<PAGE> 1
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[LOGO]
Semi-Annual Report
------------------
THE GCG TRUST
(INCLUDING SEPARATE ACCOUNT A
FINANCIAL INFORMATION)
------------------
June 30, 1996
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc.
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<PAGE> 2
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Table of Contents
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THE GCG TRUST
<TABLE>
<CAPTION>
PAGE
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<S> <C>
President's Letter....................................................................................... 1
Fund Manager Reports..................................................................................... 2
Statements of Assets and Liabilities..................................................................... 18
Statements of Operations................................................................................. 20
Statements of Changes in Net Assets...................................................................... 22
Financial Highlights:
Small Cap Series....................................................................................... 26
All-Growth Series...................................................................................... 27
Capital Appreciation Series............................................................................ 28
Value Equity Series.................................................................................... 29
Rising Dividends Series................................................................................ 30
Strategic Equity Series................................................................................ 31
Emerging Markets Series................................................................................ 32
Natural Resources Series............................................................................... 33
Real Estate Series..................................................................................... 34
Market Manager Series.................................................................................. 35
Multiple Allocation Series............................................................................. 36
Fully Managed Series................................................................................... 37
Limited Maturity Bond Series........................................................................... 38
Liquid Asset Series.................................................................................... 39
Portfolio of Investments:
Small Cap Series....................................................................................... 40
All-Growth Series...................................................................................... 42
Capital Appreciation Series............................................................................ 43
Value Equity Series.................................................................................... 44
Rising Dividends Series................................................................................ 46
Strategic Equity Series................................................................................ 47
Emerging Markets Series................................................................................ 51
Natural Resources Series............................................................................... 55
Real Estate Series..................................................................................... 57
Market Manager Series.................................................................................. 58
Multiple Allocation Series............................................................................. 59
Fully Managed Series................................................................................... 62
Limited Maturity Bond Series........................................................................... 65
Liquid Asset Series.................................................................................... 67
Notes to Financial Statements............................................................................ 69
SEPARATE ACCOUNT A
Statement of Assets and Liabilities...................................................................... A-1
Notes to Statement of Assets and Liabilities............................................................. A-2
</TABLE>
<PAGE> 3
DIRECTED SERVICES, INC.
1001 JEFFERSON STREET, WILMINGTON, DE 19801 TEL: (302) 576-3400
FAX: (302) 576-3450
August 15, 1996
Dear Shareholder of The GCG Trust:
We are pleased to provide you with your June 30, 1996 Semiannual Report (the
"Report") for The GCG Trust (the "Trust") which includes reports from all
GoldenSelect Portfolio Managers. The first six months of 1996 have seen Trust
assets under management increase 8.2% from $1.005 billion to $1.087 billion.
Included with this Report is a condensed financial report for Separate Account
A, which supports GoldenSelect flexible premium variable life insurance
policies. The 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.
Thank you for your continued support of GoldenSelect and The GCG Trust.
Sincerely,
/s/ Terry L. Kendall
Terry L. Kendall
Chairman
The GCG Trust
1
<PAGE> 4
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[GoldenSelect Logo]
Semi-Annual Report
------------------
THE GCG TRUST
(INCLUDING SEPARATE ACCOUNT B
FINANCIAL INFORMATION)
------------------
June 30, 1996
GoldenSelect products are issued by Golden American Life Insurance Company
and distributed by Directed Services, Inc.
- --------------------------------------------------------------------------------
<PAGE> 5
- --------------------------------------------------------------------------------
Table of Contents
THE GCG TRUST
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
President's Letter....................................................................................... 1
Fund Manager Reports..................................................................................... 2
Statements of Assets and Liabilities..................................................................... 18
Statements of Operations................................................................................. 20
Statements of Changes in Net Assets...................................................................... 22
Financial Highlights:
Small Cap Series....................................................................................... 26
All-Growth Series...................................................................................... 27
Capital Appreciation Series............................................................................ 28
Value Equity Series.................................................................................... 29
Rising Dividends Series................................................................................ 30
Strategic Equity Series................................................................................ 31
Emerging Markets Series................................................................................ 32
Natural Resources Series............................................................................... 33
Real Estate Series..................................................................................... 34
Market Manager Series.................................................................................. 35
Multiple Allocation Series............................................................................. 36
Fully Managed Series................................................................................... 37
Limited Maturity Bond Series........................................................................... 38
Liquid Asset Series.................................................................................... 39
Portfolio of Investments:
Small Cap Series....................................................................................... 40
All-Growth Series...................................................................................... 42
Capital Appreciation Series............................................................................ 43
Value Equity Series.................................................................................... 44
Rising Dividends Series................................................................................ 46
Strategic Equity Series................................................................................ 47
Emerging Markets Series................................................................................ 51
Natural Resources Series............................................................................... 55
Real Estate Series..................................................................................... 57
Market Manager Series.................................................................................. 58
Multiple Allocation Series............................................................................. 59
Fully Managed Series................................................................................... 62
Limited Maturity Bond Series........................................................................... 65
Liquid Asset Series.................................................................................... 67
Notes to Financial Statements............................................................................ 69
SEPARATE ACCOUNT B
Statement of Assets and Liabilities...................................................................... B-1
Notes to Statement of Assets and Liabilities............................................................. B-2
</TABLE>
<PAGE> 6
DIRECTED SERVICES, INC.
1001 JEFFERSON STREET, WILMINGTON, DE 19801 TEL: (302) 576-3400
FAX: (302) 576-3450
August 15, 1996
Dear Shareholder of The GCG Trust:
We are pleased to provide you with your June 30, 1996 Semiannual Report (the
"Report") for The GCG Trust (the "Trust") which includes reports from all
GoldenSelect Portfolio Managers. The first six months of 1996 have seen Trust
assets under management increase 8.2% from $1.005 billion to $1.087 billion.
Included with this Report is a condensed financial report for Separate Account
B, which supports GoldenSelect variable annuity products. The 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.
Thank you for your continued support of GoldenSelect and The GCG Trust.
Sincerely,
/s/ Terry L. Kendall
Terry L. Kendall
Chairman
The GCG Trust
1
<PAGE> 7
THE GCG TRUST
SMALL CAP SERIES
The objective of the Small Cap Series is long-term capital appreciation
sought by investing primarily in equity securities of companies that, at the
time of purchase, have total market capitalization of less than $1 billion. For
the six months ended June 30, 1996, the Series generated a total return of
18.80% while the S&P 500 Index returned 10.10% for the same period and the
Russell 2000 returned 10.36% for the same period.
The first six months of 1996 have been extremely challenging and volatile.
On more than one occasion, the Series has experienced the financial markets'
equivalent of wind-shear. Despite the volatility, most of the major market
indices are higher than they were at the beginning of the year with NASDAQ
leading the way. The reason for market conditions so far this year has been a
dramatic change in perception about the nature of the economy.
The conventional wisdom in the market earlier in the year was that the
economy was extremely weak, and consequently would require a series of Federal
Reserve Board actions to lower interest rates in order to avoid a possible
recession. Over the second quarter, the market's focus shifted to whether the
economy was growing too fast which might cause inflation and potentially lead to
Federal Reserve Board actions to raise interest rates.
During the last several weeks of the semi-annual period, the Series felt a
strong negative impact from declining technology stock prices. Although the
Portfolio Manager eliminated a number of positions and reduced others in
anticipation of this effect, the Portfolio Manager was once again startled by
the reaction of a few bad earnings pre-announcements. Some of the stocks which
pre-announced bad earnings were stocks already presumed to be having bad
quarters. Therefore, the Portfolio Manager believes this severe negative
reaction was exaggerated.
The Portfolio Manager believes the second half of the year will be more
inspiring. Many of the stocks which did not have bad earnings but were
nevertheless caught in the down draft of pre-announced bad earnings should
rebound nicely. The second half of the year for technology stocks, particularly
those related to personal computers, should be stronger in anticipation of the
new Windows NT program. Also, the newer version of the Pentium Pro Chip (the
686) should be in broad release in 1997 rather than 1998 suggesting a new
positive life cycle for hardware and software. Finally, the semiconductor glut
will likely dissipate and the Portfolio Manager will be off to the races again.
The Portfolio Manager continues to believe that the stock market is
undervalued relative to the bond market and that the bond market should rally in
the second half of the year. Moreover, the Portfolio Manager does not believe
that the Federal Reserve Board will find it necessary to raise rates even at the
August 20th FOMC meeting. The Portfolio Manager believes there is a good chance
that the Dow Jones Industrial Average will attain a target objective of 6000 by
year-end or at least by the middle of 1997.
FRED ALGER MANAGEMENT, INC.
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AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1/3/1996 (INCEPTION) 18.80%
------------------------------------------------------
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 JUNE 30, 1996
1. 3Com Corporation 2.5%
2. United Waste Systems Inc. 2.2%
3. Business Objects S.A., ADR 1.7%
4. Glenayre Technologies Inc. 1.6%
5. Gucci Group NY 1.5%
INDUSTRY BREAKDOWN
[PIE CHART]
2
<PAGE> 8
THE GCG TRUST
ALL-GROWTH SERIES
The objective of the All-Growth Series is capital appreciation sought by
investing primarily in securities selected for their long-term growth prospects
on the basis of fundamental research. The Series had a disappointing six months,
gaining 1.23% vs. a 10.10% gain in the S&P 500 Index. This was due largely to
weakness in two of the Series' more heavily weighted areas: gold and industrial
cyclicals. Gold and precious-metals shares, which represented 20.9% of the
Series as of June 30, 1996, suffered a sizable correction during the second
quarter (reflected in a 6.5% loss for the average gold fund, per Lipper
Analytical Services, Inc.), after outpacing much of the market in the year's
first three months. The Series' cyclical exposure, notably its steel and paper
stocks, barely budged in price over the last three months, despite mounting
evidence that the economy was growing stronger and the performance of cyclical
stocks has been very high, but in this instance the two bore little relation.
The Portfolio Manager made a number of fairly significant adjustments
during the period, both as a defensive measure and in an effort to better
position the Series for the remainder of the year, given a revised outlook on
the economy's prospects. The Portfolio Manager reduced the Series' cyclical
exposure across the board, with a particularly sharp cutback in its holdings of
steel companies. The Portfolio Manager made smaller reductions to its weightings
in oil services and paper and forest products. The rationale for these moves is
that economic growth, while currently strong, may at some point in the next
three to six months begin to slow as a result of higher bond yields and the
likely tightening of credit by the Federal Reserve Board. Cyclical stocks, as
noted, have not responded favorably this year to signs that the economy is
picking up steam; it is difficult to believe that they will fare better amid a
period of potentially slower growth.
Stocks that should do well in a slower-growth environment are banks and
financial services companies, and accordingly the Portfolio Manager has
increased the Series' exposure to these issues. The focus of the emphasis here
remains money-center banks, though the Portfolio Manager is finding value among
financial-services companies as well. Recent additions to the Series from the
banking area include Bank of New York Company, Inc., Chase Manhattan
Corporation, Greenpoint Financial Corporation and Mercantile Bancorporation, the
last a Missouri regional bank. (Collectively, banks and other financial services
stocks represent 25.1% of the Series assets as of June 30.) In addition to the
likelihood of a more-favorable interest-rate backdrop in the months ahead, these
banks should benefit from their ongoing restructuring efforts and
(continued on next page)
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 10.76%
5 YEAR 7.80%
1/24/1989 (INCEPTION) 6.12%
------------------------------------------------------
------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 1.23%
------------------------------------------------------
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 JUNE 30, 1996
1. GRC International Inc. 5.3%
2. Wells Fargo & Company 5.0%
3. Newmont Mining Corporation 4.8%
4. Placer Dome Inc., ADR 4.4%
5. Homestake Mining Company 4.0%
INDUSTRY BREAKDOWN
[PIE CHART]
3
<PAGE> 9
THE GCG TRUST
ALL-GROWTH SERIES (CONTINUED)
share-buyback programs. Bank of New York Company, Inc., to cite one example, is
in the midst of repurchasing 10% of its outstanding stock, and as a rule most of
these banks are engaged in similarly aggressive programs.
Health care stocks should also benefit from slower growth, and the
Portfolio Manager has upped the Series' weighting here as well. Health care and
pharmaceutical issues accounted for 6.9% of the Series as of June 30. The
Series' largest health care holding is ALZA Corporation, a drug-delivery
company, at 1.5% of the Series. Over the last several years the stock has been
down as much as 60% from its peak. But the Portfolio Manager believes that the
company's earnings outlook has improved considerably, the result of a widening
supply of new drugs coming to market and ALZA Corporation's launch of its own,
higher-margined products. The stock has begun to show signs of life lately,
reflecting growing recognition of the company's enhanced prospects. The
remainder of the Series' health care and pharmaceutical exposure is held in
smaller, niche-oriented companies that the Portfolio Manager deems to be
attractively priced.
Two areas -- banks and financial services and health care and
pharmaceuticals -- represent the major thrust of the Series' repositioning
efforts over the past few months, and the Portfolio Manager will likely continue
to seek attractive opportunities in these sectors, especially in health care.
The Portfolio Manager has also added, but to a lesser extent, to the Series'
weightings in computers, electronics and telecommunications, having been
afforded an excellent opportunity to do so by the June correction in technology
stocks. Another area that the Portfolio Manager will look to build selectively
on price weakness is energy, based primarily on our expectations for higher oil
prices next year and into 1998.
The Portfolio Manager has maintained the Series' weighting in gold and
precious-metals stocks, their poor performance during the second quarter
notwithstanding. Much of the recent weakness in gold prices was triggered by
weakness in other commodities, notably copper. Gold also pulled back on the
sell-off in oil prices following the agreement between the United Nations and
Iraq regarding that country's re-entrance into the oil market. Nothing of gold's
second-quarter's weakness is reflective of a deterioration in the metal's
fundamentals, which remain very positive.
WARBURG, PINCUS COUNSELLORS, INC.
4
<PAGE> 10
THE GCG TRUST
CAPITAL APPRECIATION SERIES
The objective of the Capital Appreciation Series is long-term growth sought
by investing primarily in common and preferred stocks based on the categories of
growth and value components. The Series advanced 3.28% for the quarter bringing
performance for the six months ended June 30, 1996, to 9.62%. Main areas of
exposure in the Series as of June 30, 1996 were financial services at 16%,
health care at 14%, basic industry at 10% and technology at 9%. Below average
areas of representation were energy at 4% and utilities at 3%. Industry rotation
was rapid and individual stock prices demonstrated high volatility in the
period. In general, aggressive growth stocks, such as HFS Inc., 3Com Corporation
and Cascade Communications Corporation, helped performance while interest
sensitive issues, such as Student Loan Marketing Association (Sallie Mae) and
Chase Manhattan Corporation, and restructuring plays, like Grace (W.R.) &
Company or Time Warner Inc., languished. The equity market turned in another
strong quarter with the S&P 500 Index gaining 4.48% bringing the total return
for the six months ended June 30, 1996, to 10.10%. Large capitalization stocks
outperformed small and mid-cap issues, particularly in the latter part of the
quarter when technology issues came under pressure, and growth stocks
outperformed value stocks as interest rates were rising.
The equity market lifted despite continued weakness in the bond market,
which reflected concerns that accelerating GDP growth in the second quarter
could provoke the Federal Reserve Board to tighten credit. Stabilizing the
market was a continued positive inflow of mutual fund buying by individuals and
defined contribution retirement plans, with roughly $140 billion in net
purchases recorded in the first six months. The Portfolio Manager is balanced
with a 50/50 exposure to growth and value stocks since the Portfolio Manager
believes the market will continue to exhibit fairly high trading volatility
until the trend of interest rates becomes clear.
Looking into the second half of the year, the Portfolio Manager is
convinced that growth stocks with strengthening earnings fundamentals or those
selling at low valuations in the value sector will continue to be the most
rewarding. The Series continues to reflect that theme, with sizable holdings in
the networking, medical device, capital goods and financial services sectors.
The outlook for equities remains constructive, reflecting the Portfolio
Manager's assumption that interest rates will stabilize as the economy's pace
most likely begins to moderate by the fourth quarter, and that corporate
earnings continue to grow at a modest pace.
CHANCELLOR TRUST COMPANY
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 22.12%
5/4/1992 (INCEPTION) 13.39%
------------------------------------------------------
------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 9.62%
------------------------------------------------------
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 JUNE 30, 1996
1. Johnson & Johnson 2.7%
2. Philip Morris Companies
Inc. 2.6%
3. Merck & Company Inc. 2.5%
4. GTE Corporation 2.2%
5. NationsBank Corporation 2.1%
INDUSTRY BREAKDOWN
[PIE CHART]
5
<PAGE> 11
THE GCG TRUST
VALUE EQUITY SERIES
The objective of the Value Equity Series is capital appreciation and,
secondarily, dividend income. The Series seeks its objective by investing
primarily in equity securities which meet quantitative standards believed by
the Portfolio Manager to indicate above-average financial soundness and high
intrinsic value relative to price.
During the first half of 1996, the Value Equity Series portfolio
management made two correct assumptions. These assumptions were that the
economy would continue to improve and that interest rates would rise. Although
both of these projections were right, the stock market was looking past the
strength in the economy and discounted a recession into value stock prices. The
Series, with a total return of 1.21% for the six months ended June 30, 1996,
underperformed the broad market whose total return was 10.10% as measured by
the S&P 500 Index for the same period.
The Series featured four themes this past six months and three of them
have been disappointing thus far. First, the Portfolio Manager purchased
depressed technology stocks of both large and mid-sized companies in the second
quarter. The large companies did well and the Series realized some profits from
those positions. Unfortunately, the smaller company stocks did not fair so well
and the strategy dragged down performance in the Series.
The second focus during the past half year was industrial recovery.
Although the industrial sector did experience growth, the stock market did not
reward cyclical stocks. This sector performed well during the first quarter as
the Portfolio Manager held a 12% position in the sector. Then, the exposure was
doubled to 24% but the second quarter did not reward cyclical stocks. The
Portfolio Manager continued to hold these stocks because, in the Portfolio
Manager's opinion, they are vastly undervalued and their prices should soon
rise to reflect their true worth.
The third strategy in the Series was inflation protection. By holding a
10.7% weighting in oil stocks at the end of June, portfolio management
continues to buffer the Series from potential inflation. Oil stocks have been
flat since December 1995, but the Portfolio Manager continues to see tremendous
value in this sector and believes that a slight shift in the supply and demand
relationship could trigger a rise in these stocks.
The last strategy employed so far this year was a consumer comeback
emphasis. This focus did work well as drug and consumer growth stocks moved
ahead sharply during the last three months. As typically happens in value
portfolios, since the discipline forces an early sale once stocks rebound to
fair prices, these securities continued to rise after the Portfolio Manager sold
them.
In the next several months, the Portfolio Manager is optimistic about
the potential for the large 24% weighting of cyclical stocks to outperform. The
Portfolio Manager also increased the Series' cash weighting from 2.4% in early
April to 11.8% at quarter's end. This increase in cash is a reflection of the
Portfolio Manager's stated strategy. The Portfolio Manager purchases only
securities it believes are undervalued. With the recent overall rise in stock
prices, it has become increasingly difficult to locate stocks which meet these
strict value criteria.
EAGLE ASSET MANAGEMENT, INC.
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 17.07%
1/3/1995 (INCEPTION) 23.41%
------------------------------------------------------
------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 1.21%
------------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Boeing Company 3.0%
2. Westinghouse Electric Corporation 2.6%
3. du Pont (E.I.) de Nemours &
Company, Inc. 2.0%
4. Mobil Corporation 2.0%
5. Federal Express Corporation 2.0%
<CAPTION>
TOP SEVEN INDUSTRIES AS OF JUNE 30, 1996
1. Oil/Gas -- International 8.3%
2. Transportation 7.1%
3. Aerospace/Defense 6.1%
4. Financial 5.0%
5. Manufacturing Industries 4.8%
6. Machinery 4.3%
7. Multi-Industry Companies 4.2%
</TABLE>
6
<PAGE> 12
THE GCG TRUST
RISING DIVIDENDS SERIES
The objective of the Rising Dividends Series is capital appreciation
sought by investment primarily in equity securities of high quality companies
that meet criteria established by the Portfolio Manager. The second quarter of
1996, which ended June 30, 1996, showed continued strength in the stock market
following a positive first quarter. Of the year-to-date, the S&P 500 Index is
up 10.10% and the Series participated in the advance with a total return of
10.00%.
The Portfolio Manager expects a positive economic environment to
persist. As the Portfolio Manager sees it: (1) inflation is under control; (2)
economic growth is moderate; (3) interest rates are expected to stay in a
trading range, rather than trend higher during this election year; (4)
corporate profits should grow moderately; and (5) worldwide demand for equities
is expected to remain strong.
<TABLE>
The Series is structured to keep pace in a positive market environment
yet be risk averse during any downturn. The defensive nature of the Series
derives from the high quality of the companies held. The Portfolio Manager buys
only companies which meet the very selective Rising Dividend investment
disciplines. As a result, ninety-eight percent of the companies held by the
Series are ranked by Standard & Poor's and are rated A- to A+. Following is a
summary of a few key statistics to show the quality of the companies in the
Series compared to the companies in the S&P 500 Index, as of June 30, 1996:
<CAPTION>
RISING
DIVIDENDS S&P
COMPOSITE 500*
--------- -----
<S> <C> <C>
Annualized Earnings Growth --
10 years.................... 12.8% 6.6%
Annualized Dividend Growth --
10 years.................... 4.7% 5.9%
Earnings Reinvestment Rate --
5 years..................... 58.6% 43.0%
Long Term Debt / Total
Capitalization -- 5 years... 18.9% 33.7%
Return on Equity -- 5 years... 20.5% 15.4%
Price / Earnings Ratio --
1997 Estimate............... 17.0% 16.8%
</TABLE>
These statistics show that a Rising Dividends stock portfolio has
superior fundamental characteristics. That is, the stocks held by the Series
are enjoying above average growth, paying out a consistently rising income
stream to shareholders, reinvesting substantially more into the business and
showing substantially higher return on invested capital, while at the same time
having a much better balance sheet with much lower debt as compared to the
average company. In addition, the table shows that the price/earnings ratio is
approximately the same as the S&P 500 Index even though the companies held have
demonstrably better growth and much higher quality.
The companies held are "stocks for all seasons." The Portfolio Manager
believes they are industry leaders and consistent growers with strong
management and
clean balance sheets. At times when investors are concerned about the
economic outlook, these companies stand as outstanding risk-averse holdings. A
diversified portfolio of these companies should continue to keep pace in up
markets and be defensive in down markets.
In summary, the Portfolio Manager is comfortable with the economic
outlook and with the diversified, high quality, rising dividends equity
portfolio.
KAYNE, ANDERSON INVESTMENT MANAGEMENT, L.P.
- ---------------
* Note: S&P 500 Index statistics are compiled from the most recently
filed annual statements. The Rising Dividends composite numbers are an
average of the most recently reported results of the 42 companies in the
composite.
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 28.24%
10/4/1993 (INCEPTION) 15.79%
------------------------------------------------------
------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 10.00%
------------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Bell Atlantic Corporation 4.1%
2. Disney (Walt) Company 3.8%
3. Hewlett-Packard Company 3.8%
4. Abbott Laboratories 3.5%
5. AMP Inc. 3.5%
</TABLE>
INDUSTRY BREAKDOWN
[PIE CHART]
7
<PAGE> 13
THE GCG TRUST
STRATEGIC EQUITY SERIES
The objective of the Strategic Equity Series is long-term capital
appreciation sought by investment primarily in equity securities based on
various equity market timing techniques. The Series was up 11.09% through the
first half of 1996. This compares with the S&P 500 Index, which was up 10.10%,
and the Midcap 400 S&P Index, which was up 9.20%. The benchmark for the Series,
which is a blend of these two indices, was up 9.65% during the period. This
performance is especially gratifying given that the Series' average market
exposure during the period was 76%.
The Series' goal is to provide better-than-average returns over a full
market cycle with less risk. In order for the Series to achieve this, the
Portfolio Manager needs to participate in bull market advances and to protect
capital during bear market declines. Although the Portfolio Manager bettered
the market return during the first six months of the year, it is not generally
necessary to beat a rising market if the Portfolio Manager can adequately
control risk during difficult periods.
The Series outperformed during the first half largely because of
superior stock selection. Half of the equity exposure is comprised of stocks
selected for their growth characteristics and half is comprised of equities
paying above-average dividends with outstanding underlying fundamentals as
identified by the Portfolio Manager's model. The growth portion of the Series
added the most value during the period, with selected consumer and
manufacturing stocks benefiting by a much improved earnings trend. The
Portfolio Manager maintained a significant exposure to utilities during the
period, as these stocks are selling at attractive valuations. The Series was
underweighted in the retail and technology sectors, as the Portfolio Manager's
models showed these groups to be selling at frothy multiples given their growth
prospects.
The Portfolio Manager's overall asset allocation became increasingly
defensive during the quarter as the Portfolio Manger's monetary and sentiment
indicators deteriorated.
ZWEIG ADVISORS INC.
------------------------------------------------------
AGGREGATE TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
YEAR-TO-DATE 11.09%
10/2/1995 (INCEPTION) 11.46%
------------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Wynn's International Inc. 1.4%
2. Apogee Enterprises Inc. 1.2%
3. Rayonier, Inc. 1.1%
4. British Airways PLC, ADR 1.1%
5. JLG Industries Inc. 1.0%
</TABLE>
SECTOR BREAKDOWN
[PIE CHART]
8
<PAGE> 14
THE GCG TRUST
EMERGING MARKETS SERIES
The objective of the Emerging Markets Series is long-term growth of
capital sought by investment primarily in equity securities of companies that
are considered to be in emerging market countries. The Series returned 10.38%
for the six months ended June 30, 1996. The IFC Emerging Markets Composite
Investable Index returned 12.12% for the same period.
The Series' slight underperformance for the first half of 1996
reflected an overweighted position in South Africa in 1996. The South African
market has declined 7% year-to-date mainly reflecting currency and political
concerns. The Series currently holds an underweighted position in South Africa
since the Portfolio Manager believes more attractive opportunities can now be
found in other emerging markets. Overall, the first half marked a turnaround in
the performance of emerging markets following a disappointing 1995. The Latin
American markets were strong with the IFC Latin American Index appreciating
15.5% for the first half. Among the major markets, the largest gains were seen
in Brazil, Mexico and Argentina, which are all seen with a strong acceleration
in economic growth in 1996. Among the smaller markets, Venezuela was the star
performer, rising 51% as the government announced a new economic plan designed
to reduce the budget deficit and inflation.
The Asian markets also posted a strong performance in the first half
with the IFC Asia Index increasing 14.3% for the period. Two of the stronger
performing markets were India (up 22%) and the Philippines (up 26%) where the
Series has overweighted positions. In Eastern Europe, the Series has built
positions in Poland, Czech Republic and Hungary. The Portfolio Manager believes
Eastern Europe offers some of the most interesting opportunities in emerging
markets given the region's successful transition from communism to capitalism
coupled with strong economic fundamentals and attractive valuations.
Looking forward to the second half of 1996, the Portfolio Manager
believes that the prospects for the emerging markets continue to be attractive.
After a two-year bear market which ended in 1995, valuations in emerging
markets continue to look attractive relative to their historical levels as well
as growth prospects.
