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES (Continued)
June 30, 1997 (Unaudited) 7
MARKET
NUMBER OF VALUE
SHARES (000)
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Ashland, Inc. 800 $ 37
Armstrong World Industries, Inc. 500 37
American Greetings Corp., Class A 1,000 37
AEGON, N.V. 521 37
Ryder System, Inc. 1,100 36
Cummins Engine Co., Inc. 500 36
Rowan Companies, Inc.* 1,200 34
Mallinckrodt Group, Inc. 900 34
Deluxe Corp. 1,000 34
Ceridian Corp.* 800 34
Whitman Corp. 1,300 33
Westvaco Corp. 1,050 33
St. Jude Medical, Inc. 850 33
Polaroid Corp. 600 33
Pall Corp. 1,400 33
ITT Industries, Inc. 1,300 33
DSC Communications Corp.* 1,500 33
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TOTAL 400-LARGEST STOCKS 79,716
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Bausch & Lomb, Inc. 700 33
US Airways Group, Inc.* 900 32
Thomas & Betts Corp. 600 32
Tandem Computers, Inc.* 1,600 32
Novell, Inc.* 4,600 32
Adobe Systems, Inc. 900 32
USF&G Corp. 1,300 31
SuperValu, Inc. 900 31
Nalco Chemical Co. 800 31
Mercantile Stores Co., Inc. 500 31
Maytag Corp. 1,200 31
Fruit of the Loom, Inc., Class A* 1,000 31
Comcast Corp., Class A 1,500 31
United States Surgical Corp. 800 30
Snap-On, Inc. 750 30
Silicon Graphics, Inc.* 2,000 30
Oryx Energy Co. 1,400 30
Louisiana-Pacific Corp. 1,400 30
Biomet, Inc. 1,600 30
Bemis Company, Inc. 700 30
Tupperware Corp. 800 $ 29
National Service Industries, Inc. 600 29
Echlin, Inc. 800 29
Cyprus Amax Minerals Co. 1,200 29
Cox Communications, Inc. Class A* 1,229 29
ALZA Corp.* 1,000 29
Timken Co. 800 28
Sun Company, Inc. 900 28
Moore Corporation Ltd. 1,400 28
Andrew Corp.* 993 28
Pep Boys-Manny, Moe & Jack 800 27
Payless ShoeSource, Inc.* 496 27
Owens-Corning Fiberglas Corp. 600 26
NorAm Energy Corp. 1,700 26
Millpore Corp. 600 26
Manor Care, Inc. 800 26
Goodrich (B.F.) Co. 600 26
Giant Foods, Inc., Class A 800 26
General Signal Corp. 600 26
NICOR, Inc. 700 25
Homestake Mining Co. 1,900 25
Harnischfeger Industries, Inc. 600 25
Crane Co. 600 25
Bard (C.R.), Inc. 600 25
Allergan, Inc. 800 25
Tektronix, Inc. 400 24
Scientific-Atlanta, Inc. 1,100 24
Cooper Tire & Rubber Co. 1,100 24
Meridith Corp. 800 23
McDermott International, Inc. 800 23
Louisiana Land & Exploration Co. 400 23
Harrah's Entertainment, Inc.* 1,250 23
Autoliv, Inc.* 579 23
Autodesk, Inc. 600 23
Apple Computer, Inc. 1,600 23
Alberto-Culver Co, Class B 800 22
Boise Cascade Corp. 600 21
Worthington Industries, Inc. 1,100 20
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES (Continued)
June 30, 1997 (Unaudited) 8
MARKET
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------------
Foster Wheeler Corp. 500 $ 20
ENSERCH Corp. 900 20
Darden Restaurants, Inc. 2,200 20
Briggs & Stratton Corp. 400 20
Santa Fe Energy Resources, Inc. 1,300 19
Peoples Energy Corp. 500 19
Navistar International Corp.* 1,100 19
Caliber System, Inc. 500 19
Beverly Enterprises, Inc.* 1,200 19
Aeroquip-Vickers, Inc. 400 19
