[GCG TRUST LOGO]
ANNUAL REPORT
------------------
THE GCG TRUST
(INCLUDING SEPARATE ACCOUNT A
FINANCIAL INFORMATION)
------------------
DECEMBER 31, 1995
GoldenSelect products are issued by Golden American Life Insurance Company and
distributed by
Directed Services, Inc., both subsidiaries of Bankers Trust Company
<PAGE>
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
THE GCG TRUST
<TABLE>
<CAPTION>
PAGE
-----------
<S> <C>
President's Letter................................................................................................ 1
Fund Manager Reports.............................................................................................. 2
Report of Independent Auditors.................................................................................... 14
Statements of Assets and Liabilities.............................................................................. 16
Statements of Operations.......................................................................................... 18
Statements of Changes in Net Assets............................................................................... 20
Financial Highlights:
All-Growth Series............................................................................................... 24
Capital Appreciation Series..................................................................................... 25
Value Equity Series............................................................................................. 26
Strategic Equity Series......................................................................................... 27
Rising Dividends Series......................................................................................... 28
Emerging Markets Series......................................................................................... 29
Natural Resources Series........................................................................................ 30
Real Estate Series.............................................................................................. 31
Market Manager Series........................................................................................... 32
Multiple Allocation Series...................................................................................... 33
Fully Managed Series............................................................................................ 34
Limited Maturity Bond Series.................................................................................... 35
Liquid Asset Series............................................................................................. 36
Portfolio of Investments:
All-Growth Series............................................................................................... 37
Capital Appreciation Series..................................................................................... 38
Value Equity Series............................................................................................. 39
Strategic Equity Series......................................................................................... 42
Rising Dividends Series......................................................................................... 45
Emerging Markets Series......................................................................................... 46
Natural Resources Series........................................................................................ 49
Real Estate Series.............................................................................................. 51
Market Manager Series........................................................................................... 52
Multiple Allocation Series...................................................................................... 53
Fully Managed Series............................................................................................ 56
Limited Maturity Bond Series.................................................................................... 59
Liquid Asset Series............................................................................................. 61
Notes to Financial Statements..................................................................................... 62
</TABLE>
SEPARATE ACCOUNT A
<TABLE>
<S> <C>
Report of Independent Auditors.................................................................................... A-1
Statement of Assets and Liabilities............................................................................... A-2
Notes to Statement of Assets and Liabilities...................................................................... A-3
</TABLE>
<PAGE>
Directed Services, Inc.
A SUBSIDIARY OF BANKERS TRUST COMPANY
1001 JEFFERSON STREET, SUITE 400, WILMINGTON, DE 19801 TEL: 302-576-3400
FAX: 302-576-3450
February 21, 1996
Dear Shareholder of The GCG Trust,
We are pleased to provide you with your 1995 Annual Report (the 'Report') for
The GCG Trust which includes reports from all GoldenSelect Portfolio Managers.
1995 was a strong year for the Trust with assets under management increasing
15.4% from $866.6 million to $1 billion.
Included with the Report is a condensed financial report for Separate Account A,
which supports GoldenSelect flexible premium variable life insurance policies.
In 1995 we continued our commitment to providing a broad array of investment
portfolios and experienced investment management to our shareholders. In keeping
with this commitment, we made the following enhancements:
o In January 1995, T. Rowe Price Associates, Inc. undertook management
responsibility for the GoldenSelect Fully Managed Series.
o In January 1995, we added the GoldenSelect Value Equity Series, a
portfolio of equities selected for financial soundness and high intrinsic
value and managed by Eagle Asset Management, Inc.
o Also in January 1995, E.I.I. Realty Securities, Inc. became manager of
the GoldenSelect Real Estate Series. This portfolio invests mainly in the
common stocks of companies in the real estate industry, including REITs.
o In October 1995, we added the GoldenSelect Strategic Equity Series,
managed by Zweig Advisors Inc. Dr. Martin E. Zweig is responsible for the
asset allocation of this portfolio as well as for the GoldenSelect
Multiple Allocation Series.
o And finally, in January 1996, we added the GoldenSelect Small Cap Series,
a small cap equity portfolio managed by Fred Alger Management, Inc.
The Annual Report contains comments from the Portfolio Managers of the Trust's
Series. The comments of the Portfolio Managers reflect their views as of the
date written, and are subject to change at any time. For more complete
information about these portfolios, The GCG Trust or any GoldenSelect products,
including charges and expenses, please consult your prospectus. Read it
carefully before investing or sending money.
Thank you for your continued support of GoldenSelect and The GCG Trust.
Sincerely,
/s/ Terry L. Kendall
- -----------------------
Terry L. Kendall
Chairman,
The GCG Trust
<PAGE>
[GCG TRUST LOGO]
ANNUAL REPORT
------------------
THE GCG TRUST
(INCLUDING SEPARATE ACCOUNT B
FINANCIAL INFORMATION)
------------------
DECEMBER 31, 1995
GoldenSelect products are issued by Golden American Life Insurance Company and
distributed by
Directed Services, Inc., both subsidiaries of Bankers Trust Company
<PAGE>
<PAGE>
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
THE GCG TRUST
<TABLE>
<S> <C>
PAGE
-----------
President's Letter................................................................................................ 1
Fund Manager Reports.............................................................................................. 2
Report of Independent Auditors.................................................................................... 14
Statements of Assets and Liabilities.............................................................................. 16
Statements of Operations.......................................................................................... 18
Statements of Changes in Net Assets............................................................................... 20
Financial Highlights:
All-Growth Series............................................................................................... 24
Capital Appreciation Series..................................................................................... 25
Value Equity Series............................................................................................. 26
Strategic Equity Series......................................................................................... 27
Rising Dividends Series......................................................................................... 28
Emerging Markets Series......................................................................................... 29
Natural Resources Series........................................................................................ 30
Real Estate Series.............................................................................................. 31
Market Manager Series........................................................................................... 32
Multiple Allocation Series...................................................................................... 33
Fully Managed Series............................................................................................ 34
Limited Maturity Bond Series.................................................................................... 35
Liquid Asset Series............................................................................................. 36
Portfolio of Investments:
All-Growth Series............................................................................................... 37
Capital Appreciation Series..................................................................................... 38
Value Equity Series............................................................................................. 39
Strategic Equity Series......................................................................................... 42
Rising Dividends Series......................................................................................... 45
Emerging Markets Series......................................................................................... 46
Natural Resources Series........................................................................................ 49
Real Estate Series.............................................................................................. 51
Market Manager Series........................................................................................... 52
Multiple Allocation Series...................................................................................... 53
Fully Managed Series............................................................................................ 56
Limited Maturity Bond Series.................................................................................... 59
Liquid Asset Series............................................................................................. 61
Notes to Financial Statements..................................................................................... 62
</TABLE>
SEPARATE ACCOUNT B
<TABLE>
<S> <C>
Report of Independent Auditors.................................................................................... B-1
Statement of Assets and Liabilities............................................................................... B-2
Notes to Statement of Assets and Liabilities...................................................................... B-3
</TABLE>
<PAGE>
Directed Services, Inc.
A SUBSIDIARY OF BANKERS TRUST COMPANY
1001 JEFFERSON STREET, SUITE 400, WILMINGTON, DE 19801 TEL: 302-576-3400
FAX: 302-576-3450
February 21, 1996
Dear Shareholder of The GCG Trust,
We are pleased to provide you with your 1995 Annual Report (the 'Report') for
The GCG Trust which includes reports from all GoldenSelect Portfolio Managers.
1995 was a strong year for the Trust with assets under management increasing
15.4% from $866.6 million to $1 billion.
Included with the Report is a condensed financial report for Separate Account B,
which supports GoldenSelect flexible premium variable life insurance policies.
In 1995 we continued our commitment to providing a broad array of investment
portfolios and experienced investment management to our shareholders. In keeping
with this commitment, we made the following enhancements:
o In January 1995, T. Rowe Price Associates, Inc. undertook management
responsibility for the GoldenSelect Fully Managed Series.
o In January 1995, we added the GoldenSelect Value Equity Series, a
portfolio of equities selected for financial soundness and high intrinsic
value and managed by Eagle Asset Management, Inc.
o Also in January 1995, E.I.I. Realty Securities, Inc. became manager of
the GoldenSelect Real Estate Series. This portfolio invests mainly in the
common stocks of companies in the real estate industry, including REITs.
o In October 1995, we added the GoldenSelect Strategic Equity Series,
managed by Zweig Advisors Inc. Dr. Martin E. Zweig is responsible for the
asset allocation of this portfolio as well as for the GoldenSelect
Multiple Allocation Series.
o And finally, in January 1996, we added the GoldenSelect Small Cap Series,
a small cap equity portfolio managed by Fred Alger Management, Inc.
The Annual Report contains comments from the Portfolio Managers of the Trust's
Series. The comments of the Portfolio Managers reflect their views as of the
date written, and are subject to change at any time. For more complete
information about these portfolios, The GCG Trust or any GoldenSelect products,
including charges and expenses, please consult your prospectus. Read it
carefully before investing or sending money.
Thank you for your continued support of GoldenSelect and The GCG Trust.
Sincerely,
/s/ Terry L. Kendall
- -----------------------
Terry L. Kendall
Chairman,
The GCG Trust
<PAGE>
The GCG Trust
All-Growth Series
ALL-GROWTH SERIES
The objective of the All-Growth Series is capital appreciation by investing
primarily in securities selected for their long-term growth prospects on the
basis of fundamental research. The Series gained 22.42% for 1995 vs. a return of
37.53% for the S&P 500 Index. Much of the Series' underperformance was
attributable to continued heavy liquidations by gold-sector mutual funds, which
pushed down share prices of gold-mining and other precious-metals-related
companies. These issues have a significant representation in the portfolio, and
their weakness negated much of the gains recorded by the Series' other holdings.
Short-term performance notwithstanding, the Portfolio Manager remains
bullish on the prospects of gold and gold-mining stocks. This bullishness is
based entirely on supply/demand factors, rather than on the gold-as-
inflation-hedge argument. Demand for gold, primarily for its use in jewelry,
has risen steadily over time.
The Series maintains a sizable weighting in banking stocks. These stocks
contributed positively to the Series' performance in 1995 and continue, the
Portfolio Manager believes, to hold good appreciation potential in 1996. Driving
these stocks' performance has been a favorable interest-rate environment and the
industry's accelerating trend toward consolidation, which shows few signs of
easing.
The Portfolio's underweighting of technology stocks in 1995, due to what we
deemed to be their excessively high valuations, obviously worked to its
disadvantage. Looking to 1996, recent weakness within the sector has brought
valuations down to more reasonable levels, and the Portfolio Manager will use
the opportunity to add selected names to the Series.
WARBURG, PINCUS COUNSELLORS, INC.
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the All-Growth
Series of the GCG Trust and the S & P 500 Index. The graph indicates the growth
from January 24, 1989 (inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 22.42%
5 Year 9.12%
1/24/1989 (Inception) 6.39%
------- ALL-GROWTH SERIES
- - - - S&P 500
Month/
Year All-Growth Series S & P 500
- ---- ----------------- ---------
(In Dollars)
1/89 10,000 10,000
10,084 9,979
10,623 10,856
11,338 12,019
12/89 10,720 12,266
9,930 11,897
10,802 12,643
9,442 10,908
12/90 9,933 11,885
11,366 13,608
10,686 13,575
11,985 14,300
12/91 13,557 15,497
12,865 15,107
12,329 15,393
12,362 15,879
12/92 13,205 16,676
12,902 17,404
13,007 17,488
14,062 17,938
12/93 14,071 18,354
13,505 17,659
12,540 17,733
7/94 12,687 18,166
13,201 18,598
12/94 12,554 18,595
13,497 20,403
14,047 22,348
15,211 24,123
12/95 15,369 25,574
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On July 1, 1994 Warburg, Pincus Counsellors, Inc. became Portfolio Manager of
the Series. Prior to that date the Series had been advised by another
Portfolio Manager.
Top Five Holdings as of December 31, 1995
1. GRC International Inc. 5.4%
2. First Interstate Bancorp 4.7%
3. Newmont Mining Corporation 4.3%
4. Placer Dome Inc., ADR 3.8%
5. Homestake Mining Company 3.8%
Industry Breakdown
The following table replaces a pie chart showing industry breakdown as a
percentage of total investments.
METAL MINING 19.6%
OTHER 35.8%
INDUSTRIAL MANUFACTURING
AND PROCESSING 14.6%
OIL SERVICES 4.0%
BANKS/SAVINGS AND LOAN 10.3%
COMMUNICATIONS AND MEDIA 4.3%
AEROSPACE/DEFENSE 5.3%
COMPUTER INDUSTRY 6.1%
2
<PAGE>
The GCG TRUST
Capital Appreciation Series
CAPITAL APPRECIATION SERIES
The Capital Appreciation Series' total return on net asset value for the
year ended December 31, 1995 was 30.16%. This compares to a return of 37.53% for
the Standard & Poor's 500 Index. The largest industry exposures in the Series at
year end were health care (14%), basic industry (13%) and financial services
(10%). The Series ended the year with a combination of high quality stable
growth stocks and special situation oriented value stocks weighted in a 60%/40%
mix.
The year 1995 presented a strong environment for equity investors. Against
a backdrop of ample liquidity and credit availability, interest rates showed a
meaningful decline. The economy was able to show moderate but stable growth
which kept reported and anticipated inflation well under control. Nonetheless,
corporate profits were robust, exceeding expectations. Corporations announced
significant share repurchase programs and transacted a record 465 billion in
mergers and acquisitions.
The S&P 500 and the Dow Jones Industrials showed their strongest gains in
years. Beneath the surface of the market, however, there were marked differences
in industry performance. Technology and semiconductor stocks which showed a
meteoric rise in the first half, leveled during the summer, then sold off in the
fourth quarter, still ending the year with substantial gains in many cases.
Interest sensitive securities, particularly the financials, were also strong in
the first half, stalled, then ended the ye ar on an up note as the Fed moved a
second time to cut rates. Retail stocks, on the other hand, fared poorly,
particularly later in the year in an over-stored environment with high levels of
consumer debt and a weak Christmas season. Many commodity stocks, particularly
paper and forest products, had a difficult fourth quarter against increasing
evidence of a slowing economy.
The Portfolio Manager believes that stable growth stocks that can deliver
expected earnings growth in the coming year will be a strong area for the Series
as price earnings multiples for these companies can expand in a period of low
inflation and an uncertain economic outlook. Regardless of what the market does,
the Portfolio Manager believes that companies involved in cost cutting and
restructuring may also be attractive and many of these candidates are found in
the basic industry sector.
CHANCELLOR TRUST COMPANY
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Capital
Appreciation Series of the GCG Trust and the S & P 500 Index. The graph
indicates the growth from May 4, 1992 (inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 30.16%
5/4/1992 (Inception) 12.50%
------- CAPITAL APPRECIATION SERIES
- - - - - S&P 500
Month/
Year Capital Appreciation Series S&P 500
- ------ --------------------------- --------
(In Dollars)
5/4/92 10,000 10,000
10,030 9,899
10,210 10,212
12/92 11,087 10,725
11,661 11,193
11,419 11,246
11,903 11,536
12/93 12,008 11,803
11,569 11,356
11,610 11,404
11,998 11,960
12/94 11,817 11,958
12,661 13,121
13,807 14,372
15,026 15,513
12/95 15,381 16,447
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE
ANNUITY AND VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS
ARE INVESTED IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
Top Five Holdings as of December 31, 1995
1. Pfizer, Inc. 2.6%
2. Johnson & Johnson 2.5%
3. Boeing Company 2.5%
4. Philip Morris Companies Inc. 2.5%
5. GTE Corporation 2.4%
Asset Allocation
The following table replaces a pie chart showing asset allocation as a
percentage of total investments.
CASH EQUIVALENTS 4.2%
VALUE EQUITY 38.3%
GROWTH EQUITY 57.5%
3
<PAGE>
The GCG TRUST
Value Equity Series
VALUE EQUITY SERIES
The Value Equity Series posted a total return of 35.21% for the 12 months
ended December 31, 1995. The S&P 500 rose 37.53% for the same period. The Series
commenced operations on January 3, 1995, and once initial cash balances were
invested, it performed in line with the market and the Portfolio Manager's
expectations.
The most significant influence on the market in 1995 was the performance of
technology stocks. These stocks led the market for approximately the first three
quarters and then underperformed in the fourth quarter. At the beginning of
1995, the Series purchased a significant amount of technology stocks due to
their relative undervaluation and sold most positions in September as they
became fairly priced. Following the Series' reduction in the technology sector,
the industry underperformed the market. The Series' underweighting of technology
stocks was one reason that it outperformed the S&P 500 in the fourth quarter.
Another important influence on the Series was the overweighting in oil and
energy stocks. During most of the year, this sector underperformed in part as
concerns of lifting oil sanctions from Iraq pushed stock prices down. However,
in the fourth quarter, these concerns dissolved and winter heating demands in
part caused oil stocks to rise. The Portfolio Manager is still positive on oil
stocks as this sector remains relatively undervalued.
Heading into 1996, the Series holds a significant position in underpriced
healthcare, heavy industry, and oil stocks. The Portfolio Manager believes that
these investments will benefit from a stabilizing economy and has a positive
outlook for the Series in 1996.
EAGLE ASSET MANAGEMENT, INC.
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Value Equity
Series of the GCG Trust and the S & P 500 Index. The graph indicates the growth
from January 3, 1995 (inception) through December 31, 1995.
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1/3/1995 (Inception) 35.21%
------- VALUE EQUITY SERIES
- - - - S&P 500
Month/
Year Value Equity Series S & P 500
- ------ ------------------- ---------
(In Dollars)
1/3/95 10,000 10,000
3/95 10,630 10,973
6/95 11,690 12,019
9/95 12,210 12,973
12/95 13,521 13,753
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE
ANNUITY AND VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS
ARE INVESTED IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
Top Five Holdings as of December 31, 1995
1. Lilly (Eli) & Company 2.7%
2. Federal Express Corporation 2.2%
3. U.S. HealthCare Inc. 2.1%
4. Student Loan Marketing Association 2.1%
5. United Healthcare Corporation 2.0%
Industry Breakdown
The following table replaces a pie chart showing industry breakdown as a
percentage of total investments.
HEALTH CARE 13.2%
OTHER 46.9%
PHARMACEUTICALS 11.2%
OIL/GAS
INTERNATIONAL 9.9%
TRANSPORTATION 6.1%
FINANCIAL 4.0%
BANKS 4.4%
UTILITY/TELEPHONE 4.3%
4
<PAGE>
The GCG TRUST
Strategic Equity Series
STRATEGIC EQUITY SERIES
The Strategic Equity Series commenced operations on October 2, 1995 and had
a return of 0.33% during the final quarter of 1995. During this same three month
period the S&P 500 Index was up 6.0% and the S&P Midcap 400 Index was up 1.4%.
As the Series invests in an array of mid-to-large capitalization stocks, a
blended benchmark of these two indexes, which was 3.7% for the period, is the
most appropriate comparison.
There were several reasons why the Series' performance lagged behind its
blended benchmark: its average cash position was over 25%; selection of stocks
with sub-par performance; overweighting in certain sectors that underperformed,
including technology and process industries, particularly paper companies; and,
the one-time transaction cost associated with starting the portfolio.
Owing to falling interest rates and moderate to slow economic growth, the
Porfolio Manager believes that risk levels in stocks are not excessive. While
there are indications that a weaker economy could bring reduced earnings, the
positives outweigh the negatives. As always, the Portfolio Manager is prepared
to reduce the Series' exposure should indicators point to changing conditions
and rising risk.
ZWEIG ADVISORS INC.
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Strategic Equity
Series of the GCG Trust, the S & P 500 Index, the S & P Midcap 400 Index and the
S & P 500/Midcap 400 (Blended Index 50/50). The graph indicates the growth from
October 2, 1995 (inception) through December 31, 1995.
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
10/2/1995 (Inception) 0.33%
------- STRATEGIC EQUITY SERIES
- - - - S&P 500
======= S&P MIDCAP 400
******* S&P 500/S&P MIDCAP 400
(BLENDED INDEX 50/50)
<TABLE>
<CAPTION>
Month/ S&P Midcap 400
Year Strategic Equity Series S&P 500 S&P Midcap 400 (Blended 50/50)
- ------ ----------------------- ------- -------------- ---------------
(In Dollars)
<S> <C> <C> <C> <C>
10/2/95 10,000 10,000 10,000 10,000
12/95 10,033 10,602 10,143 10,372]
</TABLE>
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE
ANNUITY AND VARIABLE LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS
ARE INVESTED IN THE SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE
PERFORMANCE.
Top Five Holdings as of December 31, 1995
1. Dow Chemical Company 1.8%
2. Unicom Corporation 1.2%
3. Transcanada Pipeline Ltd. 1.2%
4. Wynn's International Inc. 1.1%
5. Carpenter Technology Corporation 1.0%
Asset Allocation
The following table replaces a pie chart showing asset allocation as a
percentage of total investments.
CASH EQUIVALENTS 25.9%
VALUE EQUITY 37.0%
GROWTH EQUITY 37.1%
5
<PAGE>
The GCG TRUST
Rising Dividends Series
RISING DIVIDENDS SERIES
The Rising Dividends Series' total return on net asset value for the year
ended December 31, 1995 was 31.06%. This compares to a return of 37.53% for the
Standard & Poor's 500 Index.
Through 1995, the Portfolio Manager focused on established companies with
solid histories of increasing their dividends. The Series provided a total
return of 31.06% for 1995. By comparison, the average stock fund, as reported by
Lipper Analytical Services, finished the year up 31.11%. The Series' stock
positions are prudently invested across industries and economic sectors. The
dividends of the Series' top ten holdings have shown a 17.9% compound annual
growth rate over the past ten years. The Portfolio Manager believes that this
indicates that the boards of directors of these companies are confident in their
future growth opportunities. We anticipate the growth in earnings and cash flow
of these companies will continue at double digit rates, and that this growth
will be shared with investors through increased dividends.
Inflation is currently under control and expected to stay in a 2.5% - 3.5%
range. While corporate profit growth slowed from 20%-plus in early 1995 to under
10% by year-end, the Portfolio Manager does not anticipate a recession. Labor
and capital costs are low, and the U.S. has enjoyed a number of years of strong
capital equipment investment and improved productivity. Moreover, U.S.
corporations continue to be highly competitive with foreign entities.
In the past year, federal government spending absorbed 21.6% of GDP, down
from a record 24.4% in fiscal 1993. Thus, over the past five years the deficit
has fallen from 5% of GDP to under 2% and is headed toward zero. One might be
concerned that this fiscal policy could lead to an economic slowdown, but the
proposed tax cuts should stimulate economic growth.
Although market corrections and consolidations occur from time to time, the
Portfolio Manager's outlook for the Series in 1996 is for continued positive
stock and bond market results. U.S. fiscal policy continues to be very positive
for financial markets and is sounder than many of our major trading partners.
KAYNE, ANDERSON INVESTMENT MANAGEMENT, LP
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Rising Dividends
Series of the GCG Trust and the S & P 500 Index. The graph indicates the growth
from October 4, 1993 (inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 31.06%
10/4/1993 (Inception) 14.66%
------- RISING DIVIDENDS SERIES
- - - - S&P 500
Month/
Year Rising Dividends Series S&P 500
- ------ ----------------------- -------
(In Dollars)
10/4/93 10,000 10,000
12/93 10,314 10,232
9,974 9,844
10,074 9,885
10,494 10,368
12/94 10,375 10,366
11,126 11,374
11,664 12,459
12,517 13,448
12/95 13,598 14,257
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
Top Five Holdings as of December 31, 1995
1. Sysco Corporation 4.0%
2. Hewlett-Packard Company 3.9%
3. Automatic Data Processing Inc. 3.7%
4. Fifth Third Bancorp 3.7%
5. Sara Lee Corporation 3.5%
Top Seven Industries as of December 31, 1995
1. Electrical Equipment 9.5%
2. Food 9.3%
3. Energy 7.2%
4. Drug & Hospital Supplies 6.8%
5. Business Services 6.3%
6. Data Services 5.7%
7. Insurance 5.4%
6
<PAGE>
The GCG TRUST
Emerging Markets Series
EMERGING MARKETS SERIES
The Emerging Markets Series returned (10.11)% for the year ended December
31, 1995. The IFC Emerging Markets Composite Investable Index return was (8.4)%
for the same period.
The Series' weakest performance occurred during the first quarter of 1995
as many emerging markets experienced declines in the wake of the devaluation of
the Mexican Peso. Latin American markets were hardest hit, falling by more than
30%. Asian markets suffered an average 5% fall. After the initial shock of the
first quarter, there has been a substantial recovery. Bankers Trust Company
expects this recovery to continue into 1996 as emerging markets benefit from the
combination of rapidly improving global liquidity and country specific dynamics.
Latin American markets were down 17% for the year with the major markets of
Mexico down 23% and Brazil down 14%. Chile and Argentina were up 5% and 13%,
respectively, for 1995. Asian emerging markets were up 2.1% in 1995. In this
region Taiwan and India were down 27% and 21%, respectively, and Indonesia was
up 9%. During 1995 the Series began to invest in South Africa, which benefited
from inflation improvements, foreign demand for equities and improved earnings
growth.