BANKERS TRUST COMPANY
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 6.74%
10/4/1993 (INCEPTION) 1.69%
------------------------------------------------------
------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 10.38%
------------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Commerce Asset Holdings BHD
(Malaysia) 2.9%
2. Bidvest Group Ltd. (South Africa) 2.8%
3. Liberty Life (South Africa) 2.6%
4. Gadek BHD (Malaysia) 2.5%
5. Krung Thai Bank (Foreign) (Thailand) 2.0%
</TABLE>
ASSET DISTRIBUTION BY REGION
[PIE CHART]
9
<PAGE> 15
THE GCG TRUST
NATURAL RESOURCES SERIES
The objective of the Natural Resources Series is long-term capital
appreciation sought by investment primarily in equity and debt securities of
companies engaged in the exploration, development, production, and distribution
of natural resources. The Series returned 19.41% for the six months ended June
30, 1996. The Series has outperformed the S&P 500 Index which rose 10.10% and
the Ibbotson Hard Asset Index which rose 5.75% for the same period.
During the first six months, economic growth surprised market
participants with its vigor and investors continually marked up projections for
GDP growth and inflationary expectations. The impact was best seen in the bond
market where the 30-year bond had a negative total return of 9.6% for the first
six months of the year. In addition, investors' expectations of Federal Reserve
Board interest rate policy changed from an expectation of interest rate cuts to
pricing in more than a 50 basis point increase in the Fed Funds rate by the end
of December 1996. Economic growth was also stronger-than-anticipated in Japan
where first quarter GDP growth increased over 12% on an annualized basis. In
Europe, however, growth was lower than anticipated and is growing only modestly.
Initial indications are that economic growth continued to be strong in the
emerging countries in Asia and Latin America.
Going forward, the Portfolio Manager continues to believe that the
economic environment is favorable for hard asset performance. The Portfolio
Manager believes global economic growth will continue to accelerate modestly and
broadly agrees with the recently released IMF estimates of accelerating growth
from 3.5% last year to 3.8% this year and 4.3% in 1997. Signs of healthy growth
include growth in leading economic indicators, positively sloped yield curves in
major industrial economies, and a stimulative monetary policy as measured by 25%
annual growth rates in G7 monetary reserves. Nevertheless, the Portfolio Manager
does not see runaway economic growth, particularly in the industrialized nations
as some deflationary forces such as high debt levels still exist. In addition,
differences in regional economic growth continue to persist with the U.S. and
Japan running at a healthy 2.5% estimated growth rate, while Germany's economy
is growing at a more modest 0.8% rate. These growth estimates are consistent
with our view that the inflation rate in the U.S. has troughed and will rise
modestly in the coming year. In Japan and Germany, while rising, inflation rates
are likely to be muted in the coming year. The Portfolio Manager expects that
growth rates in the developing economies are expected to continue to be strong
in Asia and strengthen in Latin America.
Energy, the largest allocation in the Series through most of the year,
performed well during the first half of the year and the Portfolio Manager
expects the good performance to continue, albeit in selected sectors. On the
commodity front, the Portfolio Manager thinks there is too much complacency
regarding oil and natural gas prices and can envision scenarios where oil prices
remain strong and, in fact, rise. This would surprise most investors whose view
is that oil prices will decline over the remainder of the year. The Portfolio
Manager believes markets will remain tight as consensus demand forecasts have
consistently underestimated demand and that commodity markets will not see Iraqi
oil until September at the earliest. This suggests that any supply disruptions
could cause significant upward movements in the oil price. An example of this
occurred this past spring as low oil inventories caused by the adoption of
just-in-time inventory practices combined with strong demand stemming from an
unexpectedly cold winter in the Northeast led to crude oil prices rising to over
$25 per barrel. The market fell from those levels but stabilized at $20 per
barrel despite news of renewed Iraq supply. Commodity fundamentals for natural
gas continue to remain strong, but the Portfolio Manager continues to think
natural gas producers are the better investment. Approximately 18% of the Series
is allocated to exploration and production companies which the Portfolio Manger
believes will benefit from this strong pricing environment. The Series' top
holdings include Louisiana Land and Exploration Company, Flores and Rucks Inc.
and United Meridian Corporation. The Portfolio Manager also continues to like
deep-water offshore drilling companies where supply/demand fundamentals remain
strong and offshore rig leasing rates continue to climb. The top holding in this
sector is Reading and Bates Corporation (R&B), a leading deepwater drilling
company. The Portfolio Manager believes R&B's earnings will be much stronger
than anticipated and valuation multiples will expand.
In the base metal markets, the primary focus is the Sumitomo copper
scandal. The Series sidestepped the scandal and the associated copper price
crash as the Series had no exposure to the underlying asset and only peripheral
exposure to copper equities. The Portfolio Manager's fundamental view on copper
had been bearish for some time with supply growing at nearly four times demand
and much better value was found in base metals. Instead, the Portfolio Manager
has been focusing on aluminum equities and tin as our favored investments. The
Portfolio Manager believes recent weakness in many base metal prices stem at
least in part from knock-on impacts from the copper scandal and that current
levels represent good value. This value, combined with the Portfolio Manager's
view that demand should increase during the second half of 1996 and in 1997,
should result
(continued on next page)
10
<PAGE> 16
THE GCG TRUST
NATURAL RESOURCES SERIES (CONTINUED)
in higher prices, and the Portfolio Manager believes base metals may be an
important driver of the Series during the last half of the year. The top
holdings in the aluminum sector include Reynolds Metals Company and Century
Aluminum Company, a much smaller but very cheap producer.
Gold shares completed a round trip during the first six months of the
year. The year started with a bang as gold jumped to over $415 per ounce in
early February and gold shares rose over 25%. That ascent was retraced with
most of the decline occurring during June when gold shares turned in their
worst performance in 18 months. The exposure to gold ranged from a high of 40%
to a low of 22% at the end of the second quarter. Fundamentally, the Portfolio
Manager believes gold is attractive based on its commercial supply/ demand gap.
In addition, the Portfolio Manager believes investment demand should increase
over the next year as central banks are engaging in aggressive monetary
reflation. On the other side of the ledger, central bank sales and mine hedging
programs have pressured the price. It is virtually impossible to predict when
these sales will end, but recently some mining companies have announced
reversals of hedging programs which the Portfolio Manager takes to be a bullish
indicator. The Portfolio Manager's strategy for gold shares is to buy on
weakness as support levels are reached.
False start. Those two words describe the recent action in paper
shares. The equity market had begun to anticipate price increases in many paper
commodity paper grades over the past several months. However, during June,
fundamental information was released that suggested that commodity price
increases were going to be postponed until 1997. Paper shares declined on this
news. While valuations are extremely cheap in the paper sector, the Portfolio
Manager continues to position the Series defensively in this sector. The
Series' allocation has been below 10% of total assets for the entire year. In
addition, the Portfolio Manager has concentrated the Series in defensive
holdings such as tissue company Fort Howard Corporation, timberland-owner
Rayonier, Inc. and cellulose pulp producer Buckeye Cellulose Corporation.
VAN ECK ASSOCIATES CORPORATION
------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 28.66%
5 YEAR 12.02%
1/24/1989 (INCEPTION) 9.52%
------------------------------------------------------
------------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 19.41%
------------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Louisiana Land and Exploration
Company 3.1%
2. Flores and Rucks Inc. 2.8%
3. United Meridian Corporation 2.5%
4. British Petroleum PLC, ADR 2.3%
5. Triton Energy Ltd. 2.3%
</TABLE>
INDUSTRY BREAKDOWN
[PIE CHART]
11
<PAGE> 17
THE GCG TRUST
REAL ESTATE SERIES
The objective of the Real Estate Series is capital appreciation sought
by investment primarily in publicly traded equity securities of companies in
the real estate industry. For the six months ended June 30, 1996, the Series
returned 6.89% trailing the Wilshire Real Estate Securities Index which
returned 9.17%. For the five years ended June 30, 1996 the Series has delivered
14.06% annually outperforming the benchmark by almost 5% annually. These
positive real returns reflect the favorable underlying fundamentals of the real
estate market over this time period coupled with the benefits of investing in a
diversified portfolio of publicly traded real estate companies.
The Series continues to be overweighted in office and industrial
property, although in the second quarter the exposure to regional malls was
increased. The performance of the Series this year has benefited from its
exposure to office property, hotels and regional malls. The performance trailed
the Wilshire Real Estate Securities Index because of the very high exposure of
the Index to hotels. The Portfolio Manager believes an index weighting to
hotels (18%) exposes investors to undue risks. Going forward, it is the view of
the Portfolio Manager that superior stock selection will be the key contributor
to relative performance.
The Portfolio Manager continues to believe the valuation of real estate
investment trusts (REITs) remains attractive relative to stocks and bonds.
Generally strong property markets should continue to provide cash flow growth
in the 5-9% range for most companies, which will allow 2-3% dividend growth in
addition to the already attractive current dividend yields of REITs (7.3%). The
5.1% earnings yield (inverse of the P/E ratio) of the S&P 500 Index pales in
comparison to the 8.1% REIT equivalent (cash available for distribution),
especially in light of the projected earnings growth rates of only 7.3% for
equities. Bonds remain vulnerable to rising inflation fears from an aging
business cycle and the inability to control federal spending. The Portfolio
Manager believes that REITs provide the best inflation hedge among high yield
securities.
E.I.I. REALTY SECURITIES, INC.
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 19.43%
5 YEAR 14.06%
1/24/1989 (INCEPTION) 8.68%
----------------------------------------------------
----------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 6.89%
----------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Simon Property Group Inc. 4.0%
2. Nationwide Health Properties Inc. 3.4%
3. Vornado Realty Trust 3.4%
4. Spieker Properties Inc. 3.3%
5. Highwood Properties Inc. 3.1%
</TABLE>
INDUSTRY BREADDOWN
[PIE CHART]
12
<PAGE> 18
THE GCG TRUST
MARKET MANAGER SERIES
The objective of the Market Manager Series is to seek favorable equity
market performance and at the same time preserve capital. The Series' total
return on net asset value for the six months ended June 30, 1996, was 8.15%.
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 10.10% and
9.20%, respectively. The average of the total return of these two indices was
9.65%.
The 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 have tracked the stock market.
On March 6, 1995, the Series commenced investment in accordance with
its long-term objectives. The Series' total return has moved proportionately
with is target indices subsequent to its commencement of operations. 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 the remainder of 1996 the Series will maintain its relatively
static strategic investments designed to track market performance.
BANKERS TRUST COMPANY
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 21.92%
11/14/1994 (INCEPTION) 20.10%
----------------------------------------------------
----------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 8.15%
----------------------------------------------------
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
[PIE CHART]
13
<PAGE> 19
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
The objective of the Multiple Allocation Series is highest total return
consistent with the preservation of capital and elimination of unnecessary
risk. The Series invests in a diversified mix of bonds, stocks, and cash
equivalents. The Series' total return on net asset value for the six months
ended June 30, 1996, was 1.76%. This compares to a decline of 0.01% for the
Lehman Brothers Government Intermediate Bond Index and an increase of 10.10%
for the S&P 500 Index.
Reflecting a stronger than anticipated economy, rising interest rates,
job growth, and higher commodity prices, the first half was one of the worst
periods ever for bonds. Consequently, the Portfolio Manager has reduced the
bond portion of the Series.
Signs of economic strength tend to be negative for bonds. This category
currently includes greater consumer confidence, the Commodity Research Bureau's
Price Index and higher prices for such key industrial commodities as crude oil
and lumber. The positive indicators include the stronger dollar and the
purchasing manager's index.
So far the price weakness in bonds has been mainly in the long end.
Short rates have not moved much, which is why the Portfolio Manager's overall
bond model is holding at low neutral. If bond prices continue to decline, it
would increase the risk for stocks.
With respect to equity investments, the Portfolio Manager's indicators
are presently about neutral to perhaps slightly favorable. A major positive for
the stock market is the large volume of cash flowing into mutual funds.
Although the rate is down from first quarter levels, money is still pouring in
at a good pace. However, the Portfolio Manager believes that these numbers
could diminish over the next few months.
Another positive is the shrinkage in the supply of stock as a result of
corporate buyouts, mergers, and acquisitions. As is with cash coming into
mutual funds, the figures are not as great as they were earlier this year and
must be carefully monitored.
Although the market may be considered overvalued by conventional
measurements, many of the customary indicators have become less important in
today's market. The dividend yield, for example, is low but it reflects the
fact that companies are paying out less to retain more of earnings to fuel
internal growth. Also, today's tax income structure encourages capital gains
and not dividends. The Portfolio Manager prefers to focus on earnings, and
believes the market's price/ earnings ratio is not wildly overvalued, although
it is not cheap either. As always, the Portfolio Manager is prepared to reduce
the Series' exposure should indicators point to changing conditions and rising
risk.
ZWEIG ADVISORS INC.
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 9.26%
5 YEAR 8.65%
1/24/1989 (INCEPTION) 8.66%
----------------------------------------------------
----------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 1.76%
----------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. U.S. Treasury Obligations due through
2025 ranging from 5.120% to 10.750% 35.8%
2. Bowater Inc. 0.7%
3. BankAmerica Corporation 0.7%
4. CSX Corporation 0.6%
5. Texaco, Inc. 0.6%
</TABLE>
ASSET ALLOCATION
[PIE CHART]
14
<PAGE> 20
THE GCG TRUST
FULLY MANAGED SERIES
The objective of the Fully Managed Series is high total investment
return consistent with the preservation of capital and prudent investment risk.
The Series invests primarily in common stocks. For the six months ended June
30, 1996, the Series generated a total return of 6.53% while the S&P 500 Index
returned 10.10% and the Lehman Brothers Corporate/ Government Index returned
(1.88)% for the same period.
Performance results for the Series were consistent with long term
expectations. Within the Series, equity holdings appreciated in line with the
broad stock market. Fixed income holdings -- preferred stocks and bonds -- had
modest, but positive returns. This was particularly gratifying to the Portfolio
Manager given the increase that took place in interest rates over the six
months. Convertible holdings, which represent about one quarter of the Series,
had returns between those two other asset classes.
Good economic growth, and the upcoming presidential election are the
dominate positives in the Portfolio Manager's outlook for financial markets
over the balance of 1996. Very poor stock market valuations levels are the key
negative. With most other factors in the outlook rather neutral, the Portfolio
Manager intends to pursue a usual cautious approach for the immediate future.
Emphasis will continue to be placed upon the selection of individual securities
rather than any asset allocation shift. Once the election is concluded,
however, the Portfolio Manager may expand holdings of fixed income securities
of the Series.
T. ROWE PRICE ASSOCIATES, INC.
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 15.81%
5 YEAR 10.20%
1/24/1989 (INCEPTION) 7.97%
----------------------------------------------------
----------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 6.53%
----------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Centerior Energy Corporation/
Cleveland Electric Illuminating Company 5.2%
2. Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012 4.6%
3. Genentech Inc. 3.1%
4. New York Times Company, Class A 2.8%
5. Loews Corporation 2.5%
</TABLE>
ASSET ALLOCATION
[PIE CHART]
15
<PAGE> 21
THE GCG TRUST
LIMITED MATURITY BOND SERIES
The objective of the Limited Maturity Bond Series is highest current
income consistent with low risk to principal and liquidity. The Series invests
primarily in a diversified portfolio of limited maturity debt securities.
During the first six months of 1996, the economy grew at an annual rate
of 3.25%. This was stronger than the Federal Reserve Board target of 2-2.5%
with most of the strength coming from housing and consumer spending. During
this period, treasury yields rose by 96 basis points in the 2-year treasury
note to 6.11% yield. In this environment the Limited Maturity Bond Series
returned 0.72% compared to 0.74% for the Merrill Lynch 1-5 year
Corporate/Government Bond Index.
During early 1996, the Series maintained a longer duration than the
benchmark, as the Portfolio Manager duration model continued to signal an
overweighted position. In February, the model reversed its position. In
addition, the Portfolio Manager's fundamental analysis was also generally
bearish on the market. Consequently, the Series was underweighted in interest
rate risk for the remainder of the period. The Series remained overweighted in
corporate bonds for the period and increased its exposure to the mortgage
sector from 6% to 10% in May. The option adjusted spreads in the mortgage
sector are historically wide to competing securities. In addition, as the
market trades off and the mortgage market moves to a discount, the structural
characteristics of these securities improve.
Looking ahead, the Portfolio Manager believes there may be continued
pressure on the bond market. The Portfolio Manager is maintaining an
underweighting of interest rate risk and an overweighting in corporate stocks,
although the Portfolio Manager may opportunistically take advantage of
historically tight spreads to reduce exposure during periods of increased new
issue supply.
BANKERS TRUST COMPANY
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 4.76%
5 YEAR 5.83%
1/24/1989 (INCEPTION) 6.78%
----------------------------------------------------
----------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 0.72%
----------------------------------------------------
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.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. U.S. Treasury Notes due through 2001
ranging from 5.250% to 7.500% 36.2%
2. FNMA, Pool #303630,
6.000% due 12/01/2002 3.2%
3. Standard Credit Card Trust I, Series 1992-3,
Class A,
5.910% due 10/15/1998 1.8%
4. AMR Corporation,
9.500% due 05/15/2001 1.8%
5. Fleet Financial Group Inc.,
7.625% due 12/01/1999 1.8%
</TABLE>
ASSET ALLOCATION
[PIE CHART]
16
<PAGE> 22
THE GCG TRUST
LIQUID ASSET SERIES
The objective of the Liquid Asset Series is a high level of current
income consistent with the preservation of capital and liquidity. For the six
months ended June 30, 1996, the Series generated a total return of 2.45% as
compared to the average money market fund per Lipper Analytical Services, Inc.
which also returned 2.45%.
Perceptions of economic activity shifted dramatically during the first
quarter. Diverse opinions of business activity existed, ranging from a
near-term recession that would drive interest rates much lower, to a
reacceleration that would trigger higher inflation and sharply higher interest
rates.
The huge 705,000 increase in non-farm payrolls in February put to rest
any belief that the economy was poised to enter a recessionary period and
pointed to the Federal Reserve Board keeping interest rates steady. The economy
accelerated at a 2.2% growth rate in the first quarter, and real GDP looks to
have accelerated further in the second quarter. Consumer spending was bolstered
by continued improvement in employment, rising incomes, low inflation, and a
high level of confidence.
As the economy continues to perk along, wage increases are expected to
gradually accelerate and push inflation a bit higher. This, in turn, would keep
upward pressure on interest rates. The Fed maintained its 5 1/4% federal funds
rate target at the July FOMC meeting, but the persisting economic strength
suggests that a 25 basis point increase is likely in August.
Short-term treasury securities remained technically expensive
throughout much of the period. Since treasury securities were expensive and the
short end of the yield curve was not advantageous to extend the Series, the
Portfolio Manager continued to maintain a large core repurchase agreement
position and short average maturity. This allowed the Series to maximize yield,
while minimizing risk in a potentially increasing rate environment.
The Portfolio Manager maintained a neutral posture with regard to cash
management throughout most of this period. With the perception over the last
quarter that the next move in interest rates should be higher, the Portfolio
Manager began purchasing high-quality, floating rate notes. The current
strategy is to maintain a large cash position to reinvest at higher yields, and
continue to purchase floating rate securities if the opportunities present
themselves.
BANKERS TRUST COMPANY
----------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
FOR PERIOD ENDED JUNE 30, 1996
1 YEAR 5.21%
5 YEAR 4.00%
1/24/1989 (INCEPTION) 5.17%
----------------------------------------------------
----------------------------------------------------
AGGREGATE TOTAL RETURN
YEAR-TO-DATE 2.45%
----------------------------------------------------
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.
INVESTMENT IN THE LIQUID ASSET SERIES (OR IN ANY OTHER SERIES) IS NEITHER
INSURED OR GUARANTEED BY THE U.S. GOVERNMENT. THERE CAN BE NO ASSURANCE THAT THE
LIQUID ASSET SERIES WILL BE ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00
PER SHARE.
<TABLE>
TOP FIVE HOLDINGS AS OF JUNE 30, 1996
<S> <C>
1. Key Bank, New York,
5.220% due 09/06/1996 5.0%
2. Dean Witter, Discover & Company,
5.700% due 11/15/1996 3.7%
3. NBD Bank Corporation,
5.420% due 08/19/1996 3.7%
4. Societe Generale,
5.470% due 09/05/1996 3.7%
5. National Westminster Bank,
5.360% due 07/10/1996 3.7%
</TABLE>
ASSET ALLOCATION
[PIE CHART]
17
<PAGE> 23
<TABLE>
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
THE GCG TRUST
JUNE 30, 1996 (UNAUDITED)
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY
SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost................... $23,038,988 $83,090,040 $114,306,552 $34,643,749 $ 79,434,679 $19,310,147
=========== =========== ============ =========== ============ ===========
At value............................. $23,039,308 $94,280,176(a) $134,919,584 $35,884,319 $102,253,953 $20,472,405
Cash................................... 3,038 8,550 11,788 7,839 2,087 4,426
Foreign currency, at value (identified
cost of $578,192 for the Emerging
Markets Series)...................... -- -- -- -- -- --
Receivables:
Shares of beneficial interest sold... 1,749,436 -- -- 37,196 105,891 19,206
Investment securities sold........... 183,236 439,015 -- 3,041,483 1,471,118 --
Dividends and/or interest............ 744 37,202 193,323 32,845 115,159 33,353
Net unrealized appreciation on forward
foreign exchange contracts........... -- -- -- -- -- --
Prepaid expenses....................... -- -- -- -- -- --
----------- ----------- ------------ ----------- ------------ -----------
Total Assets....................... 24,975,762 94,764,943 135,124,695 39,003,682 103,948,208 20,529,390
----------- ----------- ------------ ----------- ------------ -----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed........................... 537 15,746 69,913 802 1,297 171
Investment securities purchased...... 1,179,706 72,876 -- 179,370 4,376,467 --
Dividends............................ -- -- -- -- -- --
Cash overdraft......................... -- -- -- -- -- --
Variation Margin....................... -- -- -- -- -- 9,375
Unified fees payable (Note 2).......... 1,194 5,130 7,321 2,102 5,388 1,111
----------- ----------- ------------ ----------- ------------ -----------
Total Liabilities.................. 1,181,437 93,752 77,234 182,274 4,383,152 10,657
----------- ----------- ------------ ----------- ------------ -----------
NET ASSETS............................. $23,794,325 $94,671,191 $135,047,461 $38,821,408 $ 99,565,056 $20,518,733
=========== =========== ============ =========== ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital........................ $23,468,835 $84,827,594 $105,363,962 $36,031,143 $ 74,794,934 $18,963,350
Undistributed net investment income.... 2,787 685,830 1,103,728 277,364 675,168 177,251
Accumulated net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions.... 322,383 (2,032,369) 7,966,739 1,272,333 1,275,680 230,085
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign currencies.... 320 11,190,136 20,613,032 1,240,568 22,819,274 1,148,047
----------- ----------- ------------ ----------- ------------ -----------
Total Net Assets................... $23,794,325 $94,671,191 $135,047,461 $38,821,408 $ 99,565,056 $20,518,733
=========== =========== ============ =========== ============ ===========
Shares of beneficial interest
outstanding.......................... 2,002,192 6,787,748 9,121,015 2,910,211 6,803,753 1,845,950
=========== =========== ============ =========== ============ ===========
NET ASSET VALUE, offering price and
redemption price per share of
beneficial interest outstanding...... $ 11.88 $ 13.95 $ 14.81 $ 13.34 $ 14.63 $ 11.12
=========== =========== ============ =========== ============ ===========
<FN>
- ------------------
(a) The All-Growth Series includes repurchase agreements amounting to $9,763,000. The Limited Maturity Bond
Series includes repurchase agreements amounting to $14,406,563.
</TABLE>
See Notes to Financial Statements.
18
<PAGE> 24
<TABLE>
<CAPTION>
EMERGING NATURAL REAL MARKET
MARKETS RESOURCES ESTATE MANAGER
SERIES SERIES SERIES SERIES
------------ ----------- ----------- ----------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost................... $ 51,144,975 $30,248,371 $31,594,256 $4,067,134
============ =========== =========== ==========
At value............................. $ 53,318,667 $36,094,532 $35,873,624 $5,201,851
Cash................................... -- 52,184 109,972 332,875
Foreign currency, at value (identified
cost of $578,192 for the Emerging
Markets Series)...................... 567,129 -- -- --
Receivables:
Shares of beneficial interest sold... 139,536 39,694 3,747 --
Investment securities sold........... 482,765 877,424 -- 897,748
Dividends and/or interest............ 116,608 25,033 228,407 6,194
Net unrealized appreciation on forward
foreign exchange contracts........... -- 247 -- --
Prepaid expenses....................... 8,000 -- -- --
------------ ----------- ----------- ----------
Total Assets....................... 54,632,705 37,089,114 36,215,750 6,438,668
------------ ----------- ----------- ----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed........................... 16,946 190 114 --
Investment securities purchased...... 437,270 536,912 356,250 --
Dividends............................ -- -- -- --
Cash overdraft......................... 22,316 -- -- --
Variation Margin....................... -- -- -- --
Unified fees payable (Note 2).......... 4,419 1,979 1,943 352
------------ ----------- ----------- ----------
Total Liabilities.................. 480,951 539,081 358,307 352
------------ ----------- ----------- ----------
NET ASSETS............................. $ 54,151,754 $36,550,033 $35,857,443 $6,438,316
============ =========== =========== ==========
NET ASSETS CONSIST OF:
Paid-in Capital........................ $ 64,419,210 $26,701,839 $29,766,086 $4,979,248
Undistributed net investment income.... 154,321 120,942 1,584,173 98,818
Accumulated net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions.... (12,583,954) 3,881,143 227,816 225,533
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign currencies.... 2,162,177 5,846,109 4,279,368 1,134,717
------------ ----------- ----------- ----------
Total Net Assets................... $ 54,151,754 $36,550,033 $35,857,443 $6,438,316
============ =========== =========== ==========
Shares of beneficial interest
outstanding.......................... 5,413,602 2,034,632 2,656,306 494,701
============ =========== =========== ==========
NET ASSET VALUE, offering price and
redemption price per share of
beneficial interest outstanding...... $ 10.00 $ 17.96 $ 13.50 $ 13.01
============ =========== =========== ==========
<CAPTION>
LIMITED
MULTIPLE FULLY MATURITY LIQUID
ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investments (Notes 1, 3 and 4):
At identified cost................... $288,026,911 $112,602,717 $82,433,988 $42,112,082
============ ============ =========== ===========
At value............................. $294,481,802 $126,747,857 $81,770,474(a) $42,112,082
Cash................................... 508,422 11,597 106,576 --
Foreign currency, at value (identified
cost of $578,192 for the Emerging
Markets Series)...................... -- -- -- --
Receivables:
Shares of beneficial interest sold... -- -- -- --
Investment securities sold........... 1,093,331 674,474 -- --
Dividends and/or interest............ 2,411,691 539,903 788,564 86,601
Net unrealized appreciation on forward
foreign exchange contracts........... -- -- -- --
Prepaid expenses....................... -- -- -- --
------------ ------------ ----------- -----------
Total Assets....................... 298,495,246 127,973,831 82,665,614 42,198,683
------------ ------------ ----------- -----------
LIABILITIES:
Payables:
Shares of beneficial interest
redeemed........................... 292,427 92,014 76,926 1,817,841
Investment securities purchased...... 6,260,893 -- 705,526 --
Dividends............................ -- -- -- 11,143
Cash overdraft......................... -- -- -- --
Variation Margin....................... 86,250 -- -- --
Unified fees payable (Note 2).......... 15,823 6,933 2,686 2,078
------------ ------------ ----------- -----------
Total Liabilities.................. 6,655,393 98,947 785,138 1,831,062
------------ ------------ ----------- -----------
NET ASSETS............................. $291,839,853 $127,874,884 $81,880,476 $40,367,621
============ ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital........................ $265,301,588 $108,650,311 $75,588,526 $40,367,273
Undistributed net investment income.... 8,697,430 3,847,897 6,988,817 --
Accumulated net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions.... 11,502,467 1,231,273 (33,353) 348
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign currencies.... 6,338,368 14,145,403 (663,514) --
------------ ------------ ----------- -----------
Total Net Assets................... $291,839,853 $127,874,884 $81,880,476 $40,367,621
============ ============ =========== ===========
Shares of beneficial interest
outstanding.......................... 22,900,325 8,703,200 7,292,892 40,367,303
============ ============ =========== ===========
NET ASSET VALUE, offering price and
redemption price per share of
beneficial interest outstanding...... $ 12.74 $ 14.69 $ 11.23 $ 1.00
============ ============ =========== ===========
</TABLE>
See Notes to Financial Statements.
