<PAGE>
[ LOGO ]
SEMI-ANNUAL REPORT
------------------
THE GCG TRUST
------------------
JUNE 30, 1995
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc. both subsidiaries of Bankers Trust
Company
<PAGE>
--------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
August 25, 1995
Dear Shareholder of The GCG Trust:
I am pleased to send your June 30, 1995 semi-annual report for The GCG Trust. As
you know, the Trust's 11 investment portfolios are available to owners of
GoldenSelect variable annuities and variable life insurance products.
The first half of 1995 produced record levels in U.S. equity markets and
GoldenSelect fund performance reflected these strong returns. In part, because
of this strong performance, assets in the Trust reached record levels as of June
30, 1995.
In addition, investors in GoldenSelect benefitted from several important changes
in portfolios and service:
o The GoldenSelect Value Equity Series, which seeks capital appreciation by
investing in undervalued stocks, was successfully introduced on January
1, 1995. We added this Series after careful evaluation of the investment
needs of our contractholders.
o T. Rowe Price Associates, Inc. assumed investment responsibility for the
Fully Managed Series. It seeks high total investment return through an
asset allocation strategy primarily with equities.
o And, E.I.I. Realty Securities, Inc. assumed investment responsibility for
the Real Estate Series. It seeks capital appreciation by investing in
publicly traded equity securities of real estate related companies.
These two Portfolio Manager changes were made after a comprehensive
review of each firm's money management capabilities in light of each
Series' objectives.
o In response to numerous requests, we now offer policyholders the service
of depositing their systematic withdrawal checks directly into their bank
accounts. This makes the funds available sooner and eliminates the risk
of delayed mail and lost checks.
o The new Golden American Inquiry Network (GAIN) was introduced. It
provides contractholders with automated information about their
GoldenSelect accounts and investments. Just call: 1-800-366-0066.
These and other enhancements to our products and service reflect our commitment
to you, our contractholders. And, of course, we will continue to seek
opportunities and enhancements for our investors in the second half of 1995 and
in the years ahead.
If you have any questions, want a prospectus containing more complete
information about GoldenSelect Series, or need any other information, please
call your financial adviser or Golden American Customer Service at
1-800-366-0066. Please read the prospectus carefully before investing.
Thank you!
Sincerely,
[ SIG CUT ]
Terry L. Kendall
President
Sold by prospectus only, GoldenSelect products are issued by Golden American
Life Insurance Company and distributed by Directed Services, Inc., both
subsidiaries of Bankers Trust.
1
<PAGE>
--------------------------------------------------------------------------------
TABLE OF CONTENTS
THE GCG TRUST
<TABLE>
<CAPTION>
PAGE
---
<S> <C>
President's Letter................................................................................................ 1
Statements of Assets and Liabilities.............................................................................. 2
Statements of Operations.......................................................................................... 4
Statements of Changes in Net Assets............................................................................... 6
Financial Highlights:
All-Growth Series............................................................................................... 10
Capital Appreciation Series..................................................................................... 11
Value Equity Series............................................................................................. 12
Rising Dividends Series......................................................................................... 13
Emerging Markets Series......................................................................................... 14
Natural Resources Series........................................................................................ 15
Real Estate Series.............................................................................................. 16
Market Manager Series........................................................................................... 17
Multiple Allocation Series...................................................................................... 18
Fully Managed Series............................................................................................ 19
Limited Maturity Bond Series.................................................................................... 20
Liquid Asset Series............................................................................................. 21
Portfolio of Investments:
All-Growth Series............................................................................................... 22
Capital Appreciation Series..................................................................................... 23
Value Equity Series............................................................................................. 24
Rising Dividends Series......................................................................................... 26
Emerging Markets Series......................................................................................... 27
Natural Resources Series........................................................................................ 30
Real Estate Series.............................................................................................. 31
Market Manager Series........................................................................................... 32
Multiple Allocation Series...................................................................................... 33
Fully Managed Series............................................................................................ 36
Limited Maturity Bond Series.................................................................................... 39
Liquid Asset Series............................................................................................. 40
Notes to Financial Statements..................................................................................... 41
</TABLE>
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
THE GCG TRUST
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
CAPITAL VALUE RISING EMERGING
ALL-GROWTH APPRECIATION EQUITY DIVIDENDS MARKETS
SERIES SERIES SERIES SERIES SERIES
------------ ------------- ------------ --------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 5):
At identified cost................................. $ 76,206,026 $ 92,858,868 $7,145,500 $ 56,354,465 $62,826,342
------------ ------------- ------------ --------------- -------------
------------ ------------- ------------ --------------- -------------
At value........................................... $ 82,173,023 $ 106,389,888 $7,621,656 $ 63,884,501 $60,927,324
Cash................................................. 927 1,716 762,277 7,376 --
Receivables:
Shares of beneficial interest sold................. 104,915 52,430 204,107 13,074 67,579
Investment securities sold......................... 131,278 4,910,499 82,714 -- 277,470
Dividends and/or interest.......................... 46,926 151,706 9,778 123,265 131,762
------------ ------------- ------------ --------------- -------------
Total Assets..................................... 82,457,069 111,506,239 8,680,532 64,028,216 61,404,135
------------ ------------- ------------ --------------- -------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed............. 66,351 86,016 5,659 52,204 39,881
Investment securities purchased.................... 1,414,136 6,088,273 502,371 -- 562,666
Net unrealized depreciation on forward foreign
exchange contracts................................. -- -- -- -- 11,870
Due to custodian..................................... -- -- -- -- 971,374
Variation margin..................................... -- -- -- -- --
------------ ------------- ------------ --------------- -------------
Total Liabilities................................ 1,480,487 6,174,289 508,030 52,204 1,585,791
------------ ------------- ------------ --------------- -------------
NET ASSETS........................................... $ 80,976,582 $ 105,331,950 $8,172,502 $ 63,976,012 $59,818,344
------------ ------------- ------------ --------------- -------------
------------ ------------- ------------ --------------- -------------
NET ASSETS CONSIST OF:
Paid-in Capital...................................... $ 75,256,991 $ 89,401,985 $7,622,698 $ 58,011,500 $73,759,598
Undistributed net investment income.................. 696,368 840,721 22,345 479,568 256,258
Accumulated net realized gain/(loss) on securities,
futures contracts, forward foreign exchange
contracts and foreign currency transactions........ (943,774) 1,558,224 51,303 (2,045,092) (12,285,559)
Net unrealized appreciation/(depreciation) on
securities, futures contracts, forward foreign
exchange contracts and other assets and liabilities
denominated in foreign currencies.................. 5,966,997 13,531,020 476,156 7,530,036 (1,911,953)
------------ ------------- ------------ --------------- -------------
Total Net Assets................................. $ 80,976,582 $ 105,331,950 $8,172,502 $ 63,976,012 $59,818,344
------------ ------------- ------------ --------------- -------------
------------ ------------- ------------ --------------- -------------
Shares of beneficial interest outstanding............ 6,104,378 7,948,396 699,024 5,568,813 6,382,121
------------ ------------- ------------ --------------- -------------
------------ ------------- ------------ --------------- -------------
NET ASSET VALUE, offering price and redemption price
per share of beneficial interest outstanding....... $ 13.27 $ 13.25 $ 11.69 $ 11.49 $ 9.37
------------ ------------- ------------ --------------- -------------
------------ ------------- ------------ --------------- -------------
</TABLE>
------------------
(a) The Limited Maturity Bond Series includes repurchase agreements amounting to
$25,512,389. The Liquid Asset Series includes a repurchase agreement
amounting to $4,620,562.
See Notes to Financial Statements.
2
<PAGE>
<TABLE>
<CAPTION>
LIMITED
NATURAL REAL MARKET MULTIPLE FULLY MATURITY LIQUID
RESOURCES ESTATE MANAGER ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------- ------------ ----------- ------------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$25,796,528 $ 33,881,726 $ 4,879,748 $ 290,946,295 $ 103,471,119 $ 83,212,937 $ 41,420,380
------------- ------------ ----------- ------------- ------------- ------------ ------------
------------- ------------ ----------- ------------- ------------- ------------ ------------
$28,170,608 $ 35,021,173 $ 5,247,888 $ 301,822,093 $ 111,799,084 $ 83,940,189(a) $ 41,420,380(a)
358,468 13,996 19,781 1,004,465 401 -- --
-- -- -- -- -- -- --
187,275 -- -- 8,228,027 89,890 -- --
101,908 231,573 9,895 2,191,784 533,584 865,747 114,965
------------- ------------ ----------- ------------- ------------- ------------ ------------
28,818,259 35,266,742 5,277,564 313,246,369 112,422,959 84,805,936 41,535,345
------------- ------------ ----------- ------------- ------------- ------------ ------------
118,987 51,240 -- 336,648 131,873 92,946 61,455
-- 269,100 -- 1,944,155 1,009,498 -- --
-- -- -- -- 1,257 -- --
-- -- -- -- -- 58 --
-- -- -- 84,381 -- -- --
------------- ------------ ----------- ------------- ------------- ------------ ------------
118,987 320,340 -- 2,365,184 1,142,628 93,004 61,455
------------- ------------ ----------- ------------- ------------- ------------ ------------
$28,699,272 $ 34,946,402 $ 5,277,564 $ 310,881,185 $ 111,280,331 $ 84,712,932 $ 41,473,890
------------- ------------ ----------- ------------- ------------- ------------ ------------
------------- ------------ ----------- ------------- ------------- ------------ ------------
$25,772,398 $ 33,591,098 $ 4,776,123 $ 289,780,217 $ 106,603,583 $ 82,443,680 $ 41,474,078
130,132 972,063 107,319 7,285,341 1,830,752 2,488,143 --
423,709 (756,206) 25,982 2,739,472 (5,482,887) (946,143) (188)
2,373,033 1,139,447 368,140 11,076,155 8,328,883 727,252 --
------------- ------------ ----------- ------------- ------------- ------------ ------------
$28,699,272 $ 34,946,402 $ 5,277,564 $ 310,881,185 $ 111,280,331 $ 84,712,932 $ 41,473,890
------------- ------------ ----------- ------------- ------------- ------------ ------------
------------- ------------ ----------- ------------- ------------- ------------ ------------
2,012,550 2,966,890 477,717 24,763,759 8,559,959 7,905,684 41,474,109
------------- ------------ ----------- ------------- ------------- ------------ ------------
------------- ------------ ----------- ------------- ------------- ------------ ------------
$ 14.26 $ 11.78 $ 11.05 $ 12.55 $ 13.00 $ 10.72 $ 1.00
------------- ------------ ----------- ------------- ------------- ------------ ------------
------------- ------------ ----------- ------------- ------------- ------------ ------------
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
CAPITAL VALUE RISING EMERGING
ALL-GROWTH APPRECIATION EQUITY DIVIDENDS MARKETS
SERIES SERIES SERIES* SERIES SERIES
----------- ------------ --------- ----------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends (Net of foreign withholding taxes of $2,828, $226,
$7,908, $40,234, $11,137 and $246 for the All-Growth Series,
Value Equity Series, Rising Dividends Series, Emerging
Markets Series, Multiple Allocation Series and Fully Managed
Series, respectively)........................................ $ 486,926 $ 1,046,503 $ 38,709 $ 614,469 $ 550,026
Interest....................................................... 594,239 269,953 -- 147,210 89,449
Miscellaneous.................................................. -- -- -- 912 46,497
----------- ------------ --------- ----------- ------------
Total Investment Income...................................... 1,081,165 1,316,456 38,709 762,591 685,972
----------- ------------ --------- ----------- ------------
EXPENSES:
Unified fees (Note 2).......................................... 380,890 471,053 15,534 279,984 422,962
Trustees' fees and expenses (Note 2)........................... 3,126 3,955 103 2,312 2,627
Other.......................................................... 781 727 727 727 4,125
----------- ------------ --------- ----------- ------------
Expenses before waiver of fees............................... 384,797 475,735 16,364 283,023 429,714
Fees waived by Manager (Note 2)................................ -- -- -- -- --
----------- ------------ --------- ----------- ------------
Total Expenses............................................... 384,797 475,735 16,364 283,023 429,714
----------- ------------ --------- ----------- ------------
NET INVESTMENT INCOME.......................................... 696,368 840,721 22,345 479,568 256,258
----------- ------------ --------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS (NOTES 1
AND 3):
Net realized gain/(loss) from:
Security transactions (Net of foreign capital gains tax of
$50,848 for the Emerging Markets Series)................... 477,208 1,898,184 51,303 (1,481,227) (12,220,360)
Futures contracts............................................ -- -- -- -- --
Forward foreign exchange contracts........................... -- -- -- -- (137,256)
Foreign currency transactions................................ -- -- -- -- 82,785
Net change in unrealized appreciation/(depreciation) on:
Securities................................................... 7,424,873 12,180,979 476,156 7,525,133 7,557,016
Futures contracts............................................ -- -- -- -- --
Forward foreign exchange contracts........................... -- -- -- -- (11,870)
Other assets and liabilities denominated in foreign
currencies................................................. -- -- -- -- (9,761)
----------- ------------ --------- ----------- ------------
Net realized and unrealized gain/(loss) on investments....... 7,902,081 14,079,163 527,459 6,043,906 (4,739,446)
----------- ------------ --------- ----------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................... $ 8,598,449 $ 14,919,884 $ 549,804 $ 6,523,474 ($ 4,483,188)
----------- ------------ --------- ----------- ------------
----------- ------------ --------- ----------- ------------
</TABLE>
------------------
* The Value Equity Series commenced operations on January 1, 1995.
See Notes to Financial Statements.
4
<PAGE>
<TABLE>
<CAPTION>
LIMITED
NATURAL REAL MARKET MULTIPLE FULLY MATURITY LIQUID
RESOURCES ESTATE MANAGER ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
---------- ----------- --------- ------------ ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
$248,371 $ 1,066,704 $ -- $ 1,364,554 $ 995,046 $ -- $ --
31,160 82,347 123,964 7,434,258 1,363,252 2,747,309 1,343,224
-- -- -- -- 370 -- --
---------- ----------- --------- ------------ ------------ ----------- -----------
279,531 1,149,051 123,964 8,798,812 2,358,668 2,747,309 1,343,224
---------- ----------- --------- ------------ ------------ ----------- -----------
147,360 174,767 23,252 1,500,080 522,558 255,083 132,293
1,312 1,494 141 12,664 4,373 3,356 2,004
727 727 -- 727 985 727 727
---------- ----------- --------- ------------ ------------ ----------- -----------
149,399 176,988 23,393 1,513,471 527,916 259,166 135,024
-- -- (6,748) -- -- -- --
---------- ----------- --------- ------------ ------------ ----------- -----------
149,399 176,988 16,645 1,513,471 527,916 259,166 135,024
---------- ----------- --------- ------------ ------------ ----------- -----------
130,132 972,063 107,319 7,285,341 1,830,752 2,488,143 1,208,200
---------- ----------- --------- ------------ ------------ ----------- -----------
443,258 (525,238) 25,982 9,291,151 (4,684,362) 1,330,448 50
-- -- -- 977,971 -- -- --
-- -- -- -- (7,943) -- --
3,135 -- -- 120 10,590 -- --
(25,137) 943,862 368,140 13,217,113 14,031,069 2,324,801 --
-- -- -- 200,363 -- -- --
-- -- -- -- (1,257) -- --
(1,047) -- -- (6) 2,175 -- --
---------- ----------- --------- ------------ ------------ ----------- -----------
420,209 418,624 394,122 23,686,712 9,350,272 3,655,249 50
---------- ----------- --------- ------------ ------------ ----------- -----------
$550,341 $ 1,390,687 $ 501,441 $ 30,972,053 $ 11,181,024 $ 6,143,392 $ 1,208,250
---------- ----------- --------- ------------ ------------ ----------- -----------
---------- ----------- --------- ------------ ------------ ----------- -----------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
THE GCG TRUST
SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
CAPITAL VALUE RISING EMERGING
ALL-GROWTH APPRECIATION EQUITY DIVIDENDS MARKETS
SERIES SERIES SERIES* SERIES SERIES
------------ ------------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income...................... $ 696,368 $ 840,721 $ 22,345 $ 479,568 $ 256,258
Net realized gain/(loss) on securities,
futures contracts, forward foreign
exchange contracts and foreign currency
transactions............................. 477,208 1,898,184 51,303 (1,481,227) (12,274,831)
Net unrealized appreciation/(depreciation)
on securities, futures contracts, forward
foreign exchange contracts and other
assets and liabilities denominated in
foreign currencies....................... 7,424,873 12,180,979 476,156 7,525,133 7,535,385
------------ ------------- ----------- ------------ ------------
Net increase/(decrease) in net assets
resulting from operations................ 8,598,449 14,919,884 549,804 6,523,474 (4,483,188)
DISTRIBUTIONS TO SHAREHOLDERS FROM NET
INVESTMENT INCOME.......................... -- -- -- -- --
NET INCREASE/(DECREASE) IN NET ASSETS FROM
SHARES OF BENEFICIAL INTEREST TRANSACTIONS
(NOTE 4)................................... 1,160,530 1,522,418 7,617,698 6,740,379 (922,380)
------------ ------------- ----------- ------------ ------------
Net increase/(decrease) in net assets........ 9,758,979 16,442,302 8,167,502 13,263,853 (5,405,568)
NET ASSETS:
Beginning of period.......................... 71,217,603 88,889,648 5,000 50,712,159 65,223,912
------------ ------------- ----------- ------------ ------------
End of period................................ $ 80,976,582 $ 105,331,950 $ 8,172,502 $ 63,976,012 $ 59,818,344
------------ ------------- ----------- ------------ ------------
------------ ------------- ----------- ------------ ------------
Undistributed net investment income.......... $ 696,368 $ 840,721 $ 22,345 $ 479,568 $ 256,258
------------ ------------- ----------- ------------ ------------
------------ ------------- ----------- ------------ ------------
</TABLE>
------------------
* The Value Equity Series commenced operations on January 1, 1995.
See Notes to Financial Statements.