Looking forward to 1996, the Portfolio Manager believes that the prospects
for emerging markets are very attractive. The combination of supportive global
and improving local liquidity, continued strong earnings growth in Asia, and
accelerating momentum in Latin America, Eastern Europe and South Africa, reduced
political tensions, and attractive valuations may indicate that global investors
will increasingly look more favorably on this asset class.
BANKERS TRUST COMPANY
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Emerging Markets
Series of the GCG Trust and the IFC - Composite Investable Index. The graph
indicates the growth from October 4, 1993 (inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year (10.11)%
10/4/1993 (Inception) (2.32)%
------- EMERGING MARKETS SERIES
- - - - IFC - COMPOSITE INVESTABLE INDEX
Month/
Year Emerging Markets Series IFC-Global
- ------ ----------------------- ----------
(In Dollars)
10/93 10,000 10,000
12/93 12,440 13,499
11,050 11,904
10,450 11,525
12,820 14,286
12/94 10,552 11,879
8,867 10,132
9,809 11,018
9,842 10,980
12/95 9,486 10,879
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
Top Five Holdings as of December 31, 1995
1. Bidvest Group Ltd. 3.5%
2. Investec Bank, 6.375% due 11/30/2002 3.4%
3. Technology Resources Industries BHD 3.0%
4. Commerce Asset Holdings BHD 2.9%
5. United Engineers BHD 2.8%
Asset Distribution by Country
The following table replaces a pie chart showing asset distribution by country
as a percentage of total investments.
SOUTH AFRICA 18.4%
MALAYSIA 13.3%
OTHER PACIFIC RIM COUNTRIES 32.6%
MEXICO 6.9%
OTHER LATIN AMERICAN COUNTRIES 14.6%
CASH EQUIVALENTS 14.2%
7
<PAGE>
The GCG TRUST
Natural Resources Series
NATURAL RESOURCES SERIES
For the 12 months ended December 31, 1995, the Natural Resources Series
generated a total return of 10.69%. The S&P 500 returned 37.53% for the same
period. At year end, 37 percent of the Series' assets were invested in companies
primarily involved in gold-mining activities. Approximately 21 percent of assets
were invested in diversified mining companies. Over 24 percent of assets were in
energy stocks with the rest in other natural resource sectors and cash.
During 1995, global growth began to slow, having a negative impact on
certain natural resource sectors, such as base metals, and to a degree, gold, as
inflation pressures subsided. However, some sectors, particularly energy stocks,
performed well. Energy stocks were up over 19% for the year. Most of the gains
were achieved in the fourth quarter when colder-than-anticipated weather
combined with low inventories to cause price spikes. Natural gas prices rose to
near-record highs and crude oil prices also rose, benefiting from the cold
weather, supply disruptions, and an announcement by OPEC that production quotas
would be maintained.
The price of gold moved little in 1995, ending the year up slightly.
However, several factors suggest that the outlook is favorable including
excellent supply/demand fundamentals, favorable liquidity and monetary
conditions and strong technicals.
The Portfolio Manager has a positive outlook for the Series in 1996.
Despite the recent economic slowdown, most forecasters are predicting positive,
albeit moderate growth in 1996 and 1997, which should lead to a greater demand
for hard assets. In addition, aggressive monetary easing by G3 countries may
lead to stronger than expected growth and there is a possibility that the
current optimism regarding financial assets may destabilize. Thus the Portfolio
Manager believes that hard assets, at their favorable current valuations, are
now more attractive than financial assets.
On November 22, 1995, Derek S. van Eck assumed a greater role in the
management of the Series and has succeeded Harry Bingham as the primary
day-to-day portfolio manager. Mr. van Eck, who specializes in natural resource
investments, may in 1996 further diversify the Series, in accordance with its
prospectus guidelines, into a wider range of natural resource sectors at times,
depending on the Portfolio Manager's economic outlook.
VAN ECK ASSOCIATES CORPORATION
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Natural
Resources Series of the GCG Trust and the S & P 500 Index. The graph indicates
the growth from January 24, 1989 (inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 10.69%
5 Year 9.95%
1/24/1989 (Inception) 7.46%
------- NATURAL RESOURCES SERIES
- - - - S&P 500
Month/
Year Natural Resources Series S&P 500
- ------ ------------------------ -------
(In Dollars)
1/24/89 10,000 10,000
9,810 9,979
9,940 10,858
10,990 12,019
12/89 11,896 12,266
11,325 11,897
10,994 12,643
10,873 10,908
12/90 10,250 11,885
10,629 13,608
11,147 13,575
10,922 14,300
12/91 10,732 15,497
10,392 15,107
11,121 15,393
10,563 15,879
12/92 9,679 16,676
11,176 17,404
12,705 17,488
11,914 17,938
12/93 14,512 18,354
14,324 17,659
14,240 17,733
16,183 18,598
12/94 14,879 18,595
14,889 20,403
15,286 22,348
16,219 24,123
12/95 16,469 25,574
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
Top Five Holdings as of December 31, 1995
1. WMC Ltd. 4.4%
2. Royal Dutch Petroleum Company, ADR 3.6%
3. Newmont Mining Corporation 3.3%
4. Anglo American Corporation
South Africa Ltd., ADR 3.3%
5. Teck Corporation, Class B 3.2%
Industry Breakdown
The following table replaces a pie chart showing industry breakdown by country
as a percentage of total investments.
CHEMICALS 2.5%
OTHER 8.3%
GOLD/MINING 37.1%
MINING FINANCE 3.4%
PLATINUM/MINING 4.0%
ENERGY 4.2%
OIL/GAS 19.8%
DIVERSIFIED MINING 20.7%
8
<PAGE>
The GCG TRUST
Real Estate Series
REAL ESTATE SERIES
For the 12 month period ended December 31, 1995, the Real Estate Series
returned 16.59%, outperforming the 13.64% return for the Wilshire Real Estate
Securities Index. The relatively strong performance of real estate securities is
a reflection of the continuing real estate recovery as rents and values in most
property types increased.
The Portfolio Manager believes that the attractiveness of real estate and
REITs continues to remain high in comparison to the stock and bond markets. The
performance of the Series during 1995 is attributable to its significant
exposure to office and industrial property as well as the Portfolio Manager's
stock selection within the area of retail property. During 1995 the Series
shifted property type allocations away from apartment and retail companies to
office, industrial, and hotel companies. These were the best performing sectors
of the past year with returns in excess of 20%, while retail barely provided a
positive return.
Into 1996 the Series will continue to seek securities of real estate
related companies with high quality management teams. The Portfolio Manager
believes that better managed REITs enjoy access to capital at a low cost. The
Portfolio Manager believes that the Series should continue to benefit from
investments in property types with stronger real estate fundamentals.
E.I.I. REALTY SECURITIES, INC.
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Real Estate
Series of the GCG Trust, the S & P 500 Index and the Wilshire Real Estate
Securities Index. The graph indicates the growth from January 24, 1989
(inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 16.59%
5 Year 17.29%
1/24/1989 (Inception) 8.29%
--------- REAL ESTATE SERIES
- - - - - S&P 500
========= WILSHIRE REAL ESTATE
SECURITIES INDEX
Month/ Wilshire Real Estate
Year Real Estate Series Securities Index S&P 500
- ------ ------------------ -------------------- -------
(In Dollars)
1/24/89 10,000 10,000 10,000
9,980 10,096 9,979
10,564 10,574 10,858
10,836 10,769 12,019
12/89 9,878 10,074 12,266
9,611 9,573 11,897
9,197 9,364 12,643
7,800 7,032 10,908
12/90 7,826 6,703 11,885
9,660 8,482 13,608
9,618 8,123 13,575
9,905 7,900 14,300
12/91 10,491 8,046 15,497
10,626 8,221 15,107
10,717 7,873 15,393
11,378 8,113 15,879
12/92 11,947 8,678 16,676
14,297 10,383 17,404
13,761 9,893 17,488
14,979 10,773 17,938
12/93 14,010 10,000 18,354
14,586 10,225 17,659
14,661 10,347 17,733
14,511 10,190 18,598
12/94 14,898 10,165 18,595
12,945 10,203 20,403
15,544 10,647 22,348
16,481 11,152 24,123
12/95 17,369 11,552 25,574
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
* On January 1, 1995, E.I.I. Realty Securities, Inc. became Portfolio Manager
for the Series. Prior to that date the Series had been advised by another
Portfolio Manager.
Top Five Holdings as of December 31, 1995
1. Highwood Properties Inc. 3.6%
2. Nationwide Health Properties Inc. 3.6%
3. Liberty Property Trust 3.4%
4. Vornado Realty Trust 3.2%
5. Patriot American Hospitality Inc. 3.1%
Industry Breakdown
The following table replaces a pie chart showing industry breakdown by country
as a percentage of total investments.
OTHER 16.9%
OFFICE/INDUSTRIAL 26.7%
SPECIALTY REAL ESTATE 7.2%
REGIONAL MALLS 8.3%
HEALTH CARE
REAL ESTATE 9.4%
APARTMENTS 18.6%
SHOPPING CENTERS 12.9%
9
<PAGE>
The GCG TRUST
Market Manager Series
MARKET MANAGER SERIES
The Market Manager Series' total return on net asset value for the year
ended December 31, 1995 was 24.33%. During this same period the two indices to
which the Series performance was linked, the S&P 500 Index and the Midcap 400
S&P Index, were up 37.53% and 30.95%, respectively. As shown in the accompanying
chart, the average of the total return of these two indices was 34.24%.
The Market Manager Series follows a strategy of investing in the broadly
diversified U.S. equity market. The Series closed for further investment in
March 1995. Up to that point, funds were invested in short-term money-market
securities. Since March 1995, the Series has consisted of a blend of debt
securities and over-the-counter equity options, which together tracked the stock
market rally in 1995.
The accompanying graph compares the total return of the Series to the total
return of the S&P 500, S&P Midcap 400 and the average of these two indices from
the inception of the Series. On March 6, 1995, the Series commenced investment
in accordance with its long-term objectives. The graph indicates that the
Series' total return has moved proportionately with its target indices
subsequent to March 6, 1995. Rising equity prices were captured by the Series'
investments in the equity call options while falling interest rates increased
the value of the debt securities.
Through 1996 the Series will maintain its relatively static strategic
investments designed to track market performance.
BANKERS TRUST COMPANY
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Market Manager
Series of the GCG Trust, the S & P 500 Index, the S & P Midcap 400 Index and the
S & P 500/S & P Midcap 400 (Blended Index 50/50). The graph indicates the growth
from November 14, 1994 (inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 24.33%
11/14/1994 (Inception) 21.52%
--------- MARKET MANAGER SERIES
- - - - - S&P 500
========= S&P MIDCAP 400
********* S&P 500/S&P MIDCAP 400
(BLENDED INDEX 50/50)
S&P 500/
Month/ Market S&P Midcap 400
Year Manager Series S&P 500 S&P Midcap 400 (Blended 50/50)
- ------ -------------- ------- -------------- ---------------
(In Dollars)
11/14/94 10,000 10,000 10,000 10,000
12/94 10,020 9,779 9,367 9,708
3/95 10,070 10,730 10,416 10,573
11,050 11,753 11,335 11,544
12,000 12,686 12,441 12,564
12/95 12,458 13,449 12,619 13,034
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
Asset Allocation
The following table replaces a pie chart showing asset allocation by country as
a percentage of total investments.
EQUITY INDEX CALL OPTIONS PURCHASED 39.5%
U.S. TREASURY OBLIGATION 41.3%
CORPORATE DEBT OBLIGATIONS 19.2%
10
<PAGE>
The GCG TRUST
Multiple Allocation Series
MULTIPLE ALLOCATION SERIES
The Multiple Allocation Series invests in a diversified mix of bonds,
stocks, and cash equivalents. The Series' total return on net asset value for
the year ended December 31, 1995 was 18.93%. This compares to a return of 14.41%
for the Lehman Brothers Intermedia te Government Bond Fund Index and 37.53% for
the S&P 500 Index.
Weaker-than-expected economic conditions fueled the strong bond market in
1995. Toward the end of 1994, the economy appeared over-heated, and most
economists expected the Federal Reserve to continue to raise interest rates.
However, as the economy started to show signs of slowing, bonds began to rally
in early 1995. The rally continued throughout the spring, and in the summer the
Fed surprised many by easing interest rates in July. This paved the way for
continued bond market strength and a final interest rate cut in December.
In keeping with its risk-adverse investment strategy, the Series maintained
a relatively low average maturity and duration for its debt investments. As the
Federal Reserve had tightened interest rates six times in 1994, and was still
tightening in early 1995, the Series maintained a low exposure to interest rate
fluctuations in the first quarter of 1995. However, the economy cooled rapidly,
and bonds began to rally to new highs. Beginning in the second quarter, the
Series' duration was gradually increased to 5.4 years, where it remained at
year-end.
With respect to equity investments, 1995 saw the Series' exposure to
equities rise from a low of 11% to a high of 40%. This exposure increase was
prompted primarily by the reversal in Federal Reserve policy from tightening
interest rates to easing them as well as the positive market momentum caused by
this policy reversal.
With an expectation of lower interest rates, controlled inflation, and
moderate to slow economic growth, the Portfolio Manager currently believes that
the Series will invest bullishly in 1996. While the Portfolio Manager observes
that there are indications that a weaker economy could bring reduced earnings,
the Portfolio Manager currently believes that the positives for a bullish
investment program outweigh the negatives. As always, the Portfolio Manager is
prepared to reduce the Series' exposure should indicators point to changing
conditions and rising risk.
ZWEIG ADVISORS INC.
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Multiple
Allocation Series of the GCG Trust, the S & P 500 Index, Lehman Brothers
Intermediate Government Bond Index and 37.5% S & P 500 Index/62.5% Lehman
Brothers Intermediate Government Bond Index. The graph indicates the growth
from January 24, 1989 (inception) through December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 18.93%
5 Year 9.81%
1/24/1989 (Inception) 9.03%
--------- MULTIPLE ALLOCATION SERIES
- - - - - S&P 500
========= LEHMAN BROTHERS INTERMEDIATE GOVERNMENT BOND INDEX
********* 37.5% S&P 500/62.5% LEHMAN BROTHERS INTERMEDIATE
GOVERNMENT BOND INDEX
Month/ All-Growth Lehman Govt. S&P 500/Lehman
Year Series S&P 500 Intermediate Govt. Intermediate
- ------ ---------- ------- ------------ ------------------
(In Dollars)
1/89 10,000 10,000 10,000 10,000
10,193 9,979 10,004 9,994
10,459 10,858 10,668 10,739
10,949 12,019 10,789 11,250
12/89 10,892 12,266 11,157 11,573
10,638 11,897 11,142 11,425
11,141 12,643 11,491 11,923
10,979 10,908 11,714 11,412
12/90 11,408 11,885 12,223 12,096
12,369 13,608 12,492 12,911
12,242 13,575 12,703 13,030
12,923 14,300 13,307 13,679
12/91 13,693 15,497 13,948 14,529
13,145 15,107 13,802 14,291
13,413 15,393 14,337 14,733
13,787 15,879 14,965 15,307
12/92 13,948 16,676 14,914 15,575
14,486 17,404 15,472 16,197
14,853 17,488 15,776 16,418
15,537 17,938 16,108 16,794
12/93 15,500 18,354 16,133 16,966
15,252 17,659 15,834 16,518
15,070 17,733 15,746 16,491
15,200 18,598 15,867 16,891
12/94 15,318 18,595 15,851 16,880
15,953 20,403 16,510 17,970
16,967 22,348 17,281 19,182
17,535 24,123 17,550 20,015
12/95 18,218 25,574 18,136 20,925
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
Top Five Holdings as of December 31, 1995
1. U.S. Treasury Obligations due through 2025 40.5%
2. U.S. Government Agency Obligations due
through 2004 2.3%
3. Mobil Corporation 0.7%
4. Burlington Northern Santa Fe 0.7%
5. Halliburton Company 0.7%
Asset Allocation
The following table replaces a pie chart showing asset allocation as a
percentage of total investments.
COMMERCIAL PAPER 17.8%
COMMON STOCKS 39.7%
U.S. TREASURY OBLIGATIONS 40.2%
U.S. GOVERNMENT
AGENCY OBLIGATIONS 2.3%
11
<PAGE>
The GCG TRUST
Fully Managed Series
FULLY MANAGED SERIES
For the 12 months ended December 31, 1995, the Fully Managed Series
generated a total return of 20.80%. The S&P 500 returned 37.53% for the same
period.
Performance results for the Series were above long-term expectations, but
below those of the abnormally strong stock and bond markets. Strong corporate
earnings, low inflation, a possible balanced budget, and two Federal reserve
rate reductions were all major positives for U.S. financial markets this year.
The bond market rebounded from its very poor 1994 performance while the stock
market reached new highs.
Considering factors such as low interest rates, minimal economic growth,
and election year optimism, the Portfolio Manager currently is neutral to mildly
positive for both the stock and bond markets in 1996. The Portfolio Manager
currently feels that valuation remains the primary negative factor going forward
into 1996 and continues to influence a risk averse asset allocation strategy for
the Series. The Portfolio Manager currently intends to continue to select
investments for the Series based on current valuations and the potential future
growth adjusted for risk.
T. ROWE PRICE ASSOCIATES, INC.
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Fully Managed
Series of the GCG Trust, the S & P 500 Index, Lehman Brothers Corp./Govt. Index
and 60% S & P 500 Index/40% Lehman Brothers Corp./Govt. Index. The graph
indicates the growth from January 24, 1989 (inception) through December 31,
1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 20.80%
5 Year 10.52%
1/24/1989 (Inception) 7.57%
------------- FULLY MANAGED SERIES
- - - - - - - S&P 500
============= LEHMAN BROTHERS CORP./GOVT.
************* 60% S&P 500/40% LEHMAN BROTHERS CORP./GOVT.
Month/ Fully Managed Lehman Govt. S&P 500/
Year Series S&P 500 Intermediate Lehman Govern.
- ------ ------------- ------- ------------ --------------
(In Dollars)
1/89 10,000 10,000 10,000 10,000
10,101 9,979 9,977 9,978
10,589 10,858 10,779 10,826
10,777 12,019 10,881 11,564
12/89 10,390 12,266 11,273 11,869
10,229 11,897 11,144 11,596
10,734 12,643 11,546 12,204
9,573 10,908 11,615 11,191
12/90 10,060 11,885 12,207 12,014
11,058 13,608 12,536 13,179
10,884 13,575 12,725 13,235
11,912 14,300 13,457 13,963
12/91 12,970 15,497 14,176 14,969
12,820 15,107 13,963 14,649
12,470 15,393 14,528 15,047
12,856 15,879 15,238 15,623
12/92 13,778 16,676 15,250 16,106
14,110 17,404 15,959 16,826
14,276 17,488 16,438 17,068
14,986 17,938 16,982 17,556
12/93 14,823 18,354 16,933 17,785
14,207 17,659 16,402 17,156
13,545 17,733 16,198 17,119
13,910 18,598 16,279 17,670
12/94 13,745 18,595 16,338 17,692
14,356 20,403 17,152 19,103
15,272 22,348 18,266 20,715
16,059 24,123 18,615 21,920
12/95 16,592 25,574 19,482 23,137
TOTAL RETURN FOR THE SERIES INCLUDES REINVESTMENT OF DIVIDENDS AND
DISTRIBUTIONS. IT DOES NOT REFLECT CHARGES FOR THE VARIABLE ANNUITY AND VARIABLE
LIFE CONTRACTS OR CERTIFICATES THEREUNDER WHOSE PROCEEDS ARE INVESTED IN THE
SERIES. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
*On January 1, 1995, T. Rowe Price Associates, Inc. became the Portfolio Manager
of the Series. Prior to that date the Series had been advised by another
Portfolio Manager.
Top Five Holdings as of December 31, 1995
1. Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012 5.0%
2. Genentech Inc. 3.2%
3. Loews Corporation 3.0%
4. New York Times Company, Class A 2.6%
5. U.S. Treasury Notes due through 1997 2.6%
Asset Allocation
The following table replaces a pie chart showing asset allocation as a
percentage of total investments.
COMMERCIAL PAPER 21.8%
COMMON STOCKS 50.2%
CORPORATE BONDS, U.S. GOVERNMENT
AGENCY OBLIGATIONS AND U.S. TREASURY OBLIGATIONS 5.5%
CONVERTIBLE BONDS AND NOTES 17.0%
PREFERRED STOCKS 5.5%
12
<PAGE>
The GCG TRUST
Limited Maturity Bond Series
LIMITED MATURITY BOND SERIES
1995 was a strong year for the bond market. Evidence of a slowing economy
and continued low inflation created a climate of optimism that pushed rates down
across the board. The yield on the 5-year Treasury dropped by 2.45%, while the
2-year note fell by over 2.50%. In this environment the Limited Maturity Bond
Series returned 11.72% compared to 12.96% for the Merrill Lynch 1-5 Year
Corporate/Government Bond Index ("the Index").
Early in 1995 the Series maintained a less volatile, relatively short
average duration. This slowed the Series' performance as interest rates dropped
on weaker than expected economic reports. Later in the year the Series recovered
by extending its duration in order to take advantage of the balance of the
Treasury rally that lasted to the end of the year.
Additionally, late in the year, the Series took a larger position in
investment-grade corporate debt securities in order to enhance yield. The
Portfolio Manager believes that in the current economic environment of slow
growth, corporate debt securities will continue to outperform U.S. Treasury
Securities as they have through most of 1995.
Looking ahead to 1996, the Portfolio Manager currently expects to maintain
an average duration for the Series that is approximately the same as the average
duration of the Index. Although economic reports have been showing signs of a
sluggish economy, they have not shown signs of an economy headed into recession.
In this environment, the Portfolio Manager currently believes that the Federal
Reserve is not likely to raise interest rates, nor is it likely to be aggressive
in lowering them. The Portfolio Manager would expect a cut in rates only if such
economic weakness persists or worsens. Overall, the Portfolio Manager believes
the current economic environment and Federal Reserve policy are positive for the
bond market.
BANKERS TRUST COMPANY
The following table replaces a graph showing growth of an initial investment of
$10,000 with reinvestment of dividends and distributions in the Limited Maturity
Bond Series of the GCG Trust and the Merrill Lynch 1-5 Year Corp./Govt. Bond
Index. The graph indicates the growth from January 24, 1989 (inception) through
December 31, 1995.
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED DECEMBER 31, 1995
1 Year 11.72%
5 Year 6.46%
1/24/1989 (Inception) 7.17%
--------- LIMITED MATURITY BOND SERIES
- - - - - MERRILL LYNCH 1-5 YEAR CORP./GOVT. BOND INDEX
Month/ Limited Maturity Merrill
Year Series Lynch Corp
- ------ ---------------- ----------
(In Dollars)
1/24/89 10,000 10,000
10,021 10,021
10,515 10,594
10,640 10,741
12/89 10,958 11,070
11,013 11,128
11,298 11,453
11,473 11,719
12/90 11,821 12,150
12,054 12,419
12,267 12,662
12,660 13,170
12/91 13,153 13,723
13,074 13,674
5/92* 13,464 14,156
13,837 14,692
12/92 13,789 14,662
14,148 15,124
14,334 15,354
14,585 15,630
12/93 14,644 15,699
14,493 15,530
14,437 15,492
14,479 15,629
12/94 14,470 15,607
14,920 16,210
15,543 16,859
15,732 17,117
12/95 16,167 17,620
Total return for the Series includes reinvestment of dividends and
distributions. It does not reflect charges for the variable annuity and variable
life contracts or certificates thereunder whose proceeds are invested in the
Series. Past performance is not predictive of future performance.
*On May 1, 1992 Bankers Trust Company became the Portfolio Manager of the
Series. Prior to that date the Series had been advised by another Portfolio
Manager.
Top Five Holdings as of December 31, 1995
1. U.S. Treasury Notes due through 2000 51.1%
2. Schering-Plough Corporation,
Zero coupon due 12/02/1996 2.1%
3. Stop & Shop International Financial Corporation,
10.125% due 12/16/1996 1.7%
4. Standard Credit Card Trust I, Series 1992-3, Class A,
6.113% due 10/15/1998 1.7%
5. Merrill Lynch & Company Inc.,
4.750% due 06/24/1996 1.7%
Asset Allocation
The following table replaces a pie chart showing asset allocation as a
percentage of total investments.
ASSET-BACKED SECURITIES 3.6%
REPURCHASE AGREEMENTS 19.0%
CORPORATE BONDS 23.2%
U.S. GOVERNMENT
AGENCY OBLIGATIONS 2.6%
U.S. TREASURY OBLIGATIONS 51.6%
13
<PAGE>
<PAGE>
REPORT OF ERNST & YOUNG LLP, INDEPENDENT AUDITORS
Board of Trustees
The GCG Trust
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of the All-Growth Series, Capital
Appreciation Series, Value Equity Series, Strategic Equity Series, Rising
Dividends Series, Emerging Markets Series, Natural Resources Series, Real Estate
Series, Market Manager Series, Multiple Allocation Series, Fully Managed Series,
Limited Maturity Bond Series and Liquid Asset Series (13 of the Series
comprising The GCG Trust) as of December 31, 1995, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended and the financial highlights for
each of the three years in the period then ended. These financial statements and
financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The financial highlights for each of
the four years in the period ended December 31, 1992 were audited by other
auditors whose report dated February 1, 1993, expressed an unqualified opinion
on those financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included verification by examination of securities
held by the custodian as of December 31, 1995 and confirmation of securities not
held by the custodian by correspondence with others. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above and audited by us present fairly, in all material respects, the
financial position of each of the respective Series constituting The GCG Trust
at December 31, 1995, and the results of their operations for the year then
ended, the changes in their net assets for each of the two years in the period
then ended and the financial highlights for each of the three years in the
period then ended, in conformity with generally accepted accounting principles.