Unisys Corp. * 2,400 18
Potlatch Corp. 400 18
Fleetwood Enterprises, Inc. 600 18
Asarco, Inc. 600 18
Niagara Mohawk Power Co. 2,000 17
King World Productions, Inc.* 500 17
Helmerich & Payne, Inc. 300 17
Stone Container Corp. 1,100 16
Shared Medical Systems Corp. 300 16
Longs Drug Stores Corp. 600 16
Jostens, Inc. 600 16
Inland Steel Industries, Inc. 600 16
Centex Corp. 400 16
Bethlehem Steel Corp.* 1,500 16
Battle Mountain Gold Co. 2,800 16
Russell Corp. 500 15
Safety-Kleen Corp. 800 14
Pulte Corp. 400 14
Great Atlantic & Pacific Tea Co., Inc. 500 14
Covance, Inc.* 725 14
Amdahl Corp.* 1,600 14
ONEOK, Inc. 400 13
EG & G, Inc. 600 13
Data General Corp.* 500 13
Coors (Adolph) Co., Class B 500 13
Cincinnati Milacron, Inc. 500 13
Ball Corp. 400 12
Springs Industries, Inc., Class A 200 11
El Paso Natural Gas Co. 204 11
Giddings & Lewis, Inc. 500 $ 10
Eastern Enterprises 300 10
Stride Rite Corp. 700 9
Schweitzer-Mauduit International, Inc. 230 9
Newport News Shipbuilding & Dry Dock Co. 440 9
Kaufman & Broad Home Corp. 500 9
Harland (J.H.) Co. 400 9
Fleming Companies, Inc. 500 9
Echo Bay Mines Ltd. 1,600 9
Earthgrains Co. 128 8
Roadway Express, Inc. 300 7
Quest Diagnostics, Inc.* 362 7
Charming Shoppes, Inc. 1,400 7
Zurn Industries, Inc. 200 6
NACCO Industries, Inc., Class A 100 6
Bassett Furniture Industries, Inc. 200 6
Armco, Inc. 1,500 6
Intergraph Corp.* 600 5
GC Companies, Inc.* 120 5
Strattec Security Corp.* 180 4
Aviall, Inc. 300 4
Highlands Insurance Group, Inc.* 160 3
Bally Total Fitness Holding Co.* 175 2
CyberGuard Corp.* 90 1
Crown Vantage, Inc.* 120 1
Brunos, Inc.* 31 1
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TOTAL COMMON STOCKS - 94.3%
(Cost $44,488,215) 82,095
---------
PREFERRED STOCK - 0 .1%
(Cost $9,274)
Aetna, Inc., Class C* 142 13
---------
WARRANTS -0 .1%
(Cost $162)
Morrison Knudsen Corp., Expire 2003* 46 1
---------
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES (Continued)
June 30, 1997 (Unaudited) 9
MARKET
VALUE
PRINCIPAL (000)
- ----------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 5.6%
COMMERCIAL PAPER - 5.3%
American Express Credit Corp., 5.45%, 7/2/97 $ 100 $ 100
GTE Funding, Inc., 5.57%, 7/21/97 2,002 2,002
Southern N. E. Telecomm. Corp.,
5.58%, 7/7/97 914 914
Toys 'R' Us, Inc., 5.52%, 7/9/97 1,553 1,553
U.S. GOVERNMENT AND AGENCIES - 0.3%
U. S. Treasury Bills,
5.115%, 7/10/97** 260 260
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TOTAL SHORT-TERM OBLIGATIONS
(Cost $4,828,695) 4,829
----------
TOTAL INVESTMENT IN SECURITIES - 100.1%
(Total Cost $49,326,346) 86,938
Liabilities Less Cash and Other Assets - (0.1)% (34)
----------
NET ASSETS - 100.0% $ 86,904
==========
(equivalent to $14.94 per share based on
5,816,140 shares outstanding)
* Non-income producing securities.
** Pledged as initial margin for Stock Index Futures Contracts.
*** At June 30, 1997, the Fund was long 12 S&P 500 Futures Contract
expiring in September 1997. Unrealized loss amounted to $34,800.