19
<PAGE> 25
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------------------
Statements of Operations
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY
SERIES* SERIES SERIES SERIES SERIES SERIES
-------- ----------- ------------ ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends.................................... $ 1,930 $ 502,755 $ 1,195,208 $ 358,370 $ 819,262 $ 146,720
Foreign taxes withheld on dividend income.... -- (6,638) -- (1,459) -- (1,874)
Interest..................................... 44,729 409,894 174,476 49,968 76,246 77,167
-------- ----------- ----------- ----------- ---------- ----------
Total Investment Income.................... 46,659 906,011 1,369,684 406,879 895,508 222,013
-------- ----------- ----------- ----------- ---------- ----------
EXPENSES:
Unified fees (Note 2)........................ 43,777 484,678 641,538 172,264 443,509 71,046
Trustees' fees and expenses (Note 2)......... 85 2,283 3,007 657 1,694 256
Other........................................ 10 705 705 705 705 502
-------- ----------- ----------- ----------- ---------- ----------
Total Expenses............................. 43,872 487,666 645,250 173,626 445,908 71,804
-------- ----------- ----------- ----------- ---------- ----------
NET INVESTMENT INCOME........................ 2,787 418,345 724,434 233,253 449,600 150,209
-------- ----------- ----------- ----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) from:
Security transactions...................... 322,383 (3,105,779) 6,894,013 1,094,105 1,836,326 329,892
Futures contracts.......................... -- -- -- -- -- (90,832)
Forward foreign exchange contracts......... -- -- -- (2) -- 1,862
Foreign currency transactions.............. -- -- -- 3 -- (10)
Net change in unrealized
appreciation/(depreciation) on:
Securities................................. 320 3,816,234 4,182,283 (1,114,995) 6,074,945 1,150,411
Futures contracts.......................... -- -- -- -- -- (14,207)
Forward foreign exchange contracts......... -- -- -- -- -- --
Other assets and liabilities denominated in
foreign currencies....................... -- -- -- (2) -- 1
-------- ----------- ----------- ----------- ---------- ----------
Net realized and unrealized gain/(loss) on
investments.............................. 322,703 710,455 11,076,296 (20,891) 7,911,271 1,377,117
-------- ----------- ----------- ----------- ---------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.................. $325,490 $ 1,128,800 $11,800,730 $ 212,362 $8,360,871 $1,527,326
======== =========== =========== =========== ========== ==========
<FN>
- ------------------
* The Small Cap Series commenced operations on January 3, 1996.
</TABLE>
See Notes to Financial Statements.
20
<PAGE> 26
<TABLE>
<CAPTION>
EMERGING NATURAL REAL MARKET
MARKETS RESOURCES ESTATE MANAGER
SERIES SERIES SERIES SERIES
---------- ---------- ---------- --------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends.................................... $ 446,610 $ 221,742 $1,101,567 --
Foreign taxes withheld on dividend income.... (39,395) (10,176) -- --
Interest..................................... 151,441 33,449 47,340 $130,482
---------- ---------- ---------- --------
Total Investment Income.................... 558,656 245,015 1,148,907 130,482
---------- ---------- ---------- --------
EXPENSES:
Unified fees (Note 2)........................ 396,350 167,034 173,098 30,984
Trustees' fees and expenses (Note 2)......... 953 748 815 120
Other........................................ 7,032 705 705 705
---------- ---------- ---------- --------
Total Expenses............................. 404,335 168,487 174,618 31,809
---------- ---------- ---------- --------
NET INVESTMENT INCOME........................ 154,321 76,528 974,289 98,673
---------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) from:
Security transactions...................... 39,188 3,414,513 419,662 224,742
Futures contracts.......................... -- -- -- --
Forward foreign exchange contracts......... (94,149) (2,498) -- --
Foreign currency transactions.............. 267 (1,431) -- --
Net change in unrealized
appreciation/(depreciation) on:
Securities................................. 4,909,778 1,920,168 942,104 162,480
Futures contracts.......................... -- -- -- --
Forward foreign exchange contracts......... 82,672 (234) -- --
Other assets and liabilities denominated in
foreign currencies....................... 4,964 378 -- --
---------- ---------- ---------- --------
Net realized and unrealized gain/(loss) on
investments.............................. 4,942,720 5,330,896 1,361,766 387,222
---------- ---------- ---------- --------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.................. $5,097,041 $5,407,424 $2,336,055 $485,895
========== ========== ========== ========
<CAPTION>
LIMITED
MULTIPLE FULLY MATURITY LIQUID
ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES
----------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends.................................... $ 2,043,218 $1,853,524 -- --
Foreign taxes withheld on dividend income.... (10,172) (9,283) -- --
Interest..................................... 4,893,627 1,720,932 $ 2,439,974 $1,051,514
----------- ---------- ----------- ----------
Total Investment Income.................... 6,926,673 3,565,173 2,439,974 1,051,514
----------- ---------- ----------- ----------
EXPENSES:
Unified fees (Note 2)........................ 1,493,986 615,377 256,532 115,046
Trustees' fees and expenses (Note 2)......... 7,112 2,882 1,687 1,596
Other........................................ 345 705 705 706
----------- ---------- ----------- ----------
Total Expenses............................. 1,501,443 618,964 258,924 117,348
----------- ---------- ----------- ----------
NET INVESTMENT INCOME........................ 5,425,230 2,946,209 2,181,050 934,166
----------- ---------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS AND FOREIGN CURRENCIES
(NOTES 1 AND 3):
Net realized gain/(loss) from:
Security transactions...................... 9,242,589 3,119,479 (222,271) 535
Futures contracts.......................... (524,608) -- -- --
Forward foreign exchange contracts......... 18 17,437 -- --
Foreign currency transactions.............. (33) (9,161) -- --
Net change in unrealized
appreciation/(depreciation) on:
Securities................................. (8,710,734) 1,782,601 (1,392,621) --
Futures contracts.......................... (116,518) -- -- --
Forward foreign exchange contracts......... -- -- -- --
Other assets and liabilities denominated in
foreign currencies....................... 5 276 -- --
----------- ---------- ----------- ----------
Net realized and unrealized gain/(loss) on
investments.............................. (109,281) 4,910,632 (1,614,892) 535
----------- ---------- ----------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.................. $ 5,315,949 $7,856,841 $ 566,158 $ 934,701
=========== ========== =========== ==========
</TABLE>
See Notes to Financial Statements.
21
<PAGE> 27
<TABLE>
- ------------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
THE GCG TRUST
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<CAPTION>
SMALL CAPITAL VALUE RISING STRATEGIC
CAP ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY
SERIES* SERIES SERIES SERIES SERIES SERIES
----------- ----------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income................. $ 2,787 $ 418,345 $ 724,434 $ 233,253 $ 449,600 $ 150,209
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions... 322,383 (3,105,779) 6,894,013 1,094,106 1,836,326 240,912
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign currencies... 320 3,816,234 4,182,283 (1,114,997) 6,074,945 1,136,205
----------- ----------- ------------ ----------- ----------- -----------
Net increase in net assets resulting
from operations..................... 325,490 1,128,800 11,800,730 212,362 8,360,871 1,527,326
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. -- -- -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold........................... 27,272,778 7,524,724 12,835,915 13,426,542 18,030,446 11,319,691
Shares issued as reinvestment of
dividends........................... -- -- -- -- -- --
Shares redeemed....................... (3,808,943) (7,180,735) (11,816,424) (3,647,984) (8,035,970) (395,744)
----------- ----------- ------------ ----------- ----------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS.......................... 23,463,835 343,989 1,019,491 9,778,558 9,994,476 10,923,947
----------- ----------- ------------ ----------- ----------- -----------
Net increase/(decrease) in net assets... 23,789,325 1,472,789 12,820,221 9,990,920 18,355,347 12,451,273
NET ASSETS:
Beginning of period..................... 5,000 93,198,402 122,227,240 28,830,488 81,209,709 8,067,460
----------- ----------- ------------ ----------- ----------- -----------
End of period........................... $23,794,325 $94,671,191 $135,047,461 $38,821,408 $99,565,056 $20,518,733
=========== =========== ============ =========== =========== ===========
Undistributed net investment income..... $ 2,787 $ 685,830 $ 1,103,728 $ 277,364 $ 675,168 $ 177,251
=========== =========== ============ =========== =========== ===========
TRANSACTIONS IN FUND SHARES:
Shares sold........................... 2,312,962 517,915 898,429 990,584 1,274,264 1,077,563
Shares issued as reinvestment of
dividends........................... -- -- -- -- -- --
Shares redeemed....................... (311,270) (494,390) (823,334) (268,316) (576,368) (37,466)
----------- ----------- ------------ ----------- ----------- -----------
Net increase/(decrease)................. 2,001,692 23,525 75,095 722,268 697,896 1,040,097
=========== =========== ============ =========== =========== ===========
<FN>
- ------------------
* The Small Cap Series commenced operations on January 3, 1996.
+ As of March 3, 1995, the Trust no longer accepts investments in the Market Manager Series.
</TABLE>
See Notes to Financial Statements.
22
<PAGE> 28
<TABLE>
<CAPTION>
EMERGING NATURAL REAL MARKET
MARKETS RESOURCES ESTATE MANAGER
SERIES SERIES SERIES SERIES+
----------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income................. $ 154,321 $ 76,528 $ 974,289 $ 98,673
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions... (54,694) 3,410,584 419,662 224,742
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign currencies... 4,997,414 1,920,312 942,104 162,480
----------- ----------- ----------- ----------
Net increase in net assets resulting
from operations..................... 5,097,041 5,407,424 2,336,055 485,895
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. -- -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold........................... 9,965,522 10,432,167 1,881,273 --
Shares issued as reinvestment of
dividends........................... -- -- -- --
Shares redeemed....................... (8,885,192) (6,436,576) (3,334,804) --
----------- ----------- ----------- ----------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS.......................... 1,080,330 3,995,591 (1,453,531) --
----------- ----------- ----------- ----------
Net increase/(decrease) in net assets... 6,177,371 9,403,015 882,524 485,895
NET ASSETS:
Beginning of period..................... 47,974,383 27,147,018 34,974,919 5,952,421
----------- ----------- ----------- ----------
End of period........................... $54,151,754 $36,550,033 $35,857,443 $6,438,316
=========== =========== =========== ==========
Undistributed net investment income..... $ 154,321 $ 120,942 $ 1,584,173 $ 98,818
=========== =========== =========== ==========
TRANSACTIONS IN FUND SHARES:
Shares sold........................... 1,021,692 601,442 145,330 --
Shares issued as reinvestment of
dividends........................... -- -- -- --
Shares redeemed....................... (905,277) (371,797) (259,233) --
----------- ----------- ----------- ----------
Net increase/(decrease)................. 116,415 229,645 (113,903) --
=========== =========== =========== ==========
<CAPTION>
LIMITED
MULTIPLE FULLY MATURITY LIQUID
ALLOCATION MANAGED BOND ASSET
SERIES SERIES SERIES SERIES
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income................. $ 5,425,230 $ 2,946,209 $ 2,181,050 $ 934,166
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency transactions... 8,717,966 3,127,755 (222,271) 535
Net unrealized
appreciation/(depreciation) on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign currencies... (8,827,247) 1,782,877 (1,392,621) --
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations..................... 5,315,949 7,856,841 566,158 934,701
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................. -- -- -- (934,166)
CAPITAL SHARE TRANSACTIONS:
Shares sold........................... 4,155,200 6,477,753 5,970,867 32,098,546
Shares issued as reinvestment of
dividends........................... -- -- -- 923,023
Shares redeemed....................... (25,322,216) (5,048,659) (14,737,917) (31,243,172)
------------ ------------ ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS.......................... (21,167,016) 1,429,094 (8,767,050) 1,778,397
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets... (15,851,067) 9,285,935 (8,200,892) 1,778,932
NET ASSETS:
Beginning of period..................... 307,690,920 118,588,949 90,081,368 38,588,689
------------ ------------ ------------ ------------
End of period........................... $291,839,853 $127,874,884 $ 81,880,476 $ 40,367,621
============ ============ ============ ============
Undistributed net investment income..... $ 8,697,430 $ 3,847,897 $ 6,988,817 $ --
============ ============ ============ ============
TRANSACTIONS IN FUND SHARES:
Shares sold........................... 328,486 452,018 534,611 32,098,546
Shares issued as reinvestment of
dividends........................... -- -- -- 923,023
Shares redeemed....................... (1,998,918) (350,112) (1,321,144) (31,243,172)
------------ ------------ ------------ ------------
Net increase/(decrease)................. (1,670,432) 101,906 (786,533) 1,778,397
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
23
<PAGE> 29
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
THE GCG TRUST
YEAR ENDED DECEMBER 31, 1995
<CAPTION>
CAPITAL VALUE RISING STRATEGIC EMERGING
ALL-GROWTH APPRECIATION EQUITY DIVIDENDS EQUITY 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 $ 798,446 $ 45,702 $ 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 3,219 (10,833) (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 16,739,426 11,842 6,612,101
------------ ------------ ----------- ----------- ---------- ------------
Net increase/(decrease) in net assets
resulting from operations.......... 16,339,404 27,180,824 3,297,963 17,541,091 46,711 (5,999,475)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................ (919,094) (1,240,656) (121,533) (572,878) (18,654) --
Net realized gains................... (3,826,657) (9,067,480) (598,527) -- -- (7,833)
CAPITAL SHARE TRANSACTIONS:
Shares sold.......................... 18,016,517 19,586,921 28,750,556 19,484,935 8,157,294 17,394,853
Shares issued as reinvestment of
dividends.......................... 4,745,751 10,308,136 720,060 572,878 18,654 7,833
Shares redeemed...................... (12,375,122) (13,430,153) (3,223,031) (6,528,476) (141,545) (28,644,907)
------------ ------------ ----------- ----------- ---------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS......................... 10,387,146 16,464,904 26,247,585 13,529,337 8,034,403 (11,242,221)
------------ ------------ ----------- ----------- ---------- ------------
Net increase/(decrease) in net
assets............................... 21,980,799 33,337,592 28,825,488 30,497,550 8,062,460 (17,249,529)
NET ASSETS:
Beginning of year...................... 71,217,603 88,889,648 5,000 50,712,159 5,000 65,223,912
------------ ------------ ----------- ----------- ---------- ------------
End of year............................ $ 93,198,402 $122,227,240 $28,830,488 $81,209,709 $8,067,460 $ 47,974,383
============ ============ =========== =========== ========== ============
Undistributed net investment income.... $ 267,485 $ 379,294 $ 44,111 $ 225,568 $ 27,042 $ --
============ ============ =========== =========== ========== ============
TRANSACTIONS IN FUND SHARES:
Shares sold.......................... 1,341,803 1,448,134 2,380,456 1,671,848 817,787 1,949,018
Shares issued as reinvestment of
dividends.......................... 345,648 766,974 55,050 43,236 1,873 813
Shares redeemed...................... (929,250) (1,007,166) (248,063) (571,571) (14,307) (3,125,567)
------------ ------------ ----------- ----------- ---------- ------------
Net increase/(decrease)................ 758,201 1,207,942 2,187,443 1,143,513 805,353 (1,175,736)
============ ============ =========== =========== ========== ============
<FN>
- ------------------
* The Value Equity Series and the Strategic Equity Series commenced operations on January 3, 1995 and October
2, 1995, respectively.
+ As of March 3, 1995, the Trust no longer accepts investments in the Market Manager Series.
</TABLE>
See Notes to Financial Statements.
24
<PAGE> 30
<TABLE>
<CAPTION>
NATURAL REAL MARKET MULTIPLE
RESOURCES ESTATE MANAGER ALLOCATION
SERIES SERIES SERIES+ SERIES
------------ ------------ ---------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income................ $ 259,685 $ 2,015,201 $ 177,283 $ 13,503,310
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency
transactions....................... 851,341 39,122 26,779 21,863,102
Net unrealized appreciation on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign
currencies......................... 1,526,580 3,141,679 972,237 17,506,930
------------ ------------ ---------- ------------
Net increase/(decrease) in net assets
resulting from operations.......... 2,637,606 5,196,002 1,176,299 52,873,342
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................ (224,208) (1,405,317) (177,138) (10,231,220)
Net realized gains................... (349,161) -- (25,988) (11,548,721)
CAPITAL SHARE TRANSACTIONS:
Shares sold.......................... 10,784,033 3,217,426 2,854,307 8,121,729
Shares issued as reinvestment of
dividends.......................... 573,369 1,405,317 203,126 21,779,941
Shares redeemed...................... (19,153,142) (10,774,704) (832,431) (52,696,208)
------------ ------------ ---------- ------------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS......................... (7,795,740) (6,151,961) 2,225,002 (22,794,538)
------------ ------------ ---------- ------------
Net increase/(decrease) in net
assets............................... (5,731,503) (2,361,276) 3,198,175 8,298,863
NET ASSETS:
Beginning of year...................... 32,878,521 37,336,195 2,754,246 299,392,057
------------ ------------ ---------- ------------
End of year............................ $ 27,147,018 $ 34,974,919 $5,952,421 $307,690,920
============ ============ ========== ============
Undistributed net investment income.... $ 44,414 $ 609,884 $ 145 $ 3,272,200
============ ============ ========== ============
TRANSACTIONS IN FUND SHARES:
Shares sold.......................... 758,515 276,841 283,159 655,464
Shares issued as reinvestment of
dividends.......................... 38,174 112,067 16,984 1,745,188
Shares redeemed...................... (1,361,275) (924,776) (80,266) (4,244,553)
------------ ------------ ---------- ------------
Net increase/(decrease)................ (564,586) (535,868) 219,877 (1,843,901)
============ ============ ========== ============
<CAPTION>
LIMITED
FULLY MATURITY LIQUID
MANAGED BOND ASSET
SERIES SERIES SERIES
------------ ------------ ------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income................ $ 3,763,775 $ 4,809,379 $ 2,285,850
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange contracts
and foreign currency
transactions....................... (1,084,355) 2,463,897 51
Net unrealized appreciation on
securities, futures contracts,
forward foreign exchange contracts
and other assets and liabilities
denominated in foreign
currencies......................... 18,065,630 2,326,656 --
------------ ------------ ------------
Net increase/(decrease) in net assets
resulting from operations.......... 20,745,050 9,599,932 2,285,901
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................ (2,873,042) -- (2,285,850)
Net realized gains................... -- -- --
CAPITAL SHARE TRANSACTIONS:
Shares sold.......................... 11,332,891 33,376,204 39,392,309
Shares issued as reinvestment of
dividends.......................... 2,873,042 -- 2,285,849
Shares redeemed...................... (13,343,139) (25,107,727) (49,211,493)
------------ ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS
FROM SHARES OF BENEFICIAL INTEREST
TRANSACTIONS......................... 862,794 8,268,477 (7,533,335)
------------ ------------ ------------
Net increase/(decrease) in net
assets............................... 18,734,802 17,868,409 (7,533,284)
NET ASSETS:
Beginning of year...................... 99,854,147 72,212,959 46,121,973
------------ ------------ ------------
End of year............................ $118,588,949 $ 90,081,368 $ 38,588,689
============ ============ ============
Undistributed net investment income.... $ 901,688 $ 4,807,767 $ --
============ ============ ============
TRANSACTIONS IN FUND SHARES:
Shares sold.......................... 888,530 3,218,591 39,392,309
Shares issued as reinvestment of
dividends.......................... 209,101 -- 2,285,849
Shares redeemed...................... (1,031,853) (2,375,002) (49,211,493)
------------ ------------ ------------
Net increase/(decrease)................ 65,778 843,589 (7,533,335)
============ ============ ============
</TABLE>
See Notes to Financial Statements.
25
<PAGE> 31
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
SMALL CAP SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE PERIOD.
<CAPTION>
SIX MONTHS
ENDED
6/30/96*
(UNAUDITED)
-----------
<S> <C>
Net asset value, beginning of period............................................................ $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income........................................................................... 0.00##
Net realized and unrealized gain on investments................................................. 1.88#
-------
Total from investment operations................................................................ 1.88
-------
LESS DISTRIBUTIONS:
Dividends from net investment income............................................................ --
Distributions from capital gains................................................................ --
-------
Total distributions............................................................................. --
-------
Net asset value, end of period.................................................................. $ 11.88
=======
Total return.................................................................................... 18.80%++
=======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)............................................................ $23,794
Ratio of operating expenses to average net assets............................................... 1.00%+
Ratio of net investment income to average net assets............................................ 0.08%+
Portfolio turnover rate......................................................................... 67%
Average commission rate paid(a)................................................................. $0.0643
- ------------------
<FN>
* The Small Cap Series commenced operations on January 3, 1996.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
# The amount shown may not accord with the change in the aggregate gains and losses of the portfolio
securities due to timing of sales and redemptions of Series shares.
## Amount represents less than $0.01 per share.
</TABLE>
See Notes to Financial Statements.
26
<PAGE> 32
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
ALL-GROWTH SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 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> <C>
Net asset value,
beginning of
period......... $ 13.78 $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $10.59 $10.00
------- ------- ------- ------- ------- ------- ------ ------
INCOME/(LOSS)
FROM INVESTMENT
OPERATIONS:
Net investment
income......... 0.06 0.18 0.11 0.05 0.08 0.11 0.19 0.09
Net realized and
unrealized
gain/(loss) on
investments.... 0.11 2.47 (1.56) 0.78 (0.41) 3.40 (0.94) 0.66
------- ------- ------- ------- ------- ------- ------ ------
Total from
investment
operations..... 0.17 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
period......... $ 13.95 $ 13.78 $ 11.86 $ 13.42 $ 12.64 $ 13.05 $ 9.65 $10.59
======= ======= ======= ======= ======= ======= ====== ======
Total return..... 1.23%++ 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 period (in
000's)......... $94,671 $93,198 $71,218 $56,491 $24,202 $11,857 $5,005 $3,572
Ratio of
operating
expenses to
average net
assets......... 1.00%+ 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......... 0.86%+ 1.42% 1.08% 0.52% 0.61% 0.94% 1.99% 0.94%+
Portfolio
turnover
rate........... 50% 81% 196% 29% 20% 31% 88% 54%
Average
commission rate
paid(a)........ $0.0606 N/A N/A N/A N/A N/A N/A N/A
- ------------------
<FN>
* 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
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
27
<PAGE> 33
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
CAPITAL APPRECIATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/95 12/31/94 12/31/93 12/31/92*
----------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period................ $ 13.51 $ 11.34 $ 11.76 $ 11.00 $ 10.00
-------- -------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income............................... 0.08 0.19 0.23 0.13 0.12
Net realized and unrealized gain/(loss) on
investments....................................... 1.22 3.22 (0.42) 0.78 1.00
-------- -------- ------- ------- -------
Total from investment operations.................... 1.30 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 period...................... $ 14.81 $ 13.51 $ 11.34 $ 11.76 $ 11.00
======== ======== ======= ======= =======
Total return........................................ 9.62%++ 30.16% (1.59)% 8.31% 10.87%++
======== ======== ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................ $135,047 $122,227 $88,890 $87,219 $18,645
Ratio of operating expenses to average net assets... 1.00%+ 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............................................ 1.12%+ 1.53% 1.96% 1.69% 2.06%+
Portfolio turnover rate............................. 40% 98% 84% 67% 6%
Average commission rate paid(a)..................... $ 0.0591 N/A N/A N/A N/A
<FN>
- ------------------
* The Capital Appreciation Series commenced operations on May 4, 1992.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
28
<PAGE> 34
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
VALUE EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED PERIOD
6/30/96 ENDED
(UNAUDITED) 12/31/95*
----------- ---------
<S> <C> <C>
Net asset value, beginning of period................................................. $ 13.18 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................................................ 0.08 0.08
Net realized and unrealized gain on investments...................................... 0.08 3.44
------- -------
Total from investment operations..................................................... 0.16 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 period....................................................... $ 13.34 $ 13.18
======= =======
Total return......................................................................... 1.21%++ 35.21%
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................................. $38,821 $28,830
Ratio of operating expenses to average net assets.................................... 1.00%+ 1.01%
Ratio of net investment income to average net assets................................. 1.34%+ 1.53%
Portfolio turnover rate.............................................................. 64% 86%
Average commission rate paid(a)...................................................... $0.0554 N/A
<FN>
- ------------------
* The Value Equity Series commenced operations on January 3, 1995.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
29
<PAGE> 35
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
RISING DIVIDENDS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED
(UNAUDITED) 12/31/95 12/31/94 12/31/93*
----------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................... $ 13.30 $ 10.22 $ 10.30 $ 10.00
------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.......................................... 0.06 0.13 0.14 0.01
Net realized and unrealized gain/(loss) on investments......... 1.27 3.04 (0.08) 0.30
------- ------- ------- -------
Total from investment operations............................... 1.33 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 period................................. $ 14.63 $ 13.30 $ 10.22 $ 10.30
======= ======= ======= =======
Total return................................................... 10.00%++ 31.06% 0.59% 3.10%++
======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................... $99,565 $81,210 $50,712 $14,430
Ratio of operating expenses to average net assets.............. 1.00%+ 1.01% 1.00% 0.24%++
Ratio of net investment income to average net assets........... 1.01%+ 1.24% 1.88% 0.34%++
Portfolio turnover rate........................................ 9% 43% 26% 3%
Average commission rate paid(a)................................ $0.0600 N/A N/A N/A
<FN>
- ------------------
* The Rising Dividends Series commenced operations on October 4, 1993.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
30
<PAGE> 36
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
STRATEGIC EQUITY SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED PERIOD
6/30/96## ENDED
(UNAUDITED) 12/31/95*
----------- ---------
<S> <C> <C>
Net asset value, beginning of period................................................. $ 10.01 $10.00
------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................................................ 0.11 0.06
Net realized and unrealized gain/(loss) on investments............................... 1.00 (0.03)#
------- ------
Total from investment operations..................................................... 1.11 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....................................................... $ 11.12 $10.01
======= ======
Total return......................................................................... 11.09%++ 0.33%++
======= ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)................................................. $20,519 $8,067
Ratio of operating expenses to average net assets.................................... 1.00%+ 1.00%+
Ratio of net investment income to average net assets................................. 2.09%+ 4.04%+
Portfolio turnover rate.............................................................. 92% 29%
Average commission rate paid(a)...................................................... $0.0261 N/A
<FN>
- ------------------
* 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 Series shares.
## Per share numbers have been calculated using the monthly average share method, which more appropriately
represents the per share data for the period since the use of the undistributed income method did not
accord with the results of operations.