ERNST & YOUNG LLP
New York, New York
February 9, 1996
14
<PAGE>
[ THIS PAGE INTENTIONALLY LEFT BLANK ]
15
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
THE GCG TRUST
DECEMBER 31, 1995
<TABLE>
<CAPTION>
CAPITAL VALUE STRATEGIC RISING
ALL-GROWTH APPRECIATION EQUITY EQUITY DIVIDENDS
SERIES SERIES SERIES SERIES SERIES
------------ ------------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 5):
At identified cost............................. $ 86,262,449 $ 105,880,204 $ 26,383,392 $ 8,672,037 $ 64,409,167
------------ ------------- ------------ ----------- ------------
------------ ------------- ------------ ----------- ------------
At value....................................... $ 93,636,351 $ 122,310,953 $ 28,738,959 $ 8,683,884 $ 81,153,496
Cash............................................. 19,424 -- -- 179,303 12,666
Receivables:
Shares of beneficial interest sold............. -- 13,867 119,390 12,734 --
Investment securities sold..................... -- -- 1,086,989 75,458 --
Dividends and/or interest...................... 27,546 172,507 38,378 22,983 127,178
Net unrealized appreciation on forward foreign
exchange contracts............................. -- -- -- -- --
------------ ------------- ------------ ----------- ------------
Total Assets................................. 93,683,321 122,497,327 29,983,716 8,974,362 81,293,340
------------ ------------- ------------ ----------- ------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed......... 479,786 99,403 24,538 6,347 79,177
Investment securities purchased................ -- 157,047 -- 900,113 --
Net unrealized depreciation on forward foreign
exchange contracts............................. -- -- -- -- --
Due to custodian................................. -- 6,935 1,127,115 -- --
Unified fees payable (Note 2).................... 5,133 6,702 1,575 442 4,454
------------ ------------- ------------ ----------- ------------
Total Liabilities............................ 484,919 270,087 1,153,228 906,902 83,631
------------ ------------- ------------ ----------- ------------
NET ASSETS....................................... $ 93,198,402 $ 122,227,240 $ 28,830,488 $ 8,067,460 $ 81,209,709
------------ ------------- ------------ ----------- ------------
------------ ------------- ------------ ----------- ------------
NET ASSETS CONSIST OF:
Paid-in Capital.................................. $ 84,483,605 $ 104,344,471 $ 26,252,585 $ 8,039,403 $ 64,800,458
Undistributed net investment income.............. 267,485 379,294 44,111 27,042 225,568
Accumulated net realized gain/(loss) on
securities, futures contracts, forward foreign
exchange contracts and foreign currency
transactions................................... 1,073,410 1,072,726 178,227 (10,827) (560,646)
Net unrealized appreciation/(depreciation) on
securities, futures contracts, forward foreign
exchange contracts and other assets and
liabilities denominated in foreign
currencies..................................... 7,373,902 16,430,749 2,355,565 11,842 16,744,329
------------ ------------- ------------ ----------- ------------
Total Net Assets............................. $ 93,198,402 $ 122,227,240 $ 28,830,488 $ 8,067,460 $ 81,209,709
------------ ------------- ------------ ----------- ------------
------------ ------------- ------------ ----------- ------------
Shares of beneficial interest outstanding........ 6,764,223 9,045,920 2,187,943 805,853 6,105,857
------------ ------------- ------------ ----------- ------------
------------ ------------- ------------ ----------- ------------
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding.................................... $ 13.78 $ 13.51 $ 13.18 $ 10.01 $ 13.30
------------ ------------- ------------ ----------- ------------
------------ ------------- ------------ ----------- ------------
<CAPTION>
EMERGING
MARKETS
SERIES
------------
ASSETS:
Investments (Notes 1, 3 and 5):
At identified cost............................. $ 50,186,214
------------
------------
At value....................................... $ 47,450,128
Cash............................................. 761,947
Receivables:
Shares of beneficial interest sold............. --
Investment securities sold..................... --
Dividends and/or interest...................... 129,134
Net unrealized appreciation on forward foreign
exchange contracts............................. --
------------
Total Assets................................. 48,341,209
------------
LIABILITIES:
Payables:
Shares of beneficial interest redeemed......... 88,452
Investment securities purchased................ 191,751
Net unrealized depreciation on forward foreign
exchange contracts............................. 82,672
Due to custodian................................. --
Unified fees payable (Note 2).................... 3,951
------------
Total Liabilities............................ 366,826
------------
NET ASSETS....................................... $ 47,974,383
------------
------------
NET ASSETS CONSIST OF:
Paid-in Capital.................................. $ 63,338,880
Undistributed net investment income.............. --
Accumulated net realized gain/(loss) on
securities, futures contracts, forward foreign
exchange contracts and foreign currency
transactions................................... (12,529,260)
Net unrealized appreciation/(depreciation) on
securities, futures contracts, forward foreign
exchange contracts and other assets and
liabilities denominated in foreign
currencies..................................... (2,835,237)
------------
Total Net Assets............................. $ 47,974,383
------------
------------
Shares of beneficial interest outstanding........ 5,297,187
------------
------------
NET ASSET VALUE, offering price and redemption
price per share of beneficial interest
outstanding.................................... $ 9.06
------------
------------
</TABLE>
- ------------------
a) The Limited Maturity Bond Series includes repurchase agreements amounting to
$16,967,812. The Liquid Asset Series includes a repurchase agreement
amounting to $5,266,585.
See Notes to Financial Statements.
16
<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>
$ 22,670,938 $ 31,149,608 $ 4,879,462 $ 295,333,987 $ 105,756,752 $ 88,542,644 $ 38,602,533
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
$ 26,596,931 $ 34,486,872 $ 5,851,699 $ 310,499,612 $ 118,119,291 $ 89,271,751(a) $ 38,602,533(a)
48,000 120,442 92,817 -- -- -- --
-- 58,727 -- -- 21,400 12,217 --
1,375,112 118,542 -- -- 366,349 -- --
30,290 220,211 8,388 2,932,210 505,478 855,518 84,880
481 -- -- -- -- -- --
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
28,050,814 35,004,794 5,952,904 313,431,822 119,012,518 90,139,486 38,687,413
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
89,282 27,961 -- 511,920 95,246 55,155 97,456
813,021 -- -- -- 174,756 -- --
-- -- -- -- -- -- --
-- -- -- 5,212,094 147,067 -- --
1,493 1,914 483 16,888 6,500 2,963 1,268
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
903,796 29,875 483 5,740,902 423,569 58,118 98,724
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
$ 27,147,018 $ 34,974,919 $ 5,952,421 $ 307,690,920 $ 118,588,949 $ 90,081,368 $ 38,588,689
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
$ 22,706,248 $ 31,219,617 $ 4,979,248 $ 286,468,604 $ 107,221,217 $ 84,355,576 $ 38,588,876
44,414 609,884 145 3,272,200 901,688 4,807,767 --
470,559 (191,846) 791 2,784,501 (1,896,482) 188,918 (187)
3,925,797 3,337,264 972,237 15,165,615 12,362,526 729,107 --
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
$ 27,147,018 $ 34,974,919 $ 5,952,421 $ 307,690,920 $ 118,588,949 $ 90,081,368 $ 38,588,689
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
1,804,987 2,770,209 494,701 24,570,757 8,601,294 8,079,425 38,588,906
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
15.04
$ $ 12.63 $ 12.03 $ 12.52 $ 13.79 $ 11.15 $ 1.00
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
- ------------- ------------ ----------- ------------- ------------- ------------ ------------
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
THE GCG TRUST
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
CAPITAL VALUE STRATEGIC RISING
ALL-GROWTH APPRECIATION EQUITY EQUITY DIVIDENDS
SERIES SERIES SERIES* SERIES* SERIES
------------ ------------ ----------- --------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends (Net of foreign withholding taxes of $8,038,
$888, $265, $9,853, $60,496, $58,067, $19,051 and
$3,074 for the All-Growth Series, Value Equity
Series, Strategic Equity Series, Rising Dividends
Series, Emerging Markets Series, Natural Resources
Series, Multiple Allocation Series and Fully Managed
Series, respectively)............................... $ 999,437 $ 2,153,465 $ 232,858 $ 33,184 $ 1,244,072
Interest.............................................. 1,025,963 529,149 42,179 23,603 200,243
------------ ------------ ----------- --------- ------------
Total Investment Income............................. 2,025,400 2,682,614 275,037 56,787 1,444,315
------------ ------------ ----------- --------- ------------
EXPENSES:
Unified fees (Note 2)................................. 832,889 1,055,352 108,140 11,085 641,200
Trustees' fees and expenses (Note 2).................. 5,151 6,585 529 -- 3,942
Other................................................. 781 727 727 -- 727
------------ ------------ ----------- --------- ------------
Expenses before waiver of fees...................... 838,821 1,062,664 109,396 11,085 645,869
Fees waived by Manager (Note 2)....................... -- -- -- -- --
------------ ------------ ----------- --------- ------------
Total Expenses...................................... 838,821 1,062,664 109,396 11,085 645,869
------------ ------------ ----------- --------- ------------
NET INVESTMENT INCOME................................. 1,186,579 1,619,950 165,641 45,702 798,446
------------ ------------ ----------- --------- ------------
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 $54,487 for the Emerging Markets Series)... 6,321,047 10,480,166 776,754 (4,508) 3,219
Futures contracts................................... -- -- -- (6,319) --
Forward foreign exchange contracts.................. -- -- (1) (2) --
Foreign currency transactions....................... -- -- 4 (4) --
Net change in unrealized appreciation/(depreciation)
on:
Securities.......................................... 8,831,778 15,080,708 2,355,567 11,847 16,739,426
Forward foreign exchange contracts.................. -- -- -- -- --
Other assets and liabilities denominated in foreign
currencies........................................ -- -- (2) (5) --
------------ ------------ ----------- --------- ------------
Net realized and unrealized gain/(loss) on
investments....................................... 15,152,825 25,560,874 3,132,322 1,009 16,742,645
------------ ------------ ----------- --------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... $ 16,339,404 $ 27,180,824 $ 3,297,963 $ 46,711 $ 17,541,091
------------ ------------ ----------- --------- ------------
------------ ------------ ----------- --------- ------------
<CAPTION>
EMERGING
MARKETS
SERIES
------------
INVESTMENT INCOME:
Dividends (Net of foreign withholding taxes of $8,038,
$888, $265, $9,853, $60,496, $58,067, $19,051 and
$3,074 for the All-Growth Series, Value Equity
Series, Strategic Equity Series, Rising Dividends
Series, Emerging Markets Series, Natural Resources
Series, Multiple Allocation Series and Fully Managed
Series, respectively)............................... $ 865,470
Interest.............................................. 187,569
------------
Total Investment Income............................. 1,053,039
------------
EXPENSES:
Unified fees (Note 2)................................. 817,859
Trustees' fees and expenses (Note 2).................. 3,804
Other................................................. 13,209
------------
Expenses before waiver of fees...................... 834,872
Fees waived by Manager (Note 2)....................... --
------------
Total Expenses...................................... 834,872
------------
NET INVESTMENT INCOME................................. 218,167
------------
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 $54,487 for the Emerging Markets Series)... (12,693,493)
Futures contracts................................... --
Forward foreign exchange contracts.................. (177,585)
Foreign currency transactions....................... 41,335
Net change in unrealized appreciation/(depreciation)
on:
Securities.......................................... 6,711,252
Forward foreign exchange contracts.................. (82,672)
Other assets and liabilities denominated in foreign
currencies........................................ (16,479)
------------
Net realized and unrealized gain/(loss) on
investments....................................... (6,217,642)
------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... ($ 5,999,475)
------------
------------
</TABLE>
- ------------------
* The Value Equity Series and the Strategic Equity Series commenced operations
on January 3, 1995 and October 2, 1995, respectively.
See Notes to Financial Statements.
18
<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>
$ 494,731 $ 2,248,846 $ -- $ 3,076,889 $ 2,019,338 $ -- $ --
59,501 117,161 223,253 13,502,765 2,854,542 5,332,243 2,544,008
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
554,232 2,366,007 223,253 16,579,654 4,873,880 5,332,243 2,544,008
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
291,869 347,823 51,724 3,056,095 1,102,160 516,872 254,546
1,951 2,257 267 19,521 6,933 5,265 2,885
727 726 727 728 1,012 727 727
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
294,547 350,806 52,718 3,076,344 1,110,105 522,864 258,158
-- -- (6,748) -- -- -- --
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
294,547 350,806 45,970 3,076,344 1,110,105 522,864 258,158
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
259,685 2,015,201 177,283 13,503,310 3,763,775 4,809,379 2,285,850
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
842,404 39,122 26,779 19,458,952 (1,095,310) 2,463,900 51
-- -- -- 2,404,040 -- -- --
2,074 -- -- (52) (4,674) -- --
6,863 -- -- 162 15,629 (3) --
1,526,776 3,141,679 972,237 17,506,940 18,065,643 2,326,656 --
481 -- -- -- -- -- --
)
(677 -- -- (10) (13) -- --
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
2,377,921 3,180,801 999,016 39,370,032 16,981,275 4,790,553 51
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
2,637,606
$ $ 5,196,002 $ 1,176,299 $ 52,873,342 $ 20,745,050 $ 9,599,932 $ 2,285,901
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
- ------------ ----------- ----------- ------------ ------------ ----------- -----------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
THE GCG TRUST
YEAR ENDED DECEMBER 31, 1995
<TABLE>
CAPITAL VALUE STRATEGIC RISING EMERGING
ALL-GROWTH APPRECIATION EQUITY EQUITY DIVIDENDS MARKETS
SERIES SERIES SERIES* SERIES* SERIES SERIES
------------ ------------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income......................... $ 1,186,579 $ 1,619,950 $ 165,641 $ 45,702 $ 798,446 $ 218,167
Net realized gain/(loss) on securities,
futures contracts, forward foreign exchange
contracts and foreign currency
transactions................................ 6,321,047 10,480,166 776,757 (10,833) 3,219 (12,829,743)
Net unrealized appreciation on securities,
futures contracts, forward foreign exchange
contracts and other assets and liabilities
denominated in foreign currencies........... 8,831,778 15,080,708 2,355,565 11,842 16,739,426 6,612,101
------------ ------------- ------------ ----------- ------------ ------------
Net increase/(decrease) in net assets
resulting from operations................... 16,339,404 27,180,824 3,297,963 46,711 17,541,091 (5,999,475)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (919,094) (1,240,656) (121,533) (18,654) (572,878) --
Net realized gains............................ (3,826,657) (9,067,480) (598,527) -- -- (7,833)
NET INCREASE/(DECREASE) IN NET ASSETS FROM
SHARES OF BENEFICIAL INTEREST TRANSACTIONS
(NOTE 4)...................................... 10,387,146 16,464,904 26,247,585 8,034,403 13,529,337 (11,242,221)
------------ ------------- ------------ ----------- ------------ ------------
Net increase/(decrease) in net assets........... 21,980,799 33,337,592 28,825,488 8,062,460 30,497,550 (17,249,529)
NET ASSETS:
Beginning of year............................... 71,217,603 88,889,648 5,000 5,000 50,712,159 65,223,912
------------ ------------- ------------ ----------- ------------ ------------
End of year..................................... $ 93,198,402 $ 122,227,240 $ 28,830,488 $ 8,067,460 $ 81,209,709 $ 47,974,383
------------ ------------- ------------ ----------- ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------
Undistributed net investment income............. $ 267,485 $ 379,294 $ 44,111 $ 27,042 $ 225,568 $ --
------------ ------------- ------------ ----------- ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------
</TABLE>
- ------------------
* The Value Equity Series and the Strategic Equity Series commenced operations
on January 3, 1995 and October 2, 1995, respectively.
See Notes to Financial Statements.
20
<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>
$ 259,685 $ 2,015,201 $ 177,283 $ 13,503,310 $ 3,763,775 $ 4,809,379 $ 2,285,850
851,341 39,122 26,779 21,863,102 (1,084,355) 2,463,897 51
1,526,580 3,141,679 972,237 17,506,930 18,065,630 2,326,656 --
- ------------ ------------ ----------- ------------- ------------- ------------ ------------
2,637,606 5,196,002 1,176,299 52,873,342 20,745,050 9,599,932 2,285,901
(224,208) (1,405,317) (177,138) (10,231,220) (2,873,042) -- (2,285,850)
(349,161) -- (25,988) (11,548,721) -- -- --
)
(7,795,740 (6,151,961) 2,225,002 (22,794,538) 862,794 8,268,477 (7,533,335)
- ------------ ------------ ----------- ------------- ------------- ------------ ------------
(5,731,503) (2,361,276) 3,198,175 8,298,863 18,734,802 17,868,409 (7,533,284)
32,878,521 37,336,195 2,754,246 299,392,057 99,854,147 72,212,959 46,121,973
- ------------ ------------ ----------- ------------- ------------- ------------ ------------
$ 27,147,018 $ 34,974,919 $ 5,952,421 $ 307,690,920 $ 118,588,949 $ 90,081,368 $ 38,588,689
- ------------ ------------ ----------- ------------- ------------- ------------ ------------
- ------------ ------------ ----------- ------------- ------------- ------------ ------------
$ 44,414 $ 609,884 $ 145 $ 3,272,200 $ 901,688 $ 4,807,767 $ --
- ------------ ------------ ----------- ------------- ------------- ------------ ------------
- ------------ ------------ ----------- ------------- ------------- ------------ ------------
</TABLE>
See Notes to Financial Statements.
21
<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>
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.
22
<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.
23
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
ALL-GROWTH SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 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
year........................... $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $ 10.59 $ 10.00
--------- --------- --------- --------- --------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............ 0.18 0.11 0.05 0.08 0.11 0.19 0.09
Net realized and unrealized gain/
(loss) on investments.......... 2.47 (1.56) 0.78 (0.41) 3.40 (0.94) 0.66
--------- --------- --------- --------- --------- --------- ----------
Total from investment
operations..................... 2.65 (1.45) 0.83 (0.33) 3.51 (0.75) 0.75
--------- --------- --------- --------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment
income......................... (0.14) (0.11) (0.05) (0.08) (0.11) (0.19) (0.09)
Distributions from
capital gains.................. (0.59) -- -- -- -- -- --
Paid in Capital.................. -- -- -- -- -- -- (0.07)
--------- --------- --------- --------- --------- --------- ----------
Total distributions.............. (0.73) (0.11) (0.05) (0.08) (0.11) (0.19) (0.16)
--------- --------- --------- --------- --------- --------- ----------
Net asset value, end of year..... $ 13.78 $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $ 10.59
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
Total return..................... 22.42% (10.77)% 6.56% (2.59)% 36.48% (7.35)% 7.20%++
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year
(in 000's)..................... $ 93,198 $ 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............. 1.42% 1.08% 0.52% 0.61% 0.94% 1.99% 0.94%+
Portfolio turnover rate.......... 81% 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.
24
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
12/31/95 12/31/94 12/31/93 12/31/92*
---------- --------- --------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning of year......................................... $ 11.34 $ 11.76 $ 11.00 $ 10.00
---------- --------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income...................................................... 0.19 0.23 0.13 0.12
Net realized and unrealized gain/(loss) on investments..................... 3.22 (0.42) 0.78 1.00
---------- --------- --------- ----------
Total from investment operations........................................... 3.41 (0.19) 0.91 1.12
---------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income....................................... (0.15) (0.23) (0.13) (0.12)
Distributions from capital gains........................................... (1.09) -- (0.02) --
---------- --------- --------- ----------
Total distributions........................................................ (1.24) (0.23) (0.15) (0.12)
---------- --------- --------- ----------
Net asset value, end of year............................................... $ 13.51 $ 11.34 $ 11.76 $ 11.00
---------- --------- --------- ----------
---------- --------- --------- ----------
Total return............................................................... 30.16% (1.59)% 8.31% 10.87%++
---------- --------- --------- ----------
---------- --------- --------- ----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)......................................... $ 122,227 $ 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....................... 1.53% 1.96% 1.69% 2.06%+
Portfolio turnover rate.................................................... 98% 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.
25
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE YEAR.
<TABLE>
<CAPTION>
YEAR
ENDED
12/31/95*
----------
<S> <C>
Net asset value, beginning of year.................................................................................. $ 10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............................................................................................... 0.08
Net realized and unrealized gain on investments..................................................................... 3.44
----------
Total from investment operations.................................................................................... 3.52
----------
LESS DISTRIBUTIONS:
Dividends from net investment income................................................................................ (0.06)
Distributions from capital gains.................................................................................... (0.28)
----------
Total distributions................................................................................................. (0.34)
----------
Net asset value, end of year........................................................................................ $ 13.18
----------
----------
Total return........................................................................................................ 35.21%
----------
----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's).................................................................................. $ 28,830
Ratio of operating expenses to average net assets................................................................... 1.01%
Ratio of net investment income to average net assets................................................................ 1.53%
Portfolio turnover rate............................................................................................. 86%
</TABLE>
- ------------------
*The Value Equity Series commenced operations on January 3, 1995.
See Notes to Financial Statements.
26
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
STRATEGIC EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE PERIOD.
<TABLE>
<CAPTION>
PERIOD
ENDED
12/31/95*
----------
<S> <C>
Net asset value, beginning of period................................................................................ $ 10.00
----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income............................................................................................... 0.06
Net realized and unrealized loss on investments..................................................................... (0.03)#
----------
Total from investment operations.................................................................................... 0.03
----------
LESS DISTRIBUTIONS:
Dividends from net investment income................................................................................ (0.02)
Distributions from capital gains.................................................................................... --
----------
Total distributions................................................................................................. (0.02)
----------
Net asset value, end of period...................................................................................... $ 10.01
----------
----------
Total return........................................................................................................ 0.33%++
----------
----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................................................................ $ 8,067
Ratio of operating expenses to average net assets................................................................... 1.00%+
Ratio of net investment income to average net assets................................................................ 4.04%+
Portfolio turnover rate............................................................................................. 29%
</TABLE>
- ------------------
* The Strategic Equity Series commenced operations on October 2, 1995.
+ Annualized
++ Non-annualized
# The amount shown may not accord with the change in the aggregate gains and
losses of portfolio securities due to timing of sales and redemptions of Fund
shares.
See Notes to Financial Statements.
27
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR PERIOD
ENDED ENDED ENDED
12/31/95 12/31/94 12/31/93*
--------- --------- ----------
<S> <C> <C> <C>
Net asset value, beginning of year......................................................... $ 10.22 $ 10.30 $ 10.00
--------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income...................................................................... 0.13 0.14 0.01
Net realized and unrealized gain/(loss) on investments..................................... 3.04 (0.08) 0.30
--------- --------- ----------
Total from investment operations........................................................... 3.17 0.06 0.31
--------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income....................................................... (0.09) (0.14) (0.01)
Distributions from capital gains........................................................... -- -- --
--------- --------- ----------
Total distributions........................................................................ (0.09) (0.14) (0.01)
--------- --------- ----------
Net asset value, end of year............................................................... $ 13.30 $ 10.22 $ 10.30
--------- --------- ----------
--------- --------- ----------
Total return............................................................................... 31.06% 0.59% 3.10%++
--------- --------- ----------
--------- --------- ----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)......................................................... $ 81,210 $ 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....................................... 1.24% 1.88% 0.34%++
Portfolio turnover rate.................................................................... 43% 25.99% 2.79%
</TABLE>
- ------------------
* The Rising Dividends Series commenced operations on October 4, 1993.
++ Non-annualized
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
EMERGING MARKETS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR PERIOD
ENDED ENDED ENDED
12/31/95 12/31/94 12/31/93*
--------- --------- ----------
<S> <C> <C> <C>
Net asset value, beginning of year...................................................... $ 10.08 $ 12.44 $ 10.00
--------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income................................................................... 0.04 -- --
Net realized and unrealized gain/(loss) on investments.................................. (1.06) (1.89) 2.44
--------- --------- ----------
Total from investment operations........................................................ (1.02) (1.89) 2.44
--------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income.................................................... -- -- --
Distributions from capital gains........................................................ (0.00)# (0.47) --
--------- --------- ----------
Total distributions..................................................................... (0.00) (0.47) --
--------- --------- ----------
Net asset value, end of year............................................................ $ 9.06 $ 10.08 $ 12.44
--------- --------- ----------
--------- --------- ----------
Total return............................................................................ (10.11)% (15.18)% 24.40%++
--------- --------- ----------
--------- --------- ----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)...................................................... $ 47,974 $ 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.................................... 0.40% 0.03% 0.00%++
Portfolio turnover rate................................................................. 141% 105.88% 0.00%
</TABLE>
- ------------------
* The Emerging Markets Series commenced operations on October 4, 1993.
++ Non-annualized
# Amount represents less than $0.01 per share.
See Notes to Financial Statements.