6
<PAGE>
<TABLE>
<CAPTION>
LIMITED
NATURAL REAL MARKET MULTIPLE FULLY MATURITY LIQUID
RESOURCES ESTATE MANAGER ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES SERIES SERIES SERIES
------------- ------------ ----------- ------------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
$ 130,132 $ 972,063 $ 107,319 $ 7,285,341 $ 1,830,752 $ 2,488,143 $ 1,208,200
446,393 (525,238) 25,982 10,269,242 (4,681,715) 1,330,448 50
(26,184) 943,862 368,140 13,417,470 14,031,987 2,324,801 --
------------- ------------ ----------- ------------- ------------- ------------ ------------
550,341 1,390,687 501,441 30,972,053 11,181,024 6,143,392 1,208,250
-- -- -- -- -- -- (1,208,200)
(4,729,590) (3,780,480) 2,021,877 (19,482,925) 245,160 6,356,581 (4,648,133)
------------- ------------ ----------- ------------- ------------- ------------ ------------
(4,179,249) (2,389,793) 2,523,318 11,489,128 11,426,184 12,499,973 (4,648,083)
32,878,521 37,336,195 2,754,246 299,392,057 99,854,147 72,212,959 46,121,973
------------- ------------ ----------- ------------- ------------- ------------ ------------
$ 28,699,272 $ 34,946,402 $ 5,277,564 $ 310,881,185 $ 111,280,331 $ 84,712,932 $ 41,473,890
------------- ------------ ----------- ------------- ------------- ------------ ------------
------------- ------------ ----------- ------------- ------------- ------------ ------------
$ 130,132 $ 972,063 $ 107,319 $ 7,285,341 $ 1,830,752 $ 2,488,143 $ --
------------- ------------ ----------- ------------- ------------- ------------ ------------
------------- ------------ ----------- ------------- ------------- ------------ ------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
THE GCG TRUST
YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
CAPITAL RISING EMERGING NATURAL
ALL-GROWTH APPRECIATION DIVIDEND MARKETS RESOURCES
SERIES SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income...................... $ 673,770 $ 1,786,749 $ 689,128 $ 15,981 $ 287,959
Net realized gain/(loss) on securities and
foreign currency transactions............ 786,644 (339,960) (555,934) 2,848,007 832,038
Net unrealized appreciation/(depreciation)
on securities and other assets and
liabilities denominated in foreign
currencies............................... (8,600,804) (2,939,449) (229,418) (13,548,574) (758,326)
------------ ------------ ------------ ------------ ------------
Net increase/(decrease) in net assets
resulting from operations................ (7,140,390) (1,492,660) (96,224) (10,684,586) 361,671
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (673,770) (1,786,749) (689,128) (15,981) (287,959)
Net realized gains......................... -- -- -- (2,848,007) (519,786)
In excess of net realized gains............ -- -- -- (10,728) (22,684)
NET INCREASE IN NET ASSETS FROM SHARES OF
BENEFICIAL INTEREST TRANSACTIONS (NOTE
4)......................................... 22,541,103 4,950,457 37,067,990 47,602,435 11,829,809
------------ ------------ ------------ ------------ ------------
Net increase/(decrease) in net assets........ 14,726,943 1,671,048 36,282,638 34,043,133 11,361,051
NET ASSETS:
Beginning of year............................ 56,490,660 87,218,600 14,429,521 31,180,779 21,517,470
------------ ------------ ------------ ------------ ------------
End of year.................................. $ 71,217,603 $ 88,889,648 $ 50,712,159 $ 65,223,912 $ 32,878,521
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
Undistributed net investment income.......... $ -- $ -- $ -- $ -- $ --
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
</TABLE>
------------------
* The Market Manager Series commenced operations on November 14, 1994.
See Notes to Financial Statements.
8
<PAGE>
<TABLE>
<CAPTION>
LIMITED
REAL MARKET MULTIPLE FULLY MATURITY LIQUID
ESTATE MANAGER ALLOCATION MANAGED BOND ASSET
SERIES SERIES* SERIES SERIES SERIES SERIES
------------- ------------ ------------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
$ 1,881,187 $ 6,199 $ 10,712,021 $ 2,867,101 $ 3,530,748 $ 1,472,537
(145,061) 316 (7,454,742) (801,172) (2,276,591) (15)
59,234 -- (6,671,966) (10,742,758) (2,144,080) --
------------- ------------ ------------- ------------- ------------ ------------
1,795,360 6,515 (3,414,687) (8,676,829) (889,923) 1,472,522
(1,881,187) (6,199) (10,712,021) (2,867,101) (3,530,748) (1,472,537)
-- (316) -- -- -- --
-- -- -- -- -- --
8,422,369 2,754,246 39,287,725 2,707,927 4,414,327 29,313,514
------------- ------------ ------------- ------------- ------------ ------------
8,336,542 2,754,246 25,161,017 (8,836,003) (6,344) 29,313,499
28,999,653 -- 274,231,040 108,690,150 72,219,303 16,808,474
------------- ------------ ------------- ------------- ------------ ------------
$ 37,336,195 $ 2,754,246 $ 299,392,057 $ 99,854,147 $ 72,212,959 $ 46,121,973
------------- ------------ ------------- ------------- ------------ ------------
------------- ------------ ------------- ------------- ------------ ------------
$ -- $ -- $ -- $ -- $ -- $ --
------------- ------------ ------------- ------------- ------------ ------------
------------- ------------ ------------- ------------- ------------ ------------
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
ALL-GROWTH SERIES***
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $ 10.59 $ 10.00
----------- --------- --------- --------- --------- --------- -----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............... 0.11 0.11 0.05 0.08 0.11 0.19 0.09
Net realized and unrealized gain/
(loss) on investments............. 1.30 (1.56) 0.78 (0.41) 3.40 (0.94) 0.66
----------- --------- --------- --------- --------- --------- -----------
Total from investment operations.... 1.41 (1.45) 0.83 (0.33) 3.51 (0.75) 0.75
----------- --------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ -- (0.11) (0.05) (0.08) (0.11) (0.19) (0.09)
Distributions from capital gains.... -- -- -- -- -- -- --
Capital............................. -- -- -- -- -- -- (0.07)
----------- --------- --------- --------- --------- --------- -----------
Total distributions................. -- (0.11) (0.05) (0.08) (0.11) (0.19) (0.16)
----------- --------- --------- --------- --------- --------- -----------
Net asset value, end of period...... $ 13.27 $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $ 10.59
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
Total return........................ 11.89%++ (10.77)% 6.56% (2.59)% 36.48% (7.35)% 7.20%++
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's)........................ $ 80,977 $ 71,218 $ 56,491 $ 24,202 $ 11,857 $ 5,005 $ 3,572
Ratio of operating expenses to
average net assets................ 1.01%+ 1.00% 1.01% 1.31% 1.48% 1.51% 3.23%+
Decrease reflected in above expense
ratio due to expense
limitations....................... -- -- 0.01% 0.04% 0.40% 1.51% 0.38%+
Ratio of net investment income to
average net assets................ 1.83%+ 1.08% 0.52% 0.61% 0.94% 1.99% 0.94%+
Portfolio turnover rate............. 29% 195.65% 29.09% 20.13% 31.39% 88.29% 53.92%
</TABLE>
------------------
* The All-Growth Series commenced operations on January 24, 1989.
*** Since July 1, 1994, Warburg, Pincus Counsellors, Inc. has served as
Portfolio Manager for the All-Growth Series.
Prior to that date, a different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
10
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92*
----------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period....................................... $ 11.34 $ 11.76 $ 11.00 $ 10.00
----------- --------- --------- ---------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income...................................................... 0.11 0.23 0.13 0.12
Net realized and unrealized gain/(loss) on investments..................... 1.80 (0.42) 0.78 1.00
----------- --------- --------- ---------
Total from investment operations........................................... 1.91 (0.19) 0.91 1.12
----------- --------- --------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income....................................... -- (0.23) (0.13) (0.12)
Distributions from capital gains........................................... -- -- (0.02) --
----------- --------- --------- ---------
Total distributions........................................................ -- (0.23) (0.15) (0.12)
----------- --------- --------- ---------
Net asset value, end of period............................................. $ 13.25 $ 11.34 $ 11.76 $ 11.00
----------- --------- --------- ---------
----------- --------- --------- ---------
Total return............................................................... 16.84%++ (1.59)% 8.31% 10.87%++
----------- --------- --------- ---------
----------- --------- --------- ---------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)....................................... $ 105,332 $ 88,890 $ 87,219 $ 18,645
Ratio of operating expenses to average net assets.......................... 1.01%+ 1.00% 1.02% 0.91%+
Decrease reflected in above expense ratio due to expense
limitations.............................................................. -- -- 0.04% 0.27%+
Ratio of net investment income to average net assets....................... 1.78%+ 1.96% 1.69% 2.06%+
Portfolio turnover rate.................................................... 45% 83.64% 66.82% 5.52%
</TABLE>
------------------
* The Capital Appreciation Series commenced operations on May 4, 1992.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
11
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE SIX MONTHS.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
06/30/95*
(UNAUDITED)
-----------
<S> <C>
Net asset value, beginning of period............................................................................... $ 10.00
-----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.............................................................................................. 0.07##
Net realized and unrealized gain on investments.................................................................... 1.62##
-----------
Total from investment operations................................................................................... 1.69
-----------
LESS DISTRIBUTIONS:
Dividends from net investment income............................................................................... --
Distributions from capital gains................................................................................... --
-----------
Total distributions................................................................................................ --
-----------
Net asset value, end of period..................................................................................... $ 11.69
-----------
-----------
Total return....................................................................................................... 16.90%++
-----------
-----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................................................................... $ 8,173
Ratio of operating expenses to average net assets.................................................................. 1.04%+
Ratio of net investment income to average net assets............................................................... 1.42%+
Portfolio turnover rate............................................................................................ 18%
</TABLE>
------------------
<TABLE>
<S> <C>
* The Value Equity Series commenced operations on January 1, 1995.
+ Annualized
++ Non-annualized
## Per share numbers have been calculated using the average shares method, which more appropriately presents per share data
for the period.
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
06/30/95 ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93*
----------- --------- -----------
<S> <C> <C> <C>
Net asset value, beginning of period.................................................. $ 10.22 $ 10.30 $ 10.00
----------- --------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................................................. 0.09 0.14 0.01
Net realized and unrealized gain/(loss) on investments................................ 1.18 (0.08) 0.30
----------- --------- -----------
Total from investment operations...................................................... 1.27 0.06 0.31
----------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income.................................................. -- (0.14) (0.01)
Distributions from capital gains...................................................... -- -- --
----------- --------- -----------
Total distributions................................................................... -- (0.14) (0.01)
----------- --------- -----------
Net asset value, end of period........................................................ $ 11.49 $ 10.22 $ 10.30
----------- --------- -----------
----------- --------- -----------
Total return.......................................................................... 12.43%++ 0.59% 3.10%++
----------- --------- -----------
----------- --------- -----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................................................. $ 63,976 $ 50,712 $ 14,430
Ratio of operating expenses to average net assets..................................... 1.01%+ 1.00% 0.24%++
Ratio of net investment income to average net assets.................................. 1.71%+ 1.88% 0.34%++
Portfolio turnover rate............................................................... 22% 25.99% 2.79%
</TABLE>
------------------
* The Rising Dividends Series commenced operations on October 4, 1993.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
13
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
EMERGING MARKETS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
06/30/95 ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93*
----------- --------- -----------
<S> <C> <C> <C>
Net asset value, beginning of period.................................................. $ 10.08 $ 12.44 $ 10.00
----------- --------- -----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................................................. 0.04 0.00 0.00
Net realized and unrealized gain/(loss) on investments................................ (0.75) (1.89) 2.44
----------- --------- -----------
Total from investment operations...................................................... (0.71) (1.89) 2.44
----------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income.................................................. -- 0.00 0.00
Distributions from capital gains...................................................... -- (0.47) 0.00
----------- --------- -----------
Total distributions................................................................... -- (0.47) 0.00
----------- --------- -----------
Net asset value, end of period........................................................ $ 9.37 $ 10.08 $ 12.44
----------- --------- -----------
----------- --------- -----------
Total return.......................................................................... (7.04)%++ (15.18)% 24.40%++
----------- --------- -----------
----------- --------- -----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's).................................................. $ 59,818 $ 65,224 $ 31,181
Ratio of operating expenses to average net assets..................................... 1.53%+ 1.73% 0.38%++
Ratio of net investment income to average net assets.................................. 0.91%+ 0.03% 0.00%++
Portfolio turnover rate............................................................... 71% 105.88% 0.00%
</TABLE>
------------------
* The Emerging Markets Series commenced operations on October 4, 1993.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
14
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
NATURAL RESOURCES SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 13.88 $ 13.89 $ 9.31 $ 10.46 $ 10.11 $ 11.89 $ 10.00
----------- --------- --------- --------- --------- --------- -----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income/(loss)........ 0.06 0.13 0.07 0.14 0.13 0.13 (0.35)
Net realized and unrealized gain/
(loss) on investments............. 0.32 0.23 4.58 (1.15) 0.35 (1.78) 2.26
----------- --------- --------- --------- --------- --------- -----------
Total from investment operations.... 0.38 0.36 4.65 (1.01) 0.48 (1.65) 1.91
----------- --------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ -- (0.13) (0.07) (0.14) (0.13) (0.13) --
Distributions from capital gains.... -- (0.24) -- -- -- -- (0.02)
----------- --------- --------- --------- --------- --------- -----------
Total distributions................. -- (0.37) (0.07) (0.14) (0.13) (0.13) (0.02)
----------- --------- --------- --------- --------- --------- -----------
Net asset value, end of period...... $ 14.26 $ 13.88 $ 13.89 $ 9.31 $ 10.46 $ 10.11 $ 11.89
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
Total return........................ 2.74%++ 2.53% 49.93% (9.81)% 4.70% (13.84)% 18.96%++
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's)........................ $ 28,699 $ 32,879 $ 21,517 $ 2,916 $ 2,702 $ 2,552 $ 2,383
Ratio of operating expenses to
average net assets................ 1.01%+ 1.00% 1.05% 1.50% 1.50% 1.53% 5.46%+
Decrease reflected in above expense
ratio due to expense
limitations....................... -- -- 0.08% 0.89% 1.94% 1.93% 1.36%+
Ratio of net investment
income/(loss) to average net
assets............................ 0.88%+ 1.01% 1.03% 1.38% 1.21% 1.21% (3.65)%+
Portfolio turnover rate............. 6% 25.12% 4.77% 19.28% 38.63% 53.99% 21.95%
</TABLE>
------------------
* The Natural Resources Series commenced operations on January 24, 1989.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
15
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
REAL ESTATE SERIES***
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 11.29 $ 11.18 $ 9.81 $ 9.02 $ 7.05 $ 9.53 $ 10.00
----------- --------- --------- --------- --------- --------- -----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............... 0.33 0.60 0.32 0.52 0.42 0.50 0.05
Net realized and unrealized gain/
(loss) on investments............. 0.16 0.11** 1.37** 0.79 1.97 (2.48) (0.06)
----------- --------- --------- --------- --------- --------- -----------
Total from investment operations.... 0.49 0.71 1.69 1.31 2.39 (1.98) (0.01)
----------- --------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ -- (0.60) (0.32) (0.52) (0.42) (0.50) (0.05)
Distributions from capital gains.... -- -- -- -- -- -- (0.30)
Capital............................. -- -- -- -- -- -- (0.11)
----------- --------- --------- --------- --------- --------- -----------
Total distributions................. -- (0.60) (0.32) (0.52) (0.42) (0.50) (0.46)
----------- --------- --------- --------- --------- --------- -----------
Net asset value, end of period...... $ 11.78 $ 11.29 $ 11.18 $ 9.81 $ 9.02 $ 7.05 $ 9.53
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
Total return........................ 4.34%++ 6.34% 17.27% 13.87% 34.06% (20.78)% (1.22)%++
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's)........................ $ 34,946 $ 37,336 $ 29,000 $ 3,739 $ 710 $ 320 $ 670
Ratio of operating expenses to
average net assets................ 1.01%+ 1.00% 1.04% 1.18% 1.53% 1.48% 5.79%+
Decrease reflected in above expense
ratio due to expense
limitations....................... -- -- 0.10% 1.79% 11.17% 10.80% 1.32%+
Ratio of net investment income to
average net assets................ 5.56%+ 5.31% 4.69% 5.74% 5.00% 5.95% 0.55%+
Portfolio turnover rate............. 37% 64.18% 38.37% 17.57% 53.79% 47.16% 82.94%
</TABLE>
------------------
* The Real Estate Series commenced operations on January 24, 1989.
** In addition to net realized and unrealized gain/(loss) on investments, this
amount includes an increase/(decrease) in net asset value per share
resulting from the timing and issuances or redemptions of Series' shares in
relation to fluctuating market values for the portfolio.
*** Since January 1, 1995, E.I.I. Realty Securities, Inc. has served as
Portfolio Manager for the Real Estate Series. Prior to that date, different
firms served as Portfolio Manager.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
16
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
MARKET MANAGER SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
06/30/95 ENDED
(UNAUDITED) 12/31/94*
----------- ---------
<S> <C> <C>
Net asset value, beginning of period................................................................. $ 10.02 $ 10.00
----------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................................................................ 0.25## 0.02
Net realized and unrealized gain on investments...................................................... 0.78## 0.02
----------- ---------
Total from investment operations..................................................................... 1.03 0.04
----------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income................................................................. -- (0.02)
Distributions from capital gains..................................................................... -- --
----------- ---------
Total distributions.................................................................................. -- (0.02)
----------- ---------
Net asset value, end of period....................................................................... $ 11.05 $ 10.02
----------- ---------
----------- ---------
Total return......................................................................................... 10.28%++ 0.44%++
----------- ---------
----------- ---------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................................................. $ 5,278 $ 2,754
Ratio of operating expenses to average net assets.................................................... 0.71%+ --
Decrease reflected in above expense ratio due to expense limitations................................. 0.29%+ 0.13%++
Ratio of net investment income to average net assets................................................. 4.60%+ 0.65%++
Portfolio turnover rate.............................................................................. 7% --
</TABLE>
------------------
<TABLE>
<S> <C>
* The Market Manager Series commenced operations on November 14, 1994.
+ Annualized
++ Non-annualized
## Per share numbers have been calculated using the average shares method, which more appropriately presents per share data
for the period.
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................ $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34 $ 10.00
----------- --------- --------- --------- --------- --------- -----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income........... 0.29 0.42 0.24 0.42 0.49 0.57 0.58
Net realized and unrealized
gain/ (loss) on investments... 0.93 (0.56) 1.03 (0.18) 1.57 (0.08) 0.44
----------- --------- --------- --------- --------- --------- -----------
Total from investment
operations.................... 1.22 (0.14) 1.27 0.24 2.06 0.49 1.02
----------- --------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income........................ -- (0.42) (0.24) (0.42) (0.49) (0.57) (0.58)
Distributions from capital
gains......................... -- -- (0.55) (0.14) (0.10) -- (0.10)
----------- --------- --------- --------- --------- --------- -----------
Total distributions............. -- (0.42) (0.79) (0.56) (0.59) (0.57) (0.68)
----------- --------- --------- --------- --------- --------- -----------
Net asset value, end of
period........................ $ 12.55 $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
Total return.................... 10.77%++ (1.18)% 11.13% 1.88% 20.02% 4.74% 8.92%++
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's).................... $ 310,881 $ 299,392 $ 274,231 $ 116,040 $ 58,578 $ 24,347 $ 15,513
Ratio of operating expenses to
average net assets............ 1.01%+ 1.00% 1.01% 1.09% 1.33% 1.24% 2.35%+
Decrease reflected in above
expense ratio due to expense
limitations................... -- -- 0.03% 0.10% 0.13% 0.68% 0.09%+
Ratio of net investment income
to average net assets......... 4.85%+ 3.56% 2.75% 3.65% 4.43% 5.73% 6.52%+
Portfolio turnover rate......... 128% 291.00% 348.34% 92.68% 69.51% 162.45% 115.11%
</TABLE>
------------------
* The Multiple Allocation Series commenced operations on January 24, 1989.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
18
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
FULLY MANAGED SERIES***
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period........................... $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $ 10.16 $ 10.00
----------- --------- --------- --------- --------- --------- -----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income.............. 0.21 0.35 0.19 0.28 0.29 0.33 0.28
Net realized and unrealized gain/
(loss) on investments............ 1.09 (1.29) 0.75 0.49 2.43 (0.65) 0.16
----------- --------- --------- --------- --------- --------- -----------
Total from investment
operations....................... 1.30 (0.94) 0.94 0.77 2.72 (0.32) 0.44
----------- --------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income........................... -- (0.35) (0.19) (0.28) (0.29) (0.33) (0.28)
Distributions from capital gains... -- -- (0.19) -- -- -- --
----------- --------- --------- --------- --------- --------- -----------
Total distributions................ -- (0.35) (0.38) (0.28) (0.29) (0.33) (0.28)
----------- --------- --------- --------- --------- --------- -----------
Net asset value, end of period..... $ 13.00 $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $ 10.16
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
Total return....................... 11.11%++ (7.27)% 7.59% 6.23% 28.93% (3.18)% 3.90%++
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's)....................... $ 111,280 $ 99,854 $ 108,690 $ 37,696 $ 10,031 $ 5,426 $ 5,443
Ratio of operating expenses to
average net assets............... 1.01%+ 1.00% 1.01% 1.04% 1.50% 1.52% 2.69%+
Decrease reflected in above expense
ratio due to expense
limitations...................... -- -- 0.04% 0.20% 0.68% 1.27% 0.19%+
Ratio of net investment income to
average net assets............... 3.50%+ 2.62% 2.12% 2.38% 2.71% 3.38% 3.07%+
Portfolio turnover rate............ 95% 66.06% 54.89% 27.37% 68.21% 99.59% 195.69%
</TABLE>
------------------
* The Fully Managed Series commenced operations on January 24, 1989.