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 10
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
- -------------------------------------------------------
(IN THOUSANDS)
ASSETS:
Investments at market value
(Cost $49,326,346) $ 86,938
Cash 50
Receivable for fund shares sold 11
Dividend receivable 98
Investment for deferred compensation
plan (Cost $61,629) 78
Other 23
--------------
TOTAL ASSETS 87,198
--------------
LIABILITIES:
Payable for investments purchased 95
Payable for fund shares repurchased 7
Deferred directors' fees payable 78
Accrued advisory fees payable 19
Variation margin payable 40
Other accrued expenses (including $17,764
due to affiliate) 55
--------------
TOTAL LIABILITIES 294
--------------
NET ASSETS (Equivalent to $14.94 per share
based on 5,816,140 shares outstanding)
$ 86,904
==============
COMPONENTS OF NET ASSETS:
Paid-in capital $ 46,255
Undistributed net investment income 624
Unrealized appreciation of investments 37,593
Accumulated net realized gain 2,432
--------------
NET ASSETS $ 86,904
==============
STATEMENT OF OPERATIONS
Six months ended June 30, 1997 (Unaudited)
- ----------------------------------------------------------------------
(IN THOUSANDS)
INVESTMENT INCOME
Income:
Dividend $ 689
Interest 95
------------------
784
Expenses:
Investment advisory fees 97
Custodian fees 63
Administrative services 28
Directors' fees 13
Auditing and legal fees 9
Shareholder reports 7
Other 3
------------------
Total expenses 220
Less expenses waived by advisor (123)
------------------
Net Expenses 97
NET INVESTMENT INCOME 687
------------------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain from investments 1,761
Net realized gain from futures contracts 817
Unrealized appreciation of investments 11,766
Net unrealized loss from futures contracts (35)
------------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 14,309
------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 14,996
==================
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 11
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
1997 1996
---- ----
(IN THOUSANDS)
- --------------------------------------------------------------------------------
OPERATIONS:
Net investment income $ 687 $ 1,220
Net realized gain from investments 1,761 2,228
Net realized gain from futures
contracts 817 421
Unrealized appreciation on investments 11,766 10,040
Unrealized depreciation on futures
contracts (35) (5)
---------------- ---------------
Net increase in net assets
from operations 14,996 13,904
---------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
($.29 per share) - (1,599)
In excess of net investment income
(less than $.01 per share) - (7)
From net realized gain
($.45 per share) - (2,487)
---------------- ---------------
Total distributions to shareholders - (4,093)
---------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Net increase (decrease) from capital
share transactions 395 (4,581)
---------------- ---------------
NET INCREASE IN NET ASSETS 15,391 5,230
NET ASSETS:
Beginning of period 71,513 66,283
---------------- ---------------
End of period (Including undistributed
net investment income of $624,038
and overdistributed net investment
income of $62,747) $ 86,904 $ 71,513
================ ===============
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 12
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. UTILIZATION OF INDEXATION APPROACH. The CIGNA Variable Products S&P 500 Index
Fund (the "Fund") seeks to achieve its long term growth objective by attempting
to replicate the total return performance, reduced by Fund expenses, of the
Standard & Poor's 500 Composite Stock Price Index.
2. SIGNIFICANT ACCOUNTING POLICIES. The Fund is a separate series of CIGNA
Variable Products Group, a Massachusetts business trust (the "Trust"). The Trust
is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies consistently followed by the Fund in the preparation of its financial
statements.
A. SECURITY VALUATION - Equity securities, including warrants, that are listed
on a national securities exchange or part of the NASDAQ National Market System
are valued at the last sale price or, if there has been no sale that day, at the
last bid price. Debt and other equity securities traded in the over-the-counter
market, including listed securities whose primary markets are believed to be
over-the-counter, are valued at the most recent bid price. Short-term
investments with remaining maturities of up to and including 60 days are valued
at amortized cost, which approximates market. Short-term investments that mature
in more than 60 days are valued at current market quotations. Other securities
and assets of the Fund are appraised at fair value as determined in good faith
by, or under the authority of, the Trust's Board of Trustees.
FUTURES CONTRACTS - The Fund may purchase Standard & Poor's 500 futures
contracts with the objective of earning returns on its short-term investments
equivalent to returns on the Standard & Poor's 500 Composite Stock Price Index.