29
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
NATURAL RESOURCES SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 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
year........................... $ 13.88 $ 13.89 $ 9.31 $ 10.46 $ 10.11 $ 11.89 $ 10.00
--------- --------- --------- --------- --------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income/(loss)..... 0.15 0.13 0.07 0.14 0.13 0.13 (0.35)
Net realized and unrealized gain/
(loss) on investments.......... 1.34 0.23 4.58 (1.15) 0.35 (1.78) 2.26
--------- --------- --------- --------- --------- --------- ----------
Total from investment
operations..................... 1.49 0.36 4.65 (1.01) 0.48 (1.65) 1.91
--------- --------- --------- --------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment
income......................... (0.13) (0.13) (0.07) (0.14) (0.13) (0.13) --
Distributions from
capital gains.................. (0.20) (0.24) -- -- -- -- (0.02)
--------- --------- --------- --------- --------- --------- ----------
Total distributions.............. (0.33) (0.37) (0.07) (0.14) (0.13) (0.13) (0.02)
--------- --------- --------- --------- --------- --------- ----------
Net asset value, end of year..... $ 15.04 $ 13.88 $ 13.89 $ 9.31 $ 10.46 $ 10.11 $ 11.89
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
Total return..................... 10.69% 2.53% 49.93% (9.81)% 4.70% (13.84)% 18.96%++
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in
000's)......................... $ 27,147 $ 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......................... 0.89% 1.01% 1.03% 1.38% 1.21% 1.21% (3.65)%+
Portfolio turnover rate.......... 24% 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.
30
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
REAL ESTATE SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 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
year........................... $ 11.29 $ 11.18 $ 9.81 $ 9.02 $ 7.05 $ 9.53 $ 10.00
--------- --------- --------- --------- --------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............ 0.75 0.60 0.32 0.52 0.42 0.50 0.05
Net realized and unrealized gain/
(loss) on investments.......... 1.12 0.11# 1.37# 0.79 1.97 (2.48) (0.06)
--------- --------- --------- --------- --------- --------- ----------
Total from investment
operations..................... 1.87 0.71 1.69 1.31 2.39 (1.98) (0.01)
--------- --------- --------- --------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment
income......................... (0.53) (0.60) (0.32) (0.52) (0.42) (0.50) (0.05)
Distributions from capital
gains.......................... -- -- -- -- -- -- (0.30)
Paid in Capital.................. -- -- -- -- -- -- (0.11)
--------- --------- --------- --------- --------- --------- ----------
Total distributions.............. (0.53) (0.60) (0.32) (0.52) (0.42) (0.50) (0.46)
--------- --------- --------- --------- --------- --------- ----------
Net asset value, end of year..... $ 12.63 $ 11.29 $ 11.18 $ 9.81 $ 9.02 $ 7.05 $ 9.53
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
Total return..................... 16.59% 6.34% 17.27% 13.87% 34.06% (20.78)% (1.22)%++
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in
000's)......................... $ 34,975 $ 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............. 5.79% 5.31% 4.69% 5.74% 5.00% 5.95% 0.55%+
Portfolio turnover rate.......... 53% 64.18% 38.37% 17.57% 53.79% 47.16% 82.94%
</TABLE>
- ------------------
* The Real Estate Series commenced operations on January 24, 1989.
** 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
# The amount shown may not accord with the change in the aggregate gains and
losses of portfolio securities due to timing of sales and redemptions of Fund
shares.
See Notes to Financial Statements.
31
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
MARKET MANAGER SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
12/31/95 12/31/94*
---------- ----------
<S> <C> <C>
Net asset value, beginning of year..................................................................... $ 10.02 $ 10.00
---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................................................................................. 0.37 0.02
Net realized and unrealized gain on investments........................................................ 2.06 0.02
---------- ----------
Total from investment operations....................................................................... 2.43 0.04
---------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income................................................................... (0.37) (0.02)
Distributions from capital gains....................................................................... (0.05) --
---------- ----------
Total distributions.................................................................................... (0.42) (0.02)
---------- ----------
Net asset value, end of year........................................................................... $ 12.03 $ 10.02
---------- ----------
---------- ----------
Total return........................................................................................... 24.33% 0.44%++
---------- ----------
---------- ----------
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000's)..................................................................... $ 5,952 $ 2,754
Ratio of operating expenses to average net assets...................................................... 0.89% --
Decrease reflected in above expense ratio due to expense limitations................................... 0.13% 0.13%++
Ratio of net investment income to average net assets................................................... 3.42% 0.65%++
Portfolio turnover rate................................................................................ 5% --
</TABLE>
- ------------------
* The Market Manager Series commenced operations on November 14, 1994.
++ Non-annualized
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 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 year................... $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34 $ 10.00
---------- ---------- ---------- ---------- --------- --------- ----------
INCOME/(LOSS) FROM
INVESTMENT OPERATIONS:
Net investment income....... 0.58 0.42 0.24 0.42 0.49 0.57 0.58
Net realized and unrealized
gain/(loss) on
investments............... 1.56 (0.56) 1.03 (0.18) 1.57 (0.08) 0.44
---------- ---------- ---------- ---------- --------- --------- ----------
Total from investment
operations................ 2.14 (0.14) 1.27 0.24 2.06 0.49 1.02
---------- ---------- ---------- ---------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net
investment income......... (0.45) (0.42) (0.24) (0.42) (0.49) (0.57) (0.58)
Distributions from capital
gains..................... (0.50) -- (0.55) (0.14) (0.10) -- (0.10)
---------- ---------- ---------- ---------- --------- --------- ----------
Total distributions......... (0.95) (0.42) (0.79) (0.56) (0.59) (0.57) (0.68)
---------- ---------- ---------- ---------- --------- --------- ----------
Net asset value, end of
year...................... $ 12.52 $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34
---------- ---------- ---------- ---------- --------- --------- ----------
---------- ---------- ---------- ---------- --------- --------- ----------
Total return................ 18.93% (1.18)% 11.13% 1.88% 20.02% 4.74% 8.92%++
---------- ---------- ---------- ---------- --------- --------- ----------
---------- ---------- ---------- ---------- --------- --------- ----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year
(in 000's)................ $ 307,691 $ 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.................... 4.42% 3.56% 2.75% 3.65% 4.43% 5.73% 6.52%+
Portfolio turnover rate..... 187% 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.
33
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
FULLY MANAGED SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 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
year........................ $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $ 10.16 $ 10.00
---------- --------- ---------- --------- --------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income......... 0.45 0.35 0.19 0.28 0.29 0.33 0.28
Net realized and
unrealized gain/
(loss) on investments....... 1.98 (1.29) 0.75 0.49 2.43 (0.65) 0.16
---------- --------- ---------- --------- --------- --------- ----------
Total from investment
operations.................. 2.43 (0.94) 0.94 0.77 2.72 (0.32) 0.44
---------- --------- ---------- --------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment
income...................... (0.34) (0.35) (0.19) (0.28) (0.29) (0.33) (0.28)
Distributions from capital
gains....................... -- -- (0.19) -- -- -- --
---------- --------- ---------- --------- --------- --------- ----------
Total distributions........... (0.34) (0.35) (0.38) (0.28) (0.29) (0.33) (0.28)
---------- --------- ---------- --------- --------- --------- ----------
Net asset value, end of
year........................ $ 13.79 $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $ 10.16
---------- --------- ---------- --------- --------- --------- ----------
---------- --------- ---------- --------- --------- --------- ----------
Total return.................. 20.80% (7.27)% 7.59% 6.23% 28.93% (3.18)% 3.90%++
---------- --------- ---------- --------- --------- --------- ----------
---------- --------- ---------- --------- --------- --------- ----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in
000's)...................... $ 118,589 $ 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....... 3.41% 2.62% 2.12% 2.38% 2.71% 3.38% 3.07%+
Portfolio turnover rate....... 113% 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.
34
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
LIMITED MATURITY BOND SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 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
year........................... $ 9.98 $ 10.62 $ 10.43 $ 10.54 $ 10.15 $ 10.16 $ 10.00
--------- --------- --------- --------- --------- --------- ----------
INCOME/(LOSS) FROM INVESTMENT
OPERATIONS:
Net investment income............ 0.60 0.51 0.40 0.60 0.68 0.72 0.74
Net realized and unrealized gain/
(loss) on investments.......... 0.57 (0.64) 0.23 (0.11) 0.42 -- 0.19
--------- --------- --------- --------- --------- --------- ----------
Total from investment
operations..................... 1.17 (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 year..... $ 11.15 $ 9.98 $ 10.62 $ 10.43 $ 10.54 $ 10.15 $ 10.16
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
Total return..................... 11.72% (1.19)% 6.20% 4.84% 11.27% 7.87% 9.69%++
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in
000's)......................... $ 90,081 $ 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............. 5.58% 4.73% 4.64% 5.71% 6.58% 7.47% 8.56%+
Portfolio turnover rate.......... 302% 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.
35
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
THE GCG TRUST
LIQUID ASSET SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 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
year........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- --------- --------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income............ 0.054 0.040 0.030 0.030 0.050 0.070 0.080
--------- --------- --------- --------- --------- --------- ----------
Total from investment
operations..................... 0.054 0.040 0.030 0.030 0.050 0.070 0.080
--------- --------- --------- --------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment
income......................... (0.054) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
--------- --------- --------- --------- --------- --------- ----------
Total distributions.............. (0.054) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
--------- --------- --------- --------- --------- --------- ----------
Net asset value, end of year..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
Total return..................... 5.51% 3.89% 2.64% 3.13% 5.66% 7.75% 7.67%++
--------- --------- --------- --------- --------- --------- ----------
--------- --------- --------- --------- --------- --------- ----------
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of year (in
000's)......................... $ 38,589 $ 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............. 5.39% 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.
36
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
ALL-GROWTH SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 82.2%
AEROSPACE/DEFENSE -- 5.4%
130,000 GRC International Inc.+.............. $ 4,988,750
-----------
BANKS/SAVINGS AND LOAN -- 10.4%
17,000 Ahmanson (H F) & Company............. 450,500
38,000 BankAmerica Corporation.............. 2,460,500
33,000 Crestar Financial Corporation........ 1,951,125
32,000 First Interstate Bancorp............. 4,368,000
18,000 Great Western Financial.............. 459,000
-----------
9,689,125
-----------
CHEMICALS -- 0.8%
58,000 Quaker State Corporation............. 732,250
-----------
COMMUNICATIONS AND MEDIA -- 4.3%
91,000 Comcast Corporation, Class A, Special
Shares (Non-Voting)................ 1,655,063
74,000 Tele-Communication Inc., Class A+.... 1,470,750
24,000 Time Warner Inc...................... 909,000
-----------
4,034,813
-----------
COMPUTER INDUSTRY -- 6.1%
55,000 Honeywell, Inc....................... 2,674,375
18,000 International Business Machines
Corporation........................ 1,651,500
35,000 Micron Technology Inc................ 1,386,875
-----------
5,712,750
-----------
ELECTRONICS -- 3.3%
30,000 Motorola, Inc........................ 1,710,000
27,000 Texas Instruments Inc................ 1,397,250
-----------
3,107,250
-----------
ENGINEERING/CONSTRUCTION -- 2.4%
62,000 Stone & Webster Inc.................. 2,224,250
-----------
FINANCIAL SERVICES -- 1.9%
105,000 USF&G Corporation.................... 1,771,875
-----------
HEALTH CARE SERVICES -- 2.7%
20,000 Acuson Corporation+.................. 247,500
85,000 FoxMeyer Health Corporation+......... 2,273,750
-----------
2,521,250
-----------
INDUSTRIAL MANUFACTURING AND PROCESSING -- 14.7%
170,000 Bethlehem Steel Corporation+......... 2,380,000
83,000 Corning Inc.......................... 2,656,000
72,000 Inco Ltd............................. 2,394,000
160,000 LTV Corporation+..................... 2,200,000
285,000 Republic Engineered Steels Inc.+..... 1,318,125
90,000 USX-U.S. Steel Group................. 2,767,500
-----------
13,715,625
-----------
LEISURE ENTERTAINMENT -- 1.3%
100,000 Acclaim Entertainment Inc.+.......... 1,237,500
-----------
METAL MINING -- 19.7%
150,000 Coeur d'Alene Mines Corporation...... 2,568,750
225,000 Homestake Mining Company............. 3,515,625
89,000 Newmont Mining Corporation........... 4,027,250
203,000 Pegasus Gold Inc.+................... 2,816,625
146,000 Placer Dome Inc., ADR................ 3,522,250
200,000 Prime Resources Group, ADR+.......... 1,374,281
50,000 WHX Corporation+..................... 543,750
-----------
18,368,531
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
OIL SERVICES -- 4.0%
82,000 Baker Hughes Inc..................... $ 1,998,750
34,000 Halliburton Company.................. 1,721,250
-----------
3,720,000
-----------
PAPER AND FOREST PRODUCTS -- 2.7%
46,000 Boise Cascade Corporation............ 1,592,750
38,000 James River Corporation of
Virginia........................... 916,750
-----------
2,509,500
-----------
RETAIL -- 1.2%
9,666 Ben Franklin Retail Stores Inc....... 26,581
72,000 Intimate Brands Inc.................. 1,080,000
-----------
1,106,581
-----------
TELECOMMUNICATIONS EQUIPMENT -- 1.3%
41,000 AirTouch Communications Inc.+........ 1,158,250
-----------
Total Common Stocks
(Cost $69,224,398)................. 76,598,300
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 12.3%
U.S. TREASURY BILLS:
$5,000,000 5.490%++ due 01/18/1996.............. 4,987,458
5,000,000 5.450%++ due 02/01/1996.............. 4,977,163
1,500,000 5.500%++ due 02/22/1996.............. 1,488,430
-----------
Total U.S. Treasury Obligations
(Cost $11,453,051)................. 11,453,051
-----------
REPURCHASE AGREEMENT -- 6.0%
(Cost $5,585,000)
5,585,000 Agreement with PNC Securities
Corporation, 5.600% dated
12/29/1995 to be repurchased at
$5,588,475 on 01/02/1996,
collateralized by $5,465,000 U.S.
Treasury Notes, 5.750% due
09/30/1997 (value $5,591,373)...... 5,585,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $86,262,449*)..... 100.5% 93,636,351
OTHER ASSETS AND LIABILITIES (NET)........ (0.5) (437,949)
--------- -----------
NET ASSETS................................ 100.0% $93,198,402
--------- -----------
--------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $86,273,367.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
See Notes to Financial Statements.
37
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
CAPITAL APPRECIATION SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 95.9%
AERO/TRANSPORT -- 7.6%
55,100 AlliedSignal Inc..................... $ 2,617,250
38,600 Boeing Company....................... 3,025,275
29,200 Lockheed Martin Corporation.......... 2,306,800
18,600 Sundstrand Corporation............... 1,308,975
-----------
9,258,300
-----------
BUILDING -- 1.0%
91,600 DeBartolo Realty Corporation......... 1,190,800
-----------
COMMODITIES -- 12.5%
44,600 Aluminum Company of America.......... 2,358,225
39,800 Grace (W.R.) & Company............... 2,353,175
45,000 Hercules, Inc........................ 2,536,875
19,734 Kimberly-Clark Corporation........... 1,632,989
13,200 Monsanto Company..................... 1,617,000
27,100 PPG Industries Inc................... 1,239,825
46,400 Praxair Inc.......................... 1,560,200
106,100 Riverwood International
Corporation........................ 2,029,162
-----------
15,327,451
-----------
CYCLICALS -- DURABLES -- 2.2%
48,300 Chrysler Corporation................. 2,674,613
-----------
CYCLICALS -- NON DURABLES -- 4.5%
65,000 CUC International Inc.+.............. 2,218,125
99,100 Host Marriott Corporation+........... 1,313,075
71,600 Manpower Inc......................... 2,013,750
-----------
5,544,950
-----------
DEFENSIVE STAPLES -- 4.1%
30,800 ConAgra Inc.......................... 1,270,500
19,800 CPC International Inc................ 1,358,775
29,300 Procter & Gamble Company............. 2,431,900
-----------
5,061,175
-----------
ELECTRICAL EQUIPMENT -- 1.1%
16,500 Emerson Electric Company............. 1,348,875
-----------
ELECTRONICS -- 2.3%
17,600 Intel Corporation.................... 998,800
22,000 LSI Logic Corporation+............... 720,500
43,000 Teradyne Inc.+....................... 1,075,000
-----------
2,794,300
-----------
ENERGY -- 4.4%
19,500 Amoco Corporation.................... 1,401,562
11,900 Mobil Corporation.................... 1,332,800
18,400 Texaco Inc........................... 1,444,400
45,200 Ultramar Corporation................. 1,163,900
-----------
5,342,662
-----------
ENTERTAINMENT -- 6.1%
132,200 Comcast Corporation, Class A, Special
Shares (Non-Voting)................ 2,404,388
93,500 Tele-Com Liberty Media, Class A+..... 2,512,812
66,100 Time Warner Inc...................... 2,503,537
-----------
7,420,737
-----------
FINANCE/BANKS -- 8.1%
49,800 Bank of New York Inc................. 2,427,750
24,200 Chase Manhattan Corporation.......... 1,467,125
41,500 First Union Corporation.............. 2,308,438
34,500 NationsBank Corporation.............. 2,402,062
37,900 Norwest Corporation.................. 1,250,700
-----------
9,856,075
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
FINANCE/INSURANCE -- 2.0%
30,373 Allstate Corporation................. $ 1,249,090
20,700 Household International Inc.......... 1,223,888
-----------
2,472,978
-----------
GROWTH STAPLES -- 4.6%
46,000 PepsiCo Inc.......................... 2,570,250
33,300 Philip Morris Companies Inc.......... 3,013,650
-----------
5,583,900
-----------
HEALTH CARE -- 14.4%
19,300 Aetna Life & Casualty Company........ 1,336,525
30,000 Boston Scientific Corporation+....... 1,470,000
16,500 Bristol-Myers Squibb Company......... 1,416,938
36,400 Johnson & Johnson.................... 3,116,750
44,100 Merck & Company Inc.................. 2,899,575
49,600 Pfizer, Inc.......................... 3,124,800
29,300 Schering-Plough Corporation.......... 1,604,175
20,000 United Heathcare Corporation......... 1,310,000
13,200 Warner-Lambert Company............... 1,282,050
-----------
17,560,813
-----------
INFORMATION PROCESSING -- 8.6%
22,000 Compaq Computer Corporation+......... 1,056,000
35,167 First Data Corporation............... 2,351,793
27,500 Hewlett-Packard Company.............. 2,303,125
25,300 Microsoft Corporation+............... 2,220,075
55,100 3Com Corporation+.................... 2,569,037
-----------
10,500,030
-----------
RETAIL -- 5.4%
44,200 Federated Department Stores Inc.+.... 1,215,500
26,700 May Department Stores Company........ 1,128,075
44,100 Rite Aid Corporation................. 1,510,425
39,700 Sears, Roebuck & Company............. 1,548,300
52,000 Staples Inc.+........................ 1,267,500
-----------
6,669,800
-----------
TELECOMMUNICATION SERVICES -- 2.4%
37,000 BellSouth Corporation................ 1,609,500
50,000 MCI Communications Corporation....... 1,306,250
-----------
2,915,750
-----------
UTILITY -- 4.6%
44,100 CMS Energy Corporation............... 1,317,487
67,300 GTE Corporation...................... 2,961,200
57,100 Southern Company..................... 1,406,088
-----------
5,684,775
-----------
Total Common Stocks
(Cost $100,777,235)................ 117,207,984
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C>
U.S TREASURY OBLIGATION -- 4.2%
(Cost $5,102,969)
U.S. TREASURY BILL:
$5,137,000 5.420%++ due 02/15/1996................. 5,102,969
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $105,880,204*)................... 100.1% 122,310,953
OTHER ASSETS AND LIABILITIES (NET)....... (0.1) (83,713)
--------- ------------
NET ASSETS............................... 100.0% $122,227,240
--------- ------------
--------- ------------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $105,882,545.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
38
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
VALUE EQUITY SERIES
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
VALUE
SHARES (NOTE 1)
- ----------- ----------
COMMON STOCKS -- 99.7%
AEROSPACE/DEFENSE -- 2.3%
6,000 Boeing Company........................ $ 470,250
2,000 McDonnell Douglas Corporation......... 184,000
----------
654,250
----------
AUTOMOBILE -- 2.8%
5,000 Chrysler Corporation.................. 276,875
12,000 Ford Motor Company.................... 348,000
3,400 General Motors Corporation............ 179,775
----------
804,650
----------
AUTOMOBILE PARTS -- 2.9%
15,500 Breed Technologies Inc................ 286,750
3,500 Dana Corporation...................... 102,375
4,000 Eaton Corporation..................... 214,500
4,000 Federal-Mogul Corporation............. 78,500
3,000 Magna International Inc., Class A..... 129,750
1,000 O'Reilly Automotive Inc.+............. 29,000
----------
840,875
----------
BANKS -- 4.4%
2,000 Banc One Corporation.................. 75,500
300 Bank of New York Inc.................. 14,625
4,400 BankAmerica Corporation............... 284,900
7,500 Dime Bancorp Inc.+.................... 87,188
300 First Interstate Bancorp.............. 40,950
800 Fleet Financial Group Inc............. 32,600
2,000 Home Financial Corporation............ 31,000
3,000 Imperial Thrift & Loan Association.... 36,750
3,000 Klamath First Bancorp Inc.+........... 41,250
6,500 Mellon Bank Corporation............... 349,375
5,000 PNC Bank Corporation.................. 161,250
2,300 Wachovia Corporation.................. 105,225
----------
1,260,613
----------
BEVERAGES -- 0.7%
3,500 PepsiCo Inc........................... 195,562
----------
BIOTECHNOLOGY -- 0.4%
3,000 Beckman Instruments Inc............... 106,125
----------
BUSINESS SERVICES -- 2.0%
2,500 Autodesk, Inc......................... 85,625
4,000 Automatic Data Processing Inc......... 297,000
1,600 Cross (A.T.) Company, Class A......... 24,200
2,500 Danka Business Systems................ 92,500
2,900 Deluxe Corporation.................... 84,100
----------
583,425
----------
CHEMICALS -- 1.8%
6,500 du Pont (E.I.) de Nemours &
Company, Inc........................ 454,187
2,000 Lubrizol Corporation.................. 55,750
----------
509,937
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
COMMUNICATION & INFORMATION -- 1.0%
4,000 Electronic Arts Inc.+................. $ 104,500
2,000 Intel Corporation..................... 113,500
5,000 Macneal-Schwendler Corporation........ 80,000
----------
298,000
----------
CONSTRUCTION ENGINEERING -- 0.8%
533 Castle & Cooke, Inc.+................. 8,933
5,000 Foster Wheeler Corporation............ 212,500
----------
221,433
----------
COSMETICS -- 1.4%
1,000 Estee Lauder Company Inc.............. 34,875
1,500 Jean Phillipe Fragrances+............. 12,188
7,500 Tambrands Inc......................... 358,125
----------
405,188
----------
DEFENSE -- 0.9%
5,000 General Motors Corporation, Class H... 245,625
----------
ELECTRIC UTILITIES -- 0.3%
3,000 Minnesota Power & Light Company....... 85,125
----------
ELECTRONICS -- 0.9%
1,700 Philips Electronics NV................ 60,987
3,000 Sony Corporation, ADR................. 184,125
----------
245,112
----------
ENTERTAINMENT -- 0.9%
11,500 Royal Caribbean Cruises Ltd........... 253,000
----------
FINANCIAL -- 4.0%
1,000 DST Systems Inc....................... 28,500
400 Federal National Mortgage
Association......................... 49,650
3,500 Great Western Financial Corporation... 89,250
2,300 Lehman Brothers Holdings Inc.......... 48,875
2,500 Morgan (J.P.) & Company Inc........... 200,625
4,000 Salomon Inc........................... 142,000
9,000 Student Loan Marketing Association.... 592,875
----------
1,151,775
----------
HARDWARE AND TOOLS -- 0.8%
6,500 Black & Decker Corporation............ 229,125
----------
HEALTH CARE -- 13.2%
7,600 Abbott Laboratories................... 317,300
3,000 Bausch & Lomb Inc..................... 118,875
4,000 Baxter International.................. 167,500
5,500 Columbia Healthcare Corporation....... 279,125
5,500 Foundation Health Corporation+........ 236,500
5,200 Healthsource Inc.+.................... 187,200
2,300 Horizons/CMS Healthcare
Corporation+........................ 58,075
16,500 Humana Inc.+.......................... 451,688
4,000 Integrated Health Services Inc........ 100,000
1,500 Oxford Health Plans+.................. 110,812
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
VALUE EQUITY SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
HEALTH CARE -- (CONTINUED)
1,600 Sterile Concepts Holdings............. $ 23,200
2,000 Summit Technology Inc.+............... 67,500
16,500 Tenet Healthcare Corporation+......... 342,375
9,000 United Healthcare Corporation......... 589,500
13,000 U.S. HealthCare Inc................... 604,500
3,000 Value Health Inc.+.................... 82,500
1,500 VISX Inc.+............................ 58,500
----------
3,795,150
----------
HOSPITAL MANAGEMENT -- 0.5%
4,000 Medaphis Corporation+................. 148,000
----------
HOUSEHOLD PRODUCTS/WARE -- 0.5%
5,500 Rubbermaid, Inc....................... 140,250
----------
INSURANCE -- 3.1%
7,000 Allstate Corporation.................. 287,875
5,000 Hartford Steam Boiler Company......... 250,000
7,800 Torchmark Corporation................. 352,950
----------
890,825
----------
MACHINERY -- 0.3%
600 Caterpillar Inc....................... 35,250
1,300 Harnischfeger Industries Inc.......... 43,225
----------
78,475
----------
MANUFACTURING INDUSTRIES -- 3.1%
5,000 Honeywell, Inc........................ 243,125
1,500 Johnson Controls Inc.................. 103,125
11,700 Pitney Bowes Inc...................... 549,900
----------
896,150
----------
MARITIME INDUSTRY -- 0.0%#
1,500 OMI Corporation+...................... 9,750
----------
METAL -- 1.3%
6,000 Carpenter Technology Corporation...... 246,750
2,500 Nucor Corporation..................... 142,813
----------
389,563
----------
MULTI-INDUSTRY COMPANIES -- 1.6%
28,000 Westinghouse Electric Corporation..... 462,000
----------
NONDURABLE GOODS -- CONSUMER -- 0.8%
3,500 Eastman Kodak Company................. 234,500
----------
OIL/GAS-INTERNATIONAL -- 9.9%
400 Amerada Hess Corporation.............. 21,200
3,600 Amoco Corporation..................... 258,750
2,500 Anadarko Petroleum Company............ 135,313
2,000 Atlantic Richfield Company............ 221,500
4,500 British Petroleum, ADR................ 459,563
2,500 Chevron Corporation................... 131,250
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
OIL/GAS-INTERNATIONAL -- (CONTINUED)
6,000 Exxon Corporation..................... $ 480,750
4,500 Mobil Corporation..................... 504,000
400 Norsk Hydro A.S., ADR................. 16,750
12,000 Occidental Petroleum Corporation...... 256,500
2,300 Pennzoil Company...................... 97,175
1,300 Royal Dutch Petroleum Company, ADR.... 183,462
600 Texaco Inc............................ 47,100
1,700 YPF Sociedad Anonima, ADS............. 36,762
----------
2,850,075
----------
OIL/GAS-MINERAL INTERESTS -- 1.6%
11,500 Apache Corporation.................... 339,250
2,200 Diamond Shamrock Inc.................. 56,925
800 Sonat, Inc............................ 28,500
2,000 Valero Energy Corporation............. 49,000
----------
473,675
----------
OIL SERVICES -- 1.6%
1,500 Dresser Industries Inc................ 36,562
3,000 Halliburton Company................... 151,875
3,000 Schlumberger Ltd...................... 207,750
2,000 Ultramar Corporation.................. 51,500
----------
447,687
----------
PACKAGED FOODS -- 3.9%
3,500 Campbell Soup Company................. 210,000
5,000 Chiquita Brands International Inc..... 68,750
1,900 ConAgra Inc........................... 78,375
2,500 CPC International Inc................. 171,562
1,600 Dole Food Company..................... 56,000
3,900 Heinz (H.J.) Company.................. 129,187
1,500 Hershey Foods Corporation............. 97,500
10,000 Sara Lee Corporation.................. 318,750
----------
1,130,124
----------
PAPER FOREST PRODUCTS -- 0.2%
5,000 Stone Container Corporation........... 71,875
----------
PHARMACEUTICALS -- 11.2%
5,500 American Home Products Corporation.... 533,500
6,600 Amgen Inc.+........................... 391,875
6,300 Bristol-Myers Squibb Company.......... 541,013
4,800 Johnson & Johnson..................... 411,000
13,600 Lilly (Eli) & Company................. 765,000
4,000 Merck & Company Inc................... 263,000
1,800 Pfizer Inc............................ 113,400
2,500 Scherer (R.P.) Corporation+........... 122,813
1,500 Schering-Plough Corporation........... 82,125
----------
3,223,726
----------
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
VALUE EQUITY SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PUBLISHING -- 1.5%
6,800 Dun & Bradstreet Corporation.......... $ 440,300
----------
PUBLISHING & NEWS -- 1.0%
1,300 Gannet Company........................ 79,787
3,500 Tribune Company....................... 213,938
----------
293,725
----------
RESTAURANTS -- 0.7%
2,000 McDonald's Corporation................ 90,250
5,000 Wendy's International Inc............. 106,250
----------
196,500
----------
RETAIL DEPARTMENT STORES -- 0.7%
3,300 Penny (J.C.) Co., Inc................. 157,163
2,500 Wal-Mart Stores Inc................... 55,937
----------
213,100
----------
RETAIL FOOD -- 0.2%
2,500 Grand Metropolitan, ADR............... 71,875
----------
SPECIALTY MERCHANDISERS -- 0.1%
5,000 Ashworth Inc.+........................ 25,625
----------
TELECOMMUNICATIONS -- 0.9%
10,000 Communications Satellite Corporation,
Series 1............................ 186,250
2,500 MCI Communications Corporation........ 65,312
----------
251,562
----------
TOBACCO MANUFACTURERS -- 2.7%
5,300 American Brands Inc................... 236,513
2,500 Philip Morris Companies Inc........... 226,250
5,000 RJR Nabisco Holdings Corporation...... 154,375
5,300 UST Inc............................... 176,887
----------
794,025
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
TRANSPORTATION -- 6.1%
12,500 Airborne Freight Corporation.......... $ 332,813
10,000 CSX Corporation....................... 456,250
2,500 Delta Air Lines Inc................... 184,688
8,500 Federal Express Corporation+.......... 627,938
3,800 Illinois Central Corporation.......... 145,825
----------
1,747,514
----------
UTILITY-TELEPHONE -- 4.3%
5,000 Ameritech Corporation................. 295,000
9,500 BellSouth Corporation................. 413,250
5,000 NYNEX Corporation..................... 270,000
700 Pacific Telesis Group................. 23,538
4,200 SBC Communications Inc................ 241,500
----------
1,243,288
----------
WASTE MANAGEMENT -- 0.4%
4,400 Browning-Ferris Industries Inc........ 129,800
----------
Total Common Stocks
(Cost $26,383,392).................. 28,738,959
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $26,383,392*).. 99.7% 28,738,959
OTHER ASSETS AND LIABILITIES (NET)..... 0.3 91,529
--------- -----------
NET ASSETS............................. 100.0% $28,830,488
--------- -----------
--------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $26,385,847.