*** Since January 1, 1995, T. Rowe Price Associates, Inc. has served as
Portfolio Manager for the Fully Managed Series. Prior to that date, a
different firm served as Portfolio Manager.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
19
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
LIMITED MATURITY BOND SERIES***
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 9.98 $ 10.62 $ 10.43 $ 10.54 $ 10.15 $ 10.16 $ 10.00
----------- --------- --------- --------- --------- --------- -----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............... 0.31 0.51 0.40 0.60 0.68 0.72 0.74
Net realized and unrealized gain/
(loss) on investments............. 0.43 (0.64) 0.23 (0.11) 0.42 -- 0.19
----------- --------- --------- --------- --------- --------- -----------
Total from investment operations.... 0.74 (0.13) 0.63 0.49 1.10 0.72 0.93
----------- --------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ -- (0.51) (0.40) (0.60) (0.68) (0.72) (0.74)
Distributions from capital gains.... -- -- (0.04) -- (0.03) (0.01) (0.03)
----------- --------- --------- --------- --------- --------- -----------
Total distributions................. -- (0.51) (0.44) (0.60) (0.71) (0.73) (0.77)
----------- --------- --------- --------- --------- --------- -----------
Net asset value, end of period...... $ 10.72 $ 9.98 $ 10.62 $ 10.43 $ 10.54 $ 10.15 $ 10.16
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
Total return........................ 7.41%++ (1.19)% 6.20% 4.84% 11.27% 7.87% 9.69%++
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's)........................ $ 84,713 $ 72,213 $ 72,219 $ 40,213 $ 16,144 $ 8,321 $ 2,631
Ratio of operating expenses to
average net assets................ 0.61%+ 0.60% 0.61% 0.72% 0.87% 0.81% 1.11%+
Decrease reflected in above expense
ratio due to expense
limitations....................... -- -- 0.04% 0.27% 0.89% 2.09% 3.22%+
Ratio of net investment income to
average net assets................ 5.85%+ 4.73% 4.64% 5.71% 6.58% 7.47% 8.56%+
Portfolio turnover rate............. 94% 209.00% 114.63% 63.25% 464.93% 373.13% 354.02%
</TABLE>
------------------
* The Limited Maturity Bond Series commenced operations on January 24, 1989.
*** Since May 1, 1992, Bankers Trust Company has served as Portfolio Manager for
the Limited Maturity Bond Series. Prior to that date, a different firm
served as Portfolio Manager.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
20
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
LIQUID ASSET SERIES***
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR PERIOD
06/30/95 ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/94 12/31/93 12/31/92 12/31/91 12/31/90 12/31/89*
----------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- --------- --------- --------- --------- --------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............... 0.027 0.040 0.030 0.030 0.050 0.070 0.080
----------- --------- --------- --------- --------- --------- -----------
Total from investment operations.... 0.027 0.040 0.030 0.030 0.050 0.070 0.080
----------- --------- --------- --------- --------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment
income............................ (0.027) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
----------- --------- --------- --------- --------- --------- -----------
Total distributions................. (0.027) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
----------- --------- --------- --------- --------- --------- -----------
Net asset value, end of period...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
Total return........................ 2.75%++ 3.89% 2.64% 3.13% 5.66% 7.75% 7.67%++
----------- --------- --------- --------- --------- --------- -----------
----------- --------- --------- --------- --------- --------- -----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(in 000's)........................ $ 41,474 $ 46,122 $ 16,808 $ 13,206 $ 9,790 $ 8,709 $ 2,352
Ratio of operating expenses to
average net assets................ 0.61%+ 0.61% 0.61% 0.74% 0.76% 0.66% 0.90%+
Decrease reflected in above expense
ratio due to expense
limitations....................... -- -- 0.08% 0.50% 1.01% 1.84% 3.26%+
Ratio of net investment income to
average net assets................ 5.48%+ 3.89% 2.60% 3.04% 5.48% 7.56% 8.99%+
</TABLE>
------------------
* The Liquid Assets Series commenced operations on January 24, 1989.
*** Since May 1, 1992, Bankers Trust Company has served as Portfolio Manager for
the Liquid Asset Series. Prior to that date, a different firm served as
Portfolio Manager.
+ Annualized
++ Non-annualized
See Notes to Financial Statements.
21
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
ALL-GROWTH SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS -- 87.8%
AEROSPACE/DEFENSE -- 3.5%
130,000 GRC International Inc.+.............. $ 2,047,500
18,000 Rockwell International Corporation... 823,500
-----------
2,871,000
-----------
BANKS/SAVINGS AND LOAN -- 10.3%
53,000 BankAmerica Corporation.............. 2,789,125
33,000 Crestar Financial Corporation........ 1,617,000
30,000 First Interstate Bancorp............. 2,407,500
52,000 Norwest Corporation.................. 1,495,000
-----------
8,308,625
-----------
CAPITAL EQUIPMENT -- 1.5%
27,000 AlliedSignal Inc..................... 1,201,500
-----------
CHEMICALS -- 2.7%
30,000 PPG Industries Inc................... 1,290,000
58,000 Quaker State Corporation............. 870,000
-----------
2,160,000
-----------
COMMUNICATIONS AND MEDIA -- 5.2%
107,000 Comcast Corporation, Class A, Special
Shares (Non-Voting)................ 1,986,188
95,000 Tele-Communication Inc., Class A+.... 2,226,563
-----------
4,212,751
-----------
COMPUTER INDUSTRY -- 3.3%
52,000 Honeywell, Inc....................... 2,242,500
24,000 PLATINUM Technology Inc.+............ 435,000
-----------
2,677,500
-----------
CONGLOMERATES -- 1.0%
10,000 TRW Inc.............................. 798,750
-----------
ENGINEERING/CONSTRUCTION -- 4.4%
70,000 CBI Industries Inc................... 1,758,750
60,000 Stone & Webster Inc.................. 1,770,000
-----------
3,528,750
-----------
FINANCIAL SERVICES -- 11.2%
41,000 Allstate Corporation................. 1,214,625
18,000 Chubb Corporation.................... 1,442,250
36,000 Federal Home Loan Mortgage
Corporation........................ 2,475,000
23,000 Federal National Mortgage
Association........................ 2,170,625
110,000 USF & G Corporation.................. 1,787,500
-----------
9,090,000
-----------
HEALTH CARE SERVICES -- 1.7%
20,000 Acuson Corporation+.................. 242,500
39,000 FoxMeyer Health Corporation+......... 697,125
25,000 Horizon Healthcare Corporation+...... 446,875
-----------
1,386,500
-----------
INDUSTRIAL MANUFACTURING AND PROCESSING -- 15.6%
108,000 Bethlehem Steel Corporation+......... 1,755,000
78,000 Corning Inc.......................... 2,554,500
80,000 Inco Ltd............................. 2,260,000
15,000 Johnson Controls Inc................. 847,500
26,800 LTV Corporation+..................... 391,950
285,000 Republic Engineered Steels Inc.+..... 2,208,750
38,000 Trinity Industries Inc............... 1,263,500
40,000 USX-U.S. Steel Group................. 1,375,000
-----------
12,656,200
-----------
VALUE
SHARES (NOTE 1)
----------- -----------
LEISURE ENTERTAINMENT -- 3.2%
140,000 Acclaim Entertainment Inc.+.......... $ 2,581,250
-----------
METAL MINING -- 17.2%
150,000 Coeur d'Alene Mines Corporation...... 2,606,250
142,000 Homestake Mining Company............. 2,343,000
72,000 Newmont Mining Corporation........... 3,015,000
158,000 Pegasus Gold Inc. +.................. 1,599,750
97,000 Placer Dome Inc., ADR................ 2,534,125
200,000 Prime Resources Group, ADR+.......... 1,384,400
39,000 WHX Corporation+..................... 458,250
-----------
13,940,775
-----------
OIL SERVICES -- 3.5%
65,000 Baker Hughes Inc..................... 1,332,500
42,000 Halliburton Company.................. 1,501,500
-----------
2,834,000
-----------
TELECOMMUNICATIONS EQUIPMENT -- 3.5%
31,000 AirTouch Communications Inc.+........ 883,500
50,000 MFS Communications Company Inc.+..... 1,612,500
10,000 QUALCOMM Inc.+....................... 345,625
-----------
2,841,625
-----------
Total Common Stocks
(Cost $65,122,229)................. 71,089,226
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 11.7%
U.S. TREASURY BILLS:
$3,000,000 5.540%++ due 07/13/1995.............. 2,994,455
2,000,000 5.590%++ due 07/20/1995.............. 1,994,099
1,000,000 5.680%++ due 08/03/1995.............. 994,793
2,500,000 5.360%++ due 08/17/1995.............. 2,482,865
1,000,000 5.610%++ due 08/24/1995.............. 991,585
-----------
Total U.S. Treasury Obligations
(Cost $9,457,797).................. 9,457,797
-----------
REPURCHASE AGREEMENT -- 2.0%
(Cost $1,626,000)
1,626,000 Agreement with PNC Securities, 5.900%
dated 06/30/1995 to be repurchased
at $1,626,799 on 07/03/1995,
collateralized by $1,670,000 U.S.
Treasury Bill, 5.310% due
12/14/1995 (value $1,629,542)...... 1,626,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS (COST $76,206,026*)..... 101.5% 82,173,023
OTHER ASSETS AND LIABILITIES (NET)........ (1.5) (1,196,441)
--------- -----------
NET ASSETS................................ 100.0% $80,976,582
--------- -----------
--------- -----------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
ADR -- American Depositary Receipt.
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
CAPITAL APPRECIATION SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS -- 95.3%
AERO/TRANSPORT -- 5.2%
50,000 AlliedSignal Inc..................... $ 2,225,000
35,000 Boeing Company....................... 2,191,875
8,800 ITT Corporation...................... 1,034,000
-----------
5,450,875
-----------
BUILDING -- 0.9%
65,000 DeBartolo Realty Corporation......... 950,625
-----------
COMMODITIES -- 10.4%
20,000 Aluminum Company of America.......... 1,002,500
36,100 Grace (W.R.) & Company............... 2,215,638
39,600 PPG Industries Inc................... 1,702,800
42,100 Praxair Inc.......................... 1,052,500
60,000 Riverwood International
Corporation........................ 1,395,000
48,000 Scott Paper Company.................. 2,376,000
36,000 Union Carbide Corporation............ 1,201,500
-----------
10,945,938
-----------
CYCLICALS -- DURABLES -- 1.9%
23,000 Chrysler Corporation................. 1,101,125
37,500 Newell Company....................... 918,750
-----------
2,019,875
-----------
CYCLICALS -- NON DURABLES -- 5.5%
19,500 Eastman Kodak Company................ 1,182,188
90,000 Host Marriott Corporation+........... 956,250
60,000 Manpower Inc......................... 1,530,000
25,200 Nike, Inc., Class B.................. 2,116,800
-----------
5,785,238
-----------
DEFENSIVE STAPLES -- 4.1%
36,800 CPC International Inc................ 2,272,400
29,000 ConAgra Inc.......................... 1,011,375
15,000 Procter & Gamble Company............. 1,078,125
-----------
4,361,900
-----------
ELECTRICAL EQUIPMENT -- 3.8%
30,000 Emerson Electric Company............. 2,145,000
33,600 General Electric Company............. 1,894,200
-----------
4,039,200
-----------
ELECTRONICS -- 5.1%
12,000 Applied Materials Inc.+.............. 1,039,500
17,000 Intel Corporation.................... 1,076,313
16,000 Linear Technology Corporation........ 1,056,000
41,500 Loral Corporation.................... 2,147,625
-----------
5,319,438
-----------
ENERGY -- 4.8%
15,000 Amoco Corporation.................... 999,375
10,800 Mobil Corporation.................... 1,036,800
29,700 Texaco Inc........................... 1,949,062
41,000 Ultramar Corporation................. 1,035,250
-----------
5,020,487
-----------
ENTERTAINMENT -- 7.2%
109,250 Comcast Corporation, Class A, Special
Shares (Non-Voting)................ 2,027,953
20,000 Dun & Bradstreet Corporation......... 1,050,000
82,000 Tele-Communications Inc., Class A+... 1,921,875
40,000 Time Warner Inc...................... 1,645,000
37,400 Vanguard Cellular Systems Inc.,
Class A+........................... 897,600
-----------
7,542,428
-----------
FINANCE/BANKS -- 7.1%
55,700 Bank of New York Inc................. 2,248,887
22,000 Chase Manhattan Corporation.......... 1,034,000
VALUE
SHARES (NOTE 1)
----------- -----------
21,900 First Union Corporation.............. $ 990,975
22,500 NationsBank Corporation.............. 1,206,562
69,400 Norwest Corporation.................. 1,995,250
-----------
7,475,674
-----------
FINANCE/INSURANCE -- 3.7%
54,000 American Express Company............. 1,896,750
40,800 Household International Inc.......... 2,019,600
-----------
3,916,350
-----------
GROWTH STAPLES -- 5.3%
17,500 Anheuser-Busch Companies Inc......... 995,313
59,600 McDonald's Corporation............... 2,331,850
30,200 Philip Morris Companies Inc.......... 2,246,125
-----------
5,573,288
-----------
HEALTH CARE -- 11.0%
25,000 Abbott Laboratories.................. 1,012,500
30,000 Bristol-Myers Squibb Company......... 2,043,750
33,000 Johnson & Johnson.................... 2,231,625
40,000 Merck & Company Inc.................. 1,960,000
26,600 Schering-Plough Corporation.......... 1,173,725
57,400 Upjohn Company....................... 2,174,025
12,000 Warner-Lambert Company............... 1,036,500
-----------
11,632,125
-----------
INFORMATION PROCESSING -- 7.8%
14,000 Computer Associates International
Inc................................ 948,500
45,000 General Motors Corporation, Class
E.................................. 1,957,500
23,000 Microsoft Corporation+............... 2,078,625
53,400 Silicon Graphics+.................... 2,129,325
15,600 3Com Corporation+.................... 1,045,200
-----------
8,159,150
-----------
RETAIL -- 6.1%
800 Dayton Hudson Corporation............ 57,400
45,500 Federated Department Stores+......... 1,171,625
24,200 May Department Stores Company........ 1,007,325
80,000 Rite Aid Corporation................. 2,050,000
36,000 Sears, Roebuck & Company............. 2,155,500
-----------
6,441,850
-----------
UTILITY -- 5.4%
40,000 CMS Energy Corporation............... 985,000
52,000 GTE Corporation...................... 1,774,500
50,000 PacifiCorp........................... 937,500
45,000 Southern Company..................... 1,006,875
24,000 U S West Inc......................... 999,000
-----------
5,702,875
-----------
Total Common Stocks
(Cost $86,806,296)................. 100,337,316
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
U.S TREASURY OBLIGATION -- 5.7%
(Cost $6,052,572)
U.S. TREASURY BILL:
$6,083,000 5.650%++ due 08/03/1995.............. 6,052,572
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS (COST $92,858,868*).... 101.0% 106,389,888
OTHER ASSETS AND LIABILITIES (NET)....... (1.0) (1,057,938)
--------- ------------
NET ASSETS............................... 100.0% $105,331,950
--------- ------------
--------- ------------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
23
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
VALUE EQUITY SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ----------
<S> <C> <C>
COMMON STOCKS -- 93.3%
AEROSPACE/DEFENSE -- 0.5%
600 Boeing Company........................ $ 37,575
----------
AUTOMOBILE -- 0.8%
900 Chrysler Corporation.................. 43,087
400 General Motors Corporation............ 18,750
----------
61,837
----------
AUTOMOBILE PARTS -- 0.3%
600 Magna International Inc., Class A..... 26,475
----------
BANKS -- 4.7%
1,600 BankAmerica Corporation............... 84,200
1,800 Bank of New York Inc.................. 72,675
500 Citicorp.............................. 28,938
5,000 Dime Bancorp Inc.+.................... 50,000
2,300 Fleet Financial Group Inc............. 85,387
1,600 Mellon Bank Corporation............... 66,600
----------
387,800
----------
BEVERAGES -- 0.9%
1,700 PepsiCo Inc........................... 77,563
----------
BIOTECHNOLOGY -- 0.4%
1,300 Beckman Instruments Inc............... 36,238
----------
BUILDING MATERIALS -- 0.1%
500 Shaw Industries Inc................... 8,500
----------
BUSINESS SERVICES -- 1.6%
1,300 Cross A.T. Company, Class A........... 19,338
2,500 Deluxe Corporation.................... 82,812
500 Federal Express Corporation+.......... 30,375
----------
132,525
----------
CHEMICALS -- 0.7%
2,600 Hanson PLC, ADR....................... 45,825
800 U.S. Industries Inc.+................. 10,900
----------
56,725
----------
COMMUNICATION & INFORMATION -- 19.7%
2,000 Advanced Micro Devices Inc............ 72,750
2,400 American Power Conversion
Corporation+........................ 54,900
2,200 Apple Computer Inc.................... 102,162
1,000 Atmel Corporation+.................... 55,375
600 Broderbund Software Corporation+...... 38,250
400 Brooktree Corporation+................ 6,900
800 Cisco Systems+........................ 40,450
3,000 Communications Satellite Corporation,
Series 1............................ 58,875
2,400 Compaq Computer Corporation+.......... 108,900
8,500 Conner Peripherals Inc.+.............. 105,187
500 Corel Corporation+.................... 8,625
1,700 Dallas Semiconductor Corporation...... 34,850
2,700 EMC Corporation+...................... 65,475
900 Hutchinson Technology Inc.+........... 38,250
1,400 Integrated Device Technology Inc.+.... 64,750
1,400 Intel Corporation..................... 88,638
500 International Business Machines
Corporation......................... 48,000
1,400 International Rectifer Corporation+... 45,500
200 Lam Research Corporation+............. 12,800
1,400 Lattice Semiconductor Corporation+.... 48,125
900 Littelfuse, Inc.+..................... 28,181
900 Microsoft Corporation+................ 81,338
1,600 National Semiconductor Corporation+... 44,400
2,500 Novell Inc.+.......................... 49,844
1,600 Oracle Corporation+................... 61,800
2,800 QUALCOMM Inc.+........................ 96,775
VALUE
SHARES (NOTE 1)
----------- ----------
1,900 Seagate Technology Inc.+.............. $ 74,575
1,000 StrataCom Inc.+....................... 48,000
1,400 Western Digital Corporation+.......... 24,325
----------
1,608,000
----------
COSMETICS -- 1.2%
2,300 Tambrands Inc......................... 98,325
----------
ELECTRONICS -- 3.0%
1,000 Acme-Cleveland Corporation............ 23,625
1,900 AMP Inc............................... 80,275