As a result, the purchase of futures contracts simulates a fully invested
position in the underlying index while maintaining liquidity. Upon entering into
a futures contract, the Fund is required to pledge to the broker an amount of
cash and/or securities equal to the initial margin requirements. During the
period a futures contract is open, changes in the value of a contract are
recognized as unrealized gains or losses by "marking to market" on a daily basis
to reflect the market value of the contract at the end of each day's trading.
Daily variation margin payments are received or made, depending on whether there
were unrealized gains or losses. When a contract is closed, the Fund records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Futures
contracts include the risk that a change in the value of the contract may not
correlate with the value of the underlying securities.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME - Security transactions
are accounted for on the trade date (date the order to buy or sell is executed).
Dividend income is recorded on the ex-dividend date, and interest income is
recorded on the accrual basis. Securities gains and losses are determined on the
basis of identified cost.
C. FEDERAL TAXES - It is the Fund's policy to continue to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income and capital gains, if any,
to its shareholders. Therefore, no Federal income or excise taxes on realized
income have been accrued.
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS - Dividends and distributions are
recorded by the Fund on the ex-dividend date. Payments in excess of financial
accounting income due to differences between financial and tax accounting, to
meet the minimum distribution requirements for tax basis income, are deducted
from paid in capital when such differences are determined to be permanent.
3. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES. Investment
advisory fees were paid or accrued to CIGNA Investments, Inc. ("CII"), certain
officers and directors of which are affiliated with the Fund. Such advisory fees
are based on an annual rate of 0.25% applied to the daily average net assets of
the Fund. Beginning January 1, 1996, CII voluntarily agreed to reimburse the
Fund for any amount by which its expenses, transaction costs incurred in
acquiring and disposing of portfolio securities, and extraordinary expenses)
exceed 0.60% of average daily net assets. Effective January 1, 1997, this was
lowered to 0.25% of average daily net assets until December 31, 1997, and
afterwards to the extend described in the Fund's then current prospectus.
The Fund reimburses CII for a portion of the compensation and related expenses
of the Fund's Treasurer and Secretary and certain persons who assist in carrying
out the responsibilities of those offices. For the six months ended June 30,
1997, the Fund paid or accrued $27,781.
CII is an indirect, wholly-owned subsidiary of CIGNA Corporation.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 13
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
4. TRUSTEES' FEES. Trustees' fees represent remuneration paid or accrued to
trustees who are not employees of CIGNA Corporation or any of its affiliates.
Trustees may elect to defer receipt of all or a portion of their fees which are
invested in mutual fund shares in accordance with a deferred compensation plan.
5. PURCHASES AND SALES OF SECURITIES. Purchases and sales of securities,
excluding short-term obligations, aggregated $1,486,008 and $4,172,440,
respectively, for the six months June 30, 1997. As of June 30, 1997, the cost of
securities held for Federal income tax purpose was $49,767,823. At June 30,
1997, unrealized appreciation for Federal income tax purposes aggregated
$37,169,721, of which $38,244,790 related to appreciated securities and
$1,075,069 related to depreciated securities.