+ Non-income producing security.
# Amount is less than 0.1%
GLOSSARY OF TERMS
ADR -- American Depositary Receipt.
ADS -- American Depositary Share.
See Notes to Financial Statements.
41
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
VALUE
SHARES (NOTE 1)
- ------------- -----------
COMMON STOCKS -- 79.7%
AEROSPACE/DEFENSE -- 1.0%
300 Curtiss-Wright Corporation........ $ 16,125
1,100 Moog, Inc., Class A+.............. 18,975
500 Northrop Corporation.............. 32,000
300 Thiokol Corporation............... 10,162
-----------
77,262
-----------
APPAREL -- 0.2%
1,000 Oshkosh B'Gosh Inc., Class A...... 17,500
-----------
AUTOS & AUTO PARTS -- 2.5%
1,000 Apogee Enterprises Inc.+.......... 17,000
800 Dana Corporation.................. 23,400
400 Paccar Inc. ...................... 16,850
1,400 SPX Corporation................... 22,225
200 TRW Inc. ......................... 15,500
800 Volvo AB, Class B, ADR............ 16,475
3,000 Wynn's International Inc. ........ 88,875
-----------
200,325
-----------
BANKING -- 1.1%
800 Midlantic Corporation Inc. ....... 52,500
588 U.S. Bancorp...................... 19,772
200 Zions Bancorporation.............. 16,050
-----------
88,322
-----------
BUILDING AND CONSTRUCTION -- 2.6%
500 Butler Manufacturing Company...... 19,625
700 Granite Construction Inc. ........ 22,050
1,500 Hovnanian Enterprises, Class A+... 11,250
1,000 JLG Industries Inc.+.............. 29,750
6,400 Lamson & Sessions Company+........ 49,600
700 Nacco Industries Inc., Class A.... 38,850
1,800 Raymond Corporation............... 40,950
-----------
212,075
-----------
BUILDING MATERIALS AND PRODUCTS -- 3.2%
1,000 Ameron, Inc. ..................... 37,625
2,200 Cascade Corporation............... 30,800
200 Johnson Controls Inc. ............ 13,750
2,100 Lafarge Corporation............... 39,375
1,700 Medusa Corporation................ 45,050
3,600 Republic Group Inc. .............. 50,400
2,300 South Down, Inc.+................. 44,850
-----------
261,850
-----------
BUSINESS SERVICES -- 1.1%
2,500 BET PLC, ADR...................... 19,063
800 Bowne & Company Inc. ............. 16,000
1,000 Graphic Industries Inc. .......... 12,250
1,800 Nova Corporation.................. 14,400
1,100 Volt Information Sciences Inc.+... 29,975
-----------
91,688
-----------
CHEMICALS -- 6.5%
1,500 Air Products & Chemicals Inc. .... 79,125
1,000 Cabot Corporation................. 53,875
2,100 Dow Chemical Company.............. 147,787
500 Eastman Chemical Company.......... 31,313
600 First Mississippi Corporation..... 15,900
1,000 IMC Global Inc. .................. 40,875
700 Imperial Chemical Industries PLC,
ADR............................. 32,725
3,000 Terra Industries Inc. ............ 42,375
2,100 Union Carbide Corporation......... 78,750
-----------
522,725
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
COMPUTER INDUSTRY -- 0.8%
900 Dell Computer Corporation+........ $ 31,162
500 SCI Systems Inc.+................. 15,500
400 Sun Microsystems Inc.+............ 18,250
-----------
64,912
-----------
CONSUMER DURABLES -- 1.4%
900 Black & Decker Corporation........ 31,725
1,600 Interface Inc. ................... 27,200
400 Miller (Herman) Inc. ............. 12,000
2,300 Oneida Ltd........................ 40,538
-----------
111,463
-----------
CONSUMER NON-DURABLES -- 0.5%
700 Archer-Daniels-Midland Company.... 12,600
700 Helen of Troy Ltd.+............... 14,700
800 Westcott Communications Inc.+..... 11,000
-----------
38,300
-----------
ELECTRONIC DATA PROCESSING -- 0.5%
300 Compaq Computer Corporation+...... 14,400
300 International Business Machines
Corporation..................... 27,525
-----------
41,925
-----------
ELECTRONIC DATA PROCESSING PERIPHERALS -- 0.9%
900 Conner Peripherals Inc.+.......... 18,900
500 Gerber Scientific Inc. ........... 8,125
1,000 Seagate Technology Inc.+.......... 47,500
-----------
74,525
-----------
ELECTRONIC PRODUCTION EQUIPMENT AND DISTRIBUTION -- 3.2%
600 Applied Materials Inc.+........... 23,625
400 Arrow Electronics, Inc.+.......... 17,250
500 Avnet, Inc. ...................... 22,375
200 Bell Industries Inc. ............. 4,500
2,000 Esterline Technologies
Corporation+.................... 47,250
200 Harris Corporation................ 10,925
900 KLA Instruments Corporation+...... 23,456
1,600 Kulicke & Soffa Industries
Inc.+........................... 37,200
500 Marshall Industries+.............. 16,063
300 Novellus Systems Inc.+............ 16,200
1,500 Teradyne Inc.+.................... 37,500
-----------
256,344
-----------
ELECTRONICS -- 1.1%
1,100 CTS Corporation................... 41,525
1,200 Park Electrochemical
Corporation..................... 39,600
400 Thomas Industries Inc............. 9,400
-----------
90,525
-----------
FINANCE -- 2.9%
1,900 Alex Brown Inc. .................. 79,800
800 Finova Group Inc. ................ 38,600
1,350 Inter-Regional Financial Group
Inc. ........................... 34,087
3,100 Quick & Reilly Group Inc. ........ 63,550
450 SunAmerica Inc. .................. 21,375
-----------
237,412
-----------
FOOD AND BEVERAGE -- 0.5%
1,800 Coors (Adolph) Company, Class B... 39,825
-----------
FOOD DISTRIBUTORS -- 0.4%
1,600 Nash Finch Corporation............ 29,200
-----------
FOOD PROCESSING -- 0.7%
600 IBP, Inc. ........................ 30,300
3,300 Morning Star Group Inc. .......... 26,400
-----------
56,700
-----------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
VALUE
SHARES (NOTE 1)
- ------------- -----------
COMMON STOCKS -- (CONTINUED)
INDUSTRIAL EQUIPMENT -- 2.9%
900 Acme--Cleveland Corporation....... $ 16,875
2,100 Albany International Corporation,
Class A......................... 38,063
2,200 Ampco-Pittsburgh Corporation...... 23,650
700 Applied Power Inc. ............... 21,000
900 Commercial Intertech
Corporation..................... 16,312
1,300 Gleason Corporation............... 42,250
1,200 Kennametal, Inc. ................. 38,100
600 Kysor Industrial Corporation...... 14,550
700 Tokheim Corporation+.............. 4,725
1,000 Varlen Corporation................ 21,500
-----------
237,025
-----------
MANUFACTURING -- 2.5%
600 Blount International Inc., Class
A............................... 15,750
300 Dover Corporation................. 11,063
2,300 Global Industries Technology
Inc.+........................... 43,412
300 Olin Corporation.................. 22,275
1,900 Trinova Corporation............... 54,388
500 Trinity Industries Inc. .......... 15,750
1,700 United Dominion Industries Ltd.... 36,762
-----------
199,400
-----------
MEDICAL SPECIALTIES -- 0.5%
9,000 MEDIQ Inc. ....................... 38,813
-----------
METALS AND MINING -- 5.6%
1,500 Aluminum Company of America....... 79,312
2,200 Amcast Industrial Corporation..... 40,150
2,000 Carpenter Technology
Corporation..................... 82,250
400 Commercial Metals Company......... 9,900
700 Cyprus Amax Minerals Company...... 18,287
3,300 Intermet Corporation.............. 34,650
400 Lukens Inc. ...................... 11,500
500 Magma Copper Company+............. 13,938
300 Phelps Dodge Corporation.......... 18,675
1,800 Quanex Corporation................ 34,875
700 Reynolds Metals Company........... 39,637
700 Texas Industries Inc. ............ 37,100
300 Timken Company.................... 11,475
1,000 USX-US Steel Group................ 30,750
-----------
462,499
-----------
MILITARY, GOVERNMENT AND TECHNICAL -- 0.7%
1,500 Logicon Inc. ..................... 41,250
300 Watkins-Johnson Company........... 13,125
-----------
54,375
-----------
OIL AND GAS -- 6.0%
200 British Petroleum, ADR............ 20,425
1,100 Coastal Corporation............... 40,975
500 Getty Petroleum Corporation....... 6,750
600 Helmerich & Payne Inc. ........... 17,850
900 Louisiana Land & Exploration
Company......................... 38,587
700 Lyondell Petrochemical Company.... 16,013
4,200 NorAm Energy Corporation.......... 37,275
1,800 Occidental Petroleum
Corporation..................... 38,475
500 Panhandle Eastern Corporation..... 13,937
1,400 Repsol S.A., ADR.................. 46,025
600 Smith International Inc.+......... 14,100
1,400 Sun Company Inc. ................. 38,325
7,000 Transcanada Pipeline Ltd.......... 96,250
1,800 USX-Marathon Group................ 35,100
1,800 Varco International Inc.+......... 21,600
-----------
481,687
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
PACKAGING AND CONTAINERS -- 1.4%
700 Federal Paper Board Company
Inc. ........................... $ 36,312
1,000 Longview Fibre Company............ 16,250
900 Sonoco Products Company........... 23,625
900 Temple-Inland Inc. ............... 39,712
-----------
115,899
-----------
PAPER AND FOREST PRODUCTS -- 7.1%
1,000 Boise Cascade Corporation......... 34,625
900 Bowater, Inc. .................... 31,950
1,300 Chesapeake Corporation............ 38,512
600 Georgia-Pacific Company........... 41,175
1,600 Glatfelter (P.H.) Company......... 27,400
400 International Paper Company....... 15,150
1,300 James River Corporation of
Virginia........................ 31,362
3,400 Macmillan Bloedel Ltd............. 41,225
1,200 Mead Corporation.................. 62,700
1,000 Mosinee Paper Corporation......... 25,750
500 Potlach Corporation............... 20,000
700 Union Camp Corporation............ 33,338
1,400 Westvaco Corporation.............. 38,850
1,900 Weyerhauser Company............... 82,175
800 Willamette Industries Inc. ....... 45,000
-----------
569,212
-----------
PRECISION INSTRUMENTS -- 0.7%
700 Coherent Inc.+.................... 28,350
700 Fluke Corporation................. 26,425
-----------
54,775
-----------
PUBLISHING -- 0.2%
400 Houghton Mifflin Company.......... 17,200
-----------
RECREATIONAL PRODUCTS/TOYS -- 1.6%
600 Callaway Golf Company............. 13,575
1,900 Coachmen Industries Inc. ......... 41,325
3,500 Outboard Marine Inc. ............. 71,313
-----------
126,213
-----------
RESTAURANTS -- 0.1%
500 Piccadilly Cafeterias Inc. ....... 4,750
-----------
RETAIL -- 1.4%
700 Autozone Inc.+.................... 20,213
900 Claire's Stores Inc. ............. 15,862
1,000 CPI Corporation................... 16,000
3,100 Ross Stores Inc................... 59,288
-----------
111,363
-----------
RETAIL FOOD STORES -- 0.8%
1,700 Great Atlantic & Pacific Tea
Company Inc. ................... 39,100
700 Marsh Supermarkets Inc., Class
A............................... 9,275
1,300 Ruddick Corporation............... 14,950
-----------
63,325
-----------
SEMICONDUCTORS -- 3.0%
800 Cirrus Logic Inc.+................ 15,800
2,100 Cypress Semiconductor
Corporation+.................... 26,775
2,400 Integrated Device Technology
Inc.+........................... 30,900
800 International Rectifer
Corporation+.................... 20,000
300 LSI Logic Corporation+............ 9,825
700 Micron Technology Inc. ........... 27,738
1,600 National Semiconductor
Corporation+.................... 35,600
500 Texas Instruments Inc. ........... 25,875
1,800 VLSI Technologies Inc.+........... 32,625
500 Xilinx Inc.+...................... 15,250
-----------
240,388
-----------
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
STRATEGIC EQUITY SERIES
DECEMBER 31, 1995
<TABLE>
<S> <C> <C>
VALUE
SHARES (NOTE 1)
- ------------- -----------
COMMON STOCKS -- (CONTINUED)
TELECOMMUNICATIONS -- 0.9%
1,100 Cincinnati Bell Inc............... $ 38,225
900 Telefonica de Espana S.A., ADR.... 37,688
-----------
75,913
-----------
TRANSPORTATION -- 2.6%
200 AMR Corporation+.................. 14,850
700 Atlantic Southeast Airlines
Inc. ........................... 15,050
700 Burlington Northern Santa Fe...... 54,600
300 GATX Corporation.................. 14,587
1,400 Stolt-Nielsen S.A. ............... 40,425
2,200 Tidewater Inc. ................... 69,300
-----------
208,812
-----------
UTILITIES -- 8.9%
3,700 Centerior Energy Corporation...... 32,837
2,900 Central Vermont Public Services
Corporation..................... 38,787
800 CILCORP Inc....................... 33,900
700 Commonwealth Energy System
Companies....................... 31,325
500 Detroit Edison Company............ 17,250
500 DQE Inc........................... 15,375
1,300 Entergy Corporation............... 38,025
600 General Public Utilities
Corporation..................... 20,400
500 Illinova Corporation.............. 15,000
1,100 Interstate Power Company.......... 36,575
900 New England Electric System....... 35,663
1,000 New York State Electric & Gas
Corporation..................... 25,875
1,300 Northeast Utilities............... 31,688
1,600 Northern States Power Company..... 78,600
1,300 Pinnacle West Capital
Corporation..................... 37,375
1,400 Portland General Corporation...... 40,775
1,200 SCE Corporation................... 21,300
800 St. Joseph Light & Power
Company......................... 28,400
2,200 TNP Enterprises Inc............... 41,250
3,000 Unicom Corporation................ 98,250
-----------
718,650
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
WHOLESALE DISTRIBUTORS -- 1.7%
400 Bearings, Inc. ................... $ 11,700
1,500 Hughes Supply Inc. ............... 42,375
3,300 Rexel Inc.+....................... 44,550
600 United Stationers Inc. ........... 16,650
2,400 Univar Corporation................ 26,100
-----------
141,375
-----------
Total Common Stocks
(Cost $6,422,705)............... 6,434,552
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 27.9%
$1,250,000 Federal Farm Credit Bank,
5.800%++ due 01/02/1996......... 1,249,799
1,000,000 Federal Home Loan Bank,
5.600%++ due 01/04/1996......... 999,533
-----------
Total U.S. Government Agency
Discount Notes
(Cost $2,249,332)............... 2,249,332
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $8,672,037*)... 107.6% 8,683,884
OTHER ASSETS AND LIABILITIES (NET)..... (7.6) (616,424)
--------- -----------
NET ASSETS............................. 100.0% $8,067,460
--------- -----------
--------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
GLOSSARY OF TERMS
ADR -- American Depositary Receipt.
See Notes to Financial Statements.
44
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
RISING DIVIDENDS SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 94.3%
BANKING -- 5.3%
32,890 Banc One Corporation................. $ 1,241,598
41,100 Fifth Third Bancorp.................. 3,010,575
1,800 National Commerce Bancorp............ 47,250
-----------
4,299,423
-----------
BEVERAGES -- 2.5%
27,000 Coca-Cola Company.................... 2,004,750
-----------
BUSINESS SERVICES -- 6.3%
38,000 Dun & Bradstreet Corporation......... 2,460,500
48,640 Reuters Holdings PLC, ADR............ 2,681,280
-----------
5,141,780
-----------
CHEMICALS & ALLIED PRODUCTS -- 5.1%
13,800 Monsanto Company..................... 1,690,500
53,700 PPG Industries, Inc.................. 2,456,775
-----------
4,147,275
-----------
CONSUMER NONDURABLE GOODS -- 3.2%
29,250 International Flavors & Fragrances
Inc................................ 1,404,000
14,000 Procter & Gamble Company............. 1,162,000
-----------
2,566,000
-----------
DATA SERVICES -- 5.7%
40,800 Automatic Data Processing Inc........ 3,029,400
30,450 General Motors Corporation, Class
E.................................. 1,583,400
-----------
4,612,800
-----------
DRUG & HOSPITAL SUPPLIES -- 6.7%
40,000 Astra AB, ADR........................ 1,600,000
26,200 Johnson & Johnson.................... 2,243,375
69,750 Mylan Labs Inc....................... 1,639,125
-----------
5,482,500
-----------
ELECTRICAL EQUIPMENT -- 9.5%
66,300 AMP Inc.............................. 2,544,262
38,400 General Electric Company............. 2,764,800
36,000 Grainger (W.W.), Inc................. 2,385,000
-----------
7,694,062
-----------
ELECTRONICS -- 4.8%
37,600 Hewlett-Packard Company.............. 3,149,000
30,000 Premier Industrial Corporation....... 735,000
-----------
3,884,000
-----------
ENERGY -- 7.2%
32,100 Exxon Corporation.................... 2,572,012
14,500 Mobil Corporation.................... 1,624,000
11,950 Royal Dutch Petroleum Company, ADR... 1,686,444
-----------
5,882,456
-----------
FINANCIAL -- 5.1%
26,800 Franklin Resources Inc............... 1,350,050
61,300 State Street Boston Corporation...... 2,758,500
-----------
4,108,550
-----------
FOOD -- 9.3%
89,700 Sara Lee Corporation................. 2,859,187
99,550 Sysco Corporation.................... 3,235,375
27,900 Wrigley, (Wm) Jr. Company............ 1,464,750
-----------
7,559,312
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
HEALTH CARE SERVICES -- 2.8%
54,550 Abbott Laboratories.................. $ 2,277,463
-----------
INSURANCE -- 5.4%
26,250 Cincinnati Financial Corporation..... 1,712,813
17,400 General Re Corporation............... 2,697,000
-----------
4,409,813
-----------
LEISURE ENTERTAINMENT -- 3.4%
47,500 Disney (Walt) Company................ 2,802,500
-----------
PUBLISHING & BROADCASTING -- 1.7%
22,500 Gannett Company...................... 1,380,938
-----------
RETAIL -- 1.6%
58,100 Wal-Mart Stores, Inc................. 1,299,987
-----------
SERVICES -- 2.7%
101,400 Equifax Inc.......................... 2,167,425
-----------
SPECIALTY MATERIALS -- 2.7%
33,000 Minnesota Mining & Manufacturing
Company............................ 2,186,250
-----------
TELECOMMUNICATIONS EQUIPMENT -- 1.1%
44,000 Ericsson (L.M.) Telecommunications
Company, Class B, ADR.............. 858,000
-----------
OTHER -- 2.2%
1,400 Emerson Electric Company............. 114,450
29,300 Nucor Corporation.................... 1,673,762
-----------
1,788,212
-----------
Total Common Stocks
(Cost $59,809,167)................. 76,553,496
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
COMMERCIAL PAPER -- 5.6%
$ 4,000,000 American Express Company,
5.650% due 01/02/1996.............. 4,000,000
600,000 American General Corporation,
5.550% due 01/02/1996.............. 600,000
-----------
Total Commercial Paper
(Cost $4,600,000).................. 4,600,000
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $64,409,167*).. 99.9% 81,153,496
OTHER ASSETS AND LIABILITIES (NET)..... 0.1 56,213
--------- -----------
NET ASSETS............................. 100.0% $81,209,709
--------- -----------
--------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt.