2,100 Philips Electronics NV................ 89,775
1,100 Sony Corporation, ADR................. 53,350
----------
247,025
----------
ENTERTAINMENT -- 0.8%
1,200 Disney (Walt) Company................. 66,750
----------
FINANCIAL -- 3.7%
2,500 American Express Company.............. 87,812
3,100 Great Western Financial............... 63,938
300 Merrill Lynch & Company Inc........... 15,750
200 Morgan (J.P.) & Company Inc........... 14,025
1,700 Salomon Inc........................... 68,213
1,100 Student Loan Marketing Association.... 51,562
----------
301,300
----------
HEALTH CARE -- 5.8%
1,500 Bausch & Lomb Inc..................... 62,250
1,700 Baxter International.................. 61,838
1,200 Foundation Health Corporation+........ 32,400
4,500 Tenet Healthcare Corporation+......... 64,687
3,000 United Healthcare Corporation......... 124,125
4,200 U.S. HealthCare Inc................... 128,625
----------
473,925
----------
HOUSEHOLD PRODUCTS/WARE -- 0.4%
1,100 Rubbermaid, Inc....................... 30,525
----------
INSURANCE -- 0.7%
1,300 Hartford Steam Boiler Company......... 57,687
----------
MANUFACTURING INDUSTRIES -- 2.3%
2,400 Honeywell, Inc........................ 103,500
2,100 Pitney Bowes Inc...................... 80,588
----------
184,088
----------
MULTI-INDUSTRY COMPANIES -- 1.9%
700 General Electric Company.............. 39,462
500 Minnesota Mining and Manufacturing
Company............................. 28,625
6,000 Westinghouse Electric Corporation..... 87,750
----------
155,837
----------
NONDURABLE GOODS -- CONSUMER -- 1.1%
2,300 Polaroid Corporation.................. 93,725
----------
OIL/GAS-INTERNATIONAL -- 12.3%
400 Amerada Hess Corporation.............. 19,550
1,400 Amoco Corporation..................... 93,275
1,200 Anadarko Petroleum Company............ 51,750
900 Atlantic Richfield Company............ 98,775
1,000 British Petroleum, ADR................ 85,625
1,800 Chevron Corporation................... 83,925
900 Exxon Corporation..................... 63,563
900 Mobil Corporation..................... 86,400
400 Norsk Hydro A.S., ADR................. 16,700
4,200 Occidental Petroleum Corporation...... 96,075
1,300 Pennzoil Company...................... 61,262
1,500 Phillips Petroleum Company............ 50,063
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
VALUE EQUITY SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
OIL/GAS-INTERNATIONAL -- (CONTINUED)
700 Royal Dutch Petroleum
Company, ADR........................ $ 85,312
1,100 Sun Company Inc....................... 30,113
900 Texaco Inc............................ 59,062
1,400 YPF Sociedad Anonima, ADS............. 26,425
----------
1,007,875
----------
OIL/GAS-MINERAL INTERESTS -- 1.7%
2,300 Apache Corporation.................... 62,963
2,200 Diamond Shamrock Inc.................. 56,650
1,000 Dresser Industries Inc................ 22,250
----------
141,863
----------
OIL SERVICES -- 1.3%
1,500 Halliburton Company................... 53,625
800 Schlumberger Ltd...................... 49,700
----------
103,325
----------
PACKAGED FOODS -- 2.9%
1,000 Campbell Soup Company................. 49,000
1,700 Chiquita Brands International Inc..... 23,800
500 Dole Food Company..................... 14,562
1,200 Heinz (H.J.) Company.................. 53,250
1,100 Hershey Foods Corporation............. 60,775
1,300 Sara Lee Corporation.................. 37,050
----------
238,437
----------
PAPER FOREST PRODUCTS -- 0.2%
400 Chesapeake Corporation................ 12,450
----------
PHARMACEUTICALS -- 8.7%
1,200 American Home Products Corporation.... 92,850
1,100 Amgen Inc.+........................... 88,481
1,200 Bristol-Myers Squibb Company.......... 81,750
1,400 Johnson & Johnson..................... 94,675
1,400 Lilly (Eli) & Company................. 109,900
1,000 Merck & Company Inc................... 49,000
1,300 Schering-Plough Corporation........... 57,362
2,200 Upjohn Company........................ 83,325
600 Warner-Lambert Company................ 51,825
----------
709,168
----------
PUBLISHING -- 1.0%
1,500 Dun & Bradstreet Corporation.......... 78,750
----------
PUBLISHING & NEWS -- 1.4%
700 Gannet Company........................ 37,975
1,300 Tribune Company....................... 79,787
----------
117,762
----------
REAL ESTATE -- 0.5%
2,700 DeBartolo Realty Corporation.......... 39,488
----------
RESTAURANTS -- 1.3%
1,400 McDonald's Corporation................ 54,775
3,000 Wendy's International Inc............. 53,625
----------
108,400
----------
VALUE
SHARES (NOTE 1)
----------- ----------
RETAIL DEPARTMENT STORES -- 2.8%
1,800 May Department Stores Company......... $ 74,925
1,000 Penney (J.C.) Co., Inc................ 48,000
300 Sears, Roebuck & Company.............. 17,963
1,000 Strawbridge/Clothier.................. 20,000
1,000 Toys R Us Inc.+....................... 29,250
1,500 Wal-Mart Stores Inc................... 40,125
----------
230,263
----------
TELECOMMUNICATIONS -- 0.9%
3,200 MCI Communications Corporation........ 70,400
----------
TOBACCO MANUFACTURERS -- 3.8%
1,400 American Brands Inc................... 55,650
1,000 Philip Morris Companies Inc........... 74,375
3,200 RJR Nabisco Holdings Corporation...... 89,200
3,000 UST Inc............................... 89,250
----------
308,475
----------
TRANSPORTATION -- 1.7%
1,100 CSX Corporation....................... 82,638
1,600 Illinois Central Corporation.......... 55,200
----------
137,838
----------
UTILITY-TELEPHONE -- 1.6%
900 BellSouth Corporation................. 57,150
500 NYNEX Corporation..................... 20,125
700 Pacific Telesis Group................. 18,725
700 SBC Communications Inc................ 33,337
----------
129,337
----------
WASTE MANAGEMENT -- 0.6%
1,600 WMX Technologies, Inc................. 45,400
----------
Total Common Stocks
(Cost $7,145,500)................... 7,621,656
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $7,145,500*)....... 93.3% 7,621,656
OTHER ASSETS AND LIABILITIES (NET)......... 6.7 550,846
--------- ----------
NET ASSETS................................. 100.0% $8,172,502
--------- ----------
--------- ----------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
ADR -- American Depositary Receipt.
ADS -- American Depositary Share.
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
RISING DIVIDENDS SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS -- 97.1%
AUTO REPAIR/AUTO PARTS -- 2.3%
60,400 Cooper Tire & Rubber Company......... $1,472,250
-----------
BANKING/FINANCIALS -- 5.3%
32,890 Banc One Corporation................. 1,060,702
41,100 Fifth Third Bancorp.................. 2,311,875
1,800 National Commerce Bancorp............ 45,450
-----------
3,418,027
-----------
BEVERAGES -- 2.7%
27,000 Coca-Cola Company.................... 1,721,250
-----------
BUSINESS SERVICES -- 7.6%
46,170 Dun & Bradstreet Corporation......... 2,423,925
48,640 Reuters Holdings PLC, ADR............ 2,438,080
-----------
4,862,005
-----------
CHEMICALS & ALLIED PRODUCTS -- 1.9%
28,800 PPG Industries, Inc.................. 1,238,400
-----------
DATA SERVICES -- 3.9%
19,000 Automatic Data Processing Inc........ 1,194,625
30,450 General Motors Corporation, Class
E.................................. 1,324,575
-----------
2,519,200
-----------
DRUG & HOSPITAL SUPPLIES -- 8.1%
40,000 Astra AB, ADR........................ 1,227,500
26,200 Johnson & Johnson.................... 1,771,775
50,000 Schering-Plough Corporation.......... 2,206,250
-----------
5,205,525
-----------
ELECTRICAL EQUIPMENT -- 8.2%
22,300 AMP Inc.............................. 942,175
38,400 General Electric Company............. 2,164,800
36,000 Grainger (W.W.), Inc................. 2,115,000
-----------
5,221,975
-----------
ELECTRONICS -- 5.5%
37,600 Hewlett-Packard Company.............. 2,801,200
30,000 Premier Industrial Corporation....... 708,750
-----------
3,509,950
-----------
ENERGY -- 4.6%
32,100 Exxon Corporation.................... 2,267,062
5,400 Royal Dutch Petroleum Company,
ADR................................ 658,125
-----------
2,925,187
-----------
FINANCIAL -- 7.0%
50,000 Franklin Resources Inc............... 2,225,000
61,300 State Street Boston Corporation...... 2,260,438
-----------
4,485,438
-----------
FOOD -- 10.1%
19,000 Kellogg Company...................... 1,356,125
89,700 Sara Lee Corporation................. 2,556,450
42,900 Sysco Corporation.................... 1,265,550
27,900 Wrigley, (Wm) Jr. Company............ 1,293,862
-----------
6,471,987
-----------
VALUE
SHARES (NOTE 1)
----------- -----------
INSURANCE -- 5.9%
26,250 Cincinnati Financial Corporation..... $1,470,000
17,400 General Re Corporation............... 2,329,425
-----------
3,799,425
-----------
LEISURE ENTERTAINMENT -- 4.1%
47,500 Disney (Walt) Company................ 2,642,188
-----------
MACHINE & MACHINE TOOLS -- 1.8%
30,600 Stanley Works........................ 1,158,975
-----------
PUBLISHING & BROADCASTING -- 0.4%
4,500 Gannett Company...................... 244,125
-----------
RETAIL -- 6.2%
68,500 Gap Inc.............................. 2,388,938
58,100 Wal-Mart Stores, Inc................. 1,554,175
-----------
3,943,113
-----------
SERVICES -- 7.2%
73,550 Equifax Inc.......................... 2,454,731
82,000 Kelly Services, Inc., Class A........ 2,111,500
-----------
4,566,231
-----------
SPECIALTY MATERIALS -- 3.0%
33,000 Minnesota Mining & Manufacturing
Company............................ 1,889,250
-----------
TELECOMMUNICATIONS EQUIPMENT -- 1.3%
40,000 Ericsson (L.M.) Telecommunications
Company, Class B, ADR.............. 800,000
-----------
Total Common Stocks
(Cost $54,564,465)................. 62,094,501
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
COMMERCIAL PAPER -- 2.8% (Cost $1,790,000)
$1,790,000 Ford Motor Credit Corporation,
6.050% due 07/03/1995.............. 1,790,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS (COST $56,354,465*)..... 99.9% 63,884,501
OTHER ASSETS AND LIABILITIES (NET)........ 0.1 91,511
--------- -----------
NET ASSETS................................ 100.0% $63,976,012
--------- -----------
--------- -----------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
ADR -- American Depositary Receipt.
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------------- -----------
<S> <C> <C>
COMMON STOCKS -- 79.9%
ARGENTINA -- 1.1%
33,636 Y.P.F. S.A........................ $ 634,880
-----------
BRAZIL -- 10.4%
79,553 Aracruz Celulose S.A., ADR........ 934,748
823,755 Banco Itau........................ 250,572
8,485,000 Cesp Cia Energetica de Sao
Paulo........................... 276,534
24,150 Cesp Cia Energetica de Sao Paulo,
ADR............................. 274,827
11,750 Cesp Cia Energetica de Sao Paulo,
ADR**........................... 134,420
4,480,000 Cia Paulista de Forca............. 224,365
20,546 Cia Siderurgica Nacional, ADR..... 469,147
460,599 Cia Siderurgica Paulista, Class
B............................... 715,542
16,523 Cia Vale Do Rio Doce, ADR......... 624,611
4,278,897 Electrobras (Centras Electicas)
Brasilerias PNB................. 1,166,761
6,750,000 Telebras.......................... 195,790
21,396 Telebras, ADR..................... 706,068
23,000 Usiminas, ADR**................... 255,990
-----------
6,229,375
-----------
CHILE -- 2.8%
7,868 Banco Osorno Y La Union, ADR...... 109,169
16,782 Chile (The) Fund.................. 902,033
20,500 Chilgener S.A., ADS............... 648,312
-----------
1,659,514
-----------
COLOMBIA -- 3.7%
29,769 Cadenalco Gran Cadena de Aimacenes
Colombianos, ADR###+............ 634,452
24,600 Carulla, Class B, ADR............. 442,800
20,784 Cementos Diamante S.A., ADR**+.... 605,334
13,475 Cementos Paz del Rio S.A., ADR.... 228,233
17,169 Corporacion Financiera del Valle
S.A., Class B................... 288,653
-----------
2,199,472
-----------
HONG KONG -- 2.6%
6,800 Consolidated Electric Power of
Asia............................ 15,775
7,200 Hong Kong Telecommunications
Ltd. ........................... 14,237
1,303,000 Hopewell Holdings Ltd............. 1,102,981
44,000 National Mutual Asia Ltd.......... 28,148
350,000 Orient Overseas International
Ltd............................. 160,575
300,000 San Miguel Brewery Ltd., Hong
Kong............................ 201,608
684,000 Tomei International Holdings
Ltd............................. 53,038
-----------
1,576,362
-----------
INDIA -- 7.7%
40,500 Bajaj Auto Ltd., GDS.............. 1,134,000
44,000 CESC Ltd., GDR.................... 209,000
106,600 Core Healthcare Products, GDR..... 519,942
77,500 Indian Petrochemicals Corporation
Ltd., GDR....................... 1,196,600
75,300 Mahindra & Mahindra Ltd., GDR**... 875,739
38,000 Reliance Industries Ltd., GDS..... 693,500
-----------
4,628,781
-----------
INDONESIA -- 8.8%
25,600 Asia Pacific Resource
International Holdings.......... 233,600
154,000 Bank Dagang Nasional Indonesia
(Foreign)....................... 269,690
166 Duta Anggada Realty (Foreign)..... 134
61,000 Gadjah Tunggal (Foreign).......... 87,652
311,000 Indah Kiat Paper & Pulp
(Foreign)....................... 460,844
VALUE
SHARES (NOTE 1)
------------- -----------
140,000 Modern Photo Film Company
(Foreign)....................... $ 760,665
125,100 PT Bank International Indonesia
(Foreign)....................... 386,198
26,500 PT Indocement Tunggal Prakar
(Foreign)....................... 104,120
9,000 PT Indonesian Satellite Inc.,
ADR............................. 344,250
635,400 PT Mulia Industrindo (Foreign).... 1,398,051
23,200 PT Tri Polyta Indonesia, ADR...... 403,100
170,500 Tempo Scan Pacific (Foreign)...... 840,250
-----------
5,288,554
-----------
KOREA -- 3.3%
3,000 Pohang Iron & Steel Company
Ltd............................. 310,504
3,876 Samsung Electronics Company
Ltd............................. 654,818
767 Samsung Electronics Company Ltd.
(New Bonus Shares Issued
03/1995)........................ 123,099
857 Samsung Electronics Company Ltd.,
GDR ( 1/2 Voting)**............. 51,422
170 Samsung Electronics Company Ltd.,
GDR ( 1/2 Voting) (New)**....... 10,176
12,900 Samsung Electronics Company Ltd.,
GDR (Non-Voting)**.............. 696,600
2,751 Samsung Electronics Company Ltd.,
GDR (Non-Voting) (New)**........ 148,545
-----------
1,995,164
-----------
MALAYSIA -- 12.5%
132,000 Berjaya Sports Toto BHD........... 233,896
223,000 Commerce Asset Holdings BHD....... 1,143,355
34,000 IOI Corporation BHD............... 44,627
397,000 Pilecon Engineering BHD........... 508,056
46,000 Rashid Husain BHD................. 147,170
337,000 Tanjong BHD....................... 1,161,116
405,000 Technology Resources Industries
BHD............................. 1,162,838
318,000 United Engineers BHD.............. 2,021,739
210,000 YTL Corporation BHD............... 1,025,021
-----------
7,447,818
-----------
MEXICO -- 7.3%
20,064 Cementos Mexicanos S.A., ADR...... 144,224
271,381 Grupo Carso S.A. de CV............ 1,482,826
46,916 Panamerican Beverages Inc., Class
A............................... 1,407,480
476,750 Telefonos de Mexico S.A., Series
L............................... 701,776
21,503 Telefonos de Mexico S.A., ADR..... 637,026
-----------
4,373,332
-----------
PAKISTAN -- 0.0%#
30,000 Karachie Electric Supply
Company......................... 25,905
-----------
PERU -- 3.5%
331,877 Banco de Credito.................. 581,848
78,313 Cementos Norte Pacasmayo.......... 226,015
169,156 Cerveceria Backus & Johnston...... 399,982
16,397 Cerveceria San Juan............... 26,665
131,680 Enrique Ferreyros................. 185,281
381,847 Telefonica de Peru, Class B....... 652,290
-----------
2,072,081
-----------
PHILIPPINES -- 5.4%
2,545 Benpress Holdings Corporation,
GDR............................. 21,312
18,125 Metropoliton Bank & Trust
Company......................... 393,867
1,900 Philippine Long Distance Telephone
Company......................... 135,767
81 Philippine National Bank.......... 944
12,200 Philippine Savings Bank........... 372,592
1,482,000 SM Prime Holdings Inc., Class B... 406,186
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PHILIPPINES -- (CONTINUED)
13,691,900 Southeast Asia Cement Holdings
Inc. ........................... $ 1,393,850
1,277,600 Vitarich Corporation.............. 500,235
-----------
3,224,753
-----------
THAILAND -- 9.2%
47,500 Finance One PCL (Foreign)......... 350,213
71,800 Hana Micro Electronics Company.... 366,490
73,000 Hana Micro Electronics Company
(Foreign)....................... 372,615
36,600 Krung Thai Bank PCL............... 148,268
67,540 Krung Thai Bank PCL (Foreign)..... 273,607
7,900 Phatra Thanakit Company Ltd.
(Foreign)....................... 65,927
217,400 Quality Houses Company Ltd........ 995,187
269,500 Sahaviriya Steel Industries....... 660,512
283,000 Sahaviriya Steel Industries
(Foreign)....................... 693,599
5,500 Siam Cement PCL (Foreign)......... 351,144
184,200 Siam City Bank PCL (Foreign)...... 253,709
84,975 T.P.I. Polene PCL (Foreign)....... 578,319
64,800 Unithai Line PCL (Foreign)........ 396,386
-----------
5,505,976
-----------
VENEZUELA -- 1.6%
36,855 Banco Mercantil, Class A###....... 47,049
5,896 Banco Mercantil, Class B###....... 6,073
22,667 Banco Provincial###............... 23,535
6,048 Banco Venezolano de Credito###.... 153,774
135,399 Ceramica Carabobo C.A., ADR###.... 137,091
27,900 Corimon C.A., ADR................. 181,350
196,288 Electricidad de Caracas........... 148,135
42,508 Mavesa, ADS**..................... 123,486
722,588 Sudamtex de Venezuela C.A.###..... 76,871
228,500 Venaseta, Class A................. 14,585
45,700 Venaseta, Class B................. 2,917
45,000 Venezolana de Pulpa Y Papel###.... 20,298
-----------
935,164
-----------
Total Common Stocks
(Cost $49,050,359).............. 47,797,131
-----------
PREFERRED STOCKS -- 8.5%
BRAZIL -- 8.5%
86,016,260 Banco Bradesco.................... 728,872
2,000,171 Cesp Cia Energetica de Sao
Paulo........................... 77,139
2,595,631 Cia Cerve Brahma.................. 850,228
3,235,611 Cia Vale Do Rio Doce.............. 499,103
1,094,431 Coteminas......................... 344,796
8,787,600 Lojas Renner S.A.................. 148,926
1,951,000 Mesbla............................ 116,573
198,744,668 Refrigeracao Parana S.A........... 386,478
14,106,400 Telebras.......................... 481,962
5,926,944 Telecomm de Sao Paulo S.A.