6. CAPITAL STOCK. The Fund offers an unlimited number of shares of beneficial
interest without par value. Of the 5,816,140 shares outstanding at June 30,
1997, 5,678,350, shares were held by State Street Bank and Trust Company as
custodian under an agreement with Connecticut General Life Insurance Company
("CG Life") relating to variable annuity and variable universal life insurance
contracts issued by that company. The remainder, representing 2.4% of the shares
outstanding, was held by an employee benefit plan established by CG Life for
certain of its employees.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 14
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
Transactions in capital stock were as follows:
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1997 December 31, 1996
Shares Amount Shares Amount
(000) (000) (000) (000)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 430 $ 5,532 86 $ 1,004
Shares issued to shareholders
in reinvestment of dividends
and distributions - - 341 4,093
--------------- ---------------- ----------------- -------------------
430 5,532 427 5,097
Shares redeemed (383) (5,137) (822) (9,678)
--------------- ---------------- ----------------- -------------------
Net increase (decrease) 47 $ 395 (395) $ (4,581)
=============== ================ ================= ===================
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 15
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
<TABLE>
<CAPTION>
7. FINANCIAL HIGHLIGHTS. The following selected per share data, ratios and supplemental data is
computed on the basis of a share outstanding throughout the period:
- ----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
1997 1996 1995 1994 1993 1992
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.40 $ 10.75 $ 8.19 $ 9.20 $ 11.94 $ 12.83
---------- ---------- ---------- ---------- ---------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income* 0.12 0.22 0.21 0.19 0.16 0.12
Net realized and unrealized gain (loss) 2.42 2.17 2.80 (0.13) 0.22 0.34
----- ----- ----- ------ ----- ----
TOTAL FROM INVESTMENT OPERATIONS 2.54 2.39 3.01 0.06 0.38 0.46
----- ----- ----- ----- ----- ----
LESS DISTRIBUTIONS:
From net investment income - (0.29) (0.27) (0.14) (0.17) (0.12)
From capital gains - (0.45) (0.18) (0.85) (2.95) (1.23)
In excess of net capital gains - - - (0.08) - -
----- ------ ------ ------- ------- -------
TOTAL DISTRIBUTIONS - (0.74) (0.45) (1.07) (3.12) (1.35)
----- ------ ------ ------- ------- -------
NET ASSET VALUE, END OF PERIOD $14.94 $12.40 $10.75 $ 8.19 $ 9.20 $11.94
------ ------- ------- ------- ------- -------
TOTAL INVESTMENT RETURN 20.48% 22.48% 36.82% 0.67% 2.97% 3.59%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted) $ 86,904 $ 71,513 $ 66,283 $ 54,728 $ 61,478 $ 68,287
Ratio of operating expenses to average net
assets 0.12% a 0.60% a 0.73% 0.78% 0.66% 0.59%
Ratio of net investment income to average net
assets 0.88% b 1.78% b 2.05% 2.23% 1.30% 0.94%
Portfolio turnover 2% 4% 4% 4% 185% ** 82%
Average commission rate*** $0.0282 $0.0272
</TABLE>
a. Ratios of expenses to average net assets prior to expense reimbursements were
0.28% and 0.64% for 1997 and 1996, respectively.
b. Ratios of net investment income to average net assets prior to expense
reimbursements were 0.72% and 1.74% for 1997 and 1996, respectively.
* Net investment income per share has been calculated in accordance with SEC
requirements, with the exception that end of year accumulated undistributed/
(overdistributed) net investment income has not been adjusted to reflect current
year permanent difference between financial and tax accounting.
** During November 1993, the portfolio was indexed to the S&P 500, resulting in
a complete turnover of the portfolio at that time.
*** For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share for security trades on which
commissions are charged. This amount may vary from period to period and fund to
fund depending on the mix of trades executed in various markets where trading
practices and commission rule structures may differ.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 16
TRUSTEES: OFFICERS:
R. Bruce Albro (Chairman) R. Bruce Albro
Senior Managing Director, Chairman of the Board and President
CIGNA Investments, Inc.
Alfred A. Bingham III
Hugh R. Beath Vice President and Treasurer
Advisory Director,
AdMedia Corporate Advisors, Inc. Jeffrey S. Winer
Vice President and Secretary
Russell H. Jones
Vice President and Treasurer,
Kaman Corporation CUSTODIAN AND TRANSFER AGENT:
State Street Bank and Trust Company
Paul J. McDonald P.O. Box 2351
Senior Executive Vice President Boston, Massachusetts 02107
and Chief Administrative Officer,
Friendly Ice Cream Corporation INVESTMENT ADVISER:
CIGNA Investments, Inc.
Arthur C. Reeds, III 900 Cottage Grove Road
President, CIGNA Investment Hartford, Connecticut 06152
Management and CIGNA
Investments, Inc. ADDRESS OF THE FUND:
950 Winter Street
Suite 1200
Waltham, Massachusetts 02154
- --------------------------------------------------------------------------------
"Standard & Poor's/R/", "S&P/R/," "Standard & Poor's 500," and "500" are
trademarks of the Standard & Poor's Corporation (S&P) and have been licensed for
use by CG Life. The S&P 500 Index Fund is not sponsored, endorsed, sold or
promoted by S&P, and S&P makes no representation regarding the advisability of
investing in the Fund.