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
<S> <C> <C>
COMMON STOCKS -- 74.7%
ARGENTINA -- 2.7%
14,000 Banco Del Sud, Class B............ $ 104,284
9,587 Banco Frances, ADR................ 257,651
43,218 Ciadea S.A........................ 224,700
7,100 Irsa Inversiones Y
Representaciones, GDR........... 181,050
29,700 Juan Minetti, B Shares............ 97,995
55,814 Mirgor Sacifia, Class C, ADS**.... 131,163
11,724 Telefonica De Argentina, ADR...... 319,479
-----------
1,316,322
-----------
BRAZIL -- 1.2%
4,500,000 Cia Siderurgica Nacional.......... 92,597
9,046 Cia Siderurgica Nacional, ADR..... 186,141
12,560,820 Lojas Americanas.................. 273,974
-----------
552,712
-----------
CHILE -- 1.8%
12,221 Chile (The) Fund.................. 317,746
5,188 Chilgener S.A., ADS............... 129,700
2,299 Compania de Telefonica de Chile,
ADR............................. 190,530
9,999 Empresa National Electricidad,
ADR............................. 227,477
-----------
865,453
-----------
CHINA -- 0.4%
285,000 Goldion Holdings.................. 208,244
-----------
COLOMBIA -- 2.5%
18,000 Banco Industrial Colombiano,
ADR............................. 294,750
29,769 Cadenalco, ADR+**................. 349,786
29,520 Carulla, Class B, ADR**........... 199,260
20,784 Cementos Diamante, B Shares,
ADR**+.......................... 379,308
-----------
1,223,104
-----------
HONG KONG -- 0.6%
553,000 Ng Fung Hong Ltd.................. 243,155
252,000 Siu Fung Ceramic Holdings......... 35,197
-----------
278,352
-----------
INDIA -- 4.3%
20,200 Bajaj Auto Ltd., GDS.............. 527,624
95,700 Core Healthcare Products, GDR..... 245,231
2,100 Indian Hotels, GDS................ 40,425
42,000 Indian Petrochemicals Corporation
Ltd., GDR....................... 514,500
22,400 Mahindra & Mahindra Ltd., GDR**... 288,288
31,300 Reliance Industries Ltd., GDS..... 438,200
-----------
2,054,268
-----------
INDONESIA -- 3.7%
11,600 Asia Pacific Resource
International Holdings.......... 55,100
250 Bank Dagang Nasional Indonesia
(Foreign)....................... 205
166 Duta Anggada Realty (Foreign)..... 80
8,658 Indah Kiat Paper & Pulp
(Foreign)....................... 6,343
47,000 Jaya Real Property................ 130,527
55,000 Modern Photo Film Company
(Foreign)....................... 318,719
50,600 PT Bank International Indonesia
(Foreign)....................... 167,634
400 PT Mulia Industrindo (Foreign).... 1,128
149,000 PT Telekomunikas.................. 195,495
2,000 PT Telekomunikas Indonesia, ADR... 50,500
7,400 PT Tri Polyta Indonesia, ADR...... 101,750
19,500 Semen Gresik (Foreign)............ 54,581
261,000 Tempo Scan Pacific (Foreign)...... 707,719
-----------
1,789,781
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
KOREA -- 4.7%
13,800 Bank of Sequl..................... $ 119,722
24,420 Cho Hung Bank..................... 307,709
26,800 Commericial Bank of Korea......... 271,757
20,261 Dong-ah Construction Industrial
Company......................... 713,105
5,500 Korean Air Lines.................. 207,309
209 Korean Mobile Telecom............. 237,568
76 Samsung Electronics Company
Ltd............................. 13,917
767 Samsung Electronics Company Ltd.
(New Bonus Shares Issued
03/1995)........................ 133,432
2,750 Samsung Electronics Company Ltd.,
GDS............................. 165,049
857 Samsung Electronics Company Ltd.,
GDR (1/2 Voting)**.............. 80,430
170 Samsung Electronics Company Ltd.,
GDR (1/2 Voting) (New)**........ 16,409
-----------
2,266,407
-----------
MALAYSIA -- 13.1%
278,000 Commerce Asset Holdings BHD....... 1,401,110
128,000 Gadek BHD......................... 655,196
193,000 Rashid Husain BHD................. 577,549
307,000 Tanjong BHD....................... 894,515
481,000 Technology Resources Industries
BHD............................. 1,420,443
210,000 United Engineers BHD.............. 1,339,528
-----------
6,288,341
-----------
MEXICO -- 6.9%
121,400 Cementos Mexicanos S.A., Class
B............................... 440,596
19,200 Empress ICA, ADR.................. 196,800
136,387 Gruma S.A. de CV, Series B........ 383,616
56,043 Grupo Carso, Series A1............ 302,189
28,000 Grupo Eleckta, GDR................ 245,000
303,500 Grupo Financiero Bancomer, Class
B............................... 84,579
427,700 Grupo Financiero del Norte, Class
B............................... 398,041
93,690 Grupo Modelo S.A., Class C........ 440,823
17,200 Grupo Telivisa, GDR............... 387,000
256,750 Telefonos de Mexico S.A., Series
L............................... 411,332
-----------
3,289,976
-----------
PAKISTAN -- 0.4%
33,100 Engro Chemical.................... 136,886
52,000 Karachi Electric Supply Company... 40,274
-----------
177,160
-----------
PERU -- 1.5%
13,698 Cementos Norte Pacasmayo.......... 24,894
104,317 CPT Telefonica del Peru........... 223,440
12,916 Credicorp Ltd..................... 220,218
210,000 Fabril Pacifico###................ 234,444
-----------
702,996
-----------
PHILIPPINES -- 5.0%
2,545 Benpress Holdings Corporation,
GDR............................. 12,724
776,500 C&P Homes......................... 569,868
2,696,800 Engineering Equipment Inc......... 156,277
290,000 International Container
Terminal........................ 152,020
477,200 Mega World Properties &
Holdings........................ 241,056
18,500 Philippine Commercial
International Bank.............. 170,682
182,111 Philippine Savings Bank........... 319,370
3,357,000 Southeast Asia Cement Holdings
Inc............................. 435,143
1,277,600 Vitarich Corporation.............. 350,695
-----------
2,407,835
-----------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
SOUTH AFRICA -- 12.0%
33,000 Anglo Alpha....................... $ 1,294,473
250,000 Bidvest Group Ltd................. 1,680,154
80,000 Fedsure Holdings.................. 581,539
175,000 Malbak, GDR###**.................. 1,203,125
10,900 Pretoria Portland Cement
Company......................... 301,989
91,800 Smith (CG)........................ 705,088
-----------
5,766,368
-----------
THAILAND -- 12.1%
80,400 Finance One PLC (Foreign)......... 534,617
216,800 Hana Micro Electronics Company
(Foreign)....................... 877,872
18,000 Krung Thai Bank PLC............... 74,315
142,640 Krung Thai Bank PLC (Foreign)..... 583,244
78,700 Nawarat Patanakarn PLC............ 353,041
72,300 Phatra Thanakit Company Ltd.
(Foreign)....................... 619,960
513,500 Sahaviriya Steel Industries
(Foreign)....................... 682,900
8,700 Siam Cement PLC (Foreign)......... 482,144
356,200 Siam City Bank PLC (Foreign)...... 410,075
55,000 Telecom Asia...................... 167,031
109,575 T.P.I. Polene PLC (Foreign)....... 652,491
64,800 Unithai Line PLC (Foreign)###..... 373,005
-----------
5,810,695
-----------
VENEZUELA -- 1.8%
51,597 Banco Mercantil, Class A###....... 62,761
8,255 Banco Mercantil, Class B.......... 7,241
29,438 Banco Provincial###............... 31,849
6,048 Banco Venezolano de Credito###.... 123,789
135,399 Ceramica Carabobo C.A., ADR....... 147,246
27,900 Corimon C.A., Series B, ADR....... 104,625
244,966 Electricidad de Caracas........... 166,176
12,508 Mavesa, ADS**..................... 48,453
36,000 Siderurgica Venezolana............ 11,474
758,717 Sudamtex de Venezuela C.A., Series
B............................... 68,773
251,350 Venaseta, Class A................. 13,780
50,270 Venaseta, Class B................. 2,719
27,937 Venezolana de Cementos............ 34,064
45,000 Venezolana de Pulpa Y Papel,
Series A### **.................. 23,026
-----------
845,976
-----------
Total Common Stocks
(Cost $37,947,458).............. 35,843,990
-----------
PREFERRED STOCKS -- 3.1%
BRAZIL -- 3.1%
813,755 Banco Itau Pf..................... 226,892
1,694,176 Brasmotor Pf...................... 336,412
545,608 Cia Cerve Brahma.................. 224,547
1,282,437 Cia Vale Do Rio Doce.............. 211,112
1,604,690 Ioche-Maxion S.A.................. 175,006
395,584 Lojas Americanas.................. 9,280
1,951,000 Mesbla............................ 24,088
1,220,671 Telebras.......................... 58,776
256,904,856 Usiminas.......................... 208,812
-----------
Total Preferred Stocks
(Cost $2,344,184)............... 1,474,925
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
EXPIRATION VALUE
SHARES DATE (NOTE 1)
- ------------- ---------- -----------
RIGHTS -- 0.0%# (Cost $0)
THAILAND -- 0.0% #
5,479 T.P.I. Polene
Company............. 01/26/1996 $30,449
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C> <C>
CONVERTIBLE BONDS -- 7.0%
SOUTH AFRICA -- 6.1%
$1,500,000 Investec Bank, 1,608,750
6.375% due
11/30/2002**..........
1,000,000 Liblife International, 1,321,250
6.500% due
09/30/2004............
-----------
2,930,000
-----------
TAIWAN -- 0.9%
417,000 Walsin Lihwa Electric 418,564
Wire
& Cable Corporation,
3.250% due
06/16/2004............
-----------
3,348,564
Total Convertible Bonds
(Cost $3,142,372).....
-----------
U.S. TREASURY OBLIGATION -- 14.1%
(Cost $6,752,200)
U.S. TREASURY BILL:
6,820,000 5.060%++ due
03/14/1996............ 6,752,200
-----------
TOTAL INVESTMENTS
(COST $50,186,214*)................ 98.9% 47,450,128
OTHER ASSETS AND LIABILITIES (NET)... 1.1 524,255
---------- -----------
NET ASSETS........................... 100.0% $47,974,383
---------- -----------
---------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $50,209,105.
** 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.
++ Annualized yield at date of purchase (unaudited).
# Amount is less than 0.1%.
### Illiquid security (see Note 5).
GLOSSARY OF TERMS
ADR -- American Depositary Receipt.
ADS -- American Depositary Share.
GDR -- Global Depositary Receipt.
GDS -- Global Depositary Share.
See Notes to Financial Statements.
47
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
EMERGING MARKETS SERIES
DECEMBER 31, 1995
THE INDUSTRY CLASSIFICATION OF THE EMERGING MARKETS SERIES AT DECEMBER 31, 1995
WAS AS FOLLOWS (UNAUDITED):
<TABLE>
<CAPTION>
% OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- -------------------------------------- ------------- -----------
<S> <C> <C>
LONG TERM INVESTMENTS:
Finance & Financial Services.......... 22.7% $10,898,043
Diversified Holdings.................. 10.3 4,930,802
Building Materials.................... 7.8 3,742,478
Engineering/Construction.............. 5.6 2,684,311
Telecommunications.................... 3.9 1,859,689
Communications........................ 3.8 1,833,469
Electronics........................... 3.4 1,623,522
Chemicals & Pharmaceuticals........... 3.3 1,598,846
Retail................................ 3.0 1,420,106
Auto/Auto Parts....................... 2.8 1,346,781
Food and Beverage Products............ 2.8 1,331,883
Steel................................. 2.4 1,170,450
Property/Real Estate.................. 2.3 1,122,580
Leisure............................... 1.9 894,515
Textile/Apparel....................... 1.5 715,217
Transportation........................ 1.2 580,314
Oil/Gas/Petroleum..................... 1.1 514,500
Agricultural Production............... 0.7 350,695
Electric Services..................... 0.7 336,149
Health Care........................... 0.5 245,231
Consumer.............................. 0.5 243,156
Electronic Services................... 0.5 227,477
Metals/Mining......................... 0.4 211,112
Building/Construction................. 0.2 85,913
Utility............................... 0.1 55,100
Other................................. 1.4 675,589
----- -----------
TOTAL LONG TERM INVESTMENTS........... 84.8 40,697,928
U.S. TREASURY BILL.................... 14.1 6,752,200
----- -----------
TOTAL INVESTMENTS..................... 98.9 47,450,128
OTHER ASSETS AND LIABILITIES
(NET)............................... 1.1 524,255
----- -----------
NET ASSETS............................ 100.0% $47,974,383
----- -----------
----- -----------
</TABLE>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<S> <C> <C> <C> <C>
CONTRACTS TO RECEIVE
----------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- --------------- ----------- --------- -------------
01/03/1996 ZAR 200,400 55,010 54,972 $ (38)
02/08/1996 SGD 2,574,171 1,907,500 1,825,136 (82,364)
-------------
$ (82,402)
-------------
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACT TO SELL
<TABLE>
<S> <C> <C> <C> <C>
CONTRACTS TO DELIVER
----------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- --------------- ----------- --------- -------------
02/08/1996 SGD 2,690,720 1,907,500 1,907,770 $ (270)
-------------
Net Unrealized Depreciation of Forward Foreign
Exchange Contracts................................. $ (82,672)
-------------
-------------
</TABLE>
GLOSSARY OF TERMS
SGD -- Singapore Dollar
ZAR -- South African Financial Rand
See Notes to Financial Statements.
48
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
NATURAL RESOURCES SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 96.0%
AGRICULTURE -- 2.0%
10,000 Pioneer Hi-Bred International Inc.... $ 556,250
-----------
CHEMICALS -- 2.4%
25,000 First Mississippi Corporation........ 662,500
-----------
DIAMONDS/MINING -- 2.0%
260,000 Ashton Mining Ltd.................... 376,828
80,000 Nambian Minerals Corporation+........ 125,984
-----------
502,812
-----------
DIVERSIFIED MINING -- 20.3%
10,000 Cameco Corporation................... 371,727
17,000 Coeur D'Alene Mines Corporation...... 291,125
25,000 Freeport -- McMoRan Copper and Gold
Company, Inc., Class A............. 700,000
25,000 Magma Copper Company+................ 696,875
200,000 M.I.M. Holdings Ltd.+................ 276,489
115,000 QNI Ltd.............................. 242,745
15,000 RTZ Corporation PLC, ADR............. 862,500
45,000 Teck Corporation, Class B............ 877,587
185,000 WMC Ltd.............................. 1,188,011
-----------
5,507,059
-----------
ENERGY -- 4.1%
10,000 Halliburton Company.................. 506,250
7,000 Schlumberger Ltd..................... 484,750
8,500 St. Mary Land and Exploration
Company............................ 119,000
-----------
1,110,000
-----------
FORESTRY -- 2.0%
10,450 Buckeye Cellulose Corporation+....... 229,900
150,000 Carter Holt Harvey Ltd............... 323,606
-----------
553,506
-----------
GOLD/MINING -- 36.3%
25,000 Agnico Eagle Mines Ltd............... 315,625
30,000 Barrick Gold Corporation............. 791,250
40,000 Battle Mountain Gold Company......... 335,000
65,000 Beatrix, ADR......................... 576,875
40,000 Dreifontein Consolidated, ADR........ 495,000
30,000 Echo Bay Mines Ltd................... 311,250
15,000 Firstmiss Gold, Inc.+................ 333,750
25,000 Free State Consolidated Gold Mines
Ltd., ADR.......................... 181,250
40,500 Great Central Mines NL+.............. 78,264
30,000 Hemlo Gold Mines Inc., ADR........... 281,250
164,000 Herald Resources Ltd................. 162,727
50,000 Homestake Mining Company............. 781,250
42,000 Kloof Gold Mining Ltd., ADR.......... 396,375
40,000 Miramar Mining Corporation+.......... 197,766
100,000 Newcrest Mining Ltd., ADR............ 420,680
20,000 Newmont Mining Corporation........... 905,000
30,000 Placer Dome Inc., ADR................ 723,750
125,000 Plutonic Resources Ltd.+............. 594,600
49,999 Santa Fe Pacific Gold Corporation.... 606,238
150,000 Sons of Gwalia Ltd................... 825,008
50,000 TVX Gold Inc., ADR+.................. 356,250
6,000 Western Deep Levels Ltd., ADR........ 196,500
-----------
9,865,658
-----------
MINING FINANCE -- 3.3%
15,000 Anglo American Corporation South
Africa Ltd., ADR................... 903,750
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
OIL/GAS -- 19.4%
5,000 Apache Corporation................... $ 147,500
10,000 Baker Hughes, Inc.................... 243,750
8,000 British Petroleum PLC, ADR........... 817,000
6,850 Camco International, Inc............. 191,800
6,500 Enron Corporation.................... 247,812
7,500 Mobil Oil Corporation................ 840,000
10,000 Nuevo Energy Company+................ 222,500
30,000 Pinnacle Resources Ltd.+............. 373,558
15,000 Reading and Bates Corporation+....... 225,000
10,000 Renaissance Energy Ltd.+............. 249,039
7,000 Royal Dutch Petroleum Company, ADR... 987,875
10,000 Tejas Power Corporation+............. 91,250
9,900 Texas Meridian Resources
Corporation+....................... 134,887
11,600 Union Pacific Resources Group Inc.... 294,350
10,000 USX-Marathon Group................... 195,000
-----------
5,261,321
-----------
PLATINUM/MINING -- 4.0%
25,000 Impala Platinum Holdings Ltd., ADR... 487,500
20,407 Rustenburg Platinum Holdings Ltd.,
ADR................................ 334,165
13,000 Stillwater Mining Company+........... 250,250
-----------
1,071,915
-----------
TIN MINING -- 0.2%
4,300 PT Tambang Timah, GDR+**............. 52,245
-----------
Total Common Stocks
(Cost $22,121,023)................. 26,047,016
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
COMMERCIAL PAPER -- 2.0%
(Cost $549,915)
$550,000 General Electric Capital Corporation,
5.550%++ due 01/02/1996.............. 549,915
---------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $22,670,938*).. 98.0% 26,596,931
OTHER ASSETS AND LIABILITIES (NET)..... 2.0 550,087
--------- -----------
NET ASSETS............................. 100.0% $27,147,018
--------- -----------
--------- -----------
</TABLE>
The summary of investments by country at December 31, 1995 was as follows
(unaudited):
<TABLE>
<S> <C>
% OF TOTAL
COUNTRY INVESTMENTS
- -------------------------------------------------- -------------
Australia......................................... 15.7%
Canada............................................ 18.7
Great Britain..................................... 6.5
Netherlands....................................... 3.7
New Zealand....................................... 1.2
South Africa...................................... 13.4
United States..................................... 40.8
-----
100.0%
-----
-----
</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.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
49
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
NATURAL RESOURCES SERIES
DECEMBER 31, 1995
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<S> <C> <C> <C> <C>
CONTRACTS TO RECEIVE
------------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ DEPRECIATION
- ---------- ----------------- ----------- ----------- -----------
01/05/1996 AUD 326,130 242,785 242,361 $ (424)
01/09/1996 NZD 496,917 324,880 324,649 (231)
-----------
$ (655)
-----------
</TABLE>
GLOSSARY OF TERMS
ADR -- American Depositary Receipt.
GDR -- Global Depositary Receipt.
AUD -- Australian Dollar.
CAD -- Canadian Dollar.
NZD -- New Zealand Dollar.
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<TABLE>
<S> <C> <C> <C> <C>
CONTRACTS TO DELIVER
----------------------------- UNREALIZED
EXPIRATION LOCAL IN EXCHANGE VALUE IN APPRECIATION/
DATE CURRENCY FOR U.S. $ U.S. $ (DEPRECIATION)
- ---------- ---------------- ----------- ----------- -------------
01/03/1996 CAD 525,867 386,458 385,179 $ 1,279
01/08/1996 AUD 216,151 160,460 160,603 (143)
------
1,136
------
NET UNREALIZED APPRECIATION OF FORWARD FOREIGN
EXCHANGE
CONTRACTS............................................ $ 481
------
------
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
REAL ESTATE SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 92.7%
APARTMENTS -- 18.4%
16,400 Associated Estates Realty
Corporation........................ $ 352,600
34,600 Avalon Properties Inc................ 743,900
24,600 Camden Property Trust................ 587,325
25,000 Equity Residential Property Trust.... 765,625
7,900 Irvine Apartment Communities......... 152,075
31,300 Post Properties Inc.................. 997,687
52,000 Security Capital Pacific Trust....... 1,027,000
30,000 Smith, Charles E. Residential
Realty Inc......................... 708,750
70,800 United Dominion Realty Trust Inc..... 1,062,000
1,000 Wellsford Residential Property
Trust.............................. 23,000
-----------
6,419,962
-----------
FACTORY OUTLETS -- 1.0%
12,000 Chelsea GCA Realty Inc............... 360,000
-----------
HEALTH CARE REAL ESTATE -- 9.3%
24,000 American Health Properties Inc....... 516,000
22,300 Health Care Property Investors
Inc................................ 783,287
24,000 LTC Properties Inc................... 360,000
29,800 Nationwide Health Properties Inc..... 1,251,600
12,100 Omega Healthcare Investors Inc....... 322,163
-----------
3,233,050
-----------
MANUFACTURED HOUSING -- 4.6%
24,800 Manufactured Home Communities Inc.... 434,000
33,300 ROC Communities Inc.................. 799,200
14,100 Sun Communities Inc.................. 371,888
-----------
1,605,088
-----------
OFFICE/INDUSTRIAL -- 26.3%
42,600 Carr Realty Corporation.............. 1,038,375
28,100 Crescent Real Estate Equities Inc.... 958,913
32,500 Duke Realty Investments, Inc......... 1,019,688
45,100 Highwood Properties Inc.............. 1,274,075
57,000 Liberty Property Trust............... 1,182,750
21,600 Reckson Associates Realty
Corporation........................ 634,500
61,065 Security Capital Industries.......... 1,068,638
37,700 Spieker Properties Inc............... 947,213
43,000 Weeks Corporation.................... 1,080,375
-----------
9,204,527
-----------
REGIONAL MALLS -- 8.2%
29,000 Macerich Company..................... 580,000
37,400 Rouse Company........................ 762,025
34,500 Simon Property Group Inc............. 840,938
69,000 Taubman Centers Inc.................. 690,000
-----------
2,872,963
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
SELF-STORAGE -- 5.1%
12,700 Shurgard Storage Centers Inc., Class
A.................................. $ 342,900
27,600 Storage Trust Realty................. 627,900
24,600 Storage USA Inc...................... 802,575
-----------
1,773,375
-----------
SHOPPING CENTERS -- 12.7%
29,100 Developers Diversified Realty
Corporation........................ 873,000
29,600 Federal Realty Investment Trust...... 673,400
38,850 Kimco Realty Corporation............. 1,058,662
29,700 Vornado Realty Trust................. 1,113,750
19,400 Weingarten Realty, Inc............... 737,200
-----------
4,456,012
-----------
SPECIALTY REAL ESTATE -- 7.1%
32,700 Franchise Finance Corporation
of America......................... 739,837
42,700 Patriot American Hospitality Inc..... 1,099,525
22,000 Starwood Lodging Trust............... 654,500
-----------
2,493,862
-----------
Total Common Stocks
(Cost $29,077,360)................. 32,418,839
-----------
PREFERRED STOCK -- 0.3% (Cost $112,312)
REGIONAL MALLS -- 0.3%
2,100 Rouse Company, Series A, Prfd.