Telesp.......................... 737,246
605,000,000 Usiminas.......................... 683,542
-----------
Total Preferred Stocks
(Cost $5,601,847)............... 5,054,865
-----------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION VALUE
SHARES DATE (NOTE 1)
------------- ---------- -----------
<S> <C> <C> <C>
RIGHTS -- 0.0%# (Cost $0)
BRAZIL -- 0.0%#
739,124 Banco Bradesco,
Prfd. .............. 07/06/1995 $883
-----------
WARRANTS -- 0.1%
HONG KONG -- 0.1%
75,000 Henderson Investment
Warrants+........... 03/31/1996 727
740,000 Hutchinson Whampoa
Warrants+........... 11/29/1995 56,424
-----------
Total Warrants
(Cost $82,388)...... 57,151
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-------------
<S> <C> <C>
CONVERTIBLE BOND -- 0.8% (Cost $575,695)
$460,000 Essar Gujarat,
5.500% due 08/05/1998........... 495,075
-----------
TIME DEPOSIT -- 12.6% (Cost $7,516,005)
7,516,005 Canadian Imperial Banking
Corporation, 6.000% due
07/03/1995...................... 7,516,005
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE
CONTRACTS DATE PRICE
------------- ---------- -----------
<S> <C> <C> <C> <C>
CALL OPTIONS PURCHASED -- 0.0%#
(Cost $48)
BRAZIL -- 0.0%#
4,000 Paulista
Fuer###..... 10/31/1995 $ 70 6,214
-----------
TOTAL INVESTMENTS (COST $62,826,342*)..... 101.9% 60,927,324
OTHER ASSETS AND LIABILITIES (NET)........ (1.9) (1,108,980)
--------- -----------
NET ASSETS................................ 100.0% $59,818,344
--------- -----------
--------- -----------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
** 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.
+ Non-income producing security.
# Amount is less than 0.1%.
### Illiquid security (see Note 5).
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
ADR -- American Depositary Receipt.
ADS -- American Depositary Share.
GDR -- Global Depositary Receipt.
GDS -- Global Depositary Share.
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1995 (UNAUDITED)
THE SECTOR DIVERSIFICATION OF THE EMERGING MARKETS SERIES AT JUNE 30, 1995 WAS
AS FOLLOWS:
<TABLE>
<CAPTION>
% OF VALUE
NET ASSETS (NOTE 1)
------------- -----------
<S> <C> <C>
Automotive............................ 3.4% $ 2,009,739
Building/Construction................. 11.6 6,930,094
Chemicals............................. 1.9 1,162,769
Communications........................ 9.6 5,769,250
Diversified Holdings.................. 4.3 2,560,945
Drugs................................. 1.4 840,250
Electric Utilities.................... 5.7 3,434,771
Electronics........................... 4.2 2,483,017
Finance............................... 9.6 5,735,463
Food and Beverage Products............ 5.9 3,509,684
Forest/Paper.......................... 2.4 1,415,890
Health Care........................... 0.9 519,942
Leisure............................... 2.3 1,395,013
Manufacturing......................... 2.5 1,485,703
Metals/Mining......................... 1.9 1,123,744
Oil/Gas/Petroleum..................... 3.1 1,831,480
Property/Real Estate.................. 4.3 2,549,115
Retail................................ 3.5 2,103,416
Steel................................. 7.1 4,283,881
Textile/Apparel....................... 0.7 421,667
Transportation........................ 0.9 556,961
Other................................. 2.1 1,288,525
----- -----------
Subtotal.............................. 89.3 53,411,319
Time Deposit.......................... 12.6 7,516,005
----- -----------
TOTAL INVESTMENTS..................... 101.9 60,927,324
OTHER ASSETS AND LIABILITIES
(NET)............................... (1.9) (1,108,980)
----- -----------
NET ASSETS............................ 100.0% $59,818,344
----- -----------
----- -----------
</TABLE>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
--------------------------- UNREALIZED
EXPIRATION LOCAL VALUE IN IN EXCHANGE APPRECIATION/
DATE CURRENCY U.S. $ FOR U.S. $ (DEPRECIATION)
---------- ---------------- --------- ----------- -----------
<S> <C> <C> <C> <C>
07/13/1995 MYR 4,656,589 1,910,365 1,907,500 $ 2,865
02/08/1996 SGD 2,574,171 1,881,656 1,907,500 (25,844)
-----------
$ (22,979)
-----------
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACT TO SELL
<TABLE>
<CAPTION>
CONTRACT TO DELIVER
---------------------------
EXPIRATION LOCAL VALUE IN IN EXCHANGE UNREALIZED
DATE CURRENCY U.S. $ FOR U.S. $ APPRECIATION
---------- ---------------- --------- ----------- -----------
<S> <C> <C> <C> <C>
07/13/1995 SGD 2,647,229 1,896,391 1,907,500 $ 11,109
-----------
Net Unrealized Depreciation of Forward Foreign
Exchange Contracts.................................. $ (11,870)
-----------
-----------
</TABLE>
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
MYR -- Malaysian Ringgits
SGD -- Singapore Dollar
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
NATURAL RESOURCES SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS -- 98.2%
AGRICULTURE -- 1.5%
10,000 Pioneer Hi-Bred International........ $ 420,000
-----------
CHEMICALS -- 3.4%
29,000 First Mississippi Corporation........ 989,625
-----------
DIAMONDS/MINING -- 1.9%
260,000 Ashton Mining Ltd. (AUD)............. 410,245
80,000 Nambian Minerals Corporation
(CAD)+............................. 131,057
-----------
541,302
-----------
DIVERSIFIED MINING -- 20.0%
10,000 Cameco Corporation................... 303,979
17,000 Coeur D' Alene Mines Corporation..... 295,375
40,000 Freeport-McMoRan Copper and Gold
Company, Inc., Class A............. 825,000
25,000 Magma Copper Company+................ 406,250
200,000 M.I.M. Holdings Ltd. (AUD)+.......... 248,763
7,000 Phelps Dodge Corporation............. 413,000
15,000 RTZ Corporation PLC, ADR............. 793,125
65,000 Teck Corp., Class B (CAD)............ 1,283,720
213,750 Western Mining Holding Ltd. (AUD).... 1,175,883
-----------
5,745,095
-----------
ENERGY -- 5.8%
10,000 Halliburton Company.................. 357,500
2,950 Helmerich & Payne Inc................ 87,025
50,000 Horsham Corporation.................. 675,000
7,000 Schlumberger Ltd..................... 434,875
8,500 St. Mary Land and Exploration........ 106,250
-----------
1,660,650
-----------
GOLD/MINING -- 47.6%
25,000 Agnico Eagle Mines Ltd............... 331,250
40,000 Barrick Gold Corporation............. 1,010,000
45,000 Battle Mountain Gold Company......... 433,125
65,000 Beatrix, ADR......................... 450,534
50,000 Dreifontein Consolidated, ADR........ 692,188
30,000 Echo Bay Mines Ltd................... 270,000
55,000 Free State Consolidated Gold Mines
Ltd., ADR.......................... 680,625
55,000 Hemlo Gold Mines Inc., ADR........... 584,375
164,000 Herald Resources Ltd. (AUD).......... 113,066
75,000 Homestake Mining Company............. 1,237,500
42,000 Kloof Gold Mining Ltd., ADR.......... 456,750
40,000 Miramar Mining Corporation (CAD)+.... 211,147
240,000 Newcrest Mining Ltd., ADR............ 1,014,951
10,000 Newmont Gold Company................. 402,500
26,000 Newmont Mining Corporation........... 1,088,750
60,000 Placer Dome Inc., ADR................ 1,567,500
125,000 Plutonic Resources Ltd. (AUD)+....... 506,410
59,999 Santa Fe Pacific Gold Corporation.... 727,488
162,000 Sons of Gwalia Ltd. (AUD)............ 785,379
VALUE
SHARES (NOTE 1)
----------- -----------
200,000 St. Barbara Mines Ltd. (AUD)+........ $ 133,621
57,000 TVX Gold Inc., ADR+.................. 413,250
60,000 Vaal Reefs Exploration &
Mining Ltd., ADR................... 371,250
6,000 Western Deep Levels Ltd., ADR........ 169,500
-----------
13,651,159
-----------
MINING FINANCE -- 3.4%
18,000 Anglo American Corporation South
Africa Ltd., ADR................... 965,250
-----------
OIL/GAS -- 9.7%
8,000 British Petroleum PLC, ADR........... 685,000
7,500 Mobil Oil Corporation................ 720,000
30,000 Pinnacle Resources Ltd. (CAD)+....... 322,181
10,000 Renaissance Energy Ltd. (CAD)+....... 206,596
7,000 Royal Dutch Petroleum Co., ADR....... 853,125
-----------
2,786,902
-----------
PLATINUM/MINING -- 4.9%
25,000 Impala Platinum Holdings Ltd., ADR... 632,812
20,000 Rustenburg Platinum
Holdings Ltd., ADR................. 416,250
13,000 Stillwater Mining Company+........... 361,563
-----------
1,410,625
-----------
Total Common Stocks
(Cost $25,796,528)................. 28,170,608
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $25,796,528*)..... 98.2% 28,170,608
OTHER ASSETS AND LIABILITIES (NET)........ 1.8 528,664
--------- -----------
NET ASSETS................................ 100.0% $28,699,272
--------- -----------
--------- -----------
</TABLE>
The summary of investments by country at June 30, 1995 was as follows:
<TABLE>
<CAPTION>
% OF TOTAL
COUNTRY INVESTMENTS
--------------------------------------------------- -------------
<S> <C> <C>
Australia.......................................... 15.6%
Canada............................................. 25.9
Great Britain...................................... 5.2
Netherlands........................................ 4.6
South Africa....................................... 17.2
United States...................................... 31.5
-----
100.0%
-----
-----
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
ADR -- American Depositary Receipt.
AUD -- Australian Dollar.
CAD -- Canadian Dollar.
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
REAL ESTATE SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS -- 94.6%
APARTMENTS -- 18.8%
18,900 Associated Estates Realty
Corporation........................ $ 399,262
34,600 Avalon Properties Inc................ 687,675
26,700 Camden Property Trust................ 584,063
30,400 Equity Residential Property Trust.... 847,400
14,300 Oasis Residential Inc................ 311,025
31,300 Post Properties Inc.................. 946,825
46,070 Security Capital Pacific Trust....... 800,466
36,100 Smith, Charles E. Residential
Realty Inc......................... 857,375
76,000 United Dominion Realty Trust Inc..... 1,121,000
-----------
6,555,091
-----------
DIVERSIFIED REAL ESTATE -- 3.5%
37,900 Crescent Real Estate Equities........ 1,208,062
-----------
FACTORY OUTLETS -- 2.2%
28,600 Chelsea GCA Realty Inc............... 772,200
-----------
HEALTH CARE REAL ESTATE -- 11.8%
24,000 American Health Properties Inc....... 513,000
32,800 Health Care Property Investors
Inc................................ 1,049,600
76,100 LTC Properties Inc................... 998,813
29,800 Nationwide Health Properties Inc..... 1,162,200
16,200 Omega Healthcare Investors Inc....... 411,075
-----------
4,134,688
-----------
MANUFACTURED HOUSING -- 4.5%
7,800 Chateau Properties Inc............... 162,825
14,000 Manufactured Home Communities Inc.... 215,250
40,500 ROC Communities Inc.................. 896,063
11,700 Sun Communities Inc.................. 292,500
-----------
1,566,638
-----------
OFFICE/INDUSTRIAL/SELF-STORAGE -- 24.0%
31,100 Carr Realty Corporation.............. 536,475
37,500 Duke Realty Investments, Inc......... 1,059,375
52,500 Highwood Properties Inc.............. 1,338,750
59,200 Liberty Property Trust............... 1,161,800
18,200 Reckson Associates Realty
Corporation........................ 441,350
47,799 Security Capital Industries.......... 776,734
8,200 Shurgard Storage Centers Inc., Class
A.................................. 188,600
13,600 Sovran Self Storage Inc.............. 312,800
19,700 Spieker Properties Inc............... 440,788
25,900 Storage Trust Realty................. 524,475
29,800 Storage USA Inc...................... 845,575
30,500 Weeks Corporation.................... 762,500
-----------
8,389,222
-----------
VALUE
SHARES (NOTE 1)
----------- -----------
REGIONAL MALLS -- 9.9%
15,000 DeBartolo Realty Corporation......... $ 219,375
7,200 General Growth Properties............ 146,700
30,000 Macerich (The) Company............... 588,750
37,400 Rouse Company........................ 733,975
42,200 Simon Property Group Inc............. 1,060,275
73,000 Taubman Centers Inc.................. 693,500
-----------
3,442,575
-----------
SHOPPING CENTERS -- 15.9%
28,900 Alexander Haagen Properties.......... 332,350
43,400 Developers Diversified Realty
Corporation........................ 1,247,750
29,600 Federal Realty Investment Trust...... 640,100
30,200 Kimco Realty Corporation............. 1,147,600
40,400 Vornado Realty Trust................. 1,408,950
21,100 Weingarten Realty, Inc............... 796,525
-----------
5,573,275
-----------
SPECIALTY REAL ESTATE -- 4.0%
34,100 Franchise Finance Corporation
of America......................... 733,150
26,700 RFS Investors Inc.................... 407,175
11,700 Starwood Lodging Trust+.............. 274,950
-----------
1,415,275
-----------
Total Common Stocks
(Cost $31,912,367)................. 33,057,026
-----------
PREFERRED STOCK -- 0.3% (Cost $112,312)
REGIONAL MALLS -- 0.3%
2,100 Rouse Company, Series A, Prfd.
Conv............................... 107,100
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATION -- 5.3%
(Cost $1,857,047)
U.S. TREASURY BILL:
$1,880,000 5.300%++ due 09/21/1995.............. 1,857,047
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $33,881,726*)..... 100.2% 35,021,173
OTHER ASSETS AND LIABILITIES (NET)........ (0.2) (74,771)
--------- -----------
NET ASSETS................................ 100.0% $34,946,402
--------- -----------
--------- -----------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
See Notes to Financial Statements.
31
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
MARKET MANAGER SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATION -- 43.0%
(Cost $2,128,950)
$3,168,000 U.S. Treasury Strip,
Zero coupon due 02/15/2001......... $ 2,269,175
-----------
CORPORATE BONDS AND NOTES -- 20.3%
FINANCIAL SERVICES -- 15.2%
269,000 Associates Corporation of North
America, 6.000% due 06/15/2001..... 260,930
815,000 Cabco (Texaco Capital),
Zero coupon due 10/01/2001......... 542,203
-----------
803,133
-----------
INDUSTRIAL -- 5.1%
274,000 Philip Morris Companies Inc.,
6.000% due 07/15/2001.............. 265,780
-----------
Total Corporate Bonds and Notes
(Cost $1,008,591).................. 1,068,913
-----------
COMMERCIAL PAPER -- 1.5% (Cost $81,699)
81,653 General Electric Capital Corporation,
6.425% due 12/15/1995.............. 81,699
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
--------- ---------- --------- ----------
<S> <C> <C> <C> <C>
CALL OPTIONS PURCHASED -- 34.6%
11,560 S&P Mid-Cap Companies
Index 400 European..... 03/06/2001 $ 178.50 $ 709,463
2,610 S&P Mid-Cap Companies
Index 400 European..... 03/06/2001 178.50 150,767
1,660 S&P Mid-Cap Companies
Index 400 European..... 03/06/2001 178.50 99,735
4,242 S&P 500 European......... 03/06/2001 485.63 633,764
959 S&P 500 European......... 03/06/2001 485.63 144,162
611 S&P 500 European......... 03/06/2001 485.63 90,210
----------
Total Options Purchased (Cost $1,660,508)....... 1,828,101
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $4,879,748*)....... 99.4% 5,247,888
OTHER ASSETS AND LIABILITIES (NET)......... 0.6 29,676
--------- ----------
NET ASSETS................................. 100.0% $5,277,564
--------- ----------
--------- ----------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
See Notes to Financial Statements.
