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[CIGNA TREE LOGO GRAPHIC APPEARS HERE]
CIGNA VARIABLE PRODUCTS
S&P 500 INDEX FUND
SEMIANNUAL REPORT
JUNE 30, 1999
[CIGNA TREE LEAVES GRAPHIC APPEARS IN BACKGROUND]
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1
DEAR SHAREHOLDERS:
We are pleased to provide this report for CIGNA Variable Products S&P 500 Index
Fund (the "Fund"), covering the six months ended June 30, 1999.
THE MARKET ENVIRONMENT
U.S. equity markets traded in a narrow range during April and May, achieving
negligible gains over that period. Concerns about the rapid growth in both
private sector debt and the money supply increased potential for wage inflation,
and a record current account deficit had all but made an interest rate increase
during the June Federal Reserve Open Markets Committee meeting a fait accompli.
By June, however, continuing evidence of a strong rebound in corporate profits
generated by indefatigable consumer optimism, consequent demand and unmatched
productivity growth propelled the S&P500 to a 7.05% return for the full quarter
and a year-to-date total return of 12.38%. (Index results do not reflect
brokerage charges or other investment expenses.)
Although both the first and second quarters of 1999 provided healthy performance
numbers, return characteristics for the second quarter stood in stark contrast
to those of the first quarter. First quarter returns exhibited a lack of
breadth. Most of the performance was confined to a handful of
large-capitalization growth oriented technology, financial and communications
companies, consistent with a pattern that had existed for several years. By
contrast, second quarter results saw many small and mid-capitalization cyclical
stocks increase in value, representing a significant shift on the part of market
participants. Accordingly, industry reversals were also in evidence as Aluminum,
Miscellaneous Metals, Chemicals, Diversified Manufacturing and Machinery all
posting better than 25% returns for the quarter while Health Care, Savings &
Loans and Drugs registered loses. As further evidence of expanding market
breadth the S&P MidCap Index (14.16%) and the S&P SmallCap Index (15.42%)
provided returns more than double those of the S&P500 during the quarter.
FUND PERFORMANCE
After deducting expenses and allowing for the reinvestment of dividends, the
Fund returned 12.27% for year to date compared to the S&P 500 Index return of
12.38%. (Index results do not reflect brokerage or other investment expenses.)
OUTLOOK
While new evidence of market breadth bodes well for further advances in
equities, the market will no doubt have to draw sustenance from continued growth
in corporate profits. Despite the Federal Reserve's expressed "neutrality" bias
after their 25 basis point bump up in the Federal Funds rate on June 30th any
reinforcement of the concerns expressed above would probably suggest further
action on their part to tighten the reigns.
Sincerely,
/s/ Richard H. Forde
Richard H. Forde,
PRESIDENT
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
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CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND INVESTMENTS IN SECURITIES 2
June 30, 1999 (Unaudited)
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
COMMON STOCKS - 84.9%
Microsoft Corp.* 94,800 $ 8,550
General Electric Co. 60,700 6,859
International Business Machines Corp. 33,700 4,356
Wal-Mart Stores, Inc. 82,600 3,985
Cisco Systems, Inc.* 59,300 3,825
Lucent Technologies, Inc. 56,236 3,792
Intel Corp. 61,600 3,665
Exxon Corp. 45,200 3,486
A T & T Corp. 59,086 3,298
Merck & Co., Inc. 43,800 3,241
Citigroup, Inc. 62,988 2,992
MCI WorldCommunications, Inc. 34,509 2,970
Coca-Cola Co. 45,800 2,862
American International Group, Inc. 22,790 2,668