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
31
<PAGE> 37
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
EMERGING MARKETS SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED
(UNAUDITED) 12/31/95 12/31/94 12/31/93*
----------- -------- -------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................... $ 9.06 $ 10.08 $ 12.44 $ 10.00
------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income.......................................... 0.03 0.04 -- --
Net realized and unrealized gain/(loss) on investments......... 0.91 (1.06) (1.89) 2.44
------- ------- ------- -------
Total from investment operations............................... 0.94 (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 period................................. $ 10.00 $ 9.06 $ 10.08 $ 12.44
======= ======= ======= =======
Total return................................................... 10.38%++ (10.11)% (15.18)% 24.40%++
======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)........................... $54,152 $47,974 $65,224 $31,181
Ratio of operating expenses to average net assets.............. 1.53%+ 1.53% 1.73% 0.38%++
Ratio of net investment income to average net assets........... 0.58%+ 0.40% 0.03% 0.00%++
Portfolio turnover rate........................................ 70% 141% 106% 0%
Average commission rate paid(a)................................ $0.0005 N/A N/A N/A
<FN>
- ------------------
* The Emerging Markets Series commenced operations on October 4, 1993.
+ Annualized
++ Non-annualized
# Amount represents less than $0.01 per share.
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
32
<PAGE> 38
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
NATURAL RESOURCES SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 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> <C>
Net asset value,
beginning of
period......... $ 15.04 $ 13.88 $ 13.89 $ 9.31 $10.46 $10.11 $11.89 $10.00
------- ------- ------- ------- ------ ------ ------ ------
INCOME/(LOSS)
FROM INVESTMENT
OPERATIONS:
Net investment
income/(loss)... 0.03 0.15 0.13 0.07 0.14 0.13 0.13 (0.35)
Net realized and
unrealized
gain/(loss) on
investments.... 2.89 1.34 0.23 4.58 (1.15) 0.35 (1.78) 2.26
------- ------- ------- ------- ------ ------ ------ ------
Total from
investment
operations..... 2.92 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
period......... $ 17.96 $ 15.04 $ 13.88 $ 13.89 $ 9.31 $10.46 $10.11 $11.89
======= ======= ======= ======= ====== ====== ====== ======
Total return..... 19.41%++ 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 period
(in 000's)..... $36,550 $27,147 $32,879 $21,517 $2,916 $2,702 $2,552 $2,383
Ratio of
operating
expenses to
average net
assets......... 1.00%+ 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......... 0.45%+ 0.89% 1.01% 1.03% 1.38% 1.21% 1.21% (3.65)%+
Portfolio
turnover
rate........... 58% 24% 25% 5% 19% 39% 54% 22%
Average
commission rate
paid(a)........ $0.0352 N/A N/A N/A N/A N/A N/A N/A
<FN>
- ------------------
* The Natural Resources Series commenced operations on January 24, 1989.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
33
<PAGE> 39
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
REAL ESTATE SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 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> <C>
Net asset value,
beginning of
period......... $ 12.63 $ 11.29 $ 11.18 $ 9.81 $ 9.02 $7.05 $ 9.53 $10.00
------- ------- ------- ------- ------ ----- ------ ------
INCOME/(LOSS)
FROM INVESTMENT
OPERATIONS:
Net investment
income......... 0.38 0.75 0.60 0.32 0.52 0.42 0.50 0.05
Net realized and
unrealized
gain/(loss) on
investments.... 0.49 1.12 0.11# 1.37# 0.79 1.97 (2.48) (0.06)
------- ------- ------- ------- ------ ----- ------ ------
Total from
investment
operations..... 0.87 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
period......... $ 13.50 $ 12.63 $ 11.29 $ 11.18 $ 9.81 $9.02 $ 7.05 $ 9.53
======= ======= ======= ======= ====== ===== ====== ======
Total return..... 6.89%++ 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 period
(in 000's)..... $35,857 $34,975 $37,336 $29,000 $3,739 $ 710 $ 320 $ 670
Ratio of
operating
expenses to
average net
assets......... 1.00%+ 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......... 5.59%+ 5.79% 5.31% 4.69% 5.74% 5.00% 5.95 % 0.55%+
Portfolio
turnover
rate........... 14% 53% 64% 38% 18% 54% 47 % 83%
Average
commission rate
paid(a)........ $0.0672 N/A N/A N/A N/A N/A N/A N/A
<FN>
- ------------------
* 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 Series shares.
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
34
<PAGE> 40
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
MARKET MANAGER SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
6/30/96 ENDED ENDED
(UNAUDITED) 12/31/95 12/31/94*
----------- -------- ---------
<S> <C> <C> <C>
Net asset value, beginning of period....................................... $12.03 $10.02 $10.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income...................................................... 0.20 0.37 0.02
Net realized and unrealized gain on investments............................ 0.78 2.06 0.02
------ ------ ------
Total from investment operations........................................... 0.98 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 period............................................. $13.01 $12.03 $10.02
====== ====== ======
Total return............................................................... 8.15%++ 24.33% 0.44%++
====== ====== ======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's)....................................... $6,438 $5,952 $ 2,754
Ratio of operating expenses to average net assets.......................... 1.02%+ 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....................... 3.17%+ 3.42% 0.65%++
Portfolio turnover rate.................................................... -- 5% --
<FN>
- ------------------
* The Market Manager Series commenced operations on November 14, 1994.
+ Annualized
++ Non-annualized
</TABLE>
See Notes to Financial Statements.
35
<PAGE> 41
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 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> <C>
Net asset value,
beginning of
period......... $ 12.52 $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34 $ 10.00
-------- -------- -------- -------- -------- ------- ------- -------
INCOME/(LOSS)
FROM INVESTMENT
OPERATIONS:
Net investment
income......... 0.25 0.58 0.42 0.24 0.42 0.49 0.57 0.58
Net realized and
unrealized
gain/(loss) on
investments.... (0.03) 1.56 (0.56) 1.03 (0.18) 1.57 (0.08) 0.44
-------- -------- -------- -------- -------- ------- ------- -------
Total from
investment
operations..... 0.22 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
period......... $ 12.74 $ 12.52 $ 11.33 $ 11.89 $ 11.41 $ 11.73 $ 10.26 $ 10.34
======== ======== ======== ======== ======== ======= ======= =======
Total return..... 1.76%++ 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 period (in
000's)......... $291,840 $307,691 $299,392 $274,231 $116,040 $58,578 $24,347 $15,513
Ratio of
operating
expenses to
average net
assets......... 1.00%+ 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......... 3.61%+ 4.42% 3.56% 2.75% 3.65% 4.43% 5.73% 6.52%+
Portfolio
turnover
rate........... 129% 187% 291% 348% 93% 70% 162% 115%
Average
commission rate
paid(a)........ $ 0.0594 N/A N/A N/A N/A N/A N/A N/A
<FN>
- ------------------
* The Multiple Allocation Series commenced operations on January 24, 1989.
+ Annualized
++ Non-annualized
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
36
<PAGE> 42
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
FULLY MANAGED SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 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> <C>
Net asset value,
beginning of
period......... $ 13.79 $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $10.16 $10.00
-------- -------- ------- -------- ------- ------- ------ ------
INCOME/(LOSS)
FROM INVESTMENT
OPERATIONS:
Net investment
income......... 0.34 0.45 0.35 0.19 0.28 0.29 0.33 0.28
Net realized and
unrealized
gain/(loss) on
investments.... 0.56 1.98 (1.29) 0.75 0.49 2.43 (0.65) 0.16
-------- -------- ------- -------- ------- ------- ------ ------
Total from
investment
operations..... 0.90 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
period......... $ 14.69 $ 13.79 $ 11.70 $ 12.99 $ 12.43 $ 11.94 $ 9.51 $10.16
======== ======== ======= ======== ======= ======= ====== ======
Total return..... 6.53%++ 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 period (in
000's)......... $127,875 $118,589 $99,854 $108,690 $37,696 $10,031 $5,426 $5,443
Ratio of
operating
expenses to
average net
assets......... 1.00%+ 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......... 4.75%+ 3.41% 2.62% 2.12% 2.38% 2.71% 3.38% 3.07%+
Portfolio
turnover
rate........... 20% 113% 66% 55% 27% 68% 100% 196%
Average
commission
rate paid(a)... $ 0.0533 N/A N/A N/A N/A N/A N/A N/A
<FN>
- ------------------
* 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
(a) Average commission rate paid per share of portfolio securities purchased and sold by the Series.
</TABLE>
See Notes to Financial Statements.
37
<PAGE> 43
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
LIMITED MATURITY BOND SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
6/30/96# ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 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> <C>
Net asset value,
beginning of
period......... $ 11.15 $ 9.98 $ 10.62 $ 10.43 $ 10.54 $ 10.15 $10.16 $10.00
------- ------- ------- ------- ------- ------- ------ ------
INCOME/(LOSS)
FROM INVESTMENT
OPERATIONS:
Net investment
income......... 0.28 0.60 0.51 0.40 0.60 0.68 0.72 0.74
Net realized and
unrealized
gain/(loss) on
investments.... (0.20) 0.57 (0.64) 0.23 (0.11) 0.42 -- 0.19
------- ------- ------- ------- ------- ------- ------ ------
Total from
investment
operations..... 0.08 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
period......... $ 11.23 $ 11.15 $ 9.98 $ 10.62 $ 10.43 $ 10.54 $10.15 $10.16
======= ======= ======= ======= ======= ======= ====== ======
Total return..... 0.72%++ 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
period (in
000's)......... $81,880 $90,081 $72,213 $72,219 $40,213 $16,144 $8,321 $2,631
Ratio of
operating
expenses to
average net
assets......... 0.61%+ 0.61% 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......... 5.11%+ 5.58% 4.73% 4.64% 5.71% 6.58% 7.47% 8.56%+
Portfolio
turnover
rate........... 190% 302% 209% 115% 63% 465% 373% 354%
<FN>
- ------------------
* 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
# Per share numbers have been calculated using the monthly average share method, which more appropriately
represents the per share data for the period since the use of the undistributed income method did not
accord with the results of operations.
</TABLE>
See Notes to Financial Statements.
38
<PAGE> 44
- --------------------------------------------------------------------------------
Financial Highlights
<TABLE>
THE GCG TRUST
LIQUID ASSET SERIES**
FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH PERIOD.
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR YEAR PERIOD
6/30/96 ENDED ENDED ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 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> <C>
Net asset value,
beginning of
period......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------- ------- ------- ------- ------- ------- ------- -------
INCOME FROM
INVESTMENT
OPERATIONS:
Net investment
income......... 0.024 0.054 0.040 0.030 0.030 0.050 0.070 0.080
------- ------- ------- ------- ------- ------- ------- -------
Total from
investment
operations..... 0.024 0.054 0.040 0.030 0.030 0.050 0.070 0.080
------- ------- ------- ------- ------- ------- ------- -------
LESS
DISTRIBUTIONS:
Dividends from
net investment
income......... (0.024) (0.054) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
------- ------- ------- ------- ------- ------- ------- -------
Total
distributions... (0.024) (0.054) (0.040) (0.030) (0.030) (0.050) (0.070) (0.080)
------- ------- ------- ------- ------- ------- ------- -------
Net asset value,
end of
period......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======= ======= ======= ======= ======= ======= ======= =======
Total return..... 2.45%++ 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 period (in
000's)......... $40,368 $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% 0.61% 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......... 4.87%+ 5.39% 3.89% 2.60% 3.04% 5.48% 7.56% 8.99%+
<FN>
- ------------------
* 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
</TABLE>
See Notes to Financial Statements.
39
<PAGE> 45
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 78.4%
AGRICULTURE -- 0.9%
5,150 Delta & Pine Lands Company............ $ 217,587
----------
APPAREL -- 3.9%
6,000 Designer Holdings Ltd.+............... 159,750
5,000 Gymboree Corporation+................. 152,500
6,400 Nautica Enterprises Inc.+............. 184,000
7,000 St John Knits Inc. ................... 312,375
2,100 Tommy Hilfiger Corporation+........... 112,613
----------
921,238
----------
AUTOMOTIVE -- 0.0%#
400 Oxford Resources Corporation,
Class A+............................ 9,300
----------
BIO TECHNOLOGY -- 6.1%
2,500 Biochem Pharmaceuticals Inc.+......... 93,750
18,000 Cellpro Inc.+......................... 324,000
5,700 Centocor Inc.+........................ 170,287
5,700 DeKalb Genetics Corporation,
Class............................... 148,200
7,000 Ergo Science Corporation+............. 130,375
4,100 Guilford Pharmaceuticals Inc.+........ 97,375
1,800 IDEC Pharmaceuticals Corporation+..... 41,625
1,400 Incyte Pharmaceuticals Inc.+.......... 53,987
2,900 Interneuron Pharmaceuticals Inc.+..... 87,000
600 Liposome Company Inc.+................ 11,250
5,100 Millenium Pharmaceuticals Inc.+....... 79,050
8,000 Serologicals Corporation+............. 212,000
----------
1,448,899
----------
BROADCAST, RADIO & TELEVISION -- 1.3%
3,600 Jacor Communications Inc.+............ 111,150
5,000 Young Broadcasting Corporation,
Class A+............................ 191,250
----------
302,400
----------
COMMERCIAL SERVICES -- 2.1%
6,000 Loewen Group Inc. .................... 181,500
12,600 Vincam Group Inc.+.................... 327,600
----------
509,100
----------
COMMUNICATIONS -- 4.6%
3,200 Allen Group Inc. ..................... 69,600
5,000 Chancellor Corporation, Class A+...... 156,250
2,000 Evergreen Media Corporation,
Class A+............................ 85,500
7,500 Glenayre Technologies Inc.+........... 375,000
5,100 LCI International Inc.+............... 160,012
2,700 SFX Broadcasting Inc., Class A+....... 105,300
2,000 Tellabs, Inc.+........................ 133,750
----------
1,085,412
----------
COMPUTER SERVICES -- 0.9%
3,000 Cascade Communications Corporation+... 204,000
----------
COMPUTER SOFTWARE -- 11.9%
3,500 Applix Inc.+.......................... 100,625
9,900 Business Objects S.A., ADR+........... 398,475
3,800 CBT Group PLC, ADR+................... 175,750
5,900 Citrix Systems, Inc.+................. 224,200
7,600 Compuware Corporation+................ 300,200
10,000 Cooper & Chyan Technology Inc.+....... 218,750
4,700 EPIC Design Technology Inc.+.......... 118,675
5,500 FactSet Research Systems Inc.+........ 110,000
200 HBO & Company......................... 13,550
3,800 Inference Corporation, Class A+....... 91,200
9,000 Informix Corporation+................. 202,500
3,000 Medic Computer Systems Inc.+.......... 243,375
5,000 Metromail Corporation+................ 111,875
1,000 Objective Systems Integrator Inc.+.... 36,500
6,900 Raptor Systems Inc.+.................. 182,850
9,900 Softkey International Inc.+........... 187,481
2,400 Systemsoft Corporation+............... 112,800
----------
2,828,806
----------
COMPUTER TECHNOLOGIES -- 1.6%
1,200 Adaptec Inc.+......................... 56,850
7,200 Digital Microwave Corporation+........ 119,700
5,000 Verity Inc.+.......................... 143,750
1,500 Videoserver Inc.+..................... 58,500
----------
378,800
----------
COMPUTERS & OFFICE EQUIPMENT -- 6.8%
6,000 Ascend Communications Inc.+........... 337,500
6,300 C-COR Electronics Inc.+............... 113,400
6,000 Cisco Systems, Inc.+.................. 339,750
4,200 Network Appliance Inc.+............... 124,950
6,600 Odetics Inc., Class A+................ 100,650
12,900 3Com Corporation+..................... 590,175
----------
1,606,425
----------
CONSUMER GOODS -- DURABLES -- 0.6%
1,700 G & K Services Inc.................... 48,450
6,500 Harold's Stores Inc.+................. 99,937
----------
148,387
----------
ELECTRICAL EQUIPMENT -- 0.6%
4,000 Cable Design Technologies
Corporation+........................ 131,000
----------
ENVIRONMENTAL CONTROL -- 2.2%
16,400 United Waste Systems Inc.+............ 528,900
----------
FINANCE -- 1.2%
1,600 Green Tree Financial Corporation...... 50,000
10,200 The Money Store Inc................... 225,675
----------
275,675
----------
FINANCIAL SERVICES -- 0.0%#
200 Charles Schwab Corporation............ 4,900
----------
HEALTH CARE -- 3.7%
6,000 CNS Inc.+............................. 145,500
1,500 CytoTherapeutics Inc.+................ 16,688
6,000 ESC Medical Systems Ltd.+............. 169,500
16,400 Genzyme Corporation+.................. 192,700
7,200 Imnet Systems+........................ 219,600
8,000 Respironics Inc.+..................... 148,000
----------
891,988
----------
HEALTH MAINTENANCE -- 0.7%
3,400 Orthodontic Centers of
America, Inc.+...................... 90,100
2,000 Oxford Health Plans, Inc.+............ 82,250
----------
172,350
----------
INDUSTRIAL EQUIPMENT -- 1.4%
10,000 Waters Corporation+................... 330,000
----------
LEISURE ENTERTAINMENT -- 1.0%
11,100 Cinar Films Inc., Class B+............ 241,425
----------
MEDICAL SERVICES -- 3.5%
10,400 American Oncology Resources Inc.+..... 226,200
15,000 CardioGenesis Corporation+............ 202,500
3,200 Compdent Corporation+................. 148,800
1,050 PhyCor Inc.+.......................... 39,900
3,600 QuickResponse Services Inc.+.......... 103,500
1,600 Quintiles Transnational
Corporation+........................ 105,200
----------
826,100
----------
</TABLE>
See Notes to Financial Statements.
40
<PAGE> 46
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
SMALL CAP SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
MEDICAL SUPPLIES -- 7.0%
10,000 Biopsys Medical Inc.+................. $ 200,000
11,000 Conceptus Inc.+....................... 187,000
11,750 Fuisz Technologies Ltd.+.............. 223,250
5,500 Heartport Inc.+....................... 166,375
2,000 Hologic Inc.+......................... 88,500
11,800 Imagyn Medical Inc.+.................. 129,800
18,000 Metra Biosystems Inc.+................ 99,000
15,300 Neuromedical Systems Inc.+............ 229,500
5,000 STERIS Corporation+................... 160,000
4,000 Target Therapeutics Inc.+............. 164,000
600 VISX Inc.+............................ 20,475
----------
1,667,900
----------
MEDICAL TECHNOLOGIES -- 0.4%
5,600 Cygnus Inc.+.......................... 85,400
----------
METALS -- 0.5%
4,300 Titanium Metals Corporation+.......... 111,263
----------
PAPER AND FOREST PRODUCTS -- 0.6%
4,600 Sealed Air Corporation+............... 154,675
----------
PHARMACEUTICALS -- 0.3%
6,000 NPS Pharmaceuticals Inc.+............. 79,500
----------
POLLUTION CONTROL -- 0.6%
5,200 USA Waste Services Inc.+.............. 154,050
----------
RESTAURANTS & LODGING -- 3.2%
4,700 Boston Chicken Inc.+.................. 152,750
6,000 Doubletree Corporation+............... 213,000
7,600 Lone Star Steakhouse & Saloon+........ 286,900
3,000 Outback Steakhouse Inc.+.............. 103,453
----------
756,103
----------
RETAIL -- 7.0%
5,000 Charming Shoppes Inc.+................ 35,313
1,500 Garden Ridge Corporation+............. 75,750
5,500 Gucci Group NY........................ 354,750
26,000 Home Shopping Network Inc.+........... 312,000
400 Office Max Inc.+...................... 9,550
4,700 Pacific Sunwear of California Inc.+... 110,450
6,600 Sports Authority Inc.+................ 216,150
3,200 Tiffany & Company..................... 233,600
6,500 TJX Companies Inc. ................... 219,375
4,600 Wet Seal Inc., Class A+............... 109,538
----------
1,676,476
----------
SEMICONDUCTORS -- 2.4%
2,700 Altera Corporation+................... 102,600
2,200 Linear Technology Corporation......... 66,000
1,400 Maxim Integrated Products Inc.+....... $ 38,238
4,600 Microchip Technology Inc.+............ 113,850
8,200 Xilinx Inc.+.......................... 260,350
----------
581,038
----------
TRANSPORTATION -- 1.4%
9,500 Rural/Metro Corporation+.............. 325,375
----------
Total Common Stocks
(Cost $18,654,152).................... 18,654,472
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 18.4%
$625,000 AIG Credit Corporation,
5.300%++ due 07/11/1996............. 624,080
940,000 AT&T Capital Corporation,
5.400%++ due 07/11/1996............. 938,587
425,000 Bell Atlantic Corporation,
5.360%++ due 07/08/1996............. 424,557
275,000 Dynamic Funding Corporation,
5.550%++ due 07/10/1996............. 274,619
900,000 International Lease Finance
Corporation,
5.350%++ due 07/02/1996.............
899,866
450,000 Philip Morris Companies, Inc.,
5.310%++ due 07/15/1996............. 449,071
775,000 TDK USA Corporation,
5.480%++ due 07/09/1996............. 774,056
-----------
Total Commercial Paper
(Cost $4,384,836)................... 4,384,836
-----------
TOTAL INVESTMENTS (COST $23,038,988*).......... 96.8% 23,039,308
OTHER ASSETS AND LIABILITIES (NET)............. 3.2 755,017
------- -----------
NET ASSETS..................................... 100.0% $23,794,325
======= ===========
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount is less than 0.1%.
</TABLE>
- -------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
- -------------------------------------------------------------------------------
See Notes to Financial Statements.
41
<PAGE> 47
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
ALL-GROWTH SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 89.3%
AEROSPACE/DEFENSE -- 6.6%
130,000 GRC International Inc.+............... $ 4,988,750
29,000 Litton Industries, Inc.+.............. 1,261,500
----------
6,250,250
----------
BANKS/SAVINGS AND LOAN -- 16.1%
38,000 BankAmerica Corporation............... 2,878,500
40,000 Bank of New York Company, Inc. ....... 2,050,000
20,000 Chase Manhattan Corporation........... 1,412,500
32,000 Greenpoint Financial Corporation...... 904,000
36,000 Mercantile Bancorporation............. 1,602,000
53,000 PNC Bank Corporation.................. 1,576,750
20,000 Wells Fargo & Company................. 4,777,500
----------
15,201,250
----------
COMMUNICATIONS AND MEDIA -- 0.9%
27,000 Grupo Televisa S.A., GDR+............. 830,250
----------
COMPUTER INDUSTRY -- 6.4%
60,000 Amdahl Corporation+................... 645,000
58,000 Honeywell, Inc. ...................... 3,161,000
33,000 Intuit, Inc.+......................... 1,559,250
23,000 Network Peripherals, Inc.+............ 393,875
13,000 Sybase, Inc.+......................... 307,125
----------
6,066,250
----------
ELECTRONICS -- 1.0%
46,000 Lexmark International Group Inc.,
Class A............................... 925,750
----------
ENGINEERING/CONSTRUCTION -- 2.2%
62,000 Stone & Webster Inc. ................. 2,115,750
----------
FINANCIAL SERVICES -- 9.0%
32,000 Aetna Life & Casualty Company......... 2,288,000
80,000 Capital One Financial Corporation..... 2,280,000
37,000 Charles Schwab Corporation............ 906,500
13,000 Student Loan Marketing Association
(Voting).............................. 962,000
125,000 USF&G Corporation..................... 2,046,875
----------
8,483,375
----------
HEALTH CARE SERVICES -- 4.4%
50,000 ALZA Corporation+..................... 1,368,750
36,000 Biomet, Inc.+......................... 517,500
85,000 FoxMeyer Health Corporation+.......... 1,264,375
32,000 STERIS Corporation+................... 1,024,000
----------
4,174,625
----------
INDUSTRIAL MANUFACTURING AND PROCESSING -- 6.0%
65,000 Corning Inc. ......................... 2,494,375
98,000 Inco Ltd. ............................ 3,160,500
----------
5,654,875
----------
METAL MINING -- 20.8%
150,000 Coeur d'Alene Mines Corporation....... 2,756,250
221,000 Homestake Mining Company.............. 3,784,625
92,000 Newmont Mining Corporation............ 4,542,500
244,000 Pegasus Gold Inc.+.................... 2,989,000
174,000 Placer Dome Inc., ADR................. 4,154,250
200,000 Prime Resources Group Inc., ADR....... 1,481,427
----------
19,708,052
----------
OIL SERVICES -- 4.8%
85,000 Baker Hughes Inc. .................... $ 2,794,375
32,000 Halliburton Company................... 1,776,000
----------
4,570,375
----------
PAPER AND FOREST PRODUCTS -- 2.2%
43,000 Westvaco Corporation.................. 1,284,625
18,000 Weyerhauser Company................... 765,000
----------
2,049,625
----------
PHARMACEUTICALS -- 2.5%
16,000 Biogen, Inc.+......................... 878,000
35,000 Columbia Laboratories, Inc.+.......... 520,625
45,000 Creative BioMolecules, Inc.+.......... 382,500
68,000 Cytogen Corporation+.................. 616,250
----------
2,397,375
----------
RETAIL -- 0.0%#
9,666 Ben Franklin Retail Stores, Inc.+..... 10,874
----------
TELECOMMUNICATIONS -- 6.4%
80,000 AirTouch Communications Inc.+......... 2,260,000
58,000 Frontier Corporation.................. 1,776,250
16,000 Globalstar Telecommunications Ltd.
ORD+.................................. 708,000
14,000 Lucent Technologies, Inc. ............ 530,250
24,000 Telefonos de Mexico S.A., ADR......... 804,000
----------
6,078,500
----------
Total Common Stocks
(Cost $73,327,040).................... 84,517,176
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
REPURCHASE AGREEMENT -- 10.3%
(Cost $9,763,000)
$9,763,000 Agreement with Goldman Sachs Group,
5.250% dated 06/28/1996 to be
repurchased at $9,767,271 on
07/01/1996, collateralized by
$9,840,000 U.S. Treasury Notes,
6.750% due 05/31/1999 (value
$9,967,920)......................... 9,763,000
-----------
TOTAL INVESTMENTS (COST $83,090,040*).......... 99.6% 94,280,176
OTHER ASSETS AND LIABILITIES (NET)............. 0.4 391,015
----- -----------
NET ASSETS..................................... 100.0% $94,671,191
===== ===========
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
# Amount is less than 0.1%.
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
- -------------------------------------------------------------------------------
See Notes to Financial Statements.