32
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS -- 34.6%
AEROSPACE/DEFENSE -- 1.4%
7,100 GenCorp Inc.......................... $ 76,325
21,077 Lockheed Martin Corporation.......... 1,330,485
15,800 Northrop Grumman Corporation......... 823,575
4,800 Raytheon Company..................... 372,600
25,600 Rockwell International............... 1,171,200
3,900 Sundstrand Corporation............... 233,025
4,800 United Technologies Corporation...... 375,000
-----------
4,382,210
-----------
APPAREL AND TEXTILES -- 0.1%
11,900 Oshkosh B'Gosh Inc., Class A......... 190,400
-----------
BANKS -- 1.3%
4,800 American Bankers Insurance Group
Inc................................ 152,400
21,700 Bank of Boston Corporation........... 813,750
14,300 BankAmerica Corporation.............. 752,537
23,800 Chemical Banking Corporation......... 1,124,550
12,000 Citicorp............................. 694,500
20,600 SouthTrust Corporation............... 476,375
-----------
4,014,112
-----------
CHEMICALS -- 3.1%
8,200 ARCO Chemical Company................ 372,075
25,800 Dow Chemical Company................. 1,854,375
32,700 du Pont (E.I.) de Nemours &
Company............................ 2,248,125
26,500 Eastman Chemical..................... 1,576,750
13,100 Ethyl Corporation.................... 139,187
8,900 Imperial Chemical Industries PLC,
ADR................................ 433,875
38,600 Lyondell Petrochemical Company....... 989,125
11,600 Olin Corporation..................... 597,400
48,400 Union Carbide Corporation............ 1,615,350
-----------
9,826,262
-----------
CHEMICALS AND PHARMACEUTICALS -- 0.2%
13,400 Rohm & Haas Company.................. 735,325
-----------
CONGLOMERATES -- 1.2%
7,900 Unilever N.V., ADR................... 1,027,987
21,900 Xerox Corporation.................... 2,567,775
-----------
3,595,762
-----------
CONSUMER GOODS -- DURABLES -- 1.1%
8,300 Briggs & Stratton Corporation........ 286,350
8,600 Eastman Kodak Company................ 521,375
50,700 Goodyear Tire & Rubber Company....... 2,091,375
5,900 Jostens Inc.......................... 125,375
9,800 Outboard Marine Inc.................. 192,325
3,300 Toro Company......................... 92,400
-----------
3,309,200
-----------
DRUGS -- 0.6%
48,500 Baxter International Inc............. 1,764,187
-----------
ELECTRICAL AND ELECTRONIC EQUIPMENT -- 0.4%
21,800 Harris Corporation................... 1,125,425
-----------
FINANCE AND FINANCIAL SERVICES -- 1.3%
22,900 Aetna Life & Casualty Company........ 1,439,837
19,000 American General Corporation......... 641,250
12,100 Household International Inc.......... 598,950
13,600 Providian Corporation................ 493,000
15,900 St Paul Companies Inc................ 783,075
-----------
3,956,112
-----------
VALUE
SHARES (NOTE 1)
----------- -----------
FOOD AND BEVERAGE -- 0.7%
8,400 Cadbury Schweppes PLC, ADR........... $ 249,900
15,900 Ralston-Purina Company-Ralston
Group.............................. 810,900
28,900 Seagram Company Ltd.................. 1,000,662
-----------
2,061,462
-----------
HEALTH CARE -- 0.2%
29,300 Bergen Brunswig Corporation, Class
A.................................. 670,237
-----------
INDUSTRIAL SERVICES -- 0.0%#
8,600 Safety-Kleen Corporation............. 138,675
-----------
METAL MINING -- 2.1%
36,600 Aluminum Company of America.......... 1,834,575
13,500 Cyprus Amax Minerals Company......... 384,750
13,600 Homestake Mining Company............. 224,400
33,700 Phelps Dodge Corporation............. 1,988,300
27,600 Reynolds Metals Company.............. 1,428,300
20,300 USX-U.S. Steel Group................. 697,813
-----------
6,558,138
-----------
OIL AND OIL SERVICES -- 5.0%
16,100 Atlantic Richfield Company........... 1,766,975
7,600 Amoco Corporation.................... 506,350
18,500 British Petroleum, ADR............... 1,584,063
41,100 Chevron Corporation.................. 1,916,287
23,800 Exxon Corporation.................... 1,680,875
32,000 Halliburton Company.................. 1,144,000
18,900 Imperial Oil Ltd..................... 701,662
16,700 Kerr-McGee Corporation............... 895,538
20,800 Mobil Corporation.................... 1,996,800
24,200 Nova Corporation..................... 205,700
51,700 Occidental Petroleum Corporation..... 1,182,638
32,000 Repsol S.A., ADR..................... 1,012,000
32,400 Unocal Corporation................... 895,050
-----------
15,487,938
-----------
PAPER AND FOREST PRODUCTS -- 4.8%
39,400 Boise Cascade Corporation............ 1,595,700
33,400 Bowater Inc.......................... 1,498,825
39,400 Federal Paper Board Company Inc...... 1,393,775
19,400 Georgia-Pacific Company.............. 1,682,950
14,900 International Paper Company.......... 1,277,675
27,100 James River Corporation of
Virginia........................... 748,638
18,900 Mead Corporation..................... 1,122,187
12,400 Temple-Inland Inc.................... 590,550
19,700 Union Camp Corporation............... 1,140,137
12,800 Westvaco Corporation................. 566,400
44,200 Weyerhauser Company.................. 2,082,925
22,600 Willamette Industries Inc............ 1,254,300
-----------
14,954,062
-----------
PRODUCER/MANUFACTURING -- 1.9%
5,800 Arvin Industries Inc................. 129,775
11,200 Avery Dennison Corporation........... 448,000
4,700 Crane Company........................ 170,375
5,900 Duriron Company Inc.................. 132,750
17,200 Eaton Corporation.................... 999,750
8,300 Kennametal Inc....................... 292,575
34,550 Parker-Hannifin Corporation.......... 1,252,438
5,900 Tecumseh Products Company, Class A... 259,600
13,200 Timken Company....................... 608,850
11,600 Trinity Industries Inc............... 385,700
13,900 TRW Inc.............................. 1,110,262
-----------
5,790,075
-----------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PUBLISHING -- 0.2%
31,700 New York Times Company, Class A...... $ 744,950
-----------
RETAIL, TRADE AND SERVICES -- 1.5%
87,800 Bruno's Inc.......................... 1,020,675
4,900 CPI Corporation...................... 93,712
6,500 Giant Food Inc., Class A............. 184,438
47,700 Rite Aid Corporation................. 1,222,313
29,900 Sears, Roebuck & Company............. 1,790,262
10,800 Smith's Food & Drug Centers Inc.,
Class B............................ 213,300
-----------
4,524,700
-----------
TECHNOLOGY -- 1.2%
3,800 Applied Materials Inc.+.............. 329,175
6,800 Dell Computer Corporation+........... 408,850
13,400 Digital Equipment Corporation+....... 546,050
8,400 Intel Corporation.................... 531,825
11,800 International Business Machines
Corporation........................ 1,132,800
9,600 Microsoft Corporation+............... 867,600
4,800 National Computer Systems Inc........ 99,600
-----------
3,915,900
-----------
TELECOMMUNICATIONS -- 1.4%
12,300 BellSouth Corporation................ 781,050
20,300 Cable & Wireless PLC, ADR............ 416,150
12,100 Cincinnati Bell Inc.................. 305,525
32,200 GTE Corporation...................... 1,098,825
24,800 NYNEX Corporation.................... 998,200
5,900 Southern New England Telecomm........ 207,975
21,700 Sprint Corporation................... 729,663
-----------
4,537,388
-----------
TEXTILES -- 0.0%#
1,300 Guilford Mills Inc................... 31,688
-----------
TRANSPORTATION -- 1.1%
8,600 British Airways PLC, ADR............. 578,350
23,300 Conrail Inc.......................... 1,296,063
19,200 CSX Corporation...................... 1,442,400
-----------
3,316,813
-----------
UTILITY -- 3.8%
14,500 Centerior Energy Corporation......... 139,562
16,300 DQE Inc.............................. 383,050
5,400 Enron Corporation.................... 189,675
33,100 FPL Group Inc........................ 1,278,488
16,100 Illinova Corporation................. 408,538
11,900 Kansas City Power and Light
Company............................ 272,213
VALUE
SHARES (NOTE 1)
----------- -----------
27,200 Ohio Edison Company Inc.............. $ 615,400
16,100 Pacific Enterprises.................. 394,450
40,800 Pacific Gas & Electric Company....... 1,183,200
99,500 Panhandle Eastern Corporation........ 2,425,313
22,600 Pinnacle West Capital Corporation.... 553,700
35,700 Portland General Corporation......... 789,863
14,000 Public Service Company of Colorado... 455,000
4,800 Questar Corporation.................. 138,000
49,200 SCEcorp.............................. 842,550
48,100 Unicom Corporation................... 1,280,663
12,400 Williams Companies Inc............... 432,450
-----------
11,782,115
-----------
Total Common Stocks
(Cost $100,104,995)................ 107,413,136
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
CORPORATE BONDS -- 1.7%
$2,510,000 Exxon Capital Corporation,
7.875% due 08/15/1997.............. 2,600,988
2,530,000 General Electric Capital Corporation,
8.375% due 03/01/2001.............. 2,760,862
-----------
Total Corporate Bonds
(Cost $5,459,554).................. 5,361,850
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 2.1%
FHLMC:
4,585,000 7.050% due 03/24/2004................ 4,578,352
2,000,000 7.611% due 09/01/2004................ 2,037,920
-----------
6,616,272
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 4.2%
FNMA:
1,950,000 6.200% due 07/10/2003................ 1,883,193
2,000,000 6.480% due 02/18/2004................ 1,939,560
2,200,000 6.900% due 03/10/2004................ 2,179,914
4,070,000 6.850% due 04/05/2004................ 4,125,636
2,805,000 7.600% due 04/14/2004................ 2,836,668
-----------
12,964,971
-----------
Total U.S. Government Agency
Obligations (Cost $19,074,578)..... 19,581,243
-----------
U.S. TREASURY OBLIGATIONS -- 17.0%
45,800,000 U.S. Treasury Bond,
7.625% due 02/15/2025##............ 51,737,507
1,110,000 U.S. Treasury Note,
4.625% due 02/15/1996.............. 1,102,863
-----------
Total U.S. Treasury Obligations
(Cost $49,681,674)................. 52,840,370
-----------
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
COMMERCIAL PAPER -- 37.5%
$10,800,000 AIG Funding Inc.,
6.100%++ due 07/05/1995............ $10,792,680
5,800,000 AT & T Capital Corporation,
5.950%++ due 07/10/1995............ 5,791,373
10,400,000 Cargill Inc.,
5.950%++ due 07/06/1995............ 10,391,405
12,800,000 Colgate-Palmolive Company,
5.950%++ due 07/11/1995............ 12,778,844
10,000,000 Dow Chemical Company,
5.970%++ due 07/14/1995............ 9,978,442
9,600,000 du Pont (E.I.) de Nemours & Company,
5.950%++ due 07/11/1995............ 9,584,133
9,400,000 Ford Motor Credit Company,
5.970%++ due 07/12/1995............ 9,382,853
12,000,000 Motorola Credit Corporation,
5.940%++ due 07/19/1995............ 11,964,360
7,900,000 Northern States Power Company,
5.940%++ due 07/10/1995............ 7,888,268
2,400,000 Philip Morris Capital Corporation,
5.950%++ due 07/13/1995............ 2,395,240
10,000,000 SmithKline-Beecham Corporation,
5.900%++ due 07/05/1995............ 9,993,445
9,700,000 Wal-Mart Stores Inc.,
5.950%++ due 07/07/1995............ 9,690,381
6,000,000 Xerox Credit Corporation,
5.930%++ due 07/07/1995............ 5,994,070
-----------
Total Commercial Paper
(Cost $116,625,494)................ 116,625,494
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
------------
<S> <C> <C> <C>
TOTAL INVESTMENTS (COST $290,946,295*)... 97.1% $301,822,093
OTHER ASSETS AND LIABILITIES (NET)....... 2.9 9,059,092
--------- ------------
NET ASSETS............................... 100.0% $310,881,185
--------- ------------
--------- ------------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount is less than 0.1%.
## Security pledged as collateral for futures contracts.
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
ADR -- American Depositary Receipt.
</TABLE>
SCHEDULE OF FUTURES CONTRACTS
<TABLE>
<CAPTION>
NUMBER OF UNREALIZED
CONTRACTS APPRECIATION
----------- ------------
<S> <C> <C>
FUTURES CONTRACTS -- LONG POSITION
44 Standard & Poor's 500 Index,
September 1995.................... $ 188,100
------------
------------
NUMBER OF UNREALIZED
CONTRACTS APPRECIATION
----------- ------------
FUTURES CONTRACTS -- SHORT POSITION
119 U.S. Treasury Bonds, September
1995.............................. $ 12,263
------------
------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------------ ----------
<S> <C> <C>
COMMON STOCKS -- 52.4%
AEROSPACE/DEFENSE -- 0.7%
34,000 Teledyne Inc........................ $ 833,000
----------
BANKS -- 0.1%
4,000 Greenpoint Financial Corporation.... 94,500
----------
BUILDING/CONSTRUCTION -- 1.9%
150,000 Manville Corporation+............... 2,062,500
----------
CONGLOMERATE -- 0.6%
300,000 Lonhro Ltd. (GBP)................... 706,071
----------
CONSUMER DURABLES -- 1.4%
38,000 Polaroid Corporation................ 1,548,500
----------
CONSUMER PRODUCTS -- 2.0%
30,000 Philip Morris Companies Inc......... 2,231,250
----------
ELECTRIC UTILITIES -- 6.2%
130,000 Centerior Energy Corporation........ 1,251,250
130,000 Entergy Corporation................. 3,136,250
50,000 Niagara Mohawk Power Corporation.... 737,500
80,000 Public Service Company of
New Mexico+....................... 1,140,000
40,000 SCEcorp............................. 685,000
----------
6,950,000
----------
ENERGY -- 0.7%
25,000 Helmerich & Payne Inc............... 737,500
----------
FINANCIAL SERVICES -- 4.4%
45,000 American Express Company............ 1,580,625
10,000 Federal National Mortgage
Association....................... 943,750
50,000 Student Loan Marketing
Association....................... 2,343,750
----------
4,868,125
----------
FOREST PRODUCTS & PAPER -- 1.7%
40,000 Weyerhaeuser Company................ 1,885,000
----------
GENERAL MERCHANDISER -- 0.5%
24,000 Hills Stores Company+............... 576,000
----------
INSURANCE -- 5.7%
8,500 Fund America Enterprise Holdings+... 606,688
13,000 Home Beneficial Corporation, Class
B................................. 263,250
28,000 Kemper Corporation.................. 1,305,500
25,000 Loews Corporation................... 3,025,000
22,000 Unitrin Inc......................... 1,045,000
1,000 UNUM Corporation.................... 46,875
----------
6,292,313
----------
INTEGRATED PETROLEUM -- DOMESTIC -- 4.7%
14,000 Atlantic Richfield Company.......... 1,536,500
35,000 Murphy Oil Corporation.............. 1,435,000
50,000 Oryx Energy Company+................ 687,500
10,000 Pennzoil Company.................... 471,250
10,000 Sun Company Inc..................... 273,750
41,000 Union Texas Petroleum Holdings
Inc............................... 866,125
----------
5,270,125
----------
INTEGRATED PETROLEUM -- INTERNATIONAL -- 2.4%
15,000 Exxon Corporation................... 1,059,375
70,000 Petro Canada (CAD).................. 656,193
15,000 Texaco Inc.......................... 984,375
----------
2,699,943
----------
VALUE
SHARES (NOTE 1)
------------ ----------
MEDIA -- COMMUNICATIONS -- 6.3%
36,050 Chris-Craft Industries Inc.......... $1,261,750
16,000 Meredith Corporation................ 406,000
110,000 New York Times Company, Class A..... 2,585,000
17,000 Times Mirror Company, Class A....... 405,875
9,000 Washington Post Company, Class B.... 2,349,000
----------
7,007,625
----------
METAL MINING -- 2.1%
35,000 Homestake Mining Company............ 577,500
40,000 Newmont Mining Corporation.......... 1,675,000
10,000 Santa Fe Pacific Gold
Corporation+...................... 121,250
----------
2,373,750
----------
PHARMACEUTICALS -- 4.2%
42,000 Genentech Inc.+..................... 2,042,250
10,000 Lilly (Eli) & Company............... 785,000
26,000 Schering-Plough Corporation......... 1,147,250
8,000 Warner-Lambert Company.............. 691,000
----------
4,665,500
----------
SPECIALTY CHEMICALS -- 0.8%
14,000 Great Lakes Chemical Corporation.... 843,500
----------
SPECIALTY MERCHANDISERS -- 3.6%
310,000 Petrie Stores Corporation........... 2,092,500
65,000 Toys R Us Inc.+..................... 1,901,250
----------
3,993,750
----------
TRANSPORTATION SERVICES -- 2.4%
30,000 Overseas Shipholding Group Inc...... 622,500
36,000 PHH Corporation..................... 1,602,000
20,000 Ryder System Inc.................... 477,500
----------
2,702,000
----------
Total Common Stocks
(Cost $52,674,288)................ 58,340,952
----------
PREFERRED STOCKS -- 5.9%
AEROSPACE/DEFENSE-0.0%#
640 Teledyne Inc. Prfd., Series E....... 9,360
----------
BUILDING/CONSTRUCTION -- 1.1%
50,000 Manville Corporation Prfd., Series
B................................. 1,250,000
----------
ELECTRIC UTILITIES -- 1.8%
27,000 Cleveland Electric Illuminating
Company Prfd., Series L........... 1,917,000
150 Cleveland Electric Illuminating
Company Prfd., Series S........... 124,575
----------
2,041,575
----------
INSURANCE -- 1.3%
29,000 Kemper Corporation, Conv. Prfd.**... 1,428,250
----------
METAL MINING -- 0.6%
12,000 Newmont Mining Corporation, Conv.