Pfizer, Inc. 24,100 2,645
Bristol-Myers Squibb Co. 36,800 2,592
Johnson & Johnson 24,900 2,440
Royal Dutch Petroleum Co. 39,800 2,398
BankAmerica Corp. 32,418 2,377
America Online, Inc.* 20,200 2,232
Procter & Gamble Co. 24,700 2,204
SBC Communications, Inc. 36,206 2,100
Hewlett-Packard Co. 18,900 1,899
Bell Atlantic Corp. 28,694 1,876
Philip Morris Companies, Inc. 44,800 1,800
Home Depot, Inc. 27,400 1,766
Dell Computer Corp.* 47,300 1,750
BellSouth Corp. 35,200 1,650
Time Warner, Inc. 22,100 1,624
Ameritech Corp. 20,300 1,492
Lilly (Eli) & Co. 20,500 1,468
Schering-Plough Corp. 27,200 1,442
Tyco International Ltd. 15,210 1,441
du Pont (E.I.) de Nemours & Co. 20,900 1,428
Mobil Corp. 14,400 1,426
American Home Products Corp. 24,500 1,409
Chase Manhattan Corp. 15,784 1,367
GTE Corp. 18,000 1,363
Federal National Mortgage Association 19,200 1,313
MARKET
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------
Wells Fargo & Co. 30,560 $ 1,306
Banc One Corp. 21,819 1,300
Abbott Laboratories 28,200 1,283
Ford Motor Co. 22,400 1,264
Disney ( Walt) Co. 38,200 1,177
Chevron Corp. 12,100 1,152
Warner-Lambert Co. 15,800 1,096
American Express Company 8,400 1,093
Morgan Stanley, Dean Witter, Discover
& Co. 10,570 1,083
Nortel Networks Corp. 12,360 1,073
PepsiCo, Inc. 27,300 1,056
Motorola, Inc. 11,100 1,052
Texas Instruments, Inc. 7,200 1,044
McDonald's Corp. 25,100 1,037
EMC Corp.* 18,600 1,023
Oracle Systems Corp.* 27,018 1,003
Sun Microsystems, Inc.* 14,300 985
Sprint Corp. 16,100 850
Medtronic, Inc. 10,900 849
Gillette Co. 20,600 845
First Union Corp. 17,928 843
MediaOne Group, Inc.* 11,300 840
Schwab (Charles) Corp. 7,425 816
General Motors Corp. 12,200 805
Gap (The), Inc. 15,863 799
Boeing Company 18,076 799
Federal Home Loan Mortgage Corp. 12,900 748
Compaq Computer Corp. 31,375 743
Unilever NV 10,535 735
Xerox Corp. 12,200 721
Allied-Signal, Inc. 10,400 655
Minnesota Mining and Manufacturing Co. 7,500 652
United Technologies Corp. 9,000 645
Anheuser-Busch Companies, Inc. 9,000 638
Schlumberger Ltd. 10,000 637
Texaco, Inc. 10,000 625
Associates First Capital Corp., Class A 13,538 600
Waste Management, Inc. 11,132 598
CBS Corp. 13,300 578
Kimberly-Clark Corp. 10,032 572
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 3
June 30, 1999 (Unaudited) (Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Amgen, Inc.* 9,400 $ 572
Viacom, Inc., Class B* 12,900 568
Computer Associates International, Inc. 10,112 556
Carnival Corp. 11,400 553
U.S. West, Inc. 9,299 546
Merrill Lynch & Co., Inc. 6,800 544
Colgate-Palmolive Co. 5,500 543
Walgreen Co. 18,400 541
Enron Corp. 6,600 540
Allstate Corp. 14,996 538
Pharmacia & Upjohn, Inc. 9,410 535
Comcast Corp., Class A (Special) 13,700 527
Dayton Hudson Corp. 8,100 526
Dow Chemical Co. 4,100 520
Emerson Electric Co. 8,200 516
Electronic Data Systems Corp. 9,100 515
Bank of New York, Inc. 13,900 510
Atlantic Richfield Co. 6,100 510
Applied Materials, Inc.* 6,800 502
Automatic Data Processing, Inc. 11,200 493
Tellabs, Inc.* 7,200 486
Sprint Corp. (PCS Group)* 8,200 468
U. S. Bancorp, Inc. 13,702 466
Morgan (J.P.) & Co. 3,300 464
Fleet Financial Group, Inc. 10,432 463
Monsanto Company 11,600 457
MBNA Corp. 14,868 455
Safeway, Inc.* 9,100 450
Raytheon Co., Class B 6,300 443
Alcoa, Inc. 7,000 433
Household International, Inc. 9,046 429
Kroger Co.* 15,000 419
SunTrust Banks, Inc. 6,000 417
Clear Channel Communications, Inc.* 6,000 414
Caterpillar, Inc. 6,800 408
First Data Corp. 8,300 406
Eastman Kodak Co. 6,000 406
Seagram Company Ltd. 7,900 398
Albertson's, Inc. 7,713 398
Lowes Companies, Inc. 6,900 391
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Sara Lee Corp. 17,200 $ 390
Campbell Soup Company 8,400 390
Washington Mutual, Inc. 11,005 389
International Paper Co. 7,637 386