42
<PAGE> 48
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
CAPITAL APPRECIATION SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 98.2%
BUILDING -- 2.0%
91,600 DeBartolo Realty Corporation.......... $ 1,477,050
40,000 Felcor Suite Hotels................... 1,220,000
-----------
2,697,050
-----------
COMMODITIES -- 10.0%
44,600 Aluminum Company of America........... 2,558,925
39,800 Grace (W.R.) & Company................ 2,820,825
45,000 Hercules, Inc. ....................... 2,486,250
86,000 Monsanto Company...................... 2,795,000
27,100 PPG Industries Inc. .................. 1,321,125
37,400 Praxair Inc. ......................... 1,580,150
-----------
13,562,275
-----------
CYCLICALS -- DURABLES -- 2.3%
30,600 Chrysler Corporation.................. 1,897,200
39,000 Ford Motor Company.................... 1,262,625
-----------
3,159,825
-----------
CYCLICALS -- NON DURABLES -- 3.9%
71,500 CUC International Inc.+............... 2,538,250
39,800 HFS Inc.+............................. 2,786,000
-----------
5,324,250
-----------
DEFENSIVE STAPLES -- 3.1%
25,000 Gillette Company...................... 1,559,375
80,000 Sara Lee Corporation.................. 2,590,000
-----------
4,149,375
-----------
ELECTRICAL EQUIPMENT -- 1.0%
25,000 Honeywell Inc. ....................... 1,362,500
-----------
ELECTRONICS -- 1.9%
60,000 Thermo Electron Corporation........... 2,497,500
-----------
ENERGY -- 3.9%
19,500 Amoco Corporation..................... 1,411,312
11,900 Mobil Corporation..................... 1,334,287
14,900 Texaco Inc. .......................... 1,249,738
45,200 Ultramar Corporation.................. 1,310,800
-----------
5,306,137
-----------
ENTERTAINMENT -- 3.1%
82,200 Comcast Corporation, Class A,
Special Shares (Non-Voting)........... 1,520,700
66,100 Time Warner Inc. ..................... 2,594,425
-----------
4,115,125
-----------
FINANCE/BANKS -- 8.5%
30,500 BankAmerica Corporation............... 2,310,375
35,168 Chase Manhattan Corporation........... 2,483,740
41,500 First Union Corporation............... 2,526,312
34,500 NationsBank Corporation............... 2,850,563
37,900 Norwest Corporation................... 1,321,763
-----------
11,492,753
-----------
FINANCE/INSURANCE -- 7.7%
60,373 Allstate Corporation.................. 2,754,518
74,200 Federal National Mortgage
Association........................... 2,485,700
20,700 Household International Inc. ......... 1,573,200
30,000 Student Loan Marketing Association
(Voting).............................. 2,220,000
30,000 Travelers Group Inc. ................. 1,368,750
-----------
10,402,168
-----------
GROWTH STAPLES -- 5.5%
40,000 Boston Chicken Inc.+.................. 1,300,000
76,000 PepsiCo Inc. ......................... 2,688,500
33,300 Philip Morris Companies Inc. ......... 3,463,200
-----------
7,451,700
-----------
HEALTH CARE -- 13.5%
36,000 Aetna Life & Casualty Company......... 2,574,000
30,000 Boston Scientific Corporation+........ 1,350,000
72,800 Johnson & Johnson..................... 3,603,600
20,000 Lilly (Eli) & Company................. 1,300,000
50,400 Medtronic Inc. ....................... 2,822,400
51,600 Merck & Company Inc. ................. 3,334,650
29,300 Schering-Plough Corporation........... 1,838,575
26,400 Warner-Lambert Company................ 1,452,000
-----------
18,275,225
-----------
INFORMATION PROCESSING -- 8.7%
23,100 Cascade Communications Corporation+... 1,570,800
35,000 Computer Associates International
Inc. ................................. 2,423,750
35,167 First Data Corporation................ 2,800,172
30,000 Fore Systems Inc.+.................... 1,083,750
20,000 HBO & Company......................... 1,355,000
55,100 3Com Corporation+..................... 2,520,825
-----------
11,754,297
-----------
MACHINERY -- 1.8%
75,000 WMX Technologies, Inc. ............... 2,456,250
-----------
RETAIL -- 6.3%
50,000 AutoZone Inc.+........................ 1,737,500
48,000 Home Depot Inc. ...................... 2,592,000
26,700 May Department Stores Company......... 1,168,125
29,700 Sears, Roebuck & Company.............. 1,444,163
78,000 Staples Inc.+......................... 1,521,000
-----------
8,462,788
-----------
TELECOMMUNICATION SERVICES -- 4.1%
20,000 AT&T Corporation...................... 1,240,000
67,300 GTE Corporation....................... 3,011,675
50,000 MCI Communications Corporation........ 1,281,250
-----------
5,532,925
-----------
TRANSPORTATION-AIR -- 7.9%
47,100 AlliedSignal Inc. .................... 2,690,587
31,600 Boeing Company........................ 2,753,150
30,000 Burlington Northern Santa Fe.......... 2,426,250
32,500 Lockheed Martin Corporation........... 2,730,000
-----------
10,599,987
-----------
UTILITY -- 3.0%
44,100 CMS Energy Corporation................ 1,361,587
107,100 Southern Company...................... 2,637,338
-----------
3,998,925
-----------
Total Common Stocks
(Cost $111,988,023)................... 132,601,055
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<S> <C> <C>
U.S. TREASURY OBLIGATION -- 1.7%
(Cost $2,318,529)
U.S. TREASURY BILL:
$2,333,000 5.060%++ due 08/15/1996.............. 2,318,529
------------
TOTAL INVESTMENTS (COST $114,306,552*)........ 99.9% 134,919,584
OTHER ASSETS AND LIABILITIES (NET)............ 0.1 127,877
----- ------------
NET ASSETS.................................... 100.0% $135,047,461
===== ============
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
</TABLE>
See Notes to Financial Statements.
43
<PAGE> 49
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
VALUE EQUITY SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 80.7%
AEROSPACE/DEFENSE -- 5.6%
13,500 Boeing Company........................ $ 1,176,188
4,800 General Motors Corporation, Class H... 288,600
6,200 United Technologies Corporation....... 713,000
----------
2,177,788
----------
AUTOMOBILE -- 2.3%
6,000 Chrysler Corporation.................. 372,000
16,000 Ford Motor Company.................... 518,000
----------
890,000
----------
AUTOMOBILE PARTS -- 3.4%
15,500 Breed Technologies Inc. .............. 346,813
8,000 Dana Corporation...................... 248,000
8,000 Eaton Corporation..................... 469,000
5,500 Magna International Inc., Class A..... 253,000
----------
1,316,813
----------
BANKS -- 1.4%
10,000 Cal Fed Bancorp Inc. ................. 182,500
4,500 Chase Manhattan Corporation........... 317,812
2,000 PNC Bank Corporation.................. 59,500
----------
559,812
----------
BUSINESS SERVICES -- 2.9%
12,000 Automatic Data Processing Inc. ....... 463,500
14,000 Pitney Bowes Inc. .................... 668,500
----------
1,132,000
----------
CHEMICALS -- 3.3%
2,000 Dow Chemical Company.................. 152,000
10,000 du Pont (E.I.) de Nemours & Company,
Inc. ............................... 791,250
8,000 Union Carbide Corporation............. 318,000
----------
1,261,250
----------
COMMUNICATION & INFORMATION -- 3.8%
25,000 Diamond Multimedia Systems, Inc.+..... 237,500
2,000 Hewlett Packard Company............... 199,250
5,500 Intel Corporation..................... 403,906
14,000 S3, Inc.+............................. 172,375
10,000 Seagate Technology Inc.+.............. 450,000
----------
1,463,031
----------
CONSTRUCTION ENGINEERING -- 0.9%
8,000 Foster Wheeler Corporation............ 359,000
----------
ELECTRIC UTILITIES -- 0.6%
2,000 Duke Power Company.................... 102,500
4,000 Minnesota Power & Light Company....... 116,000
----------
218,500
----------
ENTERTAINMENT -- 1.3%
12,000 Grand Casinos Inc.+................... 309,000
7,000 Royal Caribbean Cruises Ltd........... 199,500
----------
508,500
----------
FINANCIAL -- 4.6%
4,500 Federal Home Loan Mortgage
Corporation......................... 384,750
15,000 Federal National Mortgage
Association......................... 502,500
2,500 Great Western Financial Corporation... 59,688
3,000 Salomon Inc. ......................... 132,000
9,500 Student Loan Marketing Association
(Voting)............................ 703,000
----------
1,781,938
----------
HARDWARE & TOOLS -- 1.2%
7,000 Illinois Tool Works, Inc. ............ 473,375
----------
HEALTH CARE -- 2.7%
4,000 Columbia Healthcare Corporation....... 213,500
6,700 Humana Inc.+.......................... 119,762
20,000 Tenet Healthcare Corporation+......... 427,500
5,600 United Healthcare Corporation......... 282,800
----------
1,043,562
----------
HOTELS & OTHER LODGING PLACES -- 0.1%
3,000 Castle & Cooke, Inc.+................. 48,000
----------
HOUSEHOLD PRODUCTS/WARE -- 0.7%
10,000 Rubbermaid, Inc. ..................... 272,500
----------
INSURANCE -- 1.8%
7,000 Hartford Steam Boiler Company......... 343,875
8,000 Torchmark Corporation................. 350,000
----------
693,875
----------
MACHINERY -- 4.0%
7,000 Caterpillar Inc. ..................... 474,250
16,000 Deere & Company....................... 640,000
5,000 Harnischfeger Industries Inc. ........ 166,250
6,000 Ingersoll Rand Company................ 262,500
----------
1,543,000
----------
MANUFACTURING INDUSTRIES -- 4.4%
12,400 Honeywell, Inc. ...................... 675,800
6,000 Johnson Controls Inc. ................ 417,000
5,000 Parker Hannifin Corporation........... 211,875
4,100 PPG Industries, Inc. ................. 199,875
4,000 Tecumseh Products Company, Class A.... 215,000
----------
1,719,550
----------
METAL -- 2.3%
6,700 Aluminum Company of America........... 384,413
10,000 Carpenter Technology Corporation...... 320,000
4,000 Nucor Corporation..................... 202,500
----------
906,913
----------
MULTI-INDUSTRY COMPANIES -- 3.9%
9,000 AlliedSignal Corporation.............. 514,125
53,000 Westinghouse Electric Corporation..... 993,750
----------
1,507,875
----------
NONDURABLE GOODS -- CONSUMER -- 1.2%
6,000 Eastman Kodak Company................. 466,500
----------
OIL/GAS-INTERNATIONAL -- 7.6%
7,000 British Petroleum Company, ADR........ 748,125
5,000 Chevron Corporation................... 295,000
8,000 Exxon Corporation..................... 695,000
7,000 Mobil Corporation..................... 784,875
1,500 Royal Dutch Petroleum Company, ADR.... 230,625
2,500 Texaco Inc. .......................... 209,688
----------
2,963,313
----------
OIL/GAS-MINERAL INTERESTS -- 0.7%
8,000 Apache Corporation.................... 263,000
----------
OIL SERVICES -- 1.6%
5,400 Halliburton Company................... 299,700
3,700 Schlumberger Ltd...................... 311,725
----------
611,425
----------
PACKAGED FOODS -- 1.4%
3,500 CPC International Inc. ............... 252,000
1,700 Heinz (H.J.) Company.................. 51,637
8,000 Sara Lee Corporation.................. 259,000
----------
562,637
----------
</TABLE>
See Notes to Financial Statements.
44
<PAGE> 50
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
VALUE EQUITY SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
PHARMACEUTICALS -- 2.0%
9,000 Abbott Laboratories................... $ 391,500
7,000 Amgen Inc.+........................... 378,000
-----------
769,500
-----------
PUBLISHING -- 1.4%
9,000 Dun & Bradstreet Corporation.......... 562,500
-----------
PUBLISHING & NEWS -- 0.6%
3,000 Tribune Company....................... 217,875
-----------
RETAIL DEPARTMENT STORES -- 0.8%
6,100 Penny (J.C.) Company, Inc. ........... 320,250
-----------
RETAIL FOOD -- 0.2%
2,500 Grand Metropolitan, ADR............... 66,875
-----------
RETAIL SPECIALTY -- 0.8%
16,000 Office Depot, Inc.+................... 326,000
-----------
SPECIALTY PRINTING -- 0.2%
2,000 Deluxe Corporation.................... 71,000
-----------
TOBACCO MANUFACTURERS -- 2.2%
5,900 American Brands Inc. ................. 267,712
2,500 Philip Morris Companies, Inc. ........ 260,000
9,000 UST Inc. ............................. 308,250
-----------
835,962
-----------
TRANSPORTATION -- 6.5%
5,500 Airborne Freight Corporation.......... 143,000
7,000 Burlington Northern Santa Fe
Corporation......................... 566,125
8,000 CSX Corporation....................... 386,000
6,200 Delta Air Lines Inc. ................. 514,600
9,500 Federal Express Corporation+.......... 779,000
5,000 Illinois Central Corporation.......... 141,875
-----------
2,530,600
-----------
UTILITY-TELEPHONE -- 2.0%
10,000 BellSouth Corporation................. 423,750
4,000 NYNEX Corporation..................... 190,000
3,000 SBC Communications Inc. .............. 147,750
-----------
761,500
-----------
WASTE MANAGEMENT -- 0.3%
4,400 Browning-Ferris Industries Inc. ...... $ 127,600
-----------
Total Common Stocks
(Cost $30,104,554).................. 31,333,819
-----------
PREFERRED STOCK -- 0.8%
(Cost $294,195)
TOBACCO -- 0.8%
47,000 RJR Nabisco Holdings Corporation
Prfd., Class C...................... 305,500
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 10.9%
(Cost $4,245,000)
$4,245,000 Federal Home Loan Bank,
5.070%++ due 07/01/1996............. 4,245,000
-----------
TOTAL INVESTMENTS (COST $34,643,749*).......... 92.4% 35,884,319
OTHER ASSETS AND LIABILITIES (NET)............. 7.6 2,937,089
---- -----------
NET ASSETS..................................... 100.0% $38,821,408
===== ===========
<FN>
- ---------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Annualized yield at date of purchase.
</TABLE>
- -------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
- -------------------------------------------------------------------------------
See Notes to Financial Statements.
45
<PAGE> 51
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
RISING DIVIDENDS SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 97.3%
BANKING -- 5.7%
36,179 Banc One Corporation................. $ 1,230,086
45,400 Fifth Third Bancorp.................. 2,451,600
57,300 Norwest Corporation.................. 1,998,337
------------
5,680,023
------------
BEVERAGES -- 2.6%
54,000 Coca-Cola Company.................... 2,639,250
------------
CHEMICALS & ALLIED PRODUCTS -- 4.9%
69,000 Monsanto Company..................... 2,242,500
53,700 PPG Industries, Inc. ................ 2,617,875
------------
4,860,375
------------
COMPUTERS AND OFFICE EQUIPMENT -- 3.8%
37,600 Hewlett-Packard Company.............. 3,745,900
------------
CONSUMER CYCLICAL/MISCELLANEOUS -- 1.7%
63,700 Rubbermaid Inc. ..................... 1,735,825
------------
CONSUMER PRODUCTS -- 3.3%
29,250 International Flavors & Fragrances
Inc. .............................. 1,393,031
20,570 Procter & Gamble Company............. 1,864,156
------------
3,257,187
------------
CONSUMER SERVICES -- 2.0%
36,600 Cintas Corporation................... 1,958,100
------------
DATA SERVICES -- 7.4%
81,600 Automatic Data Processing Inc. ...... 3,151,800
30,450 Electronic Data Systems
Corporation+....................... 1,636,688
35,740 Reuters Holdings PLC, ADR............ 2,591,150
------------
7,379,638
------------
DRUG & HOSPITAL SUPPLIES -- 11.0%
81,150 Abbott Laboratories.................. 3,530,025
40,000 Astra AB, Series A, ADR.............. 1,750,000
52,400 Johnson & Johnson.................... 2,593,800
30,000 Merck & Company, Inc. ............... 1,938,750
69,750 Mylan Laboratories Inc. ............. 1,203,187
------------
11,015,762
------------
ELECTRICAL EQUIPMENT -- 9.6%
85,700 AMP Inc. ............................ 3,438,713
38,400 General Electric Company............. 3,321,600
36,000 Grainger (W.W.), Inc. ............... 2,790,000
------------
9,550,313
------------
ENERGY -- 6.3%
32,100 Exxon Corporation.................... 2,788,687
14,500 Mobil Corporation.................... 1,625,813
11,950 Royal Dutch Petroleum Company, ADR... 1,837,313
------------
6,251,813
------------
FINANCIAL -- 6.4%
78,700 Equifax Inc. ........................ 2,065,875
39,700 Franklin Resources Inc. ............. 2,421,700
37,160 State Street Boston Corporation...... 1,895,160
------------
6,382,735
------------
FOOD -- 7.7%
89,700 Sara Lee Corporation................. 2,904,037
99,550 Sysco Corporation.................... 3,409,588
27,900 Wrigley, (Wm) Jr. Company............ 1,408,950
------------
7,722,575
------------
FURNITURE & HOME APPLIANCES -- 2.1%
74,400 Leggett & Platt, Inc. ............... 2,064,600
------------
INSURANCE -- 3.6%
27,562 Cincinnati Financial Corporation..... 1,581,370
13,100 General Re Corporation............... 1,994,475
------------
3,575,845
------------
LEISURE ENTERTAINMENT -- 3.8%
59,700 Disney (Walt) Company................ 3,753,638
------------
METAL -- 1.9%
37,880 Nucor Corporation.................... 1,917,675
------------
PUBLISHING & BROADCASTING -- 1.6%
22,500 Gannett Company...................... 1,591,875
------------
RETAIL -- 1.5%
58,100 Wal-Mart Stores, Inc. ............... 1,474,287
------------
SPECIALTY MATERIALS -- 2.3%
33,000 Minnesota Mining & Manufacturing
Company............................ 2,277,000
------------
TELECOMMUNICATIONS EQUIPMENT -- 2.0%
91,800 Ericsson (L.M.) Telecommunications
Company, Class B, ADR.............. 1,973,700
------------
UTILITIES-TELECOMMUNICATIONS -- 6.1%
64,170 Bell Atlantic Corporation............ 4,090,837
40,000 SBC Communications, Inc. ............ 1,970,000
------------
6,060,837
------------
Total Common Stocks
(Cost $74,049,679)................. 96,868,953
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 5.4%
$1,485,000 American Express Company,
5.390% due 07/01/1996.............. 1,485,000
3,900,000 Ford Motor Company,
5.420% due 07/01/1996.............. 3,900,000
------------
Total Commercial Paper
(Cost $5,385,000).................. 5,385,000
TOTAL INVESTMENTS (COST $79,434,679*)......... 102.7% 102,253,953
OTHER ASSETS AND LIABILITIES (NET)............ (2.7) (2,688,897)
----- ------------
NET ASSETS.................................... 100.0% $ 99,565,056
===== ============
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
46
<PAGE> 52
- --------------------------------------------------------------------------------
Portfolio of Investments
<TABLE>
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1996 (UNAUDITED)
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 72.3%
AEROSPACE/DEFENSE -- 0.5%
4,600 Moog, Inc., Class A+.................. $ 112,700
-----------
AIRLINES -- 3.2%
4,100 Alaska Air Group, Inc.+............... 112,238
1,400 AMR Corporation+...................... 127,400
2,600 British Airways PLC, ADR.............. 222,950
1,500 Delta Air Lines, Inc. ................ 124,500
1,900 KLM Royal Dutch Air Lines............. 60,325
-----------
647,413
-----------
AUTOMOTIVE AFTERMARKET -- 2.8%
7,000 Apogee Enterprises Inc. .............. 239,750
1,800 SPX Corporation....................... 44,100
10,100 Wynn's International Inc. ............ 285,325
-----------
569,175
-----------
BANKS -- 1.5%
600 Bank of Boston Corporation............ 29,700
312 Chase Manhattan Corporation........... 22,035
5,300 City National Corporation............. 83,475
200 First Empire State Corporation........ 48,200
200 Wells Fargo & Company................. 47,775
1,100 Zions Bancorporation.................. 80,025
-----------
311,210
-----------
BUILDING MATERIALS AND PRODUCTS -- 3.5%
1,600 Ameron International, Inc. ........... 63,200
200 Johnson Controls Inc. ................ 13,900
3,900 Lafarge Corporation................... 78,975
13,600 Lamson & Sessions Company+............ 161,500
4,300 Medusa Corporation.................... 133,300
11,300 Republic Group Inc. .................. 161,025
3,300 Schuller Corporation+................. 34,238
1,300 Vulcan Materials Company.............. 77,187
-----------
723,325
-----------
CASINO/GAMBLING -- 0.5%
3,400 Bally Entertainment Corporation+...... 93,500
-----------
CHEMICALS -- 1.6%
1,900 Goodrich (B.F.) Company............... 71,013
1,400 Imperial Chemical Industries PLC,
ADR................................. 68,775
1,300 Morton International Inc. ............ 48,425
2,200 Rohm & Haas Company................... 138,050
-----------
326,263
-----------
COMPUTER/VIDEO/CHAINS -- 0.1%
800 CompUSA, Inc.+........................ 27,300
-----------
CONSTRUCTION/AGRICULTURAL EQUIPMENT/TRUCKS -- 1.6%
3,000 Cascade Corporation................... 40,125
900 Deere & Company....................... 36,000
2,800 JLG Industries Inc. .................. 207,900
1,000 Lindsay Manufacturing Company......... 40,250
-----------
324,275
-----------
CONSUMER ELECTRICAL APPLIANCES -- 0.2%
1,600 Helen of Troy Corporation Ltd.+....... 45,600
-----------
CONTRACT DRILLING -- 1.0%
7,400 Global Marine, Inc.+.................. 102,675
2,900 Helmerich & Payne Inc. ............... 106,212
-----------
208,887
-----------
DEPARTMENT STORES -- 0.4%
700 Mercantile Stores Inc. ............... 41,037
1,300 Neiman Marcus Group Inc.+............. 35,100
-----------
76,137
-----------
DISCOUNT CHAINS -- 0.9%
300 Dayton Hudson Corporation............. 30,938
2,700 Shopko Stores, Inc. .................. 43,537
9,400 Venture Stores, Inc.+................. 61,100
1,800 Woolworth Corporation+................ 40,500
-----------
176,075
-----------
DIVERSIFIED COMMERCIAL SERVICES -- 0.2%
1,200 CDI Corporation+...................... 40,500
200 Union Corporation+.................... 3,950
-----------
44,450
-----------
DIVERSIFIED ELECTRONIC PRODUCTS -- 0.1%
200 Harris Corporation.................... 12,200
-----------
DIVERSIFIED MANUFACTURING -- 1.3%
6,500 Global Industries Technology Inc.+.... 104,000
800 Olin Corporation...................... 71,400
900 United Dominion Industries Ltd........ 20,700
2,200 Valmont Industries Inc. .............. 74,800
-----------
270,900
-----------
DRUG STORE CHAINS -- 0.2%
1,500 Revco D.S., Inc.+..................... 35,812
500 Genovese Drug Stores Inc. ............ 4,250
-----------
40,062
-----------
ELECTRIC UTILITIES -- 11.4%
2,500 Allegheny Power System, Inc. ......... 77,188
1,600 American Electric Power Inc. ......... 68,200
1,600 Baltimore Gas & Electric Company...... 45,400
1,800 Boston Edison Company................. 45,900
2,000 Central Hudson Gas & Electric
Corporation......................... 62,500
7,000 Central Maine Power Company........... 101,500
500 Central Vermont Public Services
Corporation......................... 6,375
600 CMS Energy Corporation................ 18,525
4,800 Commonwealth Energy System
Companies........................... 123,600
3,900 Edison International.................. 68,738
1,000 Energen Corporation................... 22,125
2,700 Entergy Corporation................... 76,612
2,800 General Public Utilities
Corporation......................... 98,700
1,800 IES Industries, Inc. ................. 53,775
2,900 Illinova Corporation.................. 83,375
2,600 Interstate Power Company.............. 83,525
1,300 Ipalco Enterprises Inc. .............. 34,125
2,000 MidAmerican Energy Company............ 34,500
3,800 New England Electric System........... 138,225
2,500 New York State Electric & Gas
Corporation......................... 60,937
600 NIPSCO Industries, Inc. .............. 24,150
300 Northwestern Public Service Company... 8,062
4,800 Pinnacle West Capital Corporation..... 145,800
4,800 Portland General Corporation.......... 148,200
2,000 Public Service Company of New
Mexico.............................. 41,000
2,200 Rochester Gas & Electric
Corporation......................... 47,300
800 SIGCORP, Inc. ........................ 27,700
5,900 TNP Enterprises Inc. ................. 167,412
5,200 Unicom Corporation.................... 144,950
2,900 United Illuminating Company........... 108,387
1,400 UtiliCorp United, Inc. ............... 38,675
2,400 Washington Water Power Company........ 44,700
1,500 WPL Holdings, Inc. ................... 49,312
1,400 WPS Resources Corporation............. 44,275
-----------
2,343,748
-----------
</TABLE>
See Notes to Financial Statements.
47
<PAGE> 53
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
ELECTRICAL PRODUCTS -- 0.1%
400 Raychem Corporation................... $ 28,750
-----------
ELECTRONIC DATA PROCESSING -- 0.9%
1,200 Digital Equipment Corporation+........ 54,000
800 International Business Machines
Corporation......................... 79,200
900 Sun Microsystems Inc.+................ 52,988
-----------
186,188
-----------
ELECTRONIC DISTRIBUTORS -- 0.8%
1,300 Avnet, Inc. .......................... 54,763
3,570 Bell Industries Inc. ................. 60,244
2,100 Marshall Industries+.................. 58,800
-----------
173,807
-----------
ELECTRONIC PRODUCTION EQUIPMENT -- 0.8%
4,600 Esterline Technologies Corporation+... 115,000
2,000 Kulicke & Soffa Industries Inc.+...... 29,250
1,500 Teradyne Inc.+........................ 25,875
-----------
170,125
-----------
FINANCIAL SERVICES -- 0.7%
2,100 Equitable Companies, Inc. ............ 52,238
900 Finova Group Inc. .................... 43,875
1,050 Travelers Group, Inc. ................ 47,906
-----------
144,019
-----------
FOOD CHAINS -- 0.7%
1,000 Great Atlantic & Pacific Tea Company
Inc. ............................... 32,875
2,200 Safeway, Inc.+........................ 72,600
1,649 Smith's Food & Drug Centers, Inc. .... 39,370
-----------
144,845
-----------
FOOD DISTRIBUTORS -- 0.4%
2,600 Supervalu, Inc. ...................... 81,900
-----------
GENERIC DRUGS -- 0.3%
1,400 Alpharma, Inc., Class A............... 27,825
1,500 ICN Pharmaceuticals, Inc. ............ 34,875
-----------
62,700
-----------
HOMEBUILDERS -- 0.4%
3,800 Champion Enterprises, Inc.+........... 79,325
-----------
INDUSTRIAL MACHINERY/COMPONENTS -- 1.5%
5,800 Ampco-Pittsburgh Corporation.......... 68,150
1,800 Applied Power Inc., Class A........... 50,400
2,700 Gleason Corporation................... 105,300
1,000 Harnischfeger Industries, Inc. ....... 33,250
2,400 Kysor Industrial Corporation.......... 58,200
-----------
315,300
-----------
INDUSTRIAL SPECIALTIES -- 0.2%
1,600 Furon Company......................... 39,600
-----------
INSURANCE -- 1.3%
1,000 Equitable of Iowa Companies........... 35,500
1,500 Fremont General Corporation........... 34,500
1,600 Gainsco, Inc. ........................ 15,800
1,100 National Re Corporation............... 41,525
2,200 Pioneer Financial Services, Inc. ..... 36,575
1,750 SunAmerica Inc. ...................... 98,875
-----------
262,775
-----------
INTEGRATED OIL COMPANIES -- 1.9%
800 British Petroleum PLC, ADR............ 85,500
1,700 Elf Aquitaine, ADR.................... 62,475
1,000 Kerr-Mcgee Corporation................ 60,875
800 Pennzoil Company...................... 37,000
800 Phillips Petroleum Company............ 33,500
800 Texaco, Inc. ......................... 67,100
1,500 Unocal Corporation.................... 50,625
-----------
397,075
-----------
INVESTMENT BANKERS/BROKERS/SERVICES -- 1.5%
1,800 Alex Brown Inc. ...................... $ 101,700
2,500 Bear Stearns Companies, Inc. ......... 59,063
1,200 Quick & Reilly Group Inc. ............ 39,000
2,500 Salomon, Inc. ........................ 110,000
-----------
309,763
-----------
IRON/STEEL -- 1.3%
3,300 British Steel PLC, ADR................ 83,738
1,600 Oregon Steel Mills, Inc. ............. 22,000
1,200 Quanex Corporation.................... 28,350
2,000 Texas Industries Inc. ................ 137,250
-----------
271,338
-----------
MARINE TRANSPORTATION -- 0.7%
1,900 Sea Containers, Ltd., Class A......... 36,100
4,500 Stolt-Nielsen S.A..................... 81,562
800 Tidewater, Inc. ...................... 35,100
-----------
152,762
-----------
MEDICAL SPECIALTIES -- 1.0%
2,900 Advanced Technology Laboratories,
Inc.+............................... 105,850
1,650 Bio-Rad Laboratories, Inc., Class
A+.................................. 59,194
1,100 US Surgical Corporation............... 34,100
-----------
199,144
-----------
METAL FABRICATE/HARDWARE -- 1.8%
3,800 Amcast Industrial Corporation......... 76,950
600 Harso Corporation..................... 40,350
9,400 Intermet Corporation+................. 131,012
900 Kaydon Corporation.................... 38,700
1,200 SPS Technologies, Inc.+............... 84,600
-----------
371,612
-----------
MILITARY/GOVERNMENT/TECHNICAL -- 0.2%
600 Cubic Corporation..................... 19,575
3,000 United Industrial Corporation......... 18,375
-----------
37,950
-----------
MOTOR VEHICLES -- 0.3%
900 Chrysler Corporation.................. 55,800
-----------
MULTI-SECTOR COMPANIES -- 0.7%
3,800 BET PLC, ADR.......................... 53,675
500 Loews Corporation..................... 39,438
700 Textron, Inc. ........................ 55,912
-----------
149,025
-----------
NATURAL GAS DISTRIBUTION -- 3.8%
800 Atmos Energy Corporation.............. 24,500
2,100 Bay State Gas Company................. 58,538
2,000 Eastern Enterprises................... 66,500
1,500 Equitable Resoures, Inc. ............. 42,375
3,400 Indiana Energy, Inc. ................. 97,325
</TABLE>
See Notes to Financial Statements.