Prfd.**........................... 705,000
----------
TRANSPORTATION -- 1.1%
20,000 Delta Air Lines Inc., Conv. Prfd.,
Series C.......................... 1,170,000
----------
Total Preferred Stocks
(Cost $5,996,635)................. 6,604,185
----------
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------------ ----------
<S> <C> <C>
CONVERTIBLE BONDS AND NOTES -- 16.1%
DATA SERVICES -- 5.2%
$13,000,000 Automatic Data Processing Inc.,
Conv., Zero coupon due
02/20/2012........................ $5,736,250
----------
ELECTRIC UTILITY -- 0.4%
500,000 Potomac Electrical Power Company,
Conv., 7.000% due 01/15/2018...... 483,125
----------
ELECTRONIC SERVICES -- 0.3%
800,000 ADT Operations Inc., Conv.,
Zero coupon due 07/06/2010........ 316,000
----------
FINANCIAL SERVICES -- 2.1%
20,000 American Express Company,
Exchangable Note,
6.250% due 10/15/1996............. 970,000
1,300,000 Chubb Capital Corporation, Conv.,
6.000% due 05/15/1998............. 1,326,000
----------
2,296,000
----------
FOREST PRODUCTS AND PAPER -- 1.6%
750,000 Champion International Corporation,
Conv.,
6.500% due 04/15/2011............. 1,087,500
600,000 International Paper Company, Conv.,
5.750% due 09/23/2002............. 729,000
----------
1,816,500
----------
GENERAL MERCHANDISER -- 1.9%
2,300,000 Price Company, Conv.,
5.500% due 02/28/2012............. 2,144,750
----------
INSURANCE -- 1.0%
1,000,000 CIGNA Corporation, Conv.,
8.200% due 07/10/2010............. 1,165,000
----------
METAL MINING -- 0.3%
300,000 Homestake Mining Company, Conv.,
5.500% due 06/23/2000**........... 300,000
----------
PHARMACEUTICALS -- 0.4%
1,000,000 Alza Corporation, Conv.,
Zero coupon due 07/14/2014........ 391,250
----------
REAL ESTATE -- 1.8%
2,200,000 Rouse Company, Conv.,
5.750% due 07/23/2002............. 2,002,000
----------
RETAIL -- 0.4%
500,000 Food Lion Inc., Conv.,
5.000% due 06/01/2003**........... 495,000
----------
U.S. BANK -- 0.1%
100,000 Fifth Third Bancorp, Conv.,
4.250% due 01/15/1998............. 101,000
----------
WASTE MANAGEMENT -- 0.6%
739,000 WMX Technologies Inc., Conv.,
2.000% due 01/24/2005............. 621,684
----------
Total Convertible Bonds and Notes
(Cost $15,724,698)................ 17,868,559
----------
CORPORATE BONDS -- 1.2%
FINANCIAL SERVICES -- 0.2%
200,000 American Express Company,
8.750% due 06/15/1996............. 204,654
----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
------------ ----------
INVESTMENT COMPANY -- 0.9%
$1,000,000 Dean Witter, Discover & Company,
5.000% due 04/01/1996............. $ 994,020
----------
PETROLEUM -- 0.1%
136,000 Shell Oil Company,
7.250% due 02/15/2002............. 141,950
----------
Total Corporate Bonds
(Cost $1,329,323)................. 1,340,624
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.8%
1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001............. 1,035,290
1,000,000 Federal National Mortgage
Association, 7.200% due
01/10/2002........................ 999,970
----------
Total U.S. Government Agency
Obligations (Cost $2,002,141)..... 2,035,260
----------
U.S. TREASURY OBLIGATIONS -- 3.3%
U.S. TREASURY NOTES:
500,000 8.625% due 10/15/1995............... 504,085
2,000,000 8.500% due 07/15/1997............... 2,100,540
1,000,000 5.750% due 10/31/1997............... 997,578
----------
Total U.S. Treasury Obligations
(Cost $3,553,110)................. 3,602,203
----------
COMMERCIAL PAPER -- 19.6%
4,020,000 Abbott Laboratories,
5.970%++ due 07/13/1995........... 4,012,000
3,300,000 Bell Atlantic Financial Corporation,
6.000%++ due 07/25/1995........... 3,286,800
2,011,000 Ciba Geigy Corporation,
6.000%++ due 07/12/1995........... 2,007,313
1,880,000 Ciesco LP,
5.870%++ due 08/21/1995........... 1,864,366
2,338,000 Delaware Funding Corporation,
5.980%++ due 07/17/1995........... 2,331,786
400,000 du Pont (E.I.) de Nemours & Company,
5.900%++ due 07/05/1995........... 399,738
1,700,000 General Electric Capital
Corporation,
5.840%++ due 07/19/1995........... 1,695,036
217,000 General Electric Corporation,
5.950%++ due 07/10/1995........... 216,677
1,615,000 Metlife Funding Inc. Corporation,
5.850%++ due 07/05/1995........... 1,613,950
1,055,000 Northern States Power Company,
5.950%++ due 07/05/1995........... 1,054,303
400,000 PHH Corporation,
6.100%++ due 07/13/1995........... 399,187
589,000 PHH Corporation,
5.960%++ due 07/21/1995........... 587,050
330,000 Preferred Receivables Funding,
5.970%++ due 07/20/1995........... 328,960
1,700,000 Rockwell International Corporation,
6.050%++ due 07/14/1995........... 1,696,286
345,000 Warner-Lambert Company,
5.980%++ due 07/14/1995........... 344,255
----------
Total Commercial Paper
(Cost $21,837,707)................ 21,837,707
----------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
--------- ---------- ----------- ---------
<S> <C> <C> <C> <C>
PUT STOCK OPTIONS PURCHASED -- 0.2%
45 American Express Company.... 10/21/1995 $ 40 $ 22,781
50 Champion International
Corporation............... 12/16/1995 50 11,875
70 Microsoft Corporation....... 10/21/1995 65 2,625
70 Microsoft Corporation,
Series B.................. 10/21/1995 75 7,000
20 Teledyne Inc., Series B..... 10/21/1995 30 11,500
250 Toys R Us Inc............... 09/16/1995 25 6,250
350 Toys R Us Inc., Series B.... 09/16/1995 30 70,000
50 Toys R Us Inc............... 12/16/1995 25 3,125
145 Toys R Us Inc., Series B.... 12/16/1995 30 34,438
---------
Total Put Stock Options
Purchased (Cost
$353,217)................. 169,594
---------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $103,471,119*)................... 100.5% 111,799,084
OTHER ASSETS AND LIABILITIES (NET)....... (0.5) (518,753)
--------- ------------
NET ASSETS............................... 100.0% $111,280,331
--------- ------------
--------- ------------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
** Illiquid security (see Note 5). Security is also 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.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount is less than 0.1%
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
CAD -- Canadian Dollar
GBP -- Great Britain Pound Sterling
</TABLE>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACT TO BUY
<TABLE>
<CAPTION>
CONTRACT TO RECEIVE
------------------------------
EXPIRATION VALUE IN IN EXCHANGE UNREALIZED
DATE LOCAL CURRENCY U.S. $ FOR U.S. $ DEPRECIATION
---------- ----------------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
07/07/1995 GBP 151,051 240,198 241,455 ($ 1,257)
------
Net Unrealized Depreciation of Forward Foreign Exchange
Contracts.............................................. ($ 1,257)
------
------
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 4.0%
$1,000,000 Capital Auto Receivables Asset Trust,
Series 1993-1, Class A7,
5.350% due 02/15/1998.............. $ 993,900
500,000 Ford Credit Auto Loan Master Trust,
Series 1992-1, Class A,
6.875% due 01/15/1999.............. 505,446
377,481 Ford Credit Grantor Trust,
Series 1993-A, Class A,
4.850% due 01/15/1998.............. 373,820
1,500,000 Standard Credit Card Trust I,
Series 1992-3, Class A,
6.300%+++ due 10/15/1998........... 1,506,600
-----------
Total Asset-Backed Securities
(Cost $3,384,436).................. 3,379,766
-----------
CORPORATE BONDS -- 9.2%
FINANCIAL -- 4.9%
1,000,000 Ford Capital BV,
9.000% due 08/15/1998.............. 1,075,000
1,500,000 Merrill Lynch & Company Inc.,
4.750% due 06/24/1996.............. 1,480,365
1,500,000 Stop & Shop International Financial
Corporation,
10.125% due 12/16/1996............. 1,578,750
-----------
4,134,115
-----------
INDUSTRIAL -- 4.3%
1,000,000 Allied Corporation,
Zero coupon due 01/15/1996......... 967,500
790,000 Laidlaw Inc.,
8.750% due 01/01/2000.............. 848,263
2,000,000 Schering-Plough Corporation,
Zero coupon due 12/02/1996......... 1,835,000
-----------
3,650,763
-----------
Total Corporate Bonds
(Cost $7,858,188).................. 7,784,878
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.9%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.2%
FHLMC:
14,428 Pool #350042,
7.250%+++ due 01/01/2017........... 14,608
149,101 REMIC, Series #1270, Class F,
6.475%+++ due 05/15/1997........... 148,707
-----------
163,315
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 1.1%
FNMA:
17,514 Pool #044026,
8.500% due 08/01/2006.............. 18,144
23,064 Pool #048832,
10.000% due 06/01/2017............. 25,038
219,434 Pool #070355,
8.500% due 03/01/2004.............. 227,320
16,012 Pool #111311,
8.500% due 12/01/1997.............. 16,472
88,650 Pool #122591,
8.500% due 06/01/1998.............. 91,199
381,636 Pool #127336,
8.500% due 08/01/2006.............. 395,351
114,644 Series #1991-121, Class F,
6.394%+++ due 09/25/1998........... 114,555
-----------
888,079
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.6%
GNMA:
9,575 Pool #147899,
10.000% due 02/15/2016............. 10,443
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
$117,716 Pool #155224,
10.000% due 03/15/2016............. $ 128,384
16,030 Pool #161670,
9.500% due 09/15/2016.............. 17,017
5,973 Pool #276322,
9.500% due 07/15/2019.............. 6,341
51,642 Pool #284666,
9.500% due 03/15/2020.............. 54,821
45,426 Pool #286024,
10.000% due 04/15/2020............. 49,543
257,428 Pool #308911,
9.500% due 07/15/2021.............. 273,276
-----------
539,825
-----------
STUDENT LOAN MARKETING ASSOCIATION (SLMA) -- 4.0%
SLMA MEDIUM TERM NOTES:
2,500,000 8.290% due 12/22/1997................ 2,518,350
850,000 7.760% due 04/17/2000................ 872,295
-----------
3,390,645
-----------
Total U.S. Government Agency
Obligations (Cost $4,892,835)...... 4,981,864
-----------
U.S. TREASURY OBLIGATIONS -- 49.9%
U.S. TREASURY NOTES:
1,000,000 6.000% due 06/30/1996................ 1,002,750
3,500,000 7.500% due 12/31/1996................ 3,583,965
5,000,000 6.625% due 03/31/1997................ 5,065,250
4,000,000 5.500% due 09/30/1997................ 3,971,400
4,000,000 7.250% due 02/15/1998................ 4,131,720
4,120,000 5.125% due 04/30/1998................ 4,039,742
5,400,000 5.125% due 11/30/1998................ 5,265,645
5,000,000 5.875% due 03/31/1999................ 4,988,650
6,000,000 7.500% due 10/31/1999................ 6,337,860
3,500,000 8.500% due 11/15/2000................ 3,894,310
-----------
Total U.S. Treasury Obligations
(Cost $41,565,089)................. 42,281,292
-----------
REPURCHASE AGREEMENTS -- 30.1%
5,000,000 Agreement with Goldman Sachs &
Company, 6.000% dated 06/30/1995 to
be repurchased at $5,002,500 on
07/03/1995, collateralized by
$3,905,000 U.S. Treasury Bond,
11.750% due 02/15/2001 (value
$5,135,345)........................ 5,000,000
5,512,389 Agreement with Sanwa Bank Securities
LP, 6.050% dated 06/30/1995 to be
repurchased at $5,515,168 on
07/03/1995, collateralized by
$5,038,000 U.S. Treasury Notes,
9.125% due 05/15/1999 (value
$5,582,734)........................ 5,512,389
15,000,000 Agreement with Swiss Bank, 6.150%
dated 06/30/1995 to be repurchased
at $15,007,688 on 07/03/1995,
collateralized by $15,360,000 U.S.
Treasury Notes, 5.125% due
02/28/1998 (value $15,072,000)..... 15,000,000
-----------
Total Repurchase Agreements
(Cost $25,512,389)................. 25,512,389
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS (COST $83,212,937*)..... 99.1% 83,940,189
OTHER ASSETS AND LIABILITIES (NET)........ 0.9 772,743
--------- -----------
NET ASSETS................................ 100.0% $84,712,932
--------- -----------
--------- -----------
</TABLE>
------------------
* Aggregate cost for Federal tax purposes.
+++ Floating rate security.
<TABLE>
<CAPTION>
GLOSSARY OF TERMS
<S> <C> <C>
REMIC -- Real Estate Mortgage Investment Conduit.
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
--------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
LIQUID ASSET SERIES
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 24.1%
FOREIGN BANKS -- 19.3%
$2,000,000 Abbey National Bank PLC,
5.950% due 09/12/1995.............. $ 2,000,184
2,000,000 ABN Amro Bank N.V.,
6.310% due 10/10/1995.............. 2,000,796
2,000,000 Dai-Ichi Kangyo,
6.250% due 07/05/1995.............. 2,000,035
2,000,000 Sumitomo Bank,
6.070% due 07/03/1995.............. 2,000,002
-----------
8,001,017
-----------
U.S. BANK -- 4.8%
2,000,000 Bank of New York International Inc.,
6.150% due 07/19/1995.............. 2,000,044
-----------
Total Certificates of Deposit
(Cost $10,001,061)................. 10,001,061
-----------
COMMERCIAL PAPER -- 55.0%
FINANCIAL SERVICES -- 18.0%
500,000 Asset Securitization Coop
Corporation,
5.970%++ due 08/08/1995............ 496,849
2,000,000 General Electric Capital Corporation,
5.920%++ due 08/23/1995............ 1,982,569
1,000,000 ITT Hartford Group Inc.,
5.970%++ due 08/03/1995............ 994,528
2,000,000 Morgan Stanley & Company, Inc.,
6.020%++ due 07/31/1995............ 1,989,967
2,000,000 Sheffield Receivables Corporation,
5.970%++ due 07/20/1995............ 1,993,698
-----------
7,457,611
-----------
FOREIGN BANK -- 4.7%
2,000,000 National Australia Funding Inc.,
5.600%++ due 11/27/1995............ 1,953,644
-----------
FOREIGN GOVERNMENT -- 2.4%
1,000,000 Sweden (Kingdom of),
5.940%++ due 07/28/1995............ 995,545
-----------
INDUSTRIALS -- 14.4%
2,000,000 Philip Morris Companies Inc.,
5.910%++ due 09/20/1995............ 1,973,405
2,000,000 Siemans Corporation,
6.200%++ due 07/03/1995............ 1,999,311
2,000,000 Xerox Corporation,
5.930%++ due 08/11/1995............ 1,986,493
-----------
5,959,209
-----------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
----------- -----------
TELECOMMUNICATIONS -- 2.4%
$1,000,000 BellSouth Telecommunications
Corporation,
5.980%++ due 07/13/1995............ $ 998,007
-----------
U.S. BANK -- 4.7%
2,000,000 CS First Boston Corporation,
6.200%++ due 10/13/1995............ 1,965,969
-----------
UTILITIES -- 8.4%
1,500,000 National Rural Utilities Coop,
5.720%++ due 11/02/1995............ 1,470,447
2,000,000 Ontario Hydro,
6.030%++ due 07/06/1995............ 1,998,325
-----------
3,468,772
-----------
Total Commercial Paper
(Cost $22,798,757)................. 22,798,757
-----------
MEDIUM TERM NOTE -- 4.8% (Cost $2,000,000)
FINANCIAL SERVICES -- 4.8%
2,000,000 Bear Stearns & Company Inc.,
6.625%+++ due 09/19/1995........... 2,000,000
-----------
TIME DEPOSIT -- 4.8% (Cost $2,000,000)
2,000,000 Bank of America Corporation,
6.000% due 08/18/1995.............. 2,000,000
-----------
REPURCHASE AGREEMENT -- 11.2% (Cost $4,620,562)
4,620,562 Agreement with CS First Boston
Corporation, 6.000% dated
06/30/1995 to be repurchased at
$4,622,872 on 07/03/1995,
collateralized by $5,095,000 U.S.
Treasury Strips, zero coupon due
11/15/1996 (value $4,715,932)...... 4,620,562
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS (COST $41,420,380*)..... 99.9% 41,420,380
OTHER ASSETS AND LIABILITIES (NET)........ 0.1 53,510
--------- -----------
NET ASSETS................................ 100.0% $41,473,890
--------- -----------
--------- -----------
</TABLE>
----------------------
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase.
+++ Floating rate note.
See Notes to Financial Statements.
40
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The GCG Trust, (the 'Trust') is registered under the Investment Company Act of
1940 as an open-end management investment company. The Trust was organized as a
Massachusetts business trust on August 3, 1988 with an unlimited number of
shares of beneficial interest with a par value of $0.001 each. At June 30, 1995
the Trust had thirteen operational portfolios (the 'Series'): All-Growth Series
('AG'), Capital Appreciation Series ('CA'), Value Equity Series ('VE'), Rising
Dividends Series ('RD'), Emerging Markets Series ('EM'), Natural Resources
Series ('NR'), Real Estate Series ('RE'), Market Manager Series ('MM'), Multiple
Allocation Series ('MA'), Fully Managed Series ('FM'), Limited Maturity Bond
Series ('LMB'), Liquid Asset Series ('LA') and Fund For Life Series. All of the
Series are diversified except for the Market Manager Series which is a
non-diversified Series. The information presented in these financial statements
pertains to all of the Series except for the Fund For Life Series which is
presented under separate cover. The Trust is intended to serve as an investment
medium for (i) variable life insurance policies and variable annuity contracts
('Variable Contracts') offered by insurance companies, and (ii) certain
qualified pension and retirement plans, as permitted under the Federal tax rules
relating to the Series serving as investment mediums for Variable Contracts. The
Trust currently functions as an investment medium for contracts and policies
offered by Golden American Life Insurance Company ('Golden American'), a
wholly-owned subsidiary of BT Variable, Inc. ('BTV'), an indirect subsidiary of
Bankers Trust Company. The Trust is also an investment medium for contracts
offered by the Mutual Benefit Life Insurance Company (in Rehabilitation), by the
Security Equity Life Insurance Company and by The Hartford Life Insurance
Companies.
All of the Series commenced operations on January 24, 1989, except for the
Capital Appreciation Series which commenced operations on May 4, 1992, the
Rising Dividends Series and the Emerging Markets Series which commenced
operations on October 4, 1993, the Market Manager Series which commenced
operations on November 14, 1994 and the Value Equity Series which commenced
operations on January 1, 1995. The following is a summary of significant
accounting policies consistently followed by the Trust in the preparation of its
financial statements. The policies are in conformity with generally accepted
accounting principles.
(A) VALUATION: Domestic and foreign portfolio securities, except as noted below,
for which market quotations are readily available are stated at market value.
Market value is determined on the basis of the last reported sales price in the
principal market where such securities are traded or, if no sales are reported,
the mean between representative bid and asked quotations obtained from a
quotation reporting system or from established market makers.
Long-term debt securities, including those to be purchased under firm commitment
agreements, are normally valued on the basis of quotes obtained from brokers and
dealers or pricing services, which take into account appropriate factors such as
institutional-size trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics, and other market
data. Under certain circumstances, long-term debt securities having a maturity
of sixty days or less may be valued at amortized cost. Short-term debt
securities are valued at their cost which, when combined with accrued interest,
approximates fair value. Amortized cost involves valuing a portfolio security
instrument at its cost, initially, and thereafter, assuming a constant
amortization to maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instrument. All of the
portfolio securities of LA are valued using the amortized cost method.
Securities for which market quotations are not readily available are valued at
fair value as determined in good faith by, or under the direction of the Board
of Trustees.
(B) DERIVATIVE FINANCIAL INSTRUMENTS: Certain of the Series may engage in
various portfolio strategies, as described below, to seek to manage its exposure
to the equity, bond, gold and other markets and also to manage fluctuations in
interest and foreign currency rates. Buying futures and forward foreign exchange
contracts, writing puts and buying calls tend to increase a Series' exposure to
the underlying market or currency. Selling futures and forward foreign exchange
contracts, buying puts and writing calls tend to decrease a Series exposure to
the underlying market or currency. In some instances, investments in derivative
financial instruments may involve, to varying degrees, elements of market risk
and risks in excess of the amount recognized in the Statement of Assets and
Liabilities. Losses may arise under these contracts due to the existence of an
illiquid secondary market for the contracts, or if the counterparty does not
perform under the contract. An additional primary risk associated with the use
of certain of these contracts may be caused by an imperfect correlation between
movements in the price of the derivative financial instruments and the price of
the underlying securities, indices or currency.
41
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
OPTIONS: Certain Series may engage in option transactions. When a Series writes
an option, an amount equal to the premium received by the Series is reflected as
an asset and an equivalent liability. The amount of the liability is
subsequently marked to market on a daily basis to reflect the current value of
the option written.
When a security is sold through an exercise of an option, the related premium
received (or paid) is deducted from (or added to) the basis of the security
sold. When an option expires (or the Series enters into a closing transaction),
the Series realizes a gain or loss on the option to the extent of the premiums
received or paid (or gain or loss to the premium paid or received). None of the
Series wrote options for the six months ended June 30, 1995. Realized and
unrealized gains arising from purchased option transactions are included in the
net realized and unrealized gain/(loss) on securities.
FUTURES CONTRACTS: Certain of the Series may engage in interest rate and stock
index futures contracts among others. The transactions in futures contracts must
constitute bona fide hedging or other strategies under regulations promulgated
by the Commodities Futures Trading Commission. Upon entering into a contract,
the Series deposits and maintains as collateral such initial margin as required
by the exchange on which the transaction is effected. Pursuant to the contract,
the Series agrees to receive from or pay to the broker an amount of cash equal
to the daily fluctuation in value of the contract. Such receipts or payments are
known as variation margin and are recorded by the Series as unrealized gains or
losses. When the contract is closed, the Series 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. Contracts open, if any, at June
30, 1995 and their related unrealized appreciation/(depreciation) are set forth
in the Schedule of Futures Contracts which accompanies the Portfolio of
Investments. Realized and unrealized gains arising from futures contracts are
included in the net realized and unrealized gain/(loss) on futures contracts.
FORWARD FOREIGN EXCHANGE CONTRACTS: Certain of the Series may enter into forward
foreign exchange contracts. A Series will engage in forward foreign exchange
currency transactions to protect itself against fluctuations in currency
exchange rates. Forward foreign exchange contracts are valued at the applicable
forward rate and are marked to market daily. The change in market value is
recorded by the Series as an unrealized gain or loss. When the contract is
closed, the Series 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. Although forward foreign exchange contracts limit the risk
of loss due to a decline in the value of the hedged currency, they also limit
any potential gain that might result should the value of the currency increase.
In addition, the Series could be exposed to risks if the counterparties to the
contracts are unable to meet the terms of their contracts. Contracts open, if
any, at June 30, 1995 and their related unrealized appreciation/ (depreciation)
are set forth in the Schedule of Forward Foreign Exchange Contracts which
accompanies the Portfolio of Investments. Realized and unrealized gains arising
from forward foreign exchange contracts are included in net realized and
unrealized gain/(loss) on forward foreign exchange contracts.
(C) FOREIGN CURRENCY: Assets and liabilities denominated in foreign currencies
and commitments under forward foreign currency exchange contracts are translated
into U.S. dollars at the mean of the quoted bid and asked prices of such
currencies against the U.S. dollar as of the close of business immediately
preceding the time of valuation. Purchases and sales of portfolio securities are
translated at the rates of exchange prevailing when such securities were
acquired or sold. Income and expenses are translated at rates of exchange
prevailing when accrued.
The Trust does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on securities from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain/(loss) from securities.