National City Corp. 5,800 380
Gannett Co., Inc. 5,300 378
Illinois Tool Works, Inc. 4,600 377
Halliburton Co. 8,100 367
ALLTEL Corp. 5,100 365
Duke Energy Co. 6,662 362
CVS Corp. 7,100 360
CIGNA Corp. 4,000 356
Marsh & McLennan Companies, Inc. 4,700 355
American General Corp. 4,698 354
Mellon Bank Corp. 9,600 349
Firstar Corp. 12,300 344
Southern Company 12,900 342
Heinz (H.J.) Co. 6,800 341
NIKE, Inc., Class B 5,300 336
Williams Companies, Inc. 7,800 332
Pitney-Bowes, Inc. 5,100 328
Wachovia Corp. 3,800 325
Cardinal Health, Inc. 5,050 324
PNC Bank Corp. 5,600 323
Sears, Roebuck & Company 7,200 321
Fifth Third Bancorp 4,825 321
Costco Companies, Inc.* 4,000 320
Boston Scientific Corp.* 7,200 316
Baxter International, Inc. 5,200 315
Solectron Corp.* 4,700 313
Corning, Inc. 4,300 302
FDX Corp.* 5,400 293
Cendant Corp.* 14,304 293
Guidant Corp. 5,600 288
NEXTEL Communications, Inc.,
Class A* 5,500 276
BankBoston Corp. 5,400 276
Burlington Northern Santa Fe Corp. 8,767 272
Lockheed Martin Corp. 7,260 270
KeyCorp 8,416 270
Union Pacific Corp. 4,600 268
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 4
June 30, 1999 (Unaudited) (Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Honeywell, Inc. 2,300 $ 267
Avon Products, Inc. 4,800 266
Staples, Inc.* 8,550 265
Omnicom Group 3,300 264
May Department Stores Co. 6,450 264
Bestfoods 5,300 262
Hartford Financial Services Group,
Inc. 4,400 257
State Street Corp. 3,000 256
Best Buy Co., Inc.* 3,800 256
Weyerhaeuser Co. 3,700 254
Providian Financial Corp. 2,700 252
Kellogg Co. 7,600 251
Aetna, Inc. 2,726 244
Phillips Petroleum Co. 4,800 242
Columbia/HCA Healthcare Corp. 10,500 240
Penney (J.C.) Co., Inc. 4,900 238
Newell Rubbermaid, Inc. 5,107 238
BMC Software, Inc.* 4,400 238
ConAgra, Inc. 8,900 237
Coca-Cola Enterprises, Inc. 7,900 235
Clorox Co. 2,200 235
General Mills, Inc. 2,900 233
PG & E Corp. 7,100 231
Textron, Inc. 2,800 230
AFLAC, Inc. 4,800 230
Kohl's Corp.* 2,900 224
Rockwell International Corp. 3,600 219
Interpublic Group of Companies, Inc. 2,500 217
Texas Utilities Co. 5,200 215
Chubb Corp. 3,100 215
BB & T Corp. 5,800 213
Norfolk Southern Corp. 7,000 211
Federated Department Stores, Inc.* 3,900 206
Northern Trust Corp. 2,100 204
Compuware Corp.* 6,400 204
Computer Sciences Corp.* 2,900 201
United Healthcare Corp. 3,200 200
Tribune Co. 2,300 200
Ingersol-Rand Co. 3,100 200
Capital One Financial Corp. 3,600 200
MARKET
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------
Lincoln National Corp. 3,800 $ 199
Consolidated Edison Co. of N.Y., Inc. 4,400 199
AMR Corp.* 2,900 198
TJX Companies, Inc. 5,900 197
Baker Hughes, Inc. 5,890 197
Unisys Corp.* 5,000 195
PPG Industries, Inc. 3,300 195
Aon Corp. 4,725 195
McGraw-Hill Cos., Inc. 3,600 194
Mattel, Inc. 7,345 194
Delphi Automotive System Corp.* 10,326 192
AES Corp.* 3,300 192
Southwest Airlines Co. 6,150 191
Limited, Inc. 4,200 191
Franklin Resources, Inc. 4,700 191
Wrigley (Wm.) Jr. Company 2,100 189
Progressive Corp, Ohio 1,300 189
Frontier Corp. 3,200 189
IMS Health, Inc. 6,000 188
USX-Marathon Group 5,700 186
FPL Group, Inc. 3,400 186
Sysco Corp. 6,200 185
Rohm & Haas Co. 4,285 184
Masco Corp. 6,300 182
Deere & Co. 4,600 182
Micron Technology, Inc. 4,500 181
CSX Corp. 4,000 181
Transamerica Corp. 2,400 180
Ralston Purina Co. 5,900 180
Edison International 6,700 179
Unocal Corp. 4,500 178
Tandy Corp. 3,600 176
Public Service Enterprises Group, Inc. 4,300 176
Marriott International, Inc. 4,700 176
3Com Corp.* 6,600 176
Pioneer Hi-Bred International, Inc. 4,500 175
Conseco, Inc. 5,758 175
Quaker Oats Co. 2,600 173
Air Products & Chemicals, Inc. 4,300 173
Novell, Inc.* 6,500 172
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 5
June 30, 1999 (Unaudited) (Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Goodyear Tire and Rubber Co. 2,900 $ 171