48
<PAGE> 54
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
STRATEGIC EQUITY SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
NATURAL GAS DISTRIBUTION -- (CONTINUED)
2,000 MCN Corporation....................... $ 48,750
1,200 MDU Resources Group, Inc. ............ 25,800
1,300 National Fuel Gas Company............. 46,800
13,700 NorAm Energy Corporation.............. 148,988
2,900 NUI Corporation....................... 51,837
2,100 ONEOK Inc. ........................... 52,500
1,000 People's Energy Corporation........... 33,500
1,800 Providence Energy Corporation......... 31,050
400 South Jersey Industries, Inc. ........ 8,500
2,600 Southwestern Energy Company........... 36,725
-----------
773,688
-----------
NEWSPAPERS -- 0.2%
1,000 Media General, Inc., Class A.......... 37,250
-----------
NON-US UTILITY -- 0.9%
8,200 Transcanada Pipeline Ltd.............. 120,950
4,800 Westcoast Energy, Inc. ............... 72,000
-----------
192,950
-----------
OFFICE SUPPLIES -- 0.6%
1,400 General Binding Corporation........... 28,350
3,400 Miller (Herman), Inc. ................ 104,125
-----------
132,475
-----------
OIL AND GAS PRODUCTION -- 0.2%
3,000 Santa Fe Energy Resources, Inc.+...... 35,625
-----------
OIL AND GAS TRANSMISSION -- 1.3%
3,200 Coastal Corporation................... 133,600
1,700 Columbia Gas System Inc. ............. 88,613
1,300 El Paso Natural Gas Company........... 50,050
-----------
272,263
-----------
OIL/REFINING/MARKETING -- 1.5%
1,500 Ashland Inc. ......................... 59,438
100 Holly Corporation..................... 2,500
3,300 Tesoro Petroleum Corporation+......... 37,950
900 Tosco Corporation..................... 45,225
3,500 Total Petroleum (North America) Ltd... 34,125
3,900 USX-Marathon Group.................... 78,488
1,600 Valero Energy Corporation............. 40,000
-----------
297,726
-----------
OTHER SPECIALTY CHAINS -- 0.9%
5,500 Gibson Greetings, Inc.+............... 75,625
2,500 Pier 1 Imports Inc. .................. 37,187
3,000 Waban, Inc.+.......................... 71,625
-----------
184,437
-----------
PACKAGING AND CONTAINERS -- 0.3%
3,200 Owens-Illinois, Inc.+................. 51,200
-----------
PAPER AND FOREST PRODUCTS -- 2.9%
1,500 Abitibi-Price, Inc. .................. 20,437
3,400 Bowater, Inc. ........................ 127,925
3,100 Consolidated Papers, Inc. ............ 161,200
2,100 Mosinee Paper Corporation............. 56,175
6,200 Rayonier, Inc. ....................... 235,600
-----------
601,337
-----------
PERIPHERALS -- 0.2%
1,100 Storage Technology Corporation+....... 42,075
-----------
PRECISION INSTRUMENTS -- 1.3%
3,300 Fluke Corporation..................... 133,238
1,300 Measurex Corporation.................. 38,025
4,500 MTS Systems Corporation............... 94,500
-----------
265,763
-----------
PRINTING/FORMS -- 0.7%
5,300 Bowne & Company Inc. ................. 109,313
2,600 Graphic Industries Inc. .............. 24,700
-----------
134,013
-----------
RECREATIONAL PRODUCTS/TOYS -- 0.8%
1,000 Callaway Golf Company................. 33,250
3,500 Coachmen Industries Inc. ............. 122,500
-----------
155,750
-----------
RENTAL/LEASING COMPANIES -- 0.4%
1,600 PHH Corporation....................... 91,200
-----------
RESTAURANTS -- 1.2%
5,000 CKE Restaurants, Inc. ................ 127,500
5,700 NPC International Incorporated+....... 57,712
5,100 Piccadilly Cafeterias Inc. ........... 53,550
-----------
238,762
-----------
SAVINGS AND LOAN ASSOCIATIONS -- 0.9%
6,200 Cal Fed Bancorp Inc.+................. 113,150
2,000 TCF Financial Corporation............. 66,500
-----------
179,650
-----------
SEMICONDUCTORS -- 0.2%
2,700 Cypress Semiconductor Corporation+.... 32,400
-----------
SPECIALTY FOOD/CANDY -- 0.2%
3,300 MorningStar Group Inc.+............... 36,712
-----------
TELECOMMUNICATIONS -- 2.9%
900 BCE, Inc. ............................ 35,550
3,800 Cincinnati Bell Inc. ................. 198,075
4,200 Sprint Corporation.................... 176,400
2,800 Telefonica de Espana S.A., ADR........ 154,350
1,100 Telefono de Mexico S.A., ADR.......... 36,850
-----------
601,225
-----------
TEXTILES -- 0.2%
3,000 Culp, Inc. ........................... 40,500
-----------
TOBACCO MANUFACTURERS -- 0.2%
1,500 RJR Nabisco Holdings Corporation...... 46,500
-----------
WHOLESALE DISTRIBUTORS -- 2.0%
4,900 Bearings, Inc. Ohio................... 132,300
2,800 Hughes Supply Inc. ................... 97,300
7,300 Rexel Inc.+........................... 103,112
3,000 United Stationers Inc. ............... 73,500
-----------
406,212
-----------
Total Common Stocks
(Cost $13,674,478).................. 14,836,736
-----------
</TABLE>
See Notes to Financial Statements.
49
<PAGE> 55
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
<TABLE>
STRATEGIC EQUITY SERIES
JUNE 30, 1996 (UNAUDITED)
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTE -- 15.6%
(Cost $3,187,000)
$3,187,000 Federal Home Loan Mortgage
Corporation, 5.520%++
due 07/01/1996...................... $ 3,187,000
U.S. TREASURY OBLIGATION -- 11.9%
(Cost $2,448,669)
U.S. TREASURY BILL:
2,450,000 4.870%++ due 07/05/1996**............. 2,448,669
-----------
TOTAL INVESTMENTS (COST $19,310,147*).......... 99.8% 20,472,405
OTHER ASSETS AND LIABILITIES (NET)............. 0.2 46,328
----- -----------
NET ASSETS..................................... 100.0% $20,518,733
===== ===========
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
** This security is segregated as collateral for futures contracts.
+ Non-income producing security.
++ Annualized yield at date of purchase.
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF UNREALIZED
CONTRACTS (DEPRECIATION)
- ------------ --------------
<C> <S> <C>
FUTURES CONTRACTS-SHORT POSITION
5 S&P 500, September 1996..... $(14,207)
========
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
50
<PAGE> 56
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 84.8%
ARGENTINA -- 3.6%
28,700 Banco del Sud, Class B+.............. $ 335,916
6,387 Banco Frances Del Rio de La Plata,
ADR................................ 183,626
34,000 Inversiones y Representaciones....... 113,943
7,100 Inversiones y Representaciones,
GDR................................ 239,625
67,426 Juan Minetti, B Shares............... 310,276
80,914 Mirgor Sacifia, Class C, ADS+**...... 228,582
49,268 Perez Compac S.A. Escriturales,
Class B............................ 322,826
17,900 Quilmes Industrial, ADR.............. 183,475
------------
1,918,269
------------
BRAZIL -- 5.6%
3,473,400 Centrais Electrobras................. 933,942
1,700,000 Cia Paulista de Forca................ 155,753
24,700 Compania Vale do Rio Doce, ADR....... 478,430
9,092,300 Telebras............................. 534,229
12,900 Telebras, ADR........................ 898,162
------------
3,000,516
------------
CHILE -- 3.1%
600 Banco Bhif, ADR...................... 12,075
5,188 Chilgener S.A., ADS.................. 124,512
3,499 Cia Telecom, ADR..................... 343,339
9,999 Empresa Nacional Electricidad, ADR... 214,979
16,450 Madeco S.A., ADR..................... 462,656
5,300 Santa Isabel S.A., ADR............... 147,075
15,749 The Chile Fund....................... 385,851
------------
1,690,487
------------
COLOMBIA -- 2.1%
3,900 Banco Ganadero, Class C, ADR......... 76,050
29,769 Cadenalco, ADR**..................... 403,742
28,920 Carulla, Class B, ADR**.............. 245,820
26,984 Cementos Diamante, B Shares,
ADR+**............................. 424,998
------------
1,150,610
------------
CZECH REPUBLIC -- 1.7%
15,600 Komercni Banka, GDR**................ 421,200
5,000 Restitution Investment Fund+......... 166,830
2,570 SPT Telecom+......................... 313,859
------------
901,889
------------
HONG KONG -- 0.0%#
52,000 Siu Fung Ceramic Holdings............ 10,009
------------
HUNGARY -- 2.2%
7,060 Egis Gyogyszergyar................... 422,072
40,900 Magyar Olaj es Gas, GDR.............. 451,945
12,500 Pannonplast Muanuagipari............. 337,219
------------
1,211,236
------------
INDIA -- 5.7%
11,000 Bajaj Auto Ltd., GDR**............... 420,750
11,000 Bombay Suburban Electric
Company, GDR....................... 211,750
20,000 Indian Hotels, GDS+**................ 570,000
29,100 Indian Petrochemicals, GDR........... 489,316
18,000 Larsen & Toubro, GDR+................ 337,500
68,000 Mahindra & Mahindra Ltd., GDR**...... 731,004
17,000 Tata Engineering & Locomotive, GDR... 306,000
------------
3,066,320
------------
INDONESIA -- 4.2%
74,000 PT Astra International (Foreign)..... 107,304
105,600 PT Bank International Indonesia
(Foreign).......................... 521,762
45,000 PT Indosat (Foreign)................. 151,289
50,000 PT Jaya Real Property (Foreign)...... 159,237
48,000 PT Lippo Bank (Foreign).............. 81,461
225,000 PT Lippo Life Insurance (Foreign).... 296,053
322,840 PT Mulia Industrindo (Foreign)....... 478,538
96,000 PT Semen Gresik (Foreign)............ 279,441
145,000 PT Telekomunikasi Indonesia
(Foreign).......................... 219,603
------------
2,294,688
------------
ISRAEL -- 0.9%
1,860 Koor Industries...................... 156,755
28,320 Osem Investment...................... 167,409
7,980 Super-Sol+........................... 169,193
------------
493,357
------------
KOREA -- 3.7%
1,450 Daehan City Gas...................... 132,273
10,505 Dong-ah Construction Industrial
Company............................ 399,610
4,470 Kookmin Bank......................... 99,186
499 Korean Mobile Telecom................ 615,138
3,500 LG Construction...................... 80,640
1,460 LG Insurance......................... 159,620
1,221 Samsung Electronics Company Ltd. .... 102,487
260 Samsung Electronics Company Ltd.
(New)+............................. 20,680
20 Samsung Electronics Company Ltd., GDR
(1/2 Voting)**..................... 1,011
7 Samsung Electronics Company Ltd., GDR
(1/2 Voting) (New)+**.............. 347
480 Samsung Fire & Marine................ 347,846
2,850 Shinhan Bank......................... 66,296
------------
2,025,134
------------
MALAYSIA -- 13.0%
254,000 Commerce Asset Holdings BHD.......... 1,547,725
234,000 Gadek BHD............................ 1,378,954
85,333 Gadek Capital BHD+................... 270,247
75,000 Kedah Cement Holdings BHD............ 138,906
46,000 Konsortium Perkapalan BHD+........... 276,609
71,000 Malaysia International Shipping
Company BHD........................ 220,585
159,000 Rashid Husain BHD.................... 583,223
236,000 Tanjong BHD.......................... 889,316
202,000 Technology Resources Industries
BHD................................ 704,510
148,000 United Engineers BHD................. 1,026,418
------------
7,036,493
------------
MEXICO -- 9.7%
136,300 Cementos Mexicanos S.A., Class B..... 529,207
100,700 Corporacion Geo S.A., Series B....... 447,408
139,600 Fomento Economico Mexicana, Class
B.................................. 395,702
143,206 Gruma S.A. de CV, Series B........... 662,695
60,143 Grupo Carso S.A., Series A1+......... 426,591
1,019,400 Grupo Financiero Bancomer, Class B... 443,510
534,625 Grupo Financiero del Norte, Class
B.................................. 514,537
325,000 Grupo Posadas S.A., Series L+........ 146,539
12,100 Grupo Televisa, GDR.................. 372,075
84,700 Sanluis Corporacion S.A.............. 520,372
37,800 Sigma Alimentos, Class B............. 336,388
1,117 Telefonos de Mexico S.A., ADR........ 37,420
256,750 Telefonos de Mexico S.A., Series L... 432,599
------------
5,265,043
------------
</TABLE>
See Notes to Financial Statements.
51
<PAGE> 57
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
PAKISTAN -- 0.5%
39,720 Engro Chemical....................... $ 183,821
24,200 Karachi Electric Supply Company...... 25,406
5,200 Pakistan State Oil................... 61,351
------------
270,578
------------
PERU -- 2.5%
112,441 Backus & Johnston Brewery, Class T... 142,220
12,000 Buenaventura, ADR+................... 238,500
12,000 Cia de Minas Buenaventura............ 108,064
69,017 CPT Telefonica del Peru, Class B..... 140,124
20,698 Credicorp Ltd........................ 411,389
210,000 Fabril Pacifico+..................... 281,089
------------
1,321,386
------------
PHILIPPINES -- 4.3%
2,545 Benpress Holdings Corporation, GDR... 20,523
105,500 C&P Homes............................ 91,608
9,120 Empire East Land Holdings+........... 5,569
512,700 Engineering Equipment Inc. .......... 45,008
336,800 Fil-Estate Land Inc. ................ 430,641
303,800 Filinvest Development Corporation.... 159,437
1,146,000 Guoco Land........................... 199,019
215,000 International Container Terminal..... 145,658
465,000 Masman & Company Inc, Class B........ 221,851
6,300 Mega World Properties & Holdings+.... 5,651
180,000 Mondragon International.............. 99,618
3,100 Philippine Long Distance Telephone... 184,580
13,000 Philippine National Bank............. 217,080
82,110 Philippine Savings Bank.............. 202,142
465,000 Republic Glass....................... 177,481
460,000 Robinsons Land Corporation........... 114,122
69,000 Southeast Asia Cement Holdings
Inc.+.............................. 8,954
58,600 Vitarich Corporation................. 7,045
------------
2,335,987
------------
POLAND -- 2.3%
9,300 Banka Przemyslowo.................... 670,788
72,000 Elektrim............................. 590,859
------------
1,261,647
------------
RUSSIA -- 1.5%
10,420 Lukoil, ADR.......................... 436,338
43,480 Petersburg Long Distance, ADR+....... 355,993
------------
792,331
------------
SLOVAKIA -- 0.5%
15,453 Vub Kupon Fund+...................... 284,558
------------
SOUTH AFRICA -- 6.2%
251,600 Bidvest Group Ltd. .................. 1,503,910
12,175 De Beers............................. 413,045
1,160 Fedsure Holdings..................... 8,232
130 Johnies Industrial Corporation....... 1,628
43,401 Liberty Life......................... 1,389,768
2,275 Malbak, GDR**........................ 11,232
------------
3,327,815
------------
THAILAND -- 8.9%
57,400 Finance One Company (Foreign)........ 370,789
227,640 Krung Thai Bank (Foreign)............ 1,067,006
111,700 Nawarat Patanakarn (Foreign)......... 307,980
96,400 Phatra Thanakit Company (Foreign).... 672,081
687,600 Sahaviriya Steel Industries
(Foreign).......................... 446,880
12,700 Siam Cement Company (Foreign)........ 623,294
505,200 Siam City Bank (Foreign)............. 542,252
41,000 Suzuki Company (Foreign)+............ 109,816
105,000 Telecom Asia (Foreign)+.............. 230,572
43,054 T.P.I. Polene (Foreign).............. 195,021
91,800 Unithai Line (Foreign)............... 272,999
------------
4,838,690
------------
VENEZUELA -- 2.6%
34,587 Banco Provincial..................... 57,728
9,677 Banco Venezolano de Credito.......... 348,598
265,380 Electricidad de Caracas.............. 220,617
136,625 Mavesa S.A., ADR**................... 533,519
36,000 Siderurgica Venezolana............... 23,789
758,717 Sudamtex de Venezuela C.A.,
Series B............................ 99,463
251,350 Venaseta, Class A.................... 17,949
50,270 Venaseta, Class B.................... 3,590
27,937 Venezolana de Cementos............... 53,298
57,143 Venezolana de Pulpa Y Papel,
Series A............................ 37,760
------------
1,396,311
------------
Total Common Stocks
(Cost $43,656,980)................. 45,893,354
------------
PREFERRED STOCKS -- 6.9%
BRAZIL -- 6.9%
75,750,000 Banco Bradesco....................... 618,583
1,186,255 Banco Itau S.A....................... 481,980
713,776 Brasmotor Pf......................... 223,199
325,000 Centrais Eletrobras.................. 92,889
863,308 Cia Cervejaria Brahma................ 514,984
1,604,690 Iochpe-Maxion S.A.................... 167,796
1,951,000 Mesbla............................... 10,686
4,877,800 Petroleo Brasileir................... 599,919
63,516,900 Refrigeracao Parana S.A.............. 158,140
6,570,671 Telebras............................. 458,700
391,904,856 Usiminas............................. 413,702
------------
Total Preferred Stocks
(Cost $3,978,277).................. 3,740,578
------------
</TABLE>
See Notes to Financial Statements.
52
<PAGE> 58
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
EXPIRATION VALUE
SHARES DATE (NOTE 1)
- ----------- ---------- -----------
<C> <S> <C> <C>
WARRANTS AND RIGHTS -- 0.7%
INDONESIA -- 0.2%
24,000 PT Lippo Bank.............. 07/18/1996 $ 14,436
119,936 PT Mulia Industrindo....... 07/03/1996 79,871
-----------
94,307
MALAYSIA -- 0.5% -----------
135,000 Gadek BHD.................. 12/19/2000 284,125
-----------
Total Warrants and Rights
(Cost $206,532).......... 378,432
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<S> <C> <C>
CONVERTIBLE BOND -- 0.4%
(Cost $225,258)
SOUTH AFRICA -- 0.4%
$225,000 Investec Bank,
6.375% due 11/30/2002**...... 228,375
-----------
U.S. TREASURY OBLIGATION -- 5.7%
(Cost $3,077,928)
U.S. TREASURY BILL:
3,110,000 5.200%++ due 09/12/1996........ 3,077,928
-----------
TOTAL INVESTMENTS (COST $51,144,975*).......... 98.5% $53,318,667
OTHER ASSETS AND LIABILITIES (NET)............. 1.5 833,087
----- -----------
NET ASSETS..................................... 100.0% $54,151,754
===== ===========
<FN>
- ----------------------
* 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.
# Amount is less than 0.1%.
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
ADS -- American Depositary Share
GDR -- Global Depositary Receipt
GDS -- Global Depositary Share
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
53
<PAGE> 59
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
EMERGING MARKETS SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
The industry classification of the Emerging Markets Series at June 30, 1996 was
as follows:
<CAPTION>
% of Value
Industry Classification Net Assets (Note 1)
----------------------- ---------- --------
<S> <C> <C>
LONG TERM INVESTMENTS:
Banks.................................. 15.1% $ 8,152,494
Financial Services..................... 11.7 6,347,725
Diversified Holdings................... 8.2 4,417,582
Communication/Telecommunications....... 7.6 4,106,816
Construction........................... 5.5 2,963,860
Food and Beverage Products............. 5.3 2,866,596
Industrial............................. 4.0 2,162,898
Metal Mining........................... 3.9 2,114,397
Utility................................ 3.5 1,877,990
Oil/Gas................................ 3.3 1,811,028
Consumer............................... 3.2 1,754,940
Electric Utilities..................... 2.9 1,578,072
Building/Construction.................. 2.7 1,456,684
Transportation......................... 2.1 1,166,571
Retail................................. 2.0 1,086,332
Property/Real Estate................... 2.0 1,082,642
Electric/Electric Machinery............ 1.5 811,476
Engineering/Construction............... 1.1 598,684
Other.................................. 7.2 3,883,952
----- -----------
TOTAL LONG TERM INVESTMENTS............ 92.8 50,240,739
U.S. TREASURY BILL..................... 5.7 3,077,928
----- -----------
TOTAL INVESTMENTS...................... 98.5 53,318,667
OTHER ASSETS AND LIABILITIES (NET)..... 1.5 833,087
----- -----------
NET ASSETS............................. 100.0% $54,151,754
===== ===========
</TABLE>
See Notes to Financial Statements.
54
<PAGE> 60
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
NATURAL RESOURCES SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 92.8%
ALUMINUM -- 2.9%
50,850 Century Aluminum Company+............ $ 800,887
23,000 Kaiser Aluminum Corporation+......... 253,000
------------
1,053,887
------------
BUILDING MATERIALS -- 1.4%
38,000 Dayton Superior Corporation+......... 498,750
------------
CHEMICALS -- 1.6%
1,500 First Mississippi Corporation........ 33,375
26,900 General Chemical Group Inc. ......... 544,725
------------
578,100
------------
COPPER PRODUCTS -- 2.1%
25,000 Freeport-McMoRan Copper and Gold
Company, Inc., Class A............. 746,875
------------
DIVERSIFIED MINING -- 1.9%
95,000 WMC Ltd. ............................ 679,368
------------
FOREST PRODUCTS & PAPER -- 7.2%
24,750 Buckeye Cellulose Corporation+....... 683,719
12,000 Consolidated Papers Inc. ............ 624,000
34,000 Fort Howard Corporation+............. 675,750
50,000 Macmillan Bloedel Ltd. .............. 662,882
------------
2,646,351
------------
GOLD/MINING -- 21.5%
80,000 Alta Gold Company+................... 285,000
30,000 Barrick Gold Corporation............. 813,750
40,000 Battle Mountain Gold Company......... 290,000
40,000 Dreifontein Consolidated Ltd., ADR... 525,000
30,000 Echo Bay Mines Ltd. ................. 322,500
130,000 Emperor Mines Ltd.+.................. 306,482
15,000 Getchell Gold Corporation+........... 495,000
164,000 Herald Resources Ltd. ............... 210,073
25,000 Homestake Mining Corporation......... 428,125
42,000 Kloof Gold Mining Ltd., ADR.......... 406,875
80,000 Nambian Minerals Corporation+........ 439,480
50,000 Newcrest Mining Ltd., ADR............ 200,392
7,500 Newmont Mining Corporation........... 370,313
15,000 Placer Dome Inc., ADR................ 358,125
75,000 Plutonic Resources Ltd.+............. 383,102
24,999 Santa Fe Pacific Gold Corporation.... 353,111
100,000 Sons of Gwalia Ltd. Ord. ............ 707,265
30,000 Teck Corporation, Class B............ 615,272
50,000 TVX Gold Inc., ADR+.................. 362,500
------------
7,872,365
------------
INSURANCE -- 0.1%
1,000 Highlands Insurance Group Inc.+...... 18,750
------------
IRON/STEEL -- 0.3%
23,700 Northwestern Steel & Wire Company+... 127,388
------------
METAL MINING -- 0.6%
40,000 Miramar Mining Corporation+.......... 215,345
------------
METALS -- 3.9%
12,750 Reynolds Metals Company.............. 664,594
30,000 Titanium Metals Corporation+......... 776,250
------------
1,440,844
------------
METALS-MISCELLANEOUS -- 1.3%
10,000 Cameco Corporation................... 470,976
------------
MINING -- 4.6%
194,446 Ashton Mining Ltd., Ord. ............ 275,050
37,300 PT Tambang Timah, GDR**.............. 676,995
330,000 QNI Ltd. ............................ 736,499
------------
1,688,544
------------
NON-FERROUS METALS -- 1.2%
7,500 RTZ Corporation PLC, ADR............. 451,875
------------
OIL & GAS EXPLORATION -- 16.9%
9,000 Anadarko Petroleum Corporation....... 522,000
28,000 Cairn Energy USA Inc.+............... 402,500
17,200 Devon Energy Corporation............. 421,400
30,000 Flores and Rucks Inc.+............... 1,035,000
19,400 Louisiana Land and Exploration
Company............................ 1,117,925
15,000 Nuevo Energy Company+................ 483,750
17,500 Triton Energy Ltd.+.................. 850,937
25,000 United Meridian Corporation+......... 900,000
12,000 Vastar Resources..................... 448,500
------------
6,182,012
------------
OIL & GAS PRODUCTS -- 0.7%
10,000 Renaissance Energy Ltd.+............. 263,688
------------
OIL/GAS -- DOMESTIC -- 2.2%
30,500 Forest Oil Corporation+.............. 415,562
10,000 Noble Affiliates Inc. ............... 377,500
------------
793,062
------------
OIL/GAS -- EQUIPMENT & SERVICES -- 16.9%
11,700 Baker Hughes, Inc. .................. 384,637
21,000 Dawson Production Services Inc.+..... 241,500
12,200 Diamond Offshore Drilling Inc.+...... 698,450
45,000 Forasol-Foramer NV+.................. 568,125
10,000 Halliburton Company.................. 555,000
45,000 Marine Drilling Companies Inc.+...... 455,625
50,000 Pride Petroleum Services Inc.+....... 712,500
30,000 Reading and Bates Corporation+....... 663,750
8,800 Sonat Offshore Drilling Inc. ........ 444,400
13,000 Tidewater Inc. ...................... 570,375
22,000 Transocean Drilling AS+.............. 571,182
10,000 Weather Ford Enterra Inc.+........... 300,000
------------
6,165,544
------------
OIL/GAS -- INTERNATIONAL -- 4.6%
8,000 British Petroleum PLC, ADR........... 855,000
7,500 Mobil Oil Corporation................ 840,938
------------
1,695,938
------------
PLATINUM/MINING -- 0.9%
644 Rustenburg Platinum Holdings Ltd.,
ADR................................ 10,304
13,000 Stillwater Mining Company+........... 307,125
------------
317,429
------------
Total Common Stocks
(Cost $28,006,500)................. 33,907,091
------------
WARRANT -- 1.1%
(Cost $441,871)
OIL & GAS EXPLORATION -- 1.1%
115,000 Pacalta, Expires 10/10/1996.......... 387,441
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 4.9%
(Cost $1,800,000)
$1,800,000 General Electric Capital
Corporation,
5.200%++ due 07/01/1996...... 1,800,000
-----------
TOTAL INVESTMENTS (COST $30,248,371*).......... 98.8% 36,094,532
OTHER ASSETS AND LIABILITIES (NET)............. 1.2 455,501
----- -----------
NET ASSETS..................................... 100.0% $36,550,033
===== ===========
</TABLE>
See Notes to Financial Statements.