Reported net realized gains or losses on foreign currency transactions arise
from sales and maturities of short-term securities, sales of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Series' books, and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
gains and losses on assets and liabilities denominated in foreign currencies
arise from changes in the value of assets and liabilities other than investments
in securities at period end, resulting from changes in the exchange rate.
(D) REPURCHASE AGREEMENTS: All Series may enter into repurchase agreements in
accordance with guidelines approved by the Board of Trustees of the Trust. Each
Series bears a risk of loss in the event that the other party to a repurchase
agreement defaults on its obligations and the Series is delayed or prevented
from exercising its rights to dispose of the underlying securities received as
collateral including the risk of a possible decline in the value of the
underlying securities during the
42
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
period while the Series seeks to exercise its rights. Each Series takes
possession of the collateral, and reviews the value of the collateral and the
creditworthiness of those banks and dealers with which the Series enters into
repurchase agreements to evaluate potential risks. The market value of the
underlying securities received as collateral must be at least equal to the total
amount of the repurchase obligation. In the event of counterparty default, the
Series has the right to use the underlying securities to offset the loss.
(E) FEDERAL INCOME TAXES: Each Series of the Trust is a separate entity for
Federal income tax purposes. No provision for Federal income taxes has been made
since each Series of the Trust has complied and intends to continue to comply
with provisions of the Internal Revenue Code available to regulated investment
companies and to distribute its taxable income to shareholders sufficient to
relieve it from all or substantially all Federal income taxes.
(F) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Investment transactions are
recorded on trade date. Dividend income and distributions to shareholders are
recorded on the ex-dividend date. Interest income (including amortization of
premium and discount on securities) and expenses are accrued daily. Realized
gains and losses from investment transactions are recorded on an identified cost
basis which is the same basis the Trust uses for Federal income tax purposes.
Purchases of securities under agreements to resell are carried at cost, and the
related accrued interest is included in interest receivable.
(G) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Net investment income of the LA
Series is declared as a dividend daily and paid monthly. For all other Series,
net investment income will be paid annually, except that the LMB Series may
declare a dividend monthly or quarterly. Any net realized long-term capital
gains (the excess of net long-term capital gains over net short-term capital
losses) for any Series will be declared and paid at least once annually. Net
realized short-term capital gains may be declared and paid more frequently.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from net investment income and net
realized gains recorded by the Trust. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by the Series, timing differences and differing characterization of
distributions made by each Series as a whole. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to paid-in capital. Undistributed net investment income and
accumulated net realized gain may include temporary book and tax basis
differences which will reverse in a subsequent period.
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Directed Services, Inc. (the 'Manager'), a wholly-owned subsidiary of BTV,
provides all of the Series of the Trust with advisory and administrative
services under a Management Agreement (the 'Agreement') except for the Fund For
Life Series, for which the Manager is compensated under a different arrangement.
Under the Agreement, the Manager has overall responsibility for engaging
Portfolio Managers and for monitoring and evaluating the management of the
assets of each Series by the Portfolio Managers. Portfolio Managers are
compensated by the Manager and not the Trust. In some cases, Portfolio Managers
may be affiliated with the Manager. Portfolio Managers have full investment
discretion and make all determinations with respect to the investment of a
Series' assets and the purchase and sale of portfolio securities and other
investments. Pursuant to this Agreement, the Manager also is responsible for
providing or procuring, at the Manager's expense, the services reasonably
necessary for the ordinary operation of the Trust including, among other things,
custodial, administrative, transfer agency, portfolio accounting, dividend
disbursing, auditing and ordinary legal services. The Manager does not bear the
expense of brokerage fees, taxes, interest, fees and expenses of the independent
trustees, and extraordinary expenses, such as litigation or indemnification
expenses. As compensation for its services under the Management Agreement, the
Trust pays the Manager a monthly fee (a 'unified fee') based upon the average
net assets of the Trust. AG, CA, VE, RD, NR, RE, MA and FM Series pay unified
fees of 1.00% of their average daily net assets on the first $750 million in
combined net assets of these Series with a reduction of .05% on the next $1.250
billion in combined net assets. The annual fee for these Series is further
reduced on combined net assets in excess of $2.000 billion. LMB and LA Series
pay unified fees of .60% of their average daily net assets on the first $200
million in combined net assets of these two Series with a reduction of .05% on
the next $300 million in combined net assets. The annual fee for the LMB and LA
Series is further reduced on combined net assets of these two Series in excess
of $500 million. The EM Series and the MM Series pay unified fees in the amount
of 1.50% and 1.00% respectively, of average daily net assets. Unified fees due
from the MM Series were voluntarily waived by the Manager from inception
(November 14, 1994) of the Series through March 7, 1995. For the six months
ended June 30, 1995, the Manager voluntarily waived $6,748 of unified fees due
from the MM Series.
43
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
THE GCG TRUST
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
The Manager and the Trust have entered into Portfolio Management Agreements with
the Portfolio Managers. These Portfolio Managers provide investment advice for
the various Series of the Trust and are paid by the Manager based on the average
net assets of the respective Series. The Portfolio Managers of each of the
Series are as follows: Bankers Trust Company (EM, MM, LMB and LA), Van Eck
Associates Corporation (NR), Warburg, Pincus Counsellors, Inc. (AG), Chancellor
Trust Company (CA), T. Rowe Price Associates, Inc. (FM), Zweig Advisors Inc.
(MA), E.I.I. Realty Securities, Inc. (RE), Kayne, Anderson Investment
Management, L.P. (RD) and Eagle Asset Management, Inc. (VE). The Manager is an
indirect subsidiary of Bankers Trust Company.
During the six months ended June 30, 1995, EM, MM and MA Series, in the ordinary
course of business, paid commissions of $7,737, $1,425 and $60,626,
respectively, to certain affiliates of the respective Portfolio Manager and/or
the Manager in connection with the execution of various portfolio transactions.
Prior to January 1, 1995, the Trust and the Manager employed different Portfolio
Managers for the RE and FM Series. Prior to July 1, 1994, the Trust and the
Manager employed a different Portfolio Manager for the AG Series.
The custodian for the Trust is Bankers Trust Company. The custodian is paid by
the Manager and not the Trust.
Certain officers and trustees of the Trust are also officers and/or directors of
the Manager, Golden American, BTV and Bankers Trust Company.
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. Government and short-term investments, for the six months ended June 30,
1995 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------------- -------------
<S> <C> <C>
All-Growth Series............................................................. $ 35,420,771 $ 16,708,858
Capital Appreciation Series................................................... 49,965,546 38,492,975
Value Equity Series........................................................... 7,640,299 546,102
Rising Dividends Series....................................................... 20,123,210 11,392,091
Emerging Markets Series....................................................... 37,333,192 39,574,219
Natural Resources Series...................................................... 1,575,065 3,453,279
Real Estate Series............................................................ 12,493,072 11,908,547
Market Manager Series......................................................... 991,993 --
Multiple Allocation Series.................................................... 125,959,234 64,706,326
Fully Managed Series.......................................................... 80,974,374 89,338,270
Limited Maturity Bond Series.................................................. 828,220 1,518,308
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short-term investments, for the six months
ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------------- ---------------
<S> <C> <C>
Market Manager Series........................................................ $ 2,249,938 $ 196,709
Multiple Allocation Series................................................... 107,800,605 157,622,544
Fully Managed Series......................................................... 972,920 4,004,063
Limited Maturity Bond Series................................................. 67,229,692 58,186,729
</TABLE>
44
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
THE GCG TRUST
3. PURCHASES AND SALES OF SECURITIES--(CONTINUED)
At June 30, 1995, aggregate gross unrealized appreciation for all securities in
which there is an excess of value over tax cost and aggregate gross unrealized
depreciation for all securities in which there is an excess of tax cost over
value were as follows:
<TABLE>
<CAPTION>
NET TAX
TAX BASIS TAX BASIS BASIS
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
------------- ------------ -------------
<S> <C> <C> <C>
All-Growth Series.............................................. $ 7,529,521 $ 1,562,524 $ 5,966,997
Capital Appreciation Series.................................... 14,455,065 924,045 13,531,020
Value Equity Series............................................ 540,533 64,377 476,156
Rising Dividends Series........................................ 8,470,751 940,715 7,530,036
Emerging Markets Series........................................ 4,624,470 6,523,488 (1,899,018)
Natural Resources Series....................................... 4,047,874 1,673,794 2,374,080
Real Estate Series............................................. 1,701,338 561,891 1,139,447
Market Manager Series.......................................... 368,140 -- 368,140
Multiple Allocation Series..................................... 11,738,287 862,489 10,875,798
Fully Managed Series........................................... 8,688,956 360,991 8,327,965
Limited Maturity Bond Series................................... 954,884 227,632 727,252
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
Each Series of the Trust may issue an unlimited number of shares of beneficial
interest without par value. Because the LA Series has sold shares, issued
reinvestment of dividends and redeemed shares only at a constant net asset value
of $1.00 per share, the number of shares represented by such sales,
reinvestments and redemptions are the same as the dollar amounts shown for such
transactions.
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/1995* 12/31/1994
------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------- ----------- --------------
<S> <C> <C> <C> <C>
ALL-GROWTH SERIES:
Sold................................................... 634,446 $ 7,924,069 2,224,232 $ 27,968,122
Issued as reinvestment of dividends.................... -- -- 56,810 673,770
Redeemed............................................... (536,090) (6,763,539) (484,915) (6,100,789)
---------- ------------- ----------- --------------
Net increase........................................... 98,356 $ 1,160,530 1,796,127 $ 22,541,103
---------- ------------- ----------- --------------
---------- ------------- ----------- --------------
CAPITAL APPRECIATION SERIES:
Sold................................................... 549,852 $ 6,865,853 1,245,015 $ 14,603,866
Issued as reinvestment of dividends.................... -- -- 157,562 1,786,749
Redeemed............................................... (439,434) (5,343,435) (983,898) (11,440,158)
---------- ------------- ----------- --------------
Net increase........................................... 110,418 $ 1,522,418 418,679 $ 4,950,457
---------- ------------- ----------- --------------
---------- ------------- ----------- --------------
VALUE EQUITY SERIES:
Sold................................................... 707,927 $ 7,723,138
Issued as reinvestment of dividends.................... -- --
Redeemed............................................... (9,403) (105,440)
---------- -------------
Net increase........................................... 698,524 $ 7,617,698
---------- -------------
---------- -------------
</TABLE>
45
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
THE GCG TRUST
4. SHARES OF BENEFICIAL INTEREST--(CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/1995 12/31/1994*
---------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
RISING DIVIDENDS SERIES:
Sold.............................................. 914,212 $ 9,995,889 3,769,154 $ 39,214,457
Issued as reinvestment of dividends............... -- -- 67,429 689,128
Redeemed.......................................... (307,743) (3,255,510) (274,665) (2,835,595)
------------ -------------- ------------ --------------
Net increase...................................... 606,469 $ 6,740,379 3,561,918 $ 37,067,990
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
EMERGING MARKETS SERIES:
Sold.............................................. 1,415,571 $ 12,469,209 4,372,122 $ 52,607,595
Issued as reinvestment of dividends............... -- -- 285,190 2,874,716
Redeemed.......................................... (1,506,373) (13,391,589) (690,089) (7,879,876)
------------ -------------- ------------ --------------
Net increase/(decrease)........................... (90,802) $ (922,380) 3,967,223 $ 47,602,435
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
NATURAL RESOURCES SERIES:
Sold.............................................. 446,891 $ 6,149,935 1,310,350 $ 18,811,892
Issued as reinvestment of dividends............... -- -- 59,829 830,429
Redeemed.......................................... (803,914) (10,879,525) (550,248) (7,812,512)
------------ -------------- ------------ --------------
Net increase/(decrease)........................... (357,023) $ (4,729,590) 819,931 $ 11,829,809
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
REAL ESTATE SERIES:
Sold.............................................. 176,361 $ 1,990,399 1,366,184 $ 16,025,952
Issued as reinvestment of dividends............... -- -- 166,624 1,881,187
Redeemed.......................................... (515,548) (5,770,879) (821,566) (9,484,770)
------------ -------------- ------------ --------------
Net increase/(decrease)........................... (339,187) $ (3,780,480) 711,242 $ 8,422,369
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
MARKET MANAGER SERIES+:
Sold.............................................. 283,159 $ 2,854,308 274,307 $ 2,749,065
Issued as reinvestment of dividends............... -- -- 650 6,515
Redeemed.......................................... (80,266) (832,431) (133) (1,334)
------------ -------------- ------------ --------------
Net increase...................................... 202,893 $ 2,021,877 274,824 $ 2,754,246
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
MULTIPLE ALLOCATION SERIES:
Sold.............................................. 380,140 $ 4,526,187 4,887,450 $ 57,590,822
Issued as reinvestment of dividends............... -- -- 945,456 10,712,021
Redeemed.......................................... (2,031,039) (24,009,112) (2,484,836) (29,015,118)
------------ -------------- ------------ --------------
Net increase/(decrease)........................... (1,650,899) $ (19,482,925) 3,348,070 $ 39,287,725
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
FULLY MANAGED SERIES:
Sold.............................................. 558,318 $ 6,818,429 1,189,610 $ 15,227,201
Issued as reinvestment of dividends............... -- -- 245,051 2,867,101
Redeemed.......................................... (533,875) (6,573,269) (1,267,393) (15,386,375)
------------ -------------- ------------ --------------
Net increase...................................... 24,443 $ 245,160 167,268 $ 2,707,927
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
LIMITED MATURITY BOND SERIES:
Sold.............................................. 2,164,463 $ 21,831,440 2,433,160 $ 25,604,857
Issued as reinvestment of dividends............... -- -- 353,782 3,530,748
Redeemed.......................................... (1,494,615) (15,474,859) (2,350,325) (24,721,278)
------------ -------------- ------------ --------------
Net increase...................................... 669,848 $ 6,356,581 436,617 $ 4,414,327
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
</TABLE>
46
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
THE GCG TRUST
4. SHARES OF BENEFICIAL INTEREST--(CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
06/30/1995 12/31/1994
----------------- --------------
SHARES SHARES
AND AND
AMOUNT AMOUNT
----------------- --------------
<S> <C> <C>
LIQUID ASSET SERIES:
Sold...................................................................... $ 20,627,641 $ 71,733,903
Issued as reinvestment of dividends....................................... 1,208,237 1,472,537
Redeemed.................................................................. (26,484,011) (43,892,926)
----------------- --------------
Net increase/(decrease)................................................... $ (4,648,133) $ 29,313,514
----------------- --------------
----------------- --------------
</TABLE>
------------------
* The Market Manager Series and the Value Equity Series commenced operations on
November 14, 1994 and January 1, 1995, respectively.
+ As of March 3, 1995, the Trust no longer accepts investments in the Market
Manager Series.
5. RESTRICTED AND ILLIQUID SECURITIES
Certain Series of the Trust hold securities purchased in private placement
transactions, without registration under the Securities Act of 1933 (the 'Act')
and securities which are deemed illiquid because of low trading volumes or other
factors. These restricted and illiquid securities (which do not include
securities eligible for resale pursuant to Rule 144A of the Act that are
determined to be liquid by the Board of Trustees) are valued under methods
approved by the Board of Trustees as reflecting fair value which includes
obtaining quotes from independent sources if available. The dates of acquisition
and costs of restricted and illiquid securities are as follows:
EMERGING MARKETS SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
------------------------------------------------------------------------------------ ---------- ------------
<S> <C> <C>
Banco Mercantil, Class A............................................................ $ 136,136 02/10/1994
Banco Mercantil, Class B............................................................ 22,054 02/10/1994
Banco Provincial.................................................................... 46,567 02/18/1994
Banco Venezolano de Credito......................................................... 300,018 02/18/1994
Cadenalco Gran Cadena de Aimacenes Colombianos, ADR................................. 481,611 12/16/1994
Ceramica Carabobo C.A., ADR......................................................... 208,351 06/02/1994
Paulista, Fuer...................................................................... 48 11/30/1994
Sudamtex de Venezuela C.A........................................................... 101,097 01/06/1994
Venezolana de Pulpa Y Papel......................................................... 40,367 02/02/1994
</TABLE>
Total restricted and/or illiquid securities (fair value of $1,105,357)
represented 1.8% of net assets of the Emerging Markets Series at June 30, 1995.
47
<PAGE>
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- (CONTINUED)
THE GCG TRUST
5. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
FULLY MANAGED SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
---------------------------------------------------------------------------------- ------------ ------------
<S> <C> <C>
Food Lion Inc., Conv. Bond, 144A,
5.000% due 06/01/2003........................................................... $ 464,432 04/27/1995
Homestake Mining Company, Conv. Bond, 144A,
5.500% due 06/23/2000........................................................... 1,807,450 02/16/1995
Kemper Corporation, Conv. Prfd. Stock, 144A....................................... 1,376,980 02/06/1995
Newmont Mining Corporation, Conv. Prfd. Stock, 144A............................... 604,218 02/01/1995
</TABLE>
Total restricted and/or illiquid securities (fair value of $2,928,250)
represented 2.6% of net assets of the Fully Managed Series at June 30, 1995.
On June 30, 1995, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
6. CAPITAL LOSS CARRYFORWARDS
For Federal income tax purposes, the Series indicated below have capital loss
carryforwards as of December 31, 1994 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
CAPITAL LOSS
CARRYFORWARD EXPIRATION
------------ ------------
<S> <C> <C>
All-Growth Series................................................................ $ 1,417,490 1997-2001
Capital Appreciation Series...................................................... 339,527 2002
Rising Dividends Series.......................................................... 563,865 2001-2002
Real Estate Series............................................................... 200,235 1998-2002
Multiple Allocation Series....................................................... 7,516,598 2002
Fully Managed Series............................................................. 801,172 2002
Limited Maturity Bond Series..................................................... 2,253,045 2002
Liquid Asset Series.............................................................. 238 2001-2002
</TABLE>
Under current tax law, capital losses realized after October 31, may be deferred
and treated as occurring on the first day of the following fiscal year.
7. SPECIAL MEETING OF SHAREHOLDERS
In accordance with Rule 30d-1 under the Investment Company Act of 1940, the
Trust is required to furnish certain information regarding any matters submitted
to a vote of the Trust's shareholders. Shareholders of record on March 31, 1995
were notified that a Special Meeting of Shareholders (the 'Meeting') would be
held at the offices of the Trust on April 28, 1995. Shareholders of RE and FM
voted on approval of a Portfolio Management Agreement among the Trust, the
Manager, and E.I.I. Realty Securities, Inc. (with respect to RE) and T. Rowe
Price Associates, Inc. (with respect to FM). Shareholders of CA, RD, NR and MA
voted on approval of an addendum to each of the respective Portfolio Management
Agreements to decrease the fee paid by the Manager to the Portfolio Managers.
All of these matters were approved by the shareholders at the Meeting. A summary
of the shareholder votes cast is set forth below:
<TABLE>
<CAPTION>
AGAINST OR
FOR WITHHELD ABSTAINED TOTAL
------------ ------------ ----------- ------------
<S> <C> <C> <C> <C>
Capital Appreciation Series................................ 7,279,418 107,177 421,286 7,807,881
Rising Dividends Series.................................... 4,824,789 106,937 249,083 5,180,809
Natural Resources Series................................... 2,055,240 48,689 94,586 2,198,515
Real Estate Series......................................... 2,831,480 85,462 202,234 3,119,176
Multiple Allocation Series................................. 23,611,091 444,273 1,382,823 25,438,187
Fully Managed Series....................................... 8,031,975 110,865 458,338 8,601,178
</TABLE>
48