Gateway 2000, Inc.* 2,900 171
Archer-Daniels-Midland Co. 11,080 171
Comerica, Inc. 2,850 169
Circuit City Stores, Inc. 1,800 167
Loews Corp. 2,100 166
McKesson HBOC, Inc. 5,123 165
Georgia-Pacific Corp. 3,400 161
Mercantile Bancorporation, Inc. 2,800 160
General Dynamics Corp. 2,300 158
Dominion Resources, Inc. 3,600 156
Coastal Corp. 3,900 156
Fort James Corp. 4,100 155
Unicom Corp. 4,000 154
Tricon Global Restaurants, Inc.* 2,840 154
Regions Financial Corp. 4,000 154
Office Depot, Inc.* 7,000 154
Hershey Foods Corp. 2,600 154
Reliant Energy, Inc. 5,507 152
PECO Energy Co. 3,600 151
Delta Air Lines, Inc. 2,600 150
Kmart Corp.* 9,000 148
Danaher Corp. 2,500 145
Occidental Petroleum Corp. 6,800 144
Entergy Corp. 4,600 144
Paychex, Inc. 4,500 143
Dover Corp. 4,100 143
Burlington Resources, Inc. 3,310 143
UNUM Corp. 2,600 142
SLM Holding Corp. 3,100 142
Praxair, Inc. 2,900 142
Dana Corp. 3,043 140
Apple Computer, Inc. 3,000 139
Summit Bancorp 3,300 138
St. Paul Companies, Inc. 4,332 138
Becton, Dickinson and Co. 4,600 138
Republic New York Corp. 2,000 136
Huntington Bancshares, Inc. 3,890 136
Barrick Gold Corp. 6,900 134
Alcan Aluminum Ltd. 4,200 134
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Lehman Brothers Holdings, Inc. 2,140 $ 133
FirstEnergy Corp. 4,300 133
Avery Dennison Corp. 2,200 133
Allergan, Inc. 1,200 133
General Instrument Corp.* 3,100 132
Fortune Brands, Inc. 3,200 132
Jefferson-Pilot Corp. 1,975 131
American Electric Power Co., Inc. 3,500 131
New York Times Co., Class A 3,500 129
Kansas City Southern Inds., Inc. 2,000 128
TRW, Inc. 2,300 126
Browning-Ferris Industries, Inc. 2,900 125
Union Carbide Corp. 2,500 122
Paine Webber Group, Inc. 2,600 122
Dollar General Corp. 4,218 122
LSI Logic Corp.* 2,600 120
Eaton Corp. 1,300 120
Carolina Power & Light Co. 2,800 120
SouthTrust Corp. 3,100 119
Rite Aid Corp. 4,800 118
Maytag Corp. 1,700 118
Nabisco Group Holding Corp.* 6,000 117
MBIA, Inc. 1,800 117
HealthSouth Corp.* 7,800 117
Genuine Parts Co. 3,350 117
Cincinnati Financial Corp. 3,100 116
Seagate Technology, Inc.* 4,500 115
SAFECO Corp. 2,600 115
Black & Decker Corp. 1,800 114
Dun & Bradstreet Corp. 3,200 113
Johnson Controls, Inc. 1,600 111
Wellpoint Health Networks 1,300 110
Consolidated Natural Gas Co. 1,800 109
Golden West Financial Corp. 1,100 108
DTE Energy Co. 2,700 108
Union Planters Corp. 2,400 107
Tenet Healthcare Corp.* 5,700 106
Ecolab, Inc. 2,400 105
Whirlpool Corp. 1,400 104
KLA-Tencor Corp.* 1,600 104
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 6
June 30, 1999 (Unaudited) (Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
PE Corp. (Biosystems Group) 900 $ 103
Hasbro, Inc. 3,675 103
Bear Stearns Companies, Inc. 2,205 103
MGIC Investment Corp. 2,100 102
Sempra Energy 4,454 101
PacifiCorp 5,500 101
GPU, Inc. 2,400 101
Century Tele. Enterprises, Inc. 2,550 101
Amerada Hess Corp. 1,700 101
Winn-Dixie Stores, Inc. 2,700 100
Sealed Air Corp.* 1,536 100
Provident Companies, Inc. 2,500 100
UST, Inc. 3,400 99
Cooper Industries, Inc. 1,900 99
Adobe Systems, Inc. 1,200 99
Willamette Industries, Inc. 2,100 97
Toys 'R' Us, Inc.* 4,700 97
Grainger (W.W.), Inc. 1,800 97
Synovus Financial Corp. 4,850 96
Equifax, Inc. 2,700 96
Ameren Corp. 2,500 96
PP & L Resources, Inc. 3,100 95
Owens-Illinois, Inc.* 2,900 95
Block (H & R), Inc. 1,900 95
VF Corp. 2,200 94
Nordstrom, Inc. 2,800 94
Columbia Energy Group 1,500 94
Parker-Hannifin Corp. 2,025 93
Donnelley (R.R.) & Sons Co. 2,500 93
Cinergy Corp. 2,920 93
Central & Southwest Corp. 3,900 91
Service Corporation International 4,700 90
Dow Jones & Co., Inc. 1,700 90
Cox Communications, Inc., Class A* 2,458 90
Torchmark Corp. 2,600 89
Sherwin-Williams Co. 3,200 89
International Flavors & Fragrances, Inc. 2,000 89