55
<PAGE> 61
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
NATURAL RESOURCES SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
The summary of investments by country at June 30, 1996 was as follows:
<CAPTION>
% OF TOTAL
COUNTRY INVESTMENTS
- ------- -----------
<S> <C>
Australia............................................ 9.7%
Canada............................................... 12.7
France............................................... 1.6
Great Britain........................................ 3.6
Indonesia............................................ 1.9
Norway............................................... 1.6
South Africa......................................... 2.6
United States........................................ 66.3
-----
100.0%
=====
<FN>
- ----------------------
* 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.
</TABLE>
<TABLE>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<CAPTION>
CONTRACTS TO DELIVER
----------------------------
EXPIRATION LOCAL IN EXCHANGE VALUE IN UNREALIZED
DATE CURRENCY FOR U.S. $ U.S. $ APPRECIATION
- ----------- ------------- ----------- --------- ------------
<S> <C> <C> <C> <C>
07/05/1996 AUD 96,500 76,062 75,821 $241
07/05/1996 AUD 21,911 17,222 17,216 6
----
Net Unrealized Appreciation of Forward Foreign
Exchange Contracts..................................... $247
====
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
AUD -- Australian Dollar
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
56
<PAGE> 62
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
REAL ESTATE SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 96.1%
APARTMENTS -- 19.4%
26,800 Associated Estates Realty
Corporation......................... $ 562,800
34,600 Avalon Properties Inc. ............... 752,550
9,600 Camden Property Trust................. 228,000
31,700 Equity Residential Property Trust..... 1,042,138
25,900 Irvine Apartment Communities.......... 521,237
27,100 Post Properties Inc. ................. 958,662
51,100 Security Capital Pacific Trust........ 1,111,425
30,000 Smith, Charles E. Residential Realty
Inc. ............................... 720,000
56,600 United Dominion Realty Trust Inc. .... 813,625
11,200 Wellsford Residential Property
Trust............................... 252,000
-----------
6,962,437
-----------
HEALTH CARE REAL ESTATE -- 10.2%
30,000 American Health Properties Inc. ...... 663,750
27,800 Health Care Property Investors
Inc. ............................... 938,250
15,100 LTC Properties Inc. .................. 249,150
13,200 Meditrust Corporation................. 440,550
58,200 Nationwide Health Properties Inc. .... 1,229,475
5,600 Omega Healthcare Investors Inc. ...... 154,700
-----------
3,675,875
-----------
MANUFACTURED HOUSING -- 4.1%
18,300 Manufactured Home Communities Inc. ... 352,275
31,800 ROC Communities Inc. ................. 759,225
14,100 Sun Communities Inc. ................. 378,938
-----------
1,490,438
-----------
OFFICE/INDUSTRIAL -- 26.6%
42,600 Carr America Realty Corporation....... 1,022,400
15,000 CenterPoint Properties Corporation.... 363,750
28,100 Crescent Real Estate Equities Inc. ... 1,032,675
29,100 Duke Realty Investments, Inc. ........ 880,275
40,700 Highwood Properties Inc. ............. 1,124,337
54,600 Liberty Property Trust................ 1,085,175
21,600 Reckson Associates Realty
Corporation......................... 712,800
60,400 Security Capital Industries........... 1,064,550
43,100 Spieker Properties Inc. .............. 1,174,475
40,800 Weeks Corporation..................... 1,060,800
-----------
9,521,237
-----------
REGIONAL MALLS -- 11.0%
30,700 Macerich Company...................... 644,700
37,400 Rouse Company......................... 967,725
58,000 Simon Property Group Inc. ............ 1,421,000
82,500 Taubman Centers Inc. ................. 917,812
-----------
3,951,237
-----------
SELF-STORAGE -- 5.3%
20,800 Shurgard Storage Centers Inc., Class
A................................... $ 525,200
27,600 Storage Trust Realty.................. 565,800
24,600 Storage USA Inc. ..................... 793,350
-----------
1,884,350
-----------
SHOPPING CENTERS -- 12.3%
22,600 Developers Diversified Realty
Corporation......................... 720,375
22,000 Federal Realty Investment Trust....... 500,500
38,850 Kimco Realty Corporation.............. 1,097,513
6,200 New Plan Realty Trust................. 130,975
29,700 Vornado Realty Trust.................. 1,213,988
19,300 Weingarten Realty, Inc. .............. 747,875
-----------
4,411,226
-----------
SPECIALTY REAL ESTATE -- 7.2%
34,700 Franchise Finance Corporation
of America.......................... 798,100
7,500 National Golf Properties, Inc. ....... 181,875
24,600 Patriot American Hospitality Inc. .... 728,775
23,600 Starwood Lodging Trust................ 858,450
-----------
2,567,200
-----------
Total Common Stocks
(Cost $30,190,128).................. 34,464,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C> <C>
CONVERTIBLE BOND -- 1.0%
(Cost $361,704)
APARTMENTS -- 1.0%
$360,000 Camden Property Trust, Conv.,
7.330% due 04/01/2001...... 367,200
-----------
U.S. TREASURY OBLIGATION -- 2.9%
(Cost $1,042,424)
U.S. TREASURY BILL:
1,050,000 4.980%++ due 08/22/1996...... 1,042,424
-----------
TOTAL INVESTMENTS (COST $31,594,256*)........ 100.0% 35,873,624
OTHER ASSETS AND LIABILITIES (NET)........... (0.0) (16,181)
----- -----------
NET ASSETS................................... 100.0% $35,857,443
===== ===========
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
++ Annualized yield at date of purchase.
</TABLE>
See Notes to Financial Statements.
57
<PAGE> 63
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MARKET MANAGER SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATION -- 36.6%
(Cost $2,279,660)
$3,168,000 U.S. Treasury Strip,
7.970%++ due 02/15/2001................. $2,359,209
----------
CORPORATE BONDS AND NOTES -- 7.3%
FINANCIAL SERVICES -- 4.0%
365,000 Cabco (Texaco Capital),
Zero coupon due 10/01/2001.............. 255,215
----------
INDUSTRIAL -- 3.3%
224,000 Philip Morris Companies Inc.,
6.000% due 07/15/2001................... 213,920
----------
Total Corporate Bonds
and Notes ($452,741).................... 469,135
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- --------- ---------- ------- ----------
<C> <S> <C> <C> <C>
CALL OPTIONS PURCHASED** -- 36.9%
8,560 S&P Mid-Cap Companies
Index 400 European.. 03/06/2001 $178.50 $ 783,227
2,610 S&P Mid-Cap Companies
Index 400 European.. 03/06/2001 178.50 239,758
1,661 S&P Mid-Cap Companies
Index 400 European.. 03/06/2001 178.50 153,962
3,130 S&P 500 European...... 03/06/2001 485.63 791,926
959 S&P 500 European...... 03/06/2001 485.63 243,684
611 S&P 500 European...... 03/06/2001 485.63 160,950
----------
Total Call Options Purchased
(Cost $1,334,733)......................... 2,373,507
----------
TOTAL INVESTMENTS (COST $4,067,134*)............ 80.8% 5,201,851
OTHER ASSETS AND LIABILITIES (NET).............. 19.2 1,236,465
----- ----------
NET ASSETS...................................... 100.0% $6,438,316
===== ==========
<FN>
- ----------------------
* 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.
</TABLE>
See Notes to Financial Statements.
58
<PAGE> 64
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- 37.1%
AEROSPACE/DEFENSE -- 1.9%
28,100 General Motors Corporation, Class
H.................................. $ 1,689,512
26,000 Sunstrand Corporation................ 952,250
13,000 Textron, Inc. ....................... 1,038,375
15,700 United Technologies Corporation...... 1,805,500
------------
5,485,637
------------
AUTO & TRUCKS -- 0.6%
27,800 Chrysler Corporation................. 1,723,600
------------
BANKS -- 1.1%
26,700 BankAmerica Corporation.............. 2,022,525
9,500 Chase Manhattan Corporation.......... 670,938
8,800 City National Corporation............ 138,600
10,500 TCF Financial Corporation............ 349,125
4,400 Washington Mutual Savings Bank....... 131,450
------------
3,312,638
------------
CHEMICALS -- 2.8%
9,000 Dow Chemical Company................. 684,000
22,700 du Pont (E. I.) de Nemours &
Company............................ 1,796,138
26,700 Goodrich (B.F.) Company.............. 997,912
12,000 Hanna (M. A.) Company................ 250,500
17,000 Imperial Chemical Industries PLC,
ADR................................ 835,125
13,200 Olin Corporation..................... 1,178,100
27,500 Rohm & Haas Company.................. 1,725,625
17,500 Union Carbide Corporation............ 695,625
------------
8,163,025
------------
CONGLOMERATES -- 0.5%
49,900 Hanson PLC, ADR...................... 711,075
12,000 Xerox Corporation.................... 642,000
------------
1,353,075
------------
CONSTRUCTION AND FARM EQUIPMENT -- 0.4%
27,300 Deere & Company...................... 1,092,000
------------
CONSUMER GOODS -- DURABLES -- 0.6%
34,000 Goodyear Tire & Rubber Company....... 1,640,500
------------
DOMESTIC INVESTMENT COMPANIES -- 0.9%
18,400 Blackrock Strategic Term Trust,
Inc. .............................. 140,300
18,400 Blackrock 2001 Term Trust, Inc. ..... 140,300
33,800 Gabelli Equity Trust, Inc. .......... 325,325
24,000 Gabelli Global Multimedia Trust,
Inc. .............................. 168,000
26,900 Global Health Sciences Fund, Inc.+... 474,113
13,900 John Hancock Bond & Thrift
Opportunity Fund, Inc. ............ 323,175
13,100 Liberty All-Star Growth Fund,
Inc. .............................. 126,088
11,333 Morgan Grenfell SMALLcap Fund,
Inc. .............................. 117,580
11,300 New Age Media Fund, Inc. ............ 172,325
13,100 Pilgrim America Bank & Thrift Fund,
Inc................................ 165,388
18,935 Royce Value Trust, Inc. ............. 234,321
3,400 Templeton China World Fund, Inc. .... 37,400
12,300 Tri-Continental Corporation.......... 295,200
------------
2,719,515
------------
FINANCE AND FINANCIAL SERVICES -- 2.4%
17,500 Alex Brown, Inc. .................... 988,750
7,700 American Bankers Insurance Group
Inc. .............................. 335,912
53,340 Bear Stearns Companies, Inc. ........ 1,260,157
36,500 Edwards (A.G.), Inc. ................ 990,062
12,450 Fremont General Corporation.......... 286,350
17,700 Merrill Lynch & Company, Inc. ....... 1,152,712
6,500 PHH Corporation...................... 370,500
38,600 Salomon, Inc. ....................... 1,698,400
------------
7,082,843
------------
FOOD AND BEVERAGES -- 0.1%
22,100 Coors (Adolph) Company, Class B...... 395,038
------------
FOREIGN INVESTMENT COMPANIES -- 0.9%
4,400 Central European Equity Fund,
Inc. .............................. $ 78,650
8,500 Clemente Global Growth Fund, Inc. ... 71,187
25,100 Emerging Germany Fund, Inc.+......... 185,112
9,100 Emerging Markets Infrastructure Fund,
Inc................................ 103,512
3,100 Emerging Markets Telecommunications
Fund, Inc. ........................ 55,800
4,400 Emerging Mexico Fund, Inc.+.......... 30,800
11,000 Europe Fund, Inc. ................... 156,750
4,300 First Iberian Fund, Inc.+............ 37,894
7,800 First Israel Fund, Inc.+............. 89,700
12,000 France Growth Fund, Inc. ............ 123,000
23,300 G.T. Greater Eastern Europe Fund,
Inc. .............................. 308,725
38,300 New Germany Fund, Inc. .............. 483,538
16,100 Scudder New Europe Fund, Inc. ....... 203,263
9,100 Spain Fund, Inc. .................... 89,862
22,500 Swiss Helvetia Fund.................. 478,125
4,400 Templeton Dragon Fund, Inc. ......... 58,300
------------
2,554,218
------------
MARINE TRANSPORTATION -- 0.0%#
6,000 Sea Containers, Ltd., Class A........ 114,000
------------
METAL MINING -- 1.2%
36,700 British Steel PLC, ADR............... 931,263
29,100 Oregon Steel Mills, Inc. ............ 400,125
17,100 Phelps Dodge Corporation............. 1,066,612
19,700 Reynolds Metals Company.............. 1,026,862
------------
3,424,862
------------
OIL AND OIL SERVICES -- 5.1%
16,000 Ashland Inc. ........................ 634,000
10,000 British Petroleum PLC, ADR........... 1,068,750
4,400 Chevron Corporation.................. 259,600
19,600 Elf Aquitaine, ADR................... 720,300
14,800 Helmerich & Payne Inc. .............. 542,050
16,400 Kerr-Mcgee Corporation............... 998,350
14,300 Mobil Corporation.................... 1,603,388
19,000 Pennzoil Company..................... 878,750
34,900 Phillips Petroleum Company........... 1,461,438
17,100 Quaker State Corporation............. 256,500
27,100 Repsol S.A., ADR..................... 941,725
21,800 Texaco, Inc. ........................ 1,828,475
21,400 Tosco Corporation.................... 1,075,350
31,300 Unocal Corporation................... 1,056,375
79,900 USX-Marathon Group................... 1,607,988
------------
14,933,039
------------
PAPER AND FOREST PRODUCTS -- 2.0%
22,600 Boise Cascade Corporation............ 827,725
54,800 Bowater Inc. ........................ 2,061,850
12,700 Consolidated Papers Inc. ............ 660,400
14,500 International Paper Company.......... 534,688
29,400 James River Corporation of
Virginia........................... 775,425
13,900 Rayonier, Inc. ...................... 528,200
19,100 Westvaco Corporation................. 570,613
------------
5,958,901
------------
PRODUCER/MANUFACTURING -- 0.8%
5,900 Duriron Company Inc. ................ 141,600
3,800 Harso Corporation.................... 255,550
17,100 Herman Miller, Inc. ................. 523,687
7,400 Johnson Controls Inc. ............... 514,300
10,500 TRW Inc. ............................ 943,687
------------
2,378,824
------------
</TABLE>
See Notes to Financial Statements.
59
<PAGE> 65
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ ------------
<C> <S> <C>
COMMON STOCKS -- (CONTINUED)
RETAIL, TRADE AND SERVICES -- 1.9%
35,600 American Stores Company.............. $ 1,468,500
10,600 Dayton Hudson Corporation............ 1,093,125
1,500 Mercantile Stores Company, Inc. ..... 87,938
12,800 Ross Stores Inc. .................... 444,800
6,645 Smith's Food & Drug Centers, Inc.,
Class B............................ 158,649
29,400 Supervalu, Inc. ..................... 926,100
38,600 TJX Companies, Inc. ................. 1,302,750
------------
5,481,862
------------
TECHNOLOGY -- 2.3%
7,600 Applied Materials Inc.+.............. 231,800
13,600 Dell Computer Corporation+........... 691,900
21,100 Digital Equipment Corporation+....... 949,500
12,900 EG&G, Inc. .......................... 275,738
19,400 Harris Corporation................... 1,183,400
8,400 Intel Corporation.................... 616,875
15,900 International Business Machines
Corporation........................ 1,574,100
9,600 Microsoft Corporation+............... 1,153,200
------------
6,676,513
------------
TELECOMMUNICATIONS -- 3.4%
18,200 BCE, Inc. ........................... 718,900
10,300 Cincinnati Bell Inc. ................ 536,887
24,100 GTE Corporation...................... 1,078,475
32,500 NYNEX Corporation.................... 1,543,750
42,400 Sprint Corporation................... 1,780,800
32,600 Telefonica de Espana S.A., ADR....... 1,797,075
41,400 Telefono de Mexico S.A., ADR......... 1,386,900
35,800 US West Communications Group......... 1,141,125
------------
9,983,912
------------
TOBACCO -- 0.5%
43,500 RJR Nabisco Holdings Corporation..... 1,348,500
------------
TRANSPORTATION -- 0.8%
3,300 British Airways PLC, ADR............. 282,975
39,300 CSX Corporation...................... 1,896,225
6,400 KLM Royal Dutch Air Lines NV......... 203,200
------------
2,382,400
------------
UTILITY -- 6.9%
10,800 Allegheny Power System Inc. ......... 333,450
34,500 American Electric Power Company...... 1,470,562
8,800 Baltimore Gas & Electric Company..... 249,700
24,500 Carolina Power & Light Company....... 931,000
31,300 CINergy Corporation.................. 1,001,600
16,300 CMS Energy Corporation............... 503,262
8,800 Dominion Resources, Inc. ............ 352,000
23,800 DQE Inc. ............................ 654,500
22,600 DTE Energy Company................... 697,775
7,500 Eastern Enterprises.................. 249,375
35,100 Edison International................. 618,638
9,600 El Paso Natural Gas Company.......... 369,600
23,700 Enova Corporation.................... 548,063
21,500 Entergy Corporation.................. 610,062
15,400 General Public Utilities............. 542,850
19,200 Illinova Corporation................. 552,000
18,800 MCN Holdings Company................. 458,250
UTILITY -- (CONTINUED)
14,800 New England Electric Company......... $ 538,350
4,700 New York State Electric & Gas
Company............................ 114,562
21,600 NIPSCO Industries Inc. .............. 869,400
73,600 NorAm Energy Corporation............. 800,400
18,200 PacifiCorp........................... 404,950
35,400 PanEnergy Corporation................ 1,163,775
23,300 Pinnacle West Capital Corporation.... 707,738
46,200 Portland General Corporation......... 1,426,425
32,300 Texas Utilities Company.............. 1,380,825
22,800 TransCanada Pipeline Ltd............. 336,300
54,700 Unicom Corporation................... 1,524,762
4,500 United Illuminating Company.......... 168,188
17,900 Western Resources, Inc. ............. 534,762
------------
20,113,124
------------
Total Common Stocks
(Cost $100,216,866)................ 108,318,026
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
- ------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 36.2%
U.S. TREASURY BILL -- 0.7%
$2,000,000 5.120%++ due 10/31/1996**.......... 1,965,403
------------
U.S. TREASURY BONDS -- 13.2%
10,000,000 7.250% due 08/15/2022.............. 10,260,300
11,600,000 7.500% due 11/15/2024.............. 12,309,456
6,500,000 7.625% due 02/15/2025.............. 7,015,515
9,000,000 6.875% due 08/15/2025.............. 8,915,129
------------
38,500,400
------------
U.S. TREASURY NOTES -- 22.3%
33,700,000 6.250% due 08/31/2000**............ 33,477,580
7,150,000 5.625% due 11/30/2000**............ 6,928,708
6,000,000 10.750% due 05/15/2003............. 7,360,799
13,500,000 7.500% due 02/15/2005.............. 14,206,184
3,100,000 6.500% due 05/15/2005.............. 3,060,723
------------
65,033,994
------------
Total U.S. Treasury Obligations
(Cost $107,146,066).............. 105,499,797
------------
COMMERCIAL PAPER -- 27.6%
3,700,000 Ameritech Corporation,
5.350%++ due 07/26/1996.......... 3,686,253
5,000,000 AT&T Corporation,
5.330%++ due 07/22/1996.......... 4,984,454
9,100,000 Exxon Imperial Corporation,
5.400%++ due 07/03/1996.......... 9,097,270
6,000,000 Ford Motor Credit Company,
5.360%++ due 07/01/1996.......... 6,000,000
10,900,000 Gannett Company,
5.350%++ due 07/24/1996.......... 10,862,743
1,600,000 Lucent Technologies Inc.,
5.320%++ due 07/09/1996.......... 1,598,108
10,200,000 Merrill Lynch & Company Inc.,
5.340%++ due 07/02/1996.......... 10,198,487
13,700,000 Minnesota Mining and
Manufacturing Company,
5.320%++ due 07/09/1996.......... 13,683,804
</TABLE>
See Notes to Financial Statements.
60
<PAGE> 66
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
MULTIPLE ALLOCATION SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ ------------
<C> <S> <C> <C>
COMMERCIAL PAPER -- (CONTINUED)
$10,600,000 Philip Morris Capital Corporation,
5.330%++ due 07/15/1996............ $ 10,578,029
10,000,000 SmithKline Beecham Corporation,
5.330%++ due 07/18/1996............ 9,974,831
------------
Total Commercial Paper
(Cost $80,663,979)................. 80,663,979
------------
TOTAL INVESTMENTS (COST $288,026,911*)........ 100.9% 294,481,802
OTHER ASSETS AND LIABILITIES (NET)............ (0.9) (2,641,949)
----- ------------
NET ASSETS.................................... 100.0% $291,839,853
===== ============
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
** This security is segregated as collateral for futures contracts.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount is less than 0.1%.
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF UNREALIZED
CONTRACTS (DEPRECIATION)
- ----------- ------------
<C> <S> <C>
FUTURES CONTRACTS - SHORT POSITION
46 S&P 500, September 1996.............. $ (116,518)
==========
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
61
<PAGE> 67
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
COMMON STOCKS -- 50.6%
AEROSPACE/DEFENSE -- 1.1%
40,000 Teledyne Inc. ........................ $ 1,445,000
-----------
BANKS -- 0.1%
4,000 Greenpoint Financial Corporation...... 113,000
-----------
BUILDING/CONSTRUCTION -- 1.1%
132,000 Schuller Corporation.................. 1,369,500
-----------
BUSINESS SERVICES -- 0.1%
4,000 Harland (John H.) Company............. 98,500
-----------
CONGLOMERATE -- 0.2%
100,000 Lonhro Ltd. .......................... 287,557
-----------
CONSUMER DURABLES -- 2.0%
30,000 Corning Inc. ......................... 1,151,250
30,000 Polaroid Corporation.................. 1,368,750
-----------
2,520,000
-----------
CONSUMER PRODUCTS -- 1.3%
10,000 Cross (A.T.) Company, Class A......... 177,500
14,000 Philip Morris Companies Inc. ......... 1,456,000
-----------
1,633,500
-----------
CONSUMER SERVICES -- 0.2%
15,000 Hanson PLC, ADR....................... 213,750
-----------
ELECTRIC UTILITIES -- 5.2%
580,000 Centerior Energy Corporation.......... 4,277,500
60,000 Entergy Corporation................... 1,702,500
35,000 Public Service Company of New
Mexico+............................. 717,500
-----------
6,697,500
-----------
ENERGY -- 0.4%
15,000 Helmerich & Payne Inc. ............... 549,375
-----------
EXPLORATION AND PRODUCTION -- 0.5%
33,000 Mitchell Energy & Development
Corporation, Class B................ 627,000
-----------
FINANCIAL SERVICES -- 4.5%
28,000 American Express Company.............. 1,249,500
28,000 Federal National Mortgage
Association......................... 938,000
10,000 Fund America Enterprise Holdings...... 810,000
12,000 Salomon, Inc. ........................ 528,000
25,000 Student Loan Marketing Association
(Voting)............................ 1,850,000
14,400 Zurich Reinsurance Centre Holdings
Inc. ............................... 453,600
-----------
5,829,100
-----------
FOOD-PROCESSING -- 0.1%
5,000 McCormick & Company, Inc. ............ 110,625
-----------
FOREST PRODUCTS & PAPER -- 1.2%
35,000 Weyerhaeuser Company.................. 1,487,500
-----------
GENERAL MERCHANDISER -- 0.3%
27,000 Hills Stores Company+................. 239,625
4,000 Wal-Mart Stores, Inc. ................ 101,500
-----------
341,125
-----------
INFORMATION PROCESSING -- 0.5%
7,000 International Business Machines
Corporation......................... 693,000
-----------
INSURANCE -- 3.9%
10,000 Harleysville Group, Inc. ............. 295,000
10,000 Home Beneficial Corporation, Class
B................................... 262,500
41,000 Loews Corporation..................... 3,233,875
19,000 Unitrin Inc. ......................... 893,000
25,000 Willis Corroon Group PLC, ADR......... 296,875
-----------
4,981,250
-----------
INTEGRATED PETROLEUM -- DOMESTIC -- 4.9%
15,000 Atlantic Richfield Company............ $ 1,777,500
40,000 Murphy Oil Corporation................ 1,815,000
40,000 Oryx Energy Company+.................. 650,000
11,500 Pennzoil Company...................... 531,875
14,000 Sun Company Inc. ..................... 425,250
55,000 Union Texas Petroleum Holdings
Inc. ............................... 1,072,500
-----------
6,272,125
-----------
INTEGRATED PETROLEUM -- INTERNATIONAL -- 2.3%
65,000 Petro-Canada.......................... 806,995
26,000 Texaco Inc. .......................... 2,180,750
-----------
2,987,745
-----------
MEDIA -- COMMUNICATIONS -- 6.9%
36,101 Chris-Craft Industries Inc. .......... 1,588,444
15,000 Meredith Corporation.................. 626,250
110,000 New York Times Company, Class A....... 3,588,750
10,000 Times Mirror Company, Class A......... 435,000
8,000 Washington Post Company, Class B...... 2,592,000
-----------
8,830,444
-----------
METAL MINING -- 2.3%
20,000 Homestake Mining Company.............. 342,500
45,000 Newmont Mining Corporation............ 2,221,875
30,000 Santa Fe Pacific Gold Corporation..... 423,750
-----------
2,988,125
-----------
METALS -- 0.2%
28,000 Hecla Mining Company+................. 196,000
-----------
MISCELLANEOUS CONSUMER PRODUCTS -- 1.0%
40,000 Reebok International Ltd.............. 1,345,000
-----------
PAPER AND ALLIED PRODUCTS -- 0.3%
10,000 International Paper Company........... 368,750
-----------
PHARMACEUTICALS -- 5.9%
2,600 Ciba-Geigy Corporation AG............. 3,172,000
75,000 Genentech Inc.+....................... 3,928,125
8,000 Schering-Plough Corporation........... 502,000
-----------
7,602,125
-----------
SPECIALTY CHEMICALS -- 0.8%
15,000 Great Lakes Chemical Corporation...... 933,750
2,000 Petrolite Corporation................. 62,875
-----------
996,625
-----------
SPECIALTY MERCHANDISERS -- 1.0%
360,000 Petrie Stores Corporation+............ 990,000
10,000 Toys R Us Inc.+....................... 285,000
-----------
1,275,000
-----------
TRANSPORTATION SERVICES -- 2.3%
30,000 Overseas Shipholding Group Inc. ...... 543,750
30,000 PHH Corporation....................... 1,710,000
24,000 Ryder System Inc. .................... 675,000
-----------
2,928,750
-----------
Total Common Stocks
(Cost $52,627,863).................. 64,787,971
-----------
PREFERRED STOCKS -- 4.5%
AEROSPACE/DEFENSE -- 0.0%#
1,700 Teledyne Inc., Prfd., Series E........ 26,137
-----------
</TABLE>
See Notes to Financial Statements.