Conv............................... 108,412
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 5.6%
U.S. TREASURY BILLS:
$1,475,000 5.431%++ due 02/15/1996.............. 1,465,796
500,000 4.992%++ due 03/28/1996.............. 493,825
-----------
Total U.S. Treasury Obligations
(Cost $1,959,936).................. 1,959,621
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $31,149,608*).. 98.6% 34,486,872
OTHER ASSETS AND LIABILITIES (NET)..... 1.4 488,047
--------- -----------
NET ASSETS............................. 100.0% $34,974,919
--------- -----------
--------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
51
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
MARKET MANAGER SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATION -- 40.6%
(Cost $2,190,948)
$3,168,000 U.S. Treasury Strip,
7.970%++ due 02/15/2001............ $ 2,415,252
-----------
CORPORATE BONDS AND NOTES -- 18.9%
FINANCIAL SERVICES -- 14.3%
269,000 Associates Corporation of North
America, 6.000% due 06/15/2001..... 269,336
815,000 Cabco (Texaco Capital),
Zero coupon due 10/01/2001......... 581,926
-----------
851,262
-----------
INDUSTRIAL -- 4.6%
274,000 Philip Morris Companies Inc.,
6.000% due 07/15/2001.............. 272,630
-----------
Total Corporate Bonds and Notes
(Cost $1,028,006).................. 1,123,892
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- --------- ----------
<S> <C> <C> <C> <C>
CALL OPTIONS PURCHASED** -- 38.8%
11,560 S&P Mid-Cap Companies
Index 400 European.... 03/06/2001 $ 178.50 $ 845,789
2,610 S&P Mid-Cap Companies
Index 400 European.... 03/06/2001 178.50 186,810
1,660 S&P Mid-Cap Companies
Index 400 European.... 03/06/2001 178.50 123,734
4,242 S&P 500 European........ 03/06/2001 485.63 842,134
959 S&P 500 European........ 03/06/2001 485.63 188,725
611 S&P 500 European........ 03/06/2001 485.63 125,363
----------
Total Call Options Purchased (Cost
$1,660,508).................................. 2,312,555
----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (COST $4,879,462*)......... 98.3% 5,851,699
OTHER ASSETS AND LIABILITIES (NET)........... 1.7 100,722
--------- ----------
NET ASSETS................................... 100.0% $5,952,421
--------- ----------
--------- ----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
** The Market Manager Series is exposed to risks on these call options purchased
if the counterparties are unable to meet the terms of the contracts. Such
risks are limited to the cost of such investments.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
52
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 40.1%
AEROSPACE/DEFENSE -- 2.6%
7,100 GenCorp Inc.......................... $ 86,975
16,277 Lockheed Martin Corporation.......... 1,285,883
23,900 Northrop Grumman Corporation......... 1,529,600
15,200 Raytheon Company..................... 718,200
33,100 Rockwell International............... 1,750,162
2,600 Sundstrand Corporation............... 182,975
13,300 Textron, Inc......................... 897,750
1,800 Thiokol Corporation.................. 60,975
15,400 United Technologies Corporation...... 1,461,075
-----------
7,973,595
-----------
AUTOMOTIVE PARTS -- 0.2%
23,500 Dana Corporation..................... 687,375
-----------
BANKS -- 2.0%
9,600 American Bankers Insurance Group
Inc................................ 374,400
9,500 Bank of Boston Corporation........... 439,375
29,600 BankAmerica Corporation.............. 1,916,600
32,500 Chemical Banking Corporation......... 1,909,375
13,000 Citicorp............................. 874,250
9,500 Republic New York Corporation........ 590,187
-----------
6,104,187
-----------
CHEMICALS -- 3.2%
8,200 ARCO Chemical Company................ 398,725
18,900 Dow Chemical Company................. 1,330,087
26,700 du Pont (E. I.) de Nemours &
Company............................ 1,865,663
22,700 Eastman Chemical Company............. 1,421,588
12,100 Goodrich (B.F.) Company.............. 824,313
12,600 Imperial Chemical Industries PLC,
ADR................................ 589,050
40,800 Lyondell Petrochemical Company....... 933,300
13,000 Olin Corporation..................... 965,250
37,300 Union Carbide Corporation............ 1,398,750
-----------
9,726,726
-----------
CONGLOMERATES -- 0.7%
5,500 Unilever N.V., ADR................... 774,125
10,300 Xerox Corporation.................... 1,411,100
-----------
2,185,225
-----------
CONSTRUCTION AND FARM EQUIPMENT -- 0.3%
29,400 Deere & Company...................... 1,036,350
-----------
CONSUMER GOODS -- DURABLES -- 0.4%
21,800 Goodyear Tire & Rubber Company....... 989,175
1,800 Outboard Marine Inc.................. 36,675
3,300 Toro Company......................... 108,487
-----------
1,134,337
-----------
ELECTRICAL AND ELECTRONIC EQUIPMENT -- 0.4%
24,600 Harris Corporation................... 1,343,775
-----------
FINANCE AND FINANCIAL SERVICES -- 0.4%
11,400 Alex Brown, Inc...................... 478,800
3,800 Fremont General Corporation.......... 139,650
5,700 GATX Corporation..................... 277,163
6,500 PHH Corporation...................... 303,875
4,900 Quick & Reilly Group Inc............. 100,450
-----------
1,299,938
-----------
FOOD AND BEVERAGES -- 0.1%
8,800 Coors (Adolph) Company, Class B...... 194,700
1,900 Michaels Foods Inc................... 22,088
-----------
216,788
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
HEALTH CARE -- 0.1%
7,300 McKesson Corporation................. $ 369,563
-----------
INVESTMENT COMPANIES -- 1.1%
8,400 Alliance Global Environment Fund..... 85,050
10,800 Blue Chip Value Fund................. 82,350
8,500 Clemente Global Growth Fund.......... 71,187
9,300 Emerging Germany Fund................ 67,425
15,100 Emerging Markets Infrastructure
Fund............................... 158,550
2,900 First Australia Fund Inc............. 23,925
17,000 France Growth Fund................... 167,875
18,500 Gabelli Equity Trust................. 173,438
5,600 Gabelli Global Multimedia Trust...... 37,800
18,900 Global Health Sciences Fund.......... 314,212
6,600 Growth Fund of Spain................. 70,950
1,900 India Growth Fund.................... 24,462
10,300 John Hancock Bond & Thrift
Opportunity Fund................... 253,638
4,700 Korean Investment Fund............... 47,588
13,100 Liberty All-Star Growth Fund......... 122,812
9,300 Morgan Stanley Asia Pacific Fund..... 124,388
11,300 New Age Media Fund Inc............... 168,087
7,600 Pilgrim Regional Bank Shares......... 97,850
4,800 Preferred Income Fund................ 64,800
4,935 Royce Value Trust.................... 59,220
18,900 Salomon Brothers Fund Inc............ 252,788
14,200 Scudder New Europe Fund Inc.......... 161,525
16,100 Swiss Helvetia Fund.................. 342,125
4,700 Templeton China World Fund........... 49,937
12,300 Templeton Dragon Fund................ 164,512
-----------
3,186,494
-----------
METAL MINING -- 2.3%
26,200 Aluminum Company of America.......... 1,385,325
38,500 Cyprus Amax Minerals Company......... 1,005,812
13,600 Homestake Mining Company............. 212,500
4,700 Lukens Inc........................... 135,125
25,300 Phelps Dodge Corporation............. 1,574,925
9,500 Quanex Corporation................... 184,062
27,800 Reynolds Metals Company.............. 1,574,175
30,900 USX-U.S. Steel Group................. 950,175
-----------
7,022,099
-----------
OIL AND OIL SERVICES -- 7.3%
19,200 Amoco Corporation.................... 1,380,000
17,300 Atlantic Richfield Company........... 1,915,975
14,200 British Petroleum, ADR............... 1,450,175
24,100 Chevron Corporation.................. 1,265,250
17,000 Elf Aquitaine, ADR................... 624,750
22,100 Exxon Corporation.................... 1,770,763
40,100 Halliburton Company.................. 2,030,062
30,800 Kerr-McGee Corporation............... 1,955,800
18,900 Louisiana Land & Exploration
Company............................ 810,338
18,900 Mobil Corporation.................... 2,116,800
19,200 Nova Corporation..................... 153,600
62,900 Occidental Petroleum Corporation..... 1,344,488
33,900 Repsol S.A., ADR..................... 1,114,462
34,900 Sun Company Inc...................... 955,387
21,700 Tenneco Inc.......................... 1,076,863
42,200 Tidewater Inc........................ 1,329,300
56,900 USX-Marathon Group................... 1,109,550
-----------
22,403,563
-----------
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PAPER AND FOREST PRODUCTS -- 4.8%
37,500 Boise Cascade Corporation............ $ 1,298,437
35,500 Bowater Inc.......................... 1,260,250
9,100 Consolidated Papers Inc.............. 510,738
32,100 Federal Paper Board Company Inc...... 1,665,188
19,500 Georgia-Pacific Company.............. 1,338,188
4,500 Glatfelter (P.H.) Company............ 77,062
28,000 International Paper Company.......... 1,060,500
29,400 James River Corporation of
Virginia........................... 709,275
4,500 Longview Fibre Company............... 73,125
19,300 Mead Corporation..................... 1,008,425
5,700 Potlatch Corporation................. 228,000
28,900 Sonoco Products Company.............. 758,625
9,400 Temple-Inland Inc.................... 414,775
17,000 Union Camp Corporation............... 809,625
36,200 Westvaco Corporation................. 1,004,550
27,600 Weyerhauser Company.................. 1,193,700
22,100 Willamette Industries Inc............ 1,243,125
-----------
14,653,588
-----------
PRODUCER/MANUFACTURING -- 2.4%
11,200 Avery-Dennison Corporation........... 561,400
4,700 Crane Company........................ 173,312
5,900 Duriron Company Inc.................. 137,913
29,000 General Motors Corporation........... 1,533,375
6,600 Gleason Corporation.................. 214,500
3,800 Harso Corporation.................... 220,875
7,400 Johnson Controls Inc................. 508,750
17,000 Kennametal Inc....................... 539,750
32,550 Parker-Hannifin Corporation.......... 1,114,837
10,000 SPX Corporation...................... 158,750
18,900 Timken Company....................... 722,925
17,600 TRW Inc.............................. 1,364,000
-----------
7,250,387
-----------
RETAIL, TRADE AND SERVICES -- 0.3%
4,900 CPI Corporation...................... 78,400
6,500 Giant Food Inc., Class A............. 204,750
4,400 Great Atlantic & Pacific Tea Company
Inc................................ 101,200
20,100 Ross Stores Inc...................... 384,412
7,600 Ruddick Corporation.................. 87,400
9,500 Shopko Stores Inc.................... 106,875
-----------
963,037
-----------
TECHNOLOGY -- 1.4%
7,600 Applied Materials Inc.+.............. 299,250
13,600 Dell Computer Corporation+........... 470,900
19,100 Digital Equipment Corporation+....... 1,224,788
8,400 Intel Corporation.................... 476,700
11,800 International Business Machines
Corporation........................ 1,082,650
9,600 Microsoft Corporation+............... 842,400
-----------
4,396,688
-----------
TELECOMMUNICATIONS -- 2.5%
25,200 Cable & Wireless PLC, ADR............ 532,350
15,800 Cincinnati Bell Inc.................. 549,050
45,400 GTE Corporation...................... 1,997,600
32,100 NYNEX Corporation.................... 1,733,400
40,400 Sprint Corporation................... 1,610,950
32,300 Telefonica de Espana S.A., ADR....... 1,352,562
-----------
7,775,912
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- -----------
TEXTILES -- 0.0%#
1,300 Guilford Mills Inc................... $ 26,488
6,200 Interface Inc........................ 105,400
-----------
131,888
-----------
TRANSPORTATION -- 1.4%
22,400 Atlantic Southeast Airlines Inc...... 481,600
26,700 Burlington Northern Santa Fe......... 2,082,600
37,700 CSX Corporation...................... 1,720,062
-----------
4,284,262
-----------
UTILITY -- 6.1%
11,500 Baltimore Gas & Electric Company..... 327,750
4,200 Chesapeake Corporation............... 124,425
30,300 CINergy Corporation.................. 927,937
22,600 Detroit Edison Company............... 779,700
22,000 DQE Inc.............................. 676,500
7,500 Eastern Enterprises.................. 264,375
23,700 Entergy Corporation.................. 693,225
24,800 FPL Group Inc........................ 1,150,100
9,900 General Public Utilities............. 336,600
8,000 Helmerich & Payne Inc................ 238,000
14,000 Illinova Corporation................. 420,000
9,300 MCN Corporation...................... 216,225
8,500 New England Electric Company......... 336,813
29,300 New York State Electric and
Gas Company........................ 758,137
18,200 NIPSCO Industries Inc................ 696,150
47,900 NorAm Energy Corporation............. 425,112
7,600 Northeast Utilities.................. 185,250
4,600 ONEOK Inc............................ 105,225
38,900 Pacific Enterprises.................. 1,098,925
60,600 Panhandle Eastern Corporation........ 1,689,225
21,300 PECO Energy Company.................. 641,663
14,200 Pinnacle West Capital Corporation.... 408,250
45,700 Portland General Corporation......... 1,331,013
15,700 PP&L Resources Inc................... 392,500
10,900 Public Service Company of Colorado... 385,587
12,300 Rochester Gas & Electric Company..... 278,288
23,700 San Diego Gas & Electric Company..... 562,875
59,600 SCEcorp.............................. 1,057,900
17,000 Southwest Gas Corporation............ 299,625
19,100 TransCanada Pipeline Ltd............. 262,625
49,900 Unicom Corporation................... 1,634,225
4,500 United Illuminating Company.......... 168,188
-----------
18,872,413
-----------
OTHER -- 0.1%
12,300 Tri-Continental Corporation.......... 278,288
-----------
Total Common Stocks
(Cost $113,337,313)................ 123,296,478
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.7%
FHLMC:
$2,000,000 7.610% due 09/01/2004................ 2,063,560
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 1.6%
FNMA:
2,200,000 6.900% due 03/10/2004................ 2,216,852
2,805,000 7.600% due 04/14/2004................ 2,864,101
-----------
5,080,953
-----------
Total U.S. Government Agency
Obligations
(Cost $6,832,811).................... 7,144,513
-----------
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 40.5%
U.S. TREASURY BONDS -- 9.9%
$7,500,000 8.125% due 08/15/2019................ $ 9,430,949
4,300,000 7.500% due 11/15/2024................ 5,165,891
13,000,000 7.625% due 02/15/2025................ 15,889,900
-----------
30,486,740
-----------
U.S. TREASURY NOTES -- 30.6%
1,110,000 4.625% due 02/15/1996................ 1,110,293
13,500,000 6.125% due 05/15/1998................ 13,777,019
25,500,000 6.125% due 07/31/2000................ 26,271,117
18,500,000 6.250% due 08/31/2000................ 19,154,343
20,500,000 7.500% due 02/15/2005................ 23,250,073
10,100,000 6.500% due 05/15/2005................ 10,754,782
-----------
94,317,627
-----------
Total U.S. Treasury Obligations
(Cost $119,909,609).................. 124,804,367
-----------
COMMERCIAL PAPER -- 18.0%
5,000,000 Abbott Laboratories,
5.620%++ due 01/09/1996............ 4,993,755
6,300,000 BellSouth Capital Funding
Corporation,
5.650%++ due 01/12/1996............ 6,289,124
9,900,000 Ford Motor Credit Company,
5.800%++ due 01/02/1996............ 9,898,405
3,000,000 Gannett Company,
5.650%++ due 01/11/1996............ 2,995,292
13,300,000 MetLife Funding, Inc.,
5.770%++ due 01/08/1996............ 13,285,078
Philip Morris Capital Corporation:
5,000,000 5.620%++ due 01/03/1996.............. 4,998,439
3,400,000 5.950%++ due 01/04/1996.............. 3,398,314
5,300,000 Raytheon Company,
5.930%++ due 01/05/1996............ 5,296,508
4,100,000 Sara Lee Corporation,
5.800%++ due 01/02/1996............ 4,099,339
-----------
Total Commercial Paper
(Cost $55,254,254)................. 55,254,254
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
------------
<S> <C> <C>
TOTAL INVESTMENTS
(COST $295,333,987*)................ 100.9% $310,499,612
OTHER ASSETS AND LIABILITIES (NET).... (0.9) (2,808,692)
--------- ------------
NET ASSETS............................ 100.0% $307,690,920
--------- ------------
--------- ------------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $295,429,253.
+ Non-income producing security.
++ Annualized yield at date of purchase (unaudited).
# Amount is less than 0.1%.
GLOSSARY OF TERMS
ADR -- American Depositary Receipt.
See Notes to Financial Statements.
55
<PAGE>
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
<S> <C> <C>
COMMON STOCKS -- 50.0%
AEROSPACE/DEFENSE -- 0.7%
32,000 Teledyne Inc...................... $ 820,000
-----------
BANKS -- 0.1%
4,000 Greenpoint Financial
Corporation..................... 107,000
-----------
BUILDING & REAL ESTATE -- 0.3%
10,000 DeBartolo Realty Corporation...... 130,000
10,000 Skyline Corporation............... 207,500
-----------
337,500
-----------
BUILDING/CONSTRUCTION -- 1.5%
135,000 Manville Corporation+............. 1,771,875
-----------
BUSINESS SERVICES -- 0.2%
10,000 Harland (John H.) Company......... 208,750
-----------
CONGLOMERATE -- 0.7%
301,935 Lonhro Ltd........................ 825,273
-----------
CONSUMER DURABLES -- 1.8%
16,000 Corning Inc....................... 512,000
35,000 Polaroid Corporation.............. 1,658,125
-----------
2,170,125
-----------
CONSUMER PRODUCTS -- 1.6%
6,000 Cross (A.T.) Company, Class A..... 90,750
20,000 Philip Morris Companies Inc....... 1,810,000
-----------
1,900,750
-----------
ELECTRIC UTILITIES -- 5.2%
160,000 Centerior Energy Corporation...... 1,420,000
90,000 Entergy Corporation............... 2,632,500
35,000 Niagara Mohawk Power
Corporation..................... 336,875
72,000 Public Service Company of
New Mexico+..................... 1,269,000
30,000 SCECorp........................... 532,500
-----------
6,190,875
-----------
ENERGY -- 0.6%
25,000 Helmerich & Payne Inc............. 743,750
-----------
FINANCIAL SERVICES -- 4.3%
38,000 American Express Company.......... 1,572,250
9,000 Federal National Mortgage
Association..................... 1,117,125
30,000 Student Loan Marketing
Association..................... 1,976,250
13,000 Zurich Reinsurance Centre
Holdings Inc.................. 394,875
-----------
5,060,500
-----------
FOREST PRODUCTS & PAPER -- 1.6%
10,000 International Paper Company....... 378,750
35,000 Weyerhaeuser Company.............. 1,513,750
-----------
1,892,500
-----------
GENERAL MERCHANDISER -- 0.2%
27,000 Hills Stores Company+............. 266,625
-----------
INSURANCE -- 5.3%
9,000 Fund America Enterprise
Holdings........................ 670,500
10,000 Home Beneficial Corporation, Class
B............................... 240,000
18,000 Kemper Corporation................ 893,250
45,000 Loews Corporation................. 3,526,875
19,000 Unitrin Inc....................... 912,000
-----------
6,242,625
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
INTEGRATED PETROLEUM -- DOMESTIC -- 4.9%
15,000 Atlantic Richfield Company........ $ 1,661,250
40,000 Murphy Oil Corporation............ 1,660,000
45,000 Oryx Energy Company+.............. 601,875
11,500 Pennzoil Company.................. 485,875
14,000 Sun Company Inc................... 383,250
50,000 Union Texas Petroleum
Holdings Inc.................... 968,750
-----------
5,761,000
-----------
INTEGRATED PETROLEUM -- INTERNATIONAL -- 2.5%
85,000 Petro-Canada...................... 980,590
25,000 Texaco Inc........................ 1,962,500
-----------
2,943,090
-----------
MEDIA -- COMMUNICATIONS -- 6.7%
35,050 Chris-Craft Industries Inc........ 1,515,912
16,000 Meredith Corporation.............. 670,000
105,000 New York Times Company, Class A... 3,110,625
15,000 Times Mirror Company, Class A..... 508,125
7,500 Washington Post Company, Class
B............................... 2,115,000
-----------
7,919,662
-----------
METAL MINING -- 3.0%
30,000 Hecla Mining Company+............. 206,250
40,000 Homestake Mining Company.......... 625,000
57,859 Newmont Mining Corporation........ 2,618,147
12,000 Santa Fe Pacific Gold
Corporation..................... 145,500
-----------
3,594,897
-----------
PHARMACEUTICALS -- 4.6%
1,000 Ciba-Geigy Corporation AG......... 880,312
72,000 Genentech Inc.+................... 3,816,000
15,000 Schering-Plough Corporation....... 821,250
-----------
5,517,562
-----------
SPECIALTY CHEMICALS -- 1.0%
14,000 Great Lakes Chemical
Corporation..................... 1,008,000
8,000 Petrolite Corporation............. 228,000
-----------
1,236,000
-----------
SPECIALTY MERCHANDISERS -- 1.0%
360,000 Petrie Stores Corporation......... 990,000
10,500 Toys R Us Inc.+................... 228,375
-----------
1,218,375
-----------
TRANSPORTATION SERVICES -- 2.2%
24,000 Overseas Shipholding Group Inc.... 456,000
32,000 PHH Corporation................... 1,496,000
25,000 Ryder System Inc.................. 618,750
-----------
2,570,750
-----------
Total Common Stocks
(Cost $49,251,697).............. 59,299,484
-----------
PREFERRED STOCKS -- 5.5%
AEROSPACE/DEFENSE -- 0.0%#
1,300 Teledyne Inc. Prfd., Series E..... 18,688
-----------
BUILDING/CONSTRUCTION -- 1.1%
50,000 Manville Corporation Prfd., Series
B............................... 1,256,250
-----------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------- -----------
<S> <C> <C>
PREFERRED STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- 2.2%
32,000 Cleveland Electric Illuminating
Company Prfd., Series L......... $ 2,256,000
150 Cleveland Electric Illuminating
Company Prfd., Series S......... 133,875
5,000 Niagara Mohawk Power Corporation
Prfd., Series A................. 80,625
10,000 Niagara Mohawk Power Corporation
Prfd., Series C................. 188,750
-----------
2,659,250
-----------
INSURANCE -- 2.0%
44,000 Kemper Corporation,
Conv. Prfd. **.................. 2,315,500
-----------
UTILITY -- 0.2%
5,000 Gulf States Utility Company,
Prfd............................ 240,000
-----------
Total Preferred Stocks
(Cost $6,035,965)............... 6,489,688
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- -------------
<S> <C> <C>
CONVERTIBLE BONDS AND NOTES -- 16.9%
DATA SERVICES -- 5.0%
$12,000,000 Automatic Data Processing Inc.,
Conv.,
Zero coupon due 02/20/2012...... 5,940,000
-----------
ELECTRIC UTILITY -- 0.6%
Potomac Electrical Power Company,
Conv.:
250,000 5.000% due 09/01/2002............. 238,750
500,000 7.000% due 01/15/2018............. 512,500
-----------
751,250
-----------
FINANCIAL SERVICES -- 1.6%
1,500,000 Chubb Capital Corporation, Conv.,
6.000% due 05/15/1998........... 1,725,000
150,000 UBS Finance (Delaware) Inc. Conv.,
2.000% due 12/15/2000........... 150,375
-----------
1,875,375
-----------
GENERAL MERCHANDISER -- 1.9%
Price Company, Conv.:
1,000,000 6.750% due 03/01/2001............. 1,020,000
1,300,000 5.500% due 02/28/2012............. 1,267,500
-----------
2,287,500
-----------
INTEGRATED PETROLEUM -- DOMESTIC -- 0.9%
600,000 Cross Timbers Oil Company, Conv.,
5.250% due 11/01/2003........... 570,000
450,000 Pennzoil Company, Conv.,
4.750% due 10/01/2003........... 459,000
-----------
1,029,000
-----------
MEDIA COMMUNICATIONS -- 0.8%
2,000,000 Turner Broadcasting Systems Inc.,
Conv.,
Zero coupon due 02/13/2007**.... 902,500
-----------
METAL MINING -- 0.4%
500,000 Homestake Mining Company, Conv.,
5.500% due 06/23/2000**......... 512,500
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------- -----------
<S> <C>
PHARMACEUTICALS -- 0.8%
$2,000,000 Alza Corporation, Conv.,
Zero coupon due 07/14/2014...... $ 822,500
150,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004........... 140,625
-----------
963,125
-----------
REAL ESTATE -- 1.9%
2,200,000 Rouse Company, Conv.,
5.750% due 07/23/2002........... 2,208,250
-----------
RETAIL -- 0.5%
600,000 Food Lion Inc., Conv.,
5.000% due 06/01/2003**......... 605,250
-----------
SPECIALTY MERCHANDISERS -- 0.4%
500,000 Outboard Marine Corporation,
Conv.,
7.000% due 07/01/2002........... 520,625
-----------
TELEPHONE COMMUNICATIONS -- 1.0%
3,200,000 U.S. West Inc., Conv.,
Zero coupon due 06/25/2011...... 1,160,000
-----------
U.S. BANK -- 0.2%
200,000 Fifth Third Bancorp, Conv.,
4.250% due 01/15/1998........... 229,250
-----------
WASTE MANAGEMENT -- 0.9%
1,200,000 WMX Technologies Inc., Conv.,
2.000% due 01/24/2005........... 1,044,000
-----------
Total Convertible Bonds and Notes
(Cost $18,326,147).............. 20,028,625
-----------
CORPORATE BONDS -- 1.1%
FINANCIAL SERVICES -- 0.2%
200,000 American Express Company,
8.750% due 06/15/1996........... 202,548
-----------
INVESTMENT COMPANY -- 0.8%
1,000,000 Dean Witter, Discover & Company,
5.000% due 04/01/1996........... 998,750
-----------
PETROLEUM -- 0.1%
136,000 Shell Oil Company,
7.250% due 02/15/2002........... 136,850
-----------
Total Corporate Bonds
(Cost $1,329,869)............... 1,338,148
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.8%
1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001........... 1,072,160
1,000,000 Federal National Mortgage
Association,
7.200% due 01/10/2002........... 1,013,080
-----------
Total U.S. Government Agency
Obligations
(Cost $2,001,976)............... 2,085,240
-----------
U.S. TREASURY OBLIGATIONS -- 2.6%
U.S. TREASURY NOTES:
2,000,000 8.500% due 07/15/1997............. 2,097,060
1,000,000 5.750% due 10/31/1997............. 1,009,750
-----------
Total U.S. Treasury Obligations
(Cost $3,035,872)............... 3,106,810
-----------
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
FULLY MANAGED SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------- -----------
<S> <C> <C>
COMMERCIAL PAPER -- 21.7%
$3,500,000 BMW U.S. Capital Corporation,
5.500%++ due 02/26/1996......... $ 3,469,783
5,475,000 Ciesco LP,
5.600%++ due 02/15/1996......... 5,436,675
2,800,000 Corporate Asset Funding Company
Inc.,
5.780%++ due 01/04/1996......... 2,798,651
170,000 Corporate Asset Funding Company
Inc.,
5.700%++ due 01/23/1996......... 169,408
2,790,000 Daimler-Benz North America
Corporation,
5.700%++ due 01/19/1996......... 2,782,049
3,065,000 Home Depot Inc.,
5.700%++ due 01/05/1996......... 3,063,059
1,370,000 KFW International Finance Inc.,
5.700%++ due 01/29/1996......... 1,363,926
1,715,000 MetLife Funding Inc. Corporation,
5.700%++ due 01/22/1996......... 1,709,298
740,000 PHH Corporation,
5.820%++ due 01/16/1996......... 738,206
857,000 Tampa Electric Company,
5.800%++ due 01/08/1996......... 856,033
3,354,000 United Parcel Service of America,
Inc.,
5.850%++ due 01/04/1996......... 3,352,365
-----------
Total Commercial Paper
(Cost $25,739,453).............. 25,739,453
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ----------- ------------
<S> <C> <C> <C> <C>
PUT STOCK OPTIONS PURCHASED -- 0.0%#
25 AUD, Class B........... 05/18/1996 $ 85 $ 27,187
20 Guidant, Series B...... 01/20/1996 30 625
15 Times Mirror, Series
B.................... 06/22/1996 35 4,031
------------
Total Put Stock Options
Purchased
(Cost $35,773)....... 31,843
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS
(COST $105,756,752*).......................... 99.6% 118,119,291
OTHER ASSETS AND LIABILITIES (NET).............. 0.4 469,658
--------- ------------
NET ASSETS...................................... 100.0% $118,588,949
--------- ------------
--------- ------------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $105,795,557.