Northrop Grumman Corp. 1,300 86
Countrywide Credit Industries, Inc. 2,000 86
Champion International Corp. 1,800 86
MARKET
NUMBER OF VALUE
SHARES (000)
- ---------------------------------------------------------------
Ceridian Corp.* 2,600 $ 85
Brown-Forman Corporation, Class B 1,300 85
AutoZone, Inc.* 2,800 84
Biomet, Inc. 2,100 83
New Century Energies, Inc. 2,100 82
Knight-Ridder, Inc. 1,500 82
Kerr-McGee Corp. 1,638 82
Allegheny Teledyne, Inc. 3,640 82
Anadarko Petroleum Corp. 2,200 81
ALZA Corp.* 1,600 81
Constellation Energy Group 2,700 80
CMS Energy Corp. 1,900 80
Mead Corp. 1,900 79
Eastman Chemical Co. 1,500 78
Times Mirror Co., Class A 1,300 77
Reynolds Metals Co. 1,300 77
PACCAR, Inc. 1,450 77
Bausch & Lomb, Inc. 1,000 77
AmSouth Bancorp 3,300 77
Aegon NV ARS 1,042 77
Union Pacific Resources Group, Inc. 4,649 76
Nucor Corp. 1,600 76
National Semiconductor Corp.* 3,000 76
Tenneco, Inc. 3,100 74
PeopleSoft, Inc.* 4,300 74
Florida Progress Corp. 1,800 74
Network Appliance, Inc.* 1,300 73
Placer Dome, Inc. 6,000 71
Hercules, Inc. 1,800 71
U.S. Airways Group, Inc.* 1,600 70
Dillard's, Inc., Class A 2,000 70
Apache Corp. 1,800 70
Parametric Technology Corp.* 5,000 69
Wendy's International, Inc. 2,400 68
Temple-Inland, Inc. 1,000 68
Phelps Dodge Corp. 1,100 68
Northern States Power Co. 2,800 68
Harcourt General, Inc. 1,300 67
Case Corp. 1,400 67
Sonat, Inc. 2,000 66
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 7
June 30, 1999 (Unaudited) (Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Crown Cork & Seal Co., Inc. 2,300 $ 66
Sigma-Aldrich Corp. 1,900 65
Navistar International Corp., Inc.* 1,300 65
Hilton Hotels Corp. 4,600 65
Watson Pharmaceuticals Inc. 1,800 63
Nalco Chemical Co. 1,200 62
ITT Industries, Inc. 1,600 61
Fluor Corp. 1,500 61
Engelhard Corp. 2,650 60
Harris Corp. 1,500 59
Freeport McMoRan Copper & Gold, Inc.,
Class B 3,300 59
Darden Restaurants, Inc. 2,700 59
Thermo Electron Corp.* 2,900 58
Deluxe Corp. 1,500 58
SuperValu, Inc. 2,200 57
Silicon Graphics, Inc.* 3,500 57
Newmont Mining Corp. 2,863 57
Raychem Corp. 1,500 56
Niagara Mohawk Power Co. 3,500 56
Inco Ltd. 3,100 56
Ashland, Inc. 1,400 56
St. Jude Medical, Inc.* 1,550 55
Mirage Resorts, Inc.* 3,300 55
Goodrich, (B.F.) Co. 1,300 55
Westvaco Corp. 1,850 54
Scientific-Atlanta, Inc. 1,500 54
Consolidated Stores Corp.* 2,000 54
Comcast Corp., Class A 1,500 54
Stanley Works 1,600 52
Sunoco, Inc. 1,700 51
Pall Corp. 2,300 51
Mallinckrodt Group, Inc. 1,400 51
HCR Manor Care, Inc.* 2,100 51
Great Lakes Chemical Corp. 1,100 51
Brunswick Corp. 1,800 50
King World Productions, Inc.* 1,400 49
Bard (C. R.), Inc. 1,000 48
Thomas & Betts Corp. 1,000 47
Louisiana-Pacific Corp. 2,000 47
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Advanced Micro Devices, Inc.* 2,600 $ 47
Laidlaw, Inc., Class B, (non-voting) 6,100 45
Liz Claiborne, Inc. 1,200 44
USX-U.S. Steel Group 1,600 43
Boise Cascade Corp. 1,000 43
Harrah's Entertainment, Inc.* 1,850 41
FMC Corp.* 600 41
Centex Corp. 1,100 41
Humana, Inc.* 3,100 40
Cummins Engine Co., Inc. 700 40
Bemis Company, Inc. 1,000 40
Armstrong World Industries., Inc. 700 40
American Greetings Corp., Class A 1,300 39
Snap-On, Inc. 1,050 38
Ikon Office Solutions, Inc. 2,500 38
Crane Co. 1,200 38
Cabletron Systems, Inc.* 2,900 38
Ryder System, Inc. 1,400 36
Meredith Corp. 1,000 35
Coors (Adolph) Co., Class B 700 35
Cooper Tire & Rubber Co. 1,500 35
Owens-Corning Fiberglas Corp. 1,000 34
NICOR, Inc. 900 34
Shared Medical Systems Corp. 500 33
Millipore Corp. 800 32
Homestake Mining Co. 3,900 32
Tupperware Corp. 1,200 31
McDermott International, Inc. 1,100 31
Worthington Industries, Inc. 1,800 30
Andrew Corp.* 1,593 30
Rowan Companies, Inc.* 1,600 29
National Service Industries, Inc. 800 29
Briggs & Stratton Corp. 500 29
Alberto-Culver Co., Class B 1,100 29
EG & G, Inc. 800 28
Tektronix, Inc. 900 27
Payless ShoeSource, Inc.* 496 27
Autodesk, Inc. 900 27
Pep Boys-Manny, Moe & Jack 1,200 26
Peoples Energy Corp. 700 26
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 8
June 30, 1999 (Unaudited) (Continued)
MARKET
NUMBER OF VALUE
SHARES (000)
- ----------------------------------------------------------------
Grace (W.R.) & Co. 1,400 $ 26
Cyprus Amax Minerals Co. 1,700 26
Ball Corp. 600 25
Longs Drug Stores Corp. 700 24
Great Atlantic & Pacific Tea Co.,
Inc. 700 24
Pulte Corp. 1,000 23
Potlatch Corp. 500 22
Polaroid Corp. 800 22
Timken Co. 1,100 21
Helmerich & Payne, Inc. 900 21
Nielson Media Research, Inc. 700 20
Reebok International Ltd. 1,000 19
ONEOK, Inc. 600 19
Fleetwood Enterprises, Inc. 700 18
Bethlehem Steel Corp.* 2,400 18
Autoliv, Inc. 579 18
Waddell & Reed Financial, Inc.,
Class B 636 17
Springs Industries, Inc., Class A 400 17
Kaufman & Broad Home Corp. 700 17
Covance, Inc.* 725 17
Eastern Enterprises 400 16
NACCO Industries, Inc., Class A 200 15
Jostens, Inc. 700 15
CommScope, Inc.* 500 15
Ryerson Tull, Inc. 600 14
Russell Corp. 700 14
El Paso Natural Gas Co. 408 14
Newport News Shipbuilding & Dry Dock
Co. 440 13
Milacron, Inc. 700 13
Fruit of The Loom, Inc., Class A* 1,300 13
Earthgrains Co. 512 13
Data General Corp.* 900 13
Corn Products International, Inc. 425 13
Asarco, Inc. 700 13
ChoicePoint, Inc.* 180 12
Foster Wheeler Corp. 800 11
Safety-Kleen Corp.* 560 10
Quest Diagnostics, Inc.* 362 10
Battle Mountain Gold Co. 4,200 10
MARKET
PRINCIPAL VALUE
(000) (000)
- ----------------------------------------------------------------
Harland (J.H.) Co. 400 $ 8
Donnelley (R.H.) Corp.* 420 8
PE Corp. (Celera Genomics Group)* 450 7
Strattec Security Corp.* 180 6
Roadway Express, Inc. 300 6
Aviall, Inc. 300 6
U.S. Industries, Inc. 320 5
Bassett Furniture Industries, Inc. 200 5
Bally Total Fitness Holding Co.* 175 5
Agribrands International, Inc.* 130 5
Waddell & Reed Financial, Inc., Class A 147 4
GC Companies, Inc.* 120 4
Abercrombie and Fitch Co., Class A* 92 4
Schweitzer-Mauduit International, Inc. 230 3
Octel Corp.* 200 3
General Semiconductor, Inc.* 375 3
Highlands Insurance Group, Inc.* 160 2
Momentum Business Application, Class A* 86 1
Crown Vantage, Inc.* 120 1
Crescendo Pharmaceuticals, Class A* 50 1
Brunos, Inc.* 31 1
Allergan Specialty Ther., Inc., Class A* 40 1
TOTAL COMMON STOCKS - 84.9%
(Cost - $108,772,383) 208,969
------------
PREFERRED STOCK - 0 .0%
(Cost - $28,291)
Aetna, Inc., Class C* 142 11
Sealed Air Corp., Class A 475 30
------------
41
------------
WARRANTS -0 .0%
(Cost - $162)
Morrison Knudsen Corp., Expire 2003* 46 1
------------
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND (Unaudited) (Continued) 9
MARKET
PRINCIPAL VALUE
(000) (000)
- ----------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 14.4%
COMMERCIAL PAPER - 13.5%
American Express Co.,
5.11%, 7/12/99 $ 3,444 $ 3,444
5.0%, 7/2/99 1,311 1,311
Chevron USA, Inc., 5.11%, 7/7/99 6,163 6,163
Exxon Asset Mgmt. Co., 5.66%, 7/1/99 2,012 2,012
Ford Motor Credit Co., 5.06%, 7/9/99 6,508 6,508
General Electric Capital Corp.,
4.99%, 7/6/99 4,786 4,786
5.16%, 7/8/99 5,555 5,555
General Motors Acceptance Corp.,
5.03%, 7/7/99 3,354 3,354
------------
33,133
------------
U.S. GOVERNMENT - .9%
U. S. Treasury Bills,
4.23%, 7/22/99** 422 422
4.515%, 8/26/99** 621 621
4.53%, 9/2/99 ** 225 225
4.52%, 9/16/99** 152 152
4.58%, 9/23/99** 809 809
------------
2,229
------------
TOTAL SHORT-TERM OBLIGATIONS
(Cost - $35,361,546) 35,362
------------
TOTAL INVESTMENTS IN SECURITIES - 99.3%
(Total Cost - $144,162,382) 244,373
Cash and Other Assets, Less Liabilities - 0.7% 1,650
------------
NET ASSETS - 100.0% $ 246,023
============
* Non-income producing securities.