** 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 (unaudited).
# Amount is less than 0.1%.
See Notes to Financial Statements.
58
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 3.6%
$948,831 Capital Auto Receivables Asset Trust,
Series 1993-1, Class A7,
5.350% due 02/15/1998.............. $ 946,744
500,000 Ford Credit Auto Loan Master Trust,
Series 1992-1, Class A,
6.875% due 01/15/1999.............. 511,758
233,455 Ford Credit Grantor Trust,
Series 1993-A, Class A,
4.850% due 01/15/1998.............. 232,008
1,500,000 Standard Credit Card Trust I,
Series 1992-3, Class A,
6.113%+++ due 10/15/1998........... 1,506,600
-----------
Total Asset-Backed Securities
(Cost $3,186,334).................. 3,197,110
-----------
CORPORATE BONDS -- 23.0%
FINANCIAL -- 11.3%
1,035,000 Dean Witter Discover & Company,
6.750% due 08/15/2000.............. 1,067,344
1,245,000 Ford Motor Credit Company,
6.250% due 11/08/2000.............. 1,260,563
1,400,000 Great Western Financial Corporation,
6.375% due 07/01/2000.............. 1,419,250
1,000,000 Household Finance Company,
7.500% due 03/10/1998.............. 1,037,500
1,205,000 ITT Hartford Group Inc.,
6.375% due 11/01/2002.............. 1,220,063
1,500,000 Merrill Lynch & Company Inc.,
4.750% due 06/24/1996.............. 1,494,840
1,000,000 Paine Webber Group Inc.,
8.250% due 05/01/2002.............. 1,090,000
1,500,000 Stop & Shop International Financial
Corporation,
10.125% due 12/16/1996............. 1,561,875
-----------
10,151,435
-----------
INDUSTRIAL -- 5.9%
1,000,000 Allied Corporation,
Zero coupon due 01/15/1996......... 998,164
1,110,000 Brunswick Corporation,
8.125% due 04/01/1997.............. 1,136,363
1,050,000 GTE Corporation,
8.850% due 03/01/1998.............. 1,113,000
1,000,000 Ingersoll-Rand Company, MTN,
6.540% due 08/24/1998.............. 1,025,000
1,000,000 News America Holdings Inc.,
7.500% due 03/01/2000.............. 1,046,250
-----------
5,318,777
-----------
UTILITY/ELECTRIC -- 1.1%
1,000,000 Utilicorp United Inc.,
6.000% due 04/01/1998.............. 997,500
-----------
YANKEE -- 4.7%
1,060,000 Carter Holt Harvey Ltd.,
7.625% due 04/15/2002.............. 1,142,150
Laidlaw Inc.:
790,000 8.750% due 01/01/2000................ 861,100
310,000 7.700% due 08/15/2002................ 333,250
2,000,000 Schering-Plough Corporation,
Zero coupon due 12/02/1996......... 1,905,000
-----------
4,241,500
-----------
Total Corporate Bonds
(Cost $20,589,627)............... 20,709,212
-----------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.2%
FHLMC:
$850,000 6.930% due 09/05/2000................ $ 871,632
13,573 Pool #350042,
7.250%+++ due 01/01/2017........... 13,785
142,365 REMIC, Series #1270, Class F,
6.350%+++ due 05/15/1997........... 142,528
-----------
1,027,945
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 0.9%
FNMA:
15,582 Pool #044026,
8.500% due 08/01/2006.............. 16,263
22,718 Pool #048832,
10.000% due 06/01/2017............. 24,975
195,832 Pool #070355,
8.500% due 03/01/2004.............. 204,399
15,934 Pool #111311,
8.500% due 12/01/1997.............. 16,462
69,548 Pool #122591,
8.500% due 06/01/1998.............. 71,852
369,062 Pool #127336,
8.500% due 08/01/2006.............. 385,208
102,107 Series #1991-121, Class F,
6.144%+++ due 09/25/1998........... 102,198
-----------
821,357
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.5%
GNMA:
5,384 Pool #147899,
10.000% due 02/15/2016............. 5,908
89,981 Pool #155224,
10.000% due 03/15/2016............. 98,726
11,032 Pool #161670,
9.500% due 09/15/2016.............. 11,848
44,161 Pool #284666,
9.500% due 03/15/2020.............. 47,432
45,210 Pool #286024,
10.000% due 04/15/2020............. 49,604
244,123 Pool #308911,
9.500% due 07/15/2021.............. 262,203
-----------
475,721
-----------
Total U.S. Government Agency
Obligations (Cost $2,248,642)...... 2,325,023
-----------
U.S. TREASURY OBLIGATIONS -- 51.1%
U.S. TREASURY NOTES:
2,000,000 5.500% due 09/30/1997................ 2,010,700
14,000,000 5.625% due 10/31/1997................ 14,108,779
2,350,000 5.375% due 11/30/1997................ 2,358,107
7,300,000 5.500% due 11/15/1998................ 7,353,290
3,800,000 5.875% due 03/31/1999................ 3,869,692
10,000,000 7.500% due 10/31/1999................ 10,741,800
2,025,000 6.125% due 07/31/2000................ 2,086,236
3,490,000 5.750% due 10/31/2000................ 3,543,990
-----------
Total U.S. Treasury Obligations
(Cost $45,550,229)................. 46,072,594
-----------
REPURCHASE AGREEMENTS -- 18.8%
6,967,812 Agreement with Sanwa Bank Securities
LP, 5.850% dated 12/29/1995 to be
repurchased at $6,972,341 on
01/02/1996, collateralized by
$4,533,000 U.S. Treasury Bond,
10.625% due 08/15/2015 (value
$7,145,806)........................ 6,967,812
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
THE GCG TRUST
LIMITED MATURITY BOND SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<S> <C> <C>
REPURCHASE AGREEMENTS -- (CONTINUED)
$10,000,000 Agreement with Swiss Bank
Corporation, 5.850% dated
12/29/1995 to be repurchased at
$10,006,500 on 01/02/1996,
collateralized by $9,380,000 U.S.
Treasury Notes, 7.750% due
11/30/1999 (value $10,057,600)..... $10,000,000
-----------
Total Repurchase Agreements
(Cost $16,967,812)................. 16,967,812
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
-----------
<S> <C> <C>
TOTAL INVESTMENTS (COST $88,542,644*).. 99.1% $89,271,751
OTHER ASSETS AND LIABILITIES (NET)..... 0.9 809,617
--------- -----------
NET ASSETS............................. 100.0% $90,081,368
--------- -----------
--------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes was $88,551,514.
+++ Floating rate security.
GLOSSARY OF TERMS
MTN -- Medium Term Note.
REMIC -- Real Estate Mortgage Investment Conduit.
See Notes to Financial Statements.
60
<PAGE>
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
THE GCG TRUST
LIQUID ASSET SERIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 14.0%
FOREIGN BANKS -- 13.0%
$1,000,000 Bank of Tokyo, Ltd.,
5.900% due 01/22/1996.............. $ 1,000,006
1,000,000 Bayerische Vereinsbank AG,
5.800% due 01/31/1996.............. 1,000,008
1,000,000 Credit Suisse,
5.730% due 01/19/1996.............. 999,957
2,000,000 Hessen-Thuringer,
5.795% due 01/31/1996.............. 1,999,965
-----------
4,999,936
-----------
U.S. BANK -- 1.0%
400,000 Wachovia Bank,
5.720% due 01/17/1996.............. 400,008
-----------
Total Certificates of Deposit
(Cost $5,399,944).................. 5,399,944
-----------
COMMERCIAL PAPER -- 67.5%
ELECTRONICS -- 5.1%
2,000,000 Hewlett-Packard Company,
5.630%++ due 02/15/1996............ 1,985,925
-----------
FINANCIAL SERVICES -- 20.7%
1,500,000 Asset Securitization Coop
Corporation, 5.770%++ due
01/12/1996......................... 1,497,355
2,000,000 Bear Stearns & Company Inc.,
5.730%++ due 01/26/1996............ 1,992,042
1,000,000 Goldman Sachs & Company,
5.600%++ due 04/09/1996............ 984,600
2,000,000 Key Bank New York,
5.872%++ due 09/06/1996............ 1,998,910
1,500,000 Morgan Stanley & Company, Inc.,
6.000%++ due 01/05/1996............ 1,499,000
-----------
7,971,907
-----------
FOREIGN BANKS -- 7.0%
1,000,000 BBL North America,
5.580%++ due 04/18/1996............ 983,260
1,500,000 National Australia Funding Inc.,
5.300%++ due 06/14/1996............ 1,463,562
243,000 Royal Bank of Canada,
5.330%++ due 06/07/1996............ 237,315
-----------
2,684,137
-----------
FOREIGN GOVERNMENTS -- 21.2%
1,021,000 Alberta Province, Canada,
5.550%++ due 02/26/1996............ 1,012,185
1,000,000 Canadian Wheat Board,
5.650%++ due 02/15/1996............ 992,937
2,000,000 Government of New South Wales,
5.675%++ due 02/28/1996............ 1,981,714
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------- -----------
FOREIGN GOVERNMENTS -- (CONTINUED)
$1,500,000 Manitoba Hydro-Electric Board,
5.470%++ due 03/22/1996............ $ 1,481,539
Sweden (Kingdom of):
1,000,000 5.580%+ due 03/20/1996 987,755
1,000,000 5.655%++ due 04/17/1996.............. 983,192
750,000 Swedish Export Credit,
5.600%++ due 02/02/1996............ 746,267
-----------
8,185,589
-----------
U.S. BANK -- 3.9%
1,500,000 Bank of New York,
5.840%++ due 01/23/1996............ 1,494,647
-----------
OTHER -- 9.6%
2,000,000 Dun & Bradstreet Corporation,
5.590%++ due 03/19/1996............ 1,975,777
1,750,000 Panasonic Finance Inc.,
5.600%++ due 02/14/1996............ 1,738,022
-----------
3,713,799
-----------
Total Commercial Paper
(Cost $26,036,004)................. 26,036,004
-----------
TIME DEPOSIT -- 4.9% (Cost $1,900,000)
1,900,000 Bank of America Corporation,
5.813% due 01/31/1996.............. 1,900,000
-----------
REPURCHASE AGREEMENT -- 13.6% (Cost $5,266,585)
5,266,585 Agreement with Swiss Bank
Corporation,
5.900% dated 12/29/1995 to be
repurchased at $5,270,038 on
01/02/1996, collateralized by
$5,620,000 U.S. Treasury Bills,
Zero coupon due 11/14/1996 value
($5,372,949)....................... 5,266,585
-----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
TOTAL INVESTMENTS (COST $38,602,533*).. 100.0% 38,602,533
OTHER ASSETS AND LIABILITIES (NET)..... (0.0) (13,844)
--------- -----------
NET ASSETS............................. 100.0% $38,588,689
--------- -----------
--------- -----------
</TABLE>
- ----------------------
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase (unaudited).
See Notes to Financial Statements.
61
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
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 December 31,
1995, the Trust had fourteen operational portfolios (the 'Series'): All-Growth
Series ('AG'), Capital Appreciation Series ('CA'), Value Equity Series ('VE'),
Strategic Equity Series ('SE'), 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 The 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, the Value Equity Series which commenced
operations on January 3, 1995 and the Strategic Equity Series which commenced
operations on October 2, 1995. The preparation of financial statements in
accordance with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
The following is a summary of significant accounting policies consistently
followed by the 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. Debt securities with a
maturity date at time of purchase of 60 days or less are valued at amortized
cost which 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
62
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
price of the derivative financial instruments and the price of the underlying
securities, indices or currency.
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. None of the Series wrote options for the year ended December
31, 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. None of the Series had open
futures contracts at December 31, 1995. 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 at
December 31, 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
appreciation/(depreciation) on other 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
63
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
securities received as collateral including the risk of a possible decline in
the value of the underlying securities during the 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. Differences incurred during the
year ended December 31, 1995 for the All-Growth Series, Value Equity Series,
Strategic Equity Series, Emerging Markets Series, Natural Resources Series,
Multiple Allocation Series, Fully Managed Series and Limited Maturity Bond
Series resulting from permanent differences in book and tax accounting for
foreign tax expense, gains/(losses) from sales of foreign bonds, paydowns from
asset-backed securities and foreign currency transactions have been reclassified
at year end to undistributed net investment income, accumulated realized gains
and paid-in capital.
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, SE, 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
64
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
from inception (November 14, 1994) of the Series through March 7, 1995. For the
year ended December 31, 1995, the Manager voluntarily waived $6,748 of unified
fees due from the MM Series.
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. (SE
and 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 year ended December 31, 1995, VE, NR, MM and MA Series, in the
ordinary course of business, paid commissions of $240, $411, $1,425 and $86,365,
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 year ended December 31, 1995
were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------------- -------------
<S> <C> <C>
All-Growth Series............................................................. $ 69,539,311 $ 52,569,002
Capital Appreciation Series................................................... 110,452,315 93,586,580
Value Equity Series........................................................... 34,369,912 8,763,274
Strategic Equity Series....................................................... 7,327,672 900,459
Rising Dividends Series....................................................... 38,167,223 25,675,848
Emerging Markets Series....................................................... 70,421,236 84,044,801
Natural Resources Series...................................................... 6,803,561 12,755,917
Real Estate Series............................................................ 17,303,027 20,119,446
Market Manager Series......................................................... 992,771 --
Multiple Allocation Series.................................................... 203,315,534 143,022,073
Fully Managed Series.......................................................... 99,664,819 112,228,810
Limited Maturity Bond Series.................................................. 14,625,099 2,785,483
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short-term investments, for the year ended
December 31, 1995 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
--------------- ---------------
<S> <C> <C>
Market Manager Series........................................................ $ 2,249,938 $ 197,507
Multiple Allocation Series................................................... 239,754,745 232,869,095
Fully Managed Series......................................................... 97,219 4,004,063
Limited Maturity Bond Series................................................. 215,031,700 205,711,104
</TABLE>
65
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
3. PURCHASES AND SALES OF SECURITIES--(CONTINUED)
At December 31, 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.............................................. $ 11,646,361 $ 4,283,377 $ 7,362,984
Capital Appreciation Series.................................... 18,191,737 1,763,329 16,428,408
Value Equity Series............................................ 2,631,452 278,340 2,353,112
Strategic Equity Series........................................ 250,787 238,940 11,847
Rising Dividends Series........................................ 16,916,325 171,996 16,744,329
Emerging Markets Series........................................ 3,142,299 5,901,276 (2,758,977)
Natural Resources Series....................................... 5,181,869 1,255,876 3,925,993
Real Estate Series............................................. 3,469,725 132,461 3,337,264
Market Manager Series.......................................... 972,237 -- 972,237
Multiple Allocation Series..................................... 16,902,160 1,831,801 15,070,359
Fully Managed Series........................................... 13,714,028 1,390,294 12,323,734
Limited Maturity Bond Series................................... 755,383 35,146 720,237
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
Each Series of the Trust may issue an unlimited number of shares of beneficial
interest with par value of $0.001. 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>
YEAR ENDED YEAR ENDED
12/31/1995 12/31/1994
---------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Sold............................................... 1,341,803 $ 18,016,517 2,224,232 $ 27,968,122
Issued as reinvestment of dividends................ 345,648 4,745,751 56,810 673,770
Redeemed........................................... (929,250) (12,375,122) (484,915) (6,100,789)
------------ -------------- ----------- --------------
Net increase....................................... 758,201 $ 10,387,146 1,796,127 $ 22,541,103
------------ -------------- ----------- --------------
------------ -------------- ----------- --------------
CAPITAL APPRECIATION SERIES:
Sold............................................... 1,448,134 $ 19,586,921 1,245,015 $ 14,603,866
Issued as reinvestment of dividends................ 766,974 10,308,136 157,562 1,786,749
Redeemed........................................... (1,007,166) (13,430,153) (983,898) (11,440,158)
------------ -------------- ----------- --------------
Net increase....................................... 1,207,942 $ 16,464,904 418,679 $ 4,950,457
------------ -------------- ----------- --------------
------------ -------------- ----------- --------------
</TABLE>
66
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
4. SHARES OF BENEFICIAL INTEREST--(CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED
12/31/1995*
----------------------------
SHARES AMOUNT
------------ --------------
<S> <C> <C>
VALUE EQUITY SERIES:
Sold............................................... 2,380,456 $ 28,750,556
Issued as reinvestment of dividends................ 55,050 720,060
Redeemed........................................... (248,063) (3,223,031)
------------ --------------
Net increase....................................... 2,187,443 $ 26,247,585
------------ --------------
------------ --------------
STRATEGIC EQUITY SERIES:
Sold............................................... 817,787 $ 8,157,294
Issued as reinvestment of dividends................ 1,873 18,654
Redeemed........................................... (14,307) (141,545)
------------ --------------
Net increase....................................... 805,353 $ 8,034,403
------------ --------------
------------ --------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED
12/31/1994
---------------------------
SHARES AMOUNT
----------- --------------
<S> <C> <C> <C> <C>
RISING DIVIDENDS SERIES:
Sold............................................... 1,671,848 $ 19,484,935 3,769,154 $ 39,214,457
Issued as reinvestment of dividends................ 43,236 572,878 67,429 689,128
Redeemed........................................... (571,571) (6,528,476) (274,665) (2,835,595)
------------ -------------- ----------- --------------
Net increase....................................... 1,143,513 $ 13,529,337 3,561,918 $ 37,067,990
------------ -------------- ----------- --------------
------------ -------------- ----------- --------------
EMERGING MARKETS SERIES:
Sold............................................... 1,949,018 $ 17,394,853 4,372,122 $ 52,607,595
Issued as reinvestment of dividends................ 813 7,833 285,190 2,874,716
Redeemed........................................... (3,125,567) (28,644,907) (690,089) (7,879,876)
------------ -------------- ----------- --------------
Net increase/(decrease)............................ (1,175,736) $ (11,242,221) 3,967,223 $ 47,602,435
------------ -------------- ----------- --------------
------------ -------------- ----------- --------------
NATURAL RESOURCES SERIES:
Sold............................................... 758,515 $ 10,784,033 1,310,350 $ 18,811,892
Issued as reinvestment of dividends................ 38,174 573,369 59,829 830,429
Redeemed........................................... (1,361,275) (19,153,142) (550,248) (7,812,512)
------------ -------------- ----------- --------------
Net increase/(decrease)............................ (564,586) $ (7,795,740) 819,931 $ 11,829,809
------------ -------------- ----------- --------------
------------ -------------- ----------- --------------
</TABLE>
67
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
4. SHARES OF BENEFICIAL INTEREST--(CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/1995 12/31/1994*
---------------------------- ----------------------------
SHARES AMOUNT SHARES AMOUNT
------------ -------------- ------------ --------------
<S> <C> <C> <C> <C>
REAL ESTATE SERIES:
Sold.............................................. 276,841 $ 3,217,426 1,366,184 $ 16,025,952
Issued as reinvestment of dividends............... 112,067 1,405,317 166,624 1,881,187
Redeemed.......................................... (924,776) (10,774,704) (821,566) (9,484,770)
------------ -------------- ------------ --------------
Net increase/(decrease)........................... (535,868) $ (6,151,961) 711,242 $ 8,422,369
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
MARKET MANAGER SERIES+:
Sold.............................................. 283,159 $ 2,854,307 274,307 $ 2,749,065
Issued as reinvestment of dividends............... 16,984 203,126 650 6,515
Redeemed.......................................... (80,266) (832,431) (133) (1,334)
------------ -------------- ------------ --------------
Net increase...................................... 219,877 $ 2,225,002 274,824 $ 2,754,246
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
MULTIPLE ALLOCATION SERIES:
Sold.............................................. 655,464 $ 8,121,729 4,887,450 $ 57,590,822
Issued as reinvestment of dividends............... 1,745,188 21,779,941 945,456 10,712,021
Redeemed.......................................... (4,244,553) (52,696,208) (2,484,836) (29,015,118)
------------ -------------- ------------ --------------
Net increase/(decrease)........................... (1,843,901) $ (22,794,538) 3,348,070 $ 39,287,725
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
FULLY MANAGED SERIES:
Sold.............................................. 888,530 $ 11,332,891 1,189,610 $ 15,227,201
Issued as reinvestment of dividends............... 209,101 2,873,042 245,051 2,867,101
Redeemed.......................................... (1,031,853) (13,343,139) (1,267,393) (15,386,375)
------------ -------------- ------------ --------------
Net increase...................................... 65,778 $ 862,794 167,268 $ 2,707,927
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
LIMITED MATURITY BOND SERIES:
Sold.............................................. 3,218,591 $ 33,376,204 2,433,160 $ 25,604,857
Issued as reinvestment of dividends............... -- -- 353,782 3,530,748
Redeemed.......................................... (2,375,002) (25,107,727) (2,350,325) (24,721,278)
------------ -------------- ------------ --------------
Net increase...................................... 843,589 $ 8,268,477 436,617 $ 4,414,327
------------ -------------- ------------ --------------
------------ -------------- ------------ --------------
</TABLE>
68
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
4. SHARES OF BENEFICIAL INTEREST--(CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
12/31/1995 12/31/1994
----------------- --------------
SHARES SHARES
AND AND
AMOUNT AMOUNT
----------------- --------------
<S> <C> <C>
LIQUID ASSET SERIES:
Sold...................................................................... $ 39,392,309 $ 71,733,903
Issued as reinvestment of dividends....................................... 2,285,849 1,472,537
Redeemed.................................................................. (49,211,493) (43,892,926)
----------------- --------------
Net increase/(decrease)................................................... $ (7,533,335) $ 29,313,514
----------------- --------------
----------------- --------------
</TABLE>
- ------------------
* The Market Manager Series, the Value Equity Series and the Strategic Equity
Series commenced operations on November 14, 1994, January 3, 1995 and October
2, 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 Provincial................................................................. 46,567 02/18/1994
Banco Venezolano de Credito...................................................... 300,018 02/18/1994
Fabril Pacifico.................................................................. 284,760 07/05/1995
Malbak, GDR, 144A................................................................ 1,006,250 07/25/1995
Unithai Line PLC (Foreign)....................................................... 541,229 06/22/1995
Venezolana de Pulpa Y Papel, Series A, 144A...................................... 40,367 02/02/1994
</TABLE>
Total restricted and/or illiquid securities (fair value of $2,051,999)
represented 4.3% of net assets of the Emerging Markets Series at December 31,
1995.
FULLY MANAGED SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
- --------------------------------------------------------------------------------- ------------- -------------
<S> <C> <C>
Food Lion Inc., Conv. Bond, 144A,
5.000% due 06/01/2003.......................................................... $ 564,506 04/27/1995
Homestake Mining Company, Conv. Bond, 144A,
5.500% due 06/23/2000.......................................................... 473,923 02/16/1995
Kemper Corporation, Conv. Prfd. Stock, 144A...................................... 2,144,734 02/06/1995
Turner Broadcasting Systems Inc., Conv. Bond, 144A,
Zero coupon due 02/13/2007..................................................... 918,460 10/04/1995
</TABLE>
69
<PAGE>
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
THE GCG TRUST
5. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
Total restricted and/or illiquid securities (fair value of $4,335,750)
represented 3.7% of net assets of the Fully Managed Series at December 31, 1995.
On December 31, 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, 1995 which are available to offset future
capital gains, if any:
<TABLE>
<CAPTION>
LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED
EXPIRING IN EXPIRING IN EXPIRING IN
FUND 2001 2002 2003
---- --------------- --------------- ---------------
<S> <C> <C> <C>
Strategic Equity Series...................................... -- -- $ 10,827
Rising Dividends Series...................................... $ 4,712 $ 555,934 --
Emerging Markets Series...................................... -- -- 12,506,369
Real Estate Series........................................... -- 66.854 124,426
Fully Managed Series......................................... -- -- 1,857,677
Liquid Asset Series.......................................... 172 15 --
</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. SUBSEQUENT EVENT
The Small Cap Series, a new Series of the Trust, commenced operations on
January 2, 1996.
70
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
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>
71