** Pledged as collateral for Stock Index Futures Contracts. At June 30, 1999,
the Fund was long 109 S&P 500 Futures Contracts expiring in September 1999.
Unrealized gains amounted to $1,626,825. Underlying face value was
$35,779,523 and underlying market value was $37,406,348.
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
(IN THOUSANDS)
ASSETS:
Investments at market value
(Cost - $144,162,382) $ 244,373
Cash 1
Receivable for investments sold 1,137
Dividend receivable 182
Interest receivable 25
Variation margin receivables 681
Investment for trustees' deferred
compensation plan 151
Other 20
-----------------
TOTAL ASSETS 246,570
-----------------
LIABILITIES:
Payable for investments purchased 250
Deferred trustees' fees payable 151
Accrued advisory fees payable 48
Other accrued expenses (including $27,407
due to affiliate) 98
-----------------
TOTAL LIABILITIES 547
-----------------
NET ASSETS (Equivalent to $22.15 per share
based on 11,107,871 shares
outstanding) $ 246,023
=================
COMPONENTS OF NET ASSETS:
Paid in capital $ 136,003
Undistributed net investment income 1,723
Unrealized appreciation of investments
and futures 101,837
Accumulated net realized gain 6,460
-----------------
NET ASSETS $ 246,023
=================
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 10
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1999 (Unaudited)
(IN THOUSANDS)
INVESTMENT INCOME
Income:
Dividends $ 1,308
Interest 714
------------
2,022
Expenses:
Investment advisory fees 281
Custodian fees 99
Administrative services 40
Auditing and legal fees 13
Other 10
Trustees' fees 8
------------
Total expenses 451
Less expenses waived by adviser (170)
------------
Net Expenses 281
NET INVESTMENT INCOME 1,741
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain from investments 2,516
Net realized gain from futures contracts 2,474
Unrealized appreciation of investments 18,362
Net unrealized gain from futures contracts 1,627
------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 24,979
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 26,720
============
STATEMENT OF CHANGES IN NET ASSETS
(UNAUDITED)
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, DECEMBER
1999 31, 1998
--------------- ----------------
(IN THOUSANDS)
----------------------------------
OPERATIONS:
Net investment income $ 1,741 $ 3,387
Net realized gain from investments 2,516 737
Net realized gain from futures contracts 2,474 2,706
Unrealized appreciation of investments 18,362 34,804
Unrealized appreciation on
futures contracts 1,627 1,132
--------------- ----------------
Net increase in net assets
from operations 26,720 42,766
--------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
($.0 and $.40 per share) - (4,108)
From net realized gain
($.0 and $.18 per share) - (1,817)
--------------- ----------------
Total distributions to shareholders - (5,925)
--------------- ----------------
CAPITAL SHARE TRANSACTIONS:
Net increase from capital share
transactions 12,828 53,326
--------------- ----------------
NET INCREASE IN NET ASSETS 39,548 90,167
NET ASSETS:
Beginning of period 206,475 116,308
--------------- ----------------
End of period (Including undistributed
net investment income of $1,722,923
and overdistributed net investment
of $18,123) $ 246,023 $ 206,475
=============== ================
The Notes to Financial Statements are an integral part of these statements.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND NOTES TO FINANCIAL STATEMENTS 11
(Unaudited)
1. UTILIZATION OF INDEXATION APPROACH. 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
are 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.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND NOTES TO FINANCIAL STATEMENTS 12
(Unaudited) (Continued)
3. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES. Investment
advisory fees are 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. CII has voluntarily agreed to reimburse the Fund for any amount by
which its expenses (including the advisory fee but excluding interest, taxes,
amortized organization expenses, transaction costs incurred in acquiring and
disposing of portfolio securities, and extraordinary expenses) exceed 0.25% of
average daily net assets until May 1, 2000, and afterwards to the extent
described in the Fund's 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,
1999, the Fund paid or accrued $39,831.
CII is an indirect, wholly-owned subsidiary of CIGNA Corporation.
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 $5,333,321 and $4,649,480,
respectively, for the six months ended June 30, 1999. As of June 30, 1999, the
cost of securities, excluding short term obligations, held for Federal income
tax purposes was $108,800,836. At June 30, 1999, unrealized appreciation for
Federal income tax purposes aggregated $99,782,926, of which $101,391,374
related to appreciated securities and $1,608,448 related to depreciated
securities.
6. CAPITAL STOCK. The Fund offers an unlimited number of shares of beneficial
interest without par value. Of the 11,107,871 shares outstanding at June 30,
1999, 10,959,360, shares were held by Connecticut General Life Insurance Company
("CG Life") relating to variable annuity and variable universal life insurance
contracts issued by that company. The remainder, representing 1.3% of the shares
outstanding, was held by an employee benefit plan established by CG Life for
certain of its employees.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------
Transactions in capital stock were as follows:
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1999 DECEMBER 31, 1998
SHARES AMOUNT SHARES AMOUNT
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Amount sold 1,182 $ 24,041 3,608 $ 61,841
Amount issued to shareholders
in reinvestment of dividends
and distributions - - 320 5,925
--------- ----------- -------- -----------
1,182 24,041 3,928 67,766
Amount redeemed (541) (11,213) (811) (14,440)
--------- ----------- -------- -----------
Net increase 641 $ 12,828 3,117 $ 53,326
========= =========== ======== ===========
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND NOTES TO FINANCIAL STATEMENTS 13
(Unaudited) (Continued)
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:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
SIX MONTHS
ENDED
JUNE 30, YEAR ENDED DECEMBER 31,
1999 1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 19.73 $ 15.83 $ 12.40 $ 10.75 $ 8.19 $ 9.20
----------- ---------- ---------- --------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income* 0.16 0.34 0.25 0.22 0.21 0.19
Net realized and unrealized gain (loss) 2.26 4.14 3.86 2.17 2.80 (0.13)
----------- ---------- ---------- ---------- --------- ----------
TOTAL FROM INVESTMENT OPERATIONS 2.42 4.48 4.11 2.39 3.01 0.06
----------- ---------- ---------- ---------- --------- ----------
LESS DISTRIBUTIONS:
From net investment income - (0.40) (0.32) (0.29) (0.27) (0.14)
From capital gains - (0.18) (0.36) (0.45) (0.18) (0.85)
In excess of net capital gains - - - - - (0.08)
----------- ---------- ---------- ---------- --------- ----------
TOTAL DISTRIBUTIONS - (0.58) (0.68) (0.74) (0.45) (1.07)
----------- ---------- ---------- ---------- --------- ----------
NET ASSET VALUE, END OF PERIOD $ 22.15 $ 19.73 $ 15.83 $12.40 $10.75 $ 8.19
=========== ========== ========== ========== ========= ==========
TOTAL INVESTMENT RETURN 12.27% ** 28.60% ** 33.35% ** 22.48% ** 36.82% 0.67%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (000 omitted) $246,023 $ 206,475 $116,308 $71,513 $66,283 $ 54,728
Ratio of operating expenses to average net
assets 0.25% a+ 0.25% a 0.25% a 0.60% a 0.73% 0.78%
Ratio of net investment income to average
net assets 1.55% b+ 2.14% b 1.93% b 1.78% b 2.05% 2.23%
Portfolio turnover 2% 2% 4% 4% 4% 4%
</TABLE>
a. Ratios of expenses to average net assets prior to expense reimbursements were
0.40% (annualized), 0.44%, and 0.55% for the 1999, 1998 and 1997 periods,
respectively.
b. Ratios of net investment income to average net assets prior to expense
reimbursements were 1.40% (annualized), 1.95%, and 1.63%, for the 1999, 1998
and 1997 periods, 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.
** Total return would have been lower if certain expenses had not been
reimbursed by the Adviser. Total investment return based on per share net
asset value reflects the effects of changes in net asset value on the
performance of the Fund during each period, and assumes distributions were
reinvested at net asset value.
+ Annualized.
<PAGE>
- --------------------------------------------------------------------------------
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND 14
TRUSTEES OFFICERS:
Hugh R. Beath Richard H. Forde
ADVISORY DIRECTOR, PRESIDENT
ADMEDIA CORPORATE ADVISORS, INC.
Alfred A. Bingham III
Thomas C. Jones VICE PRESIDENT AND TREASURER
PRESIDENT, CIGNA INVESTMENT
MANAGEMENT AND CIGNA
INVESTMENTS, INC. Jeffrey S. Winer
VICE PRESIDENT AND SECRETARY
Russell H. Jones
VICE PRESIDENT AND TREASURER,
KAMAN CORPORATION
Paul J. McDonald
SENIOR EXECUTIVE VICE PRESIDENT
AND CHIEF FINANCIAL OFFICER
FRIENDLY ICE CREAM CORPORATION
- --------------------------------------------------------------------------------
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poors 500," and
"500" are trademarks of the Standard & Poor's Corporation (S&P) and have been
licensed for use by CG Life. CIGNA Variable Products 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.