62
<PAGE> 68
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------------ -----------
<C> <S> <C>
PREFERRED STOCKS -- (CONTINUED)
ELECTRIC UTILITIES -- 2.6%
32,000 Cleveland Electric Illuminating
Company, Prfd., Series L............ $ 2,288,000
150 Cleveland Electric Illuminating
Company, Prfd., Series S............ 132,000
9,648 Entergy Gulf States Utilities Inc.,
Prfd., Series B..................... 458,883
5,000 Niagara Mohawk Power Corporation,
Prfd., Series A..................... 80,000
3,000 Niagara Mohawk Power Corporation,
Prfd., Series B..................... 52,500
17,500 Niagara Mohawk Power Corporation,
Prfd., Series C..................... 310,625
-----------
3,322,008
-----------
FINANCIAL -- 1.8%
44,000 Kemper Corporation, Series E, Conv.
Prfd.**............................. 2,304,047
-----------
INTEGRATED PETROLEUM -- DOMESTIC -- 0.1%
1,500 Unocal Corporation, Conv. Prfd........ 84,563
-----------
Total Preferred Stocks
(Cost $5,347,528)................... 5,736,755
-----------
PRINCIPAL
AMOUNT
- ------------
CONVERTIBLE BONDS AND NOTES -- 22.1%
BROADCAST, RADIO AND TV -- 2.1%
$ 900,000 Comcast Corporation, Conv.,
3.375% due 09/09/2005............... 839,250
4,000,000 Turner Broadcasting Systems Inc.,
Conv.,
Zero coupon due 02/13/2007**........ 1,875,000
-----------
2,714,250
-----------
CONGLOMERATE -- 0.6%
475,000 Lonhro PLC, Conv.,
6.000% due 02/27/2004............... 746,659
-----------
COMPUTER SERVICE AND SOFTWARE -- 4.6%
11,600,000 Automatic Data Processing Inc., Conv.,
Zero coupon due 02/20/2012.......... 5,945,000
-----------
ELECTRIC UTILITY -- 0.4%
Potomac Electrical Power Company,
Conv.:
250,000 5.000% due 09/01/2002............... 226,250
250,000 7.000% due 01/15/2018............... 257,188
-----------
483,438
-----------
ENVIRONMENTAL CONTROL -- 1.3%
1,700,000 WMX Technologies Inc., Conv.,
2.000% due 01/24/2005............... 1,593,750
-----------
FINANCIAL SERVICES -- 0.1%
150,000 UBS Finance (Delaware), Inc., Conv.,
2.000% due 12/15/2000............... 148,626
-----------
GAS TRANSMISSION -- 0.6%
775,000 ENSERCH Corporation, Conv.,
6.375% due 04/01/2002............... 756,594
-----------
INDUSTRIAL -- 0.8%
1,000,000 Grand Metropolitan PLC, Conv.:
6.500% due 01/31/2000***............ 1,098,750
-----------
INSURANCE -- 2.7%
$1,250,000 Chubb Capital Corporation, Conv.,
6.000% due 05/15/1998............... $ 1,484,375
475,000 Istituto Nazionale Delle
Assicurazioni, Conv.,
5.000% due 06/28/2001............... 486,875
2,800,000 USF & G Corporation, Conv.,
Zero coupon due 03/03/2009.......... 1,652,000
-----------
3,623,250
-----------
INTEGRATED PETROLEUM -- DOMESTIC -- 0.4%
$450,000 Pennzoil Company, Conv.,
4.750% due 10/01/2003............... 484,875
-----------
LEISURE -- 0.5%
650,000 Outboard Marine Corporation, Conv.,
7.000% due 07/01/2002............... 651,625
-----------
METAL MINING -- 1.1%
1,350,000 Homestake Mining Company, Conv.,
5.500% due 06/23/2000**............. 1,363,500
-----------
MISCELLANEOUS MANUFACTURING INDUSTRIES -- 0.1%
150,000 GenCorp Inc., Conv.,
8.000% due 08/01/2002............... 165,938
-----------
PHARMACEUTICALS -- 0.2%
250,000 McKesson Corporation, Sub. Conv.,
4.500% due 03/01/2004............... 219,688
-----------
REAL ESTATE -- 2.1%
2,650,000 Rouse Company, Conv.,
5.750% due 07/23/2002............... 2,666,562
-----------
RETAIL -- 1.3%
Price Company, Conv.:
500,000 6.750% due 03/01/2001............... 556,875
1,000,000 5.500% due 02/28/2012............... 1,067,500
-----------
1,624,375
-----------
RETAIL-GROCERY -- 0.5%
600,000 Food Lion Inc., Conv.,
5.000% due 06/01/2003**............. 653,250
-----------
RETAIL-SPECIAL LINE -- 0.3%
600,000 Office Depot Inc., Conv.,
Zero coupon due 11/01/2008.......... 360,000
-----------
TELECOMMUNICATIONS -- 0.7%
1,120,000 Cellular Communications, Conv.,
Zero coupon due 07/27/1999***....... 911,400
-----------
UTILITY-TELEPHONE -- 1.7%
6,250,000 U.S. West Inc., Conv.,
Zero coupon due 06/25/2011.......... 2,132,812
-----------
Total Convertible Bonds and Notes
(Cost $26,869,093).................. 28,344,342
-----------
CORPORATE BOND -- 0.1%
(Cost $114,996)
INTEGRATED PETROLEUM -- INTERNATIONAL -- 0.1%
120,000 Shell Oil Company,
7.250% due 02/15/2002............... 120,750
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.6%
1,000,000 Federal Home Loan Bank,
7.190% due 04/27/2001............... 1,021,010
1,000,000 Federal National Mortgage Association,
7.200% due 01/10/2002............... 1,000,070
-----------
Total U.S. Government Agency
Obligations
(Cost $2,001,812)................... 2,021,080
-----------
</TABLE>
See Notes to Financial Statements.
63
<PAGE> 69
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
FULLY MANAGED SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 2.4%
U.S. TREASURY NOTES:
$2,000,000 8.500% due 07/15/1997.................... $ 2,053,600
1,000,000 5.750% due 10/31/1997.................... 998,130
-----------
Total U.S. Treasury Obligations
(Cost $3,023,285)...................... 3,051,730
-----------
COMMERCIAL PAPER -- 17.5%
1,700,000 Abbott Laboratories,
5.320%++ due 07/30/1996................ 1,692,715
4,395,000 Bell Atlantic Financial,
5.350%++ due 07/18/1996................ 4,383,896
2,695,000 BMW U.S. Capital Corporation,
5.320%++ due 07/02/1996................ 2,694,602
1,260,000 Ciesco LP,
5.350%++ due 08/07/1996................ 1,253,072
5,000,000 Commonwealth Bank of Australia,
5.350%++ due 07/23/1996................ 4,983,653
119,000 du Pont (E.I.) de Nemours & Company,
5.320%++ due 07/16/1996................ 118,736
800,000 Ford Motor Credit Corporation,
5.340%++ due 07/29/1996................ 796,677
880,000 Heinz (H.J.) Company,
5.350%++ due 07/23/1996................ 877,123
300,000 Home Depot Inc.,
5.350%++ due 07/01/1996................ 300,000
825,000 National Rural Utility Company,
5.280%++ due 07/02/1996................ 824,879
4,085,000 Nicor Inc.,
5.400%++ due 07/31/1996................ 4,066,617
350,000 Pitney Bowes Credit Corporation,
5.400%++ due 07/09/1996................ 349,580
-----------
Total Commercial Paper
(Cost $22,341,550)..................... 22,341,550
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF EXPIRATION STRIKE VALUE
CONTRACTS DATE PRICE (NOTE 1)
- ----------- ---------- ----- ------------
<C> <S> <C> <C> <C>
PUT STOCK OPTIONS PURCHASED -- 0.3%
60 Allegheny Ludlum,
Class B.......... 10/19/1996 $ 23 $ 22,875
20 Allegheny Ludlum,
Class B.......... 01/18/1997 20 5,000
40 Allegheny Ludlum,
Class B.......... 01/18/1997 23 17,250
25 AUD, Class B....... 08/17/1996 45 15,937
35 AUD Lyons,
Class B.......... 11/16/1996 40 8,094
20 IBM, Class B....... 07/20/1996 100 6,750
65 IBM, Class B....... 10/19/1996 130 202,312
16 Philip Morris
Companies,
Class B.......... 09/21/1996 105 7,900
15 Times Mirror,
Series B......... 09/21/1996 40 1,312
20 Times Mirror,
Series B......... 12/21/1996 45 7,125
15 Toys R Us, Class
B................ 09/21/1996 30 3,187
70 Toys R Us, Class
B................ 12/21/1996 35 45,937
------------
Total Put Stock Options
Purchased (Cost $276,590).... 343,679
------------
TOTAL INVESTMENTS (COST $112,602,717*)........ 99.1% 126,747,857
OTHER ASSETS AND LIABILITIES (NET)............ 0.9 1,127,027
----- ------------
NET ASSETS.................................... 100.0% $127,874,884
===== ============
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
** Illiquid security (see Note 4).
*** Security is exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration to qualified institutional buyers.
+ Non-income producing security.
++ Annualized yield at date of purchase.
# Amount is less than 0.1%.
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
ADR -- American Depositary Receipt
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
64
<PAGE> 70
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 2.4%
$ 500,000 Ford Credit Auto Loan Master Trust,
Series 1992-1, Class A,
6.875% due 01/15/1999............... $ 503,650
1,500,000 Standard Credit Card Trust I,
Series 1992-3, Class A,
5.910%+++ due 10/15/1998............ 1,503,150
-----------
Total Asset-Backed Securities
(Cost $2,001,227)................... 2,006,800
-----------
CORPORATE DEBT SECURITIES -- 28.7%
AIRLINES -- 1.7%
1,330,000 AMR Corporation,
9.500% due 05/15/2001............... 1,449,700
-----------
CHEMICALS -- 1.3%
1,000,000 Methanex Corporation,
8.875% due 11/15/2001............... 1,073,750
-----------
FINANCIAL -- 10.7%
Dean Witter Discover & Company:
1,035,000 6.750% due 08/15/2000............... 1,035,000
135,000 6.875% due 03/01/2003............... 133,650
530,000 First Fidelity Bancorp,
9.625% due 08/15/1999............... 572,400
1,400,000 Fleet Financial Group Inc.,
7.625% due 12/01/1999............... 1,440,250
1,245,000 Ford Motor Credit Company,
6.250% due 11/08/2000............... 1,220,100
1,400,000 Great Western Financial Corporation,
6.375% due 07/01/2000............... 1,379,000
1,000,000 Household Finance Company,
7.500% due 03/10/1998............... 1,018,750
490,000 KFW International Finance Inc.,
9.125% due 05/15/2001............... 537,163
1,320,000 Paine Webber Group Inc.,
8.250% due 05/01/2002............... 1,369,500
-----------
8,705,813
-----------
INDUSTRIAL -- 2.7%
1,110,000 Brunswick Corporation,
8.125% due 04/01/1997............... 1,125,262
1,000,000 Ingersoll-Rand Company,
6.540% due 08/24/1998............... 1,002,500
-----------
2,127,762
-----------
PETROLEUM -- 3.0%
525,000 Burlington Resources, Inc.,
7.150% due 05/01/1999............... 532,875
600,000 Occidental Petroleum Corporation,
9.500% due 08/15/1997............... 618,000
1,250,000 Sun Company Inc.,
7.950% due 12/15/2001............... 1,314,062
-----------
2,464,937
-----------
PUBLISHING -- 1.2%
1,000,000 News America Holdings Inc.,
7.500% due 03/01/2000............... 1,015,000
-----------
TELEPHONE -- 2.9%
$1,050,000 GTE Corporation,
8.850% due 03/01/1998............... $ 1,089,375
1,300,000 Tele-Communications Inc.,
7.130% due 02/02/1998............... 1,306,500
-----------
2,395,875
-----------
UTILITY/ELECTRIC -- 5.2%
1,000,000 Great Lakes Power Inc.,
8.900% due 12/01/1999............... 1,053,750
850,000 Southern California Edison Company,
6.500% due 06/01/2001............... 831,938
1,000,000 Utilicorp United Inc.,
6.000% due 04/01/1998............... 983,750
1,400,000 Western Massachusetts Electric
Company,
6.250% due 03/01/1999............... 1,384,250
-----------
4,253,688
-----------
Total Corporate Debt Securities
(Cost $23,935,518).................. 23,486,525
-----------
FOREIGN BONDS -- U.S. DOLLAR DENOMINATED -- 4.0%
GOVERNMENT -- 1.3%
1,000,000 Republic of Columbia,
8.750% due 10/06/1999............... 1,027,500
-----------
PAPER AND FOREST PRODUCTS -- 1.3%
1,060,000 Carter Holt Harvey Ltd.,
7.625% due 04/15/2002............... 1,079,875
-----------
WASTE MANAGEMENT -- 1.4%
Laidlaw Inc.:
790,000 8.750% due 01/01/2000............... 828,513
310,000 7.700% due 08/15/2002............... 317,363
-----------
1,145,876
-----------
Total Foreign Bonds-U.S. Dollar
Denominated
(Cost $3,317,938)................... 3,253,251
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 11.0%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.2%
FHLMC:
850,000 6.930% due 09/05/2000............... 850,544
12,401 Pool #350042,
7.250%+++ due 01/01/2017............ 12,626
136,804 REMIC, Series #1270, Class F,
5.850%+++ due 05/15/1997............ 136,914
-----------
1,000,084
-----------
</TABLE>
See Notes to Financial Statements.
65
<PAGE> 71
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
LIMITED MATURITY BOND SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 9.3%
FNMA:
$ 12,300 Pool #044026,
8.500% due 08/01/2006............... $ 12,727
13,690 Pool #048832,
10.000% due 06/01/2017.............. 14,850
171,444 Pool #070355,
8.500% due 03/01/2004............... 177,390
11,846 Pool #111311,
8.500% due 12/01/1997............... 12,094
68,075 Pool #122591,
8.500% due 06/01/1998............... 69,501
339,690 Pool #127336,
8.500% due 08/01/2006............... 351,473
497,360 Pool #250487,
6.000% due 02/01/2003............... 479,175
903,722 Pool #250531,
6.000% due 03/01/2003............... 870,679
2,715,625 Pool #303630
6.000% due 12/01/2002............... 2,616,334
432,149 Pool #335686
6.000% due 01/01/2003............... 416,348
1,245,662 Pool #342408
6.500% due 04/01/2003............... 1,222,695
504,603 Pool #342647
6.500% due 05/01/2003............... 495,300
505,269 Pool #346740
6.500% due 05/01/2003............... 495,953
266,559 Pool #347602
6.500% due 05/01/2003............... 261,644
87,688 Series #1991-121, Class F,
5.770%+++ due 09/25/1998............ 87,764
-----------
7,583,927
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) -- 0.5%
GNMA:
5,344 Pool #147899,
10.000% due 02/15/2016.............. 5,832
58,068 Pool #155224,
10.000% due 03/15/2016.............. 63,367
10,928 Pool #161670,
9.500% due 09/15/2016............... 11,686
37,600 Pool #284666,
9.500% due 03/15/2020............... 40,209
36,818 Pool #286024,
10.000% due 04/15/2020.............. 40,178
229,079 Pool #308911,
9.500% due 07/15/2021............... 244,971
-----------
406,243
-----------
Total U.S. Government Agency
Obligations (Cost $8,985,985)....... 8,990,254
-----------
U.S. TREASURY OBLIGATIONS -- 36.2%
U.S. TREASURY NOTES:
$ 750,000 5.500% due 09/30/1997................. $ 746,542
2,350,000 5.375% due 11/30/1997................. 2,332,093
4,060,000 5.250% due 12/31/1997................. 4,019,197
740,000 5.875% due 04/30/1998................. 737,588
4,520,000 6.000% due 05/31/1998................. 4,511,638
530,000 6.250% due 06/30/1998................. 531,367
2,500,000 5.875% due 03/31/1999................. 2,476,975
8,660,000 6.375% due 05/15/1999................. 8,680,437
3,850,000 7.500% due 10/31/1999................. 3,978,320
1,450,000 6.250% due 04/30/2001................. 1,436,776
175,000 6.625% due 06/30/2001................. 176,148
-----------
Total U.S. Treasury Obligations
(Cost $29,786,757).................. 29,627,081
-----------
REPURCHASE AGREEMENT -- 17.6% (Cost $14,406,563)
14,406,563 Agreement with Sanwa Bank
Securities LP, 5.400% dated
06/28/1996 to be repurchased
at $14,413,046 on 07/01/1996,
collateralized by $14,751,000
U.S. Treasury Notes, 5.375%
due 11/30/1997 (value
$14,413,170)................. 14,406,563
-----------
TOTAL INVESTMENTS (COST $82,433,988*).......... 99.9% 81,770,474
OTHER ASSETS AND LIABILITIES (NET)............. 0.1 110,002
----- -----------
NET ASSETS..................................... 100.0% $81,880,476
===== ===========
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
+++ Floating rate security.
</TABLE>
- --------------------------------------------------------------------------------
GLOSSARY OF TERMS
REMIC -- Real Estate Mortgage Investment Conduit
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
66
<PAGE> 72
- --------------------------------------------------------------------------------
Portfolio of Investments
THE GCG TRUST
LIQUID ASSET SERIES
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
CERTIFICATES OF DEPOSIT -- 21.0%
FOREIGN BANKS -- 17.3%
$1,500,000 Bank of Montreal,
5.438% due 09/03/1996............... $ 1,500,000
1,000,000 Banque Nacional de Paris,
5.500% due 09/27/1996............... 1,000,048
500,000 Deutsche Bank,
5.370% due 07/11/1996............... 500,003
1,500,000 National Westminster Bank,
5.360% due 07/10/1996............... 1,500,008
1,500,000 Societe Generale,
5.470% due 09/05/1996............... 1,500,027
1,000,000 Sumitomo Bank,
5.420% due 07/02/1996............... 1,000,000
-----------
7,000,086
-----------
U.S. BANK -- 3.7%
1,500,000 NBD Bank Corporation,
5.420% due 08/19/1996............... 1,500,040
-----------
Total Certificates of Deposit
(Cost $8,500,126)................... 8,500,126
-----------
COMMERCIAL PAPER -- 59.6%
AUTOMOTIVE -- 3.7%
1,500,000 Daimler-Benz Aktieng,
5.270%++ due 07/26/1996............. 1,494,510
-----------
CHEMICALS -- 4.3%
du Pont (E.I.) de Nemours & Company:
750,000 5.320%++ due 07/12/1996............... 748,781
1,000,000 5.280%++ due 07/30/1996............... 995,747
-----------
1,744,528
-----------
COMPUTER -- 2.5%
1,000,000 Hewlett-Packard Company,
5.370%++ due 08/20/1996............. 992,542
-----------
ELECTRONICS -- 4.9%
1,000,000 General Electric Corporation,
5.360%++ due 08/13/1996............. 993,598
1,000,000 TDK Corporation,
5.530%++ due 07/09/1996............. 998,771
-----------
1,992,369
-----------
FINANCIAL SERVICES -- 17.1%
1,200,000 EU Sport Finance,
5.300%++ due 09/18/1996............. 1,186,044
350,000 General Electric Capital Corporation,
5.100%++ due 07/26/1996............. 348,760
1,400,000 KFW International Finance Inc.,
5.270%++ due 07/24/1996............. 1,395,286
1,500,000 Norwest Financial Corporation,
5.300%++ due 08/05/1996............. 1,492,271
1,500,000 Pitney Bowes Credit Corporation,
5.050%++ due 10/11/1996............. 1,478,538
1,000,000 USL Capital,
5.290%++ due 07/02/1996............. 999,853
-----------
6,900,752
-----------
FOOD PROCESSING -- 3.7%
1,500,000 Heinz (H.J.) Company,
5.330%++ due 07/18/1996............. 1,496,225
-----------
FOREIGN BANKS -- 3.7%
$ 500,000 Barclay's Funding Corporation,
5.280%++ due 08/22/1996............. $ 496,187
1,000,000 Commerzbank,
5.280%++ due 08/13/1996............. 993,693
-----------
1,489,880
-----------
FOREIGN GOVERNMENT -- 3.6%
1,500,000 Sweden (Kingdom of),
5.270%++ due 10/18/1996............. 1,476,065
-----------
HOLDING COMPANY -- 2.5%
1,000,000 Pac Dunlop Holdings Inc.,
5.350%++ due 07/09/1996............. 998,811
-----------
PHARMACEUTICALS -- 2.5%
1,000,000 Abbott Laboratories,
5.290%++ due 07/03/1996............. 999,706
-----------
PUBLISHING -- 2.5%
1,000,000 Gannett Company,
5.330%++ due 07/19/1996............. 997,335
-----------
RAIL TRANSPORTATION -- 3.7%
1,500,000 Norfolk Southern Corporation,
5.350%++ due 07/12/1996............... 1,497,548
-----------
SECURITIES BROKERAGE -- 4.9%
1,500,000 Merrill Lynch Pierce Fenner & Smith
Inc.,
5.280%++ due 07/26/1996............. 1,494,500
500,000 Morgan Stanley & Company, Inc.,
5.060%++ due 08/02/1996............. 497,751
-----------
1,992,251
-----------
Total Commercial Paper
(Cost $24,072,522).................. 24,072,522
-----------
CORPORATE BONDS AND NOTES -- 14.9%
FINANCIAL SERVICES -- 7.5%
1,500,000 American Express Company,
5.470%+ due 05/16/1997.............. 1,500,000
1,500,000 Dean Witter, Discover & Company,
5.700%+ due 11/15/1996.............. 1,501,575
-----------
3,001,575
-----------
U.S. BANKS -- 7.4%
1,000,000 Banc One Corporation,
5.300%+ due 09/12/1996.............. 999,650
2,000,000 Key Bank, New York,
5.220%+ due 09/06/1996.............. 1,999,707
-----------
2,999,357
-----------
Total Corporate Bonds and Notes
(Cost $6,000,932)................... 6,000,932
-----------
TIME DEPOSITS -- 5.0%
FOREIGN BANK -- 2.5%
1,000,000 Bank of Tokyo, Ltd.,
5.480% due 07/17/1996#.............. 1,000,000
-----------
U.S. BANK -- 2.5%
1,000,000 Bank of America Corporation,
5.063% due 07/15/1996#.............. 1,000,000
-----------
Total Time Deposits
(Cost $2,000,000)................... 2,000,000
-----------
</TABLE>
See Notes to Financial Statements.
67
<PAGE> 73
- --------------------------------------------------------------------------------
Portfolio of Investments -- (Continued)
THE GCG TRUST
<TABLE>
LIQUID ASSET SERIES
JUNE 30, 1996 (UNAUDITED)
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------ -----------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.8% (Cost $1,538,502)
$1,538,502 Agreement with Swiss Bank Corporation,
5.480% dated 06/28/1996 to be
repurchased at $1,539,205 on
07/01/1996, collateralized by
$1,346,000 U.S. Treasury Bond,
9.125% due 05/15/2009 value
($1,540,511)........................ $ 1,538,502
-----------
TOTAL INVESTMENTS (COST $42,112,082*)......... 104.3% 42,112,082
OTHER ASSETS AND LIABILITIES (NET)............ (4.3) (1,744,461)
----- -----------
NET ASSETS.................................... 100.0% $40,367,621
===== ===========
<FN>
- ----------------------
* Aggregate cost for Federal tax purposes.
+ Floating rate note.
++ Annualized yield at date of purchase.
# Illiquid security (See Note 4).
</TABLE>
See Notes to Financial Statements.
68
<PAGE> 74
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The GCG Trust, (the "Trust") is registered under the Investment Company Act of
1940 as an open-end management investment company. The Trust was organized as a
Massachusetts business trust on August 3, 1988 with an unlimited number of
shares of beneficial interest with a par value of $0.001 each. At June 30, 1996
the Trust had fifteen operational portfolios (the "Series"): Small Cap Series
("SC"), All-Growth Series ("AG"), Capital Appreciation Series ("CA"), Value
Equity Series ("VE"), Rising Dividends Series ("RD"), Strategic Equity Series
("SE"), 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
(See Note 6). 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, the Strategic Equity Series which commenced
operations on October 2, 1995 and the Small Cap Series which commenced
operations on January 3, 1996.
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 including options and
futures contracts, 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 or dealers.
Debt securities (except those purchased by the LA Series), 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, debt
securities having a maturity of sixty days or less may be 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, primarily to seek to manage
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
69
<PAGE> 75
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
imperfect correlation between movements in the price of the derivative financial
instruments and the price of the underlying securities, indices or currency.
OPTIONS: Certain Series may engage in option transactions including purchasing
options on securities and securities indexes ("purchased options") and writing
covered call and secured put options ("written options"). Generally, purchased
options are utilized to protect security holdings in a portfolio or protect
against substantial increases in market prices in securities to be acquired in
the future. The MM Series invests in purchased options on security indexes in
accordance with its long term investment objectives to obtain equity market
performance. Certain Series may use written options to generate additional
income, protect partially against declines in the value of portfolio securities
or facilitate a Series' ability to purchase a security at a price lower than the
security's current market price. Option transactions may be engaged on exchanges
and on over-the-counter markets. 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 six months ended June 30, 1996. Realized and
unrealized gains and losses arising from purchased option transactions are
included in the net realized and unrealized gain/(loss) on securities.
FUTURES CONTRACTS: Certain Series may engage in various futures contracts
including interest rate and stock index futures contracts. 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.
During the six months ended June 30, 1996, all futures transactions were
conducted on U.S. exchanges. Contracts open, if any, at June 30, 1996 are
included in the portfolio of investments and their related realized and
unrealized gains and losses 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. Contracts open, if any, at June 30, 1996 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 and losses 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
70
<PAGE> 76
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
foreign currencies arise from changes in the value of assets and liabilities
other than investments in securities at period end, resulting from changes in
the exchange rate.
(D) REPURCHASE AGREEMENTS: All Series may enter into repurchase agreements in
accordance with guidelines approved by the Board of Trustees of the Trust. Each
Series bears a risk of loss in the event that the other party to a repurchase
agreement defaults on its obligations and the Series is delayed or prevented
from exercising its rights to dispose of the underlying securities received as
collateral including the risk of a possible decline in the value of the
underlying securities during the 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.
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
71
<PAGE> 77
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES--(CONTINUED)
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 on the following annual rates of the average
daily net assets of the Series:
<TABLE>
<S> <C>
SERIES FEE (based on combined assets of the
------ indicated groups of Series)
Small Cap Series, All-Growth Series, Capital 1.0% on the first $750 million in combined
Appreciation Series, Value Equity Series, Rising assets of these Series;
Dividends Series, Strategic Equity Series, Natural 0.95% on the next $1.250 billion;
Resources Series, Real Estate Series, Multiple 0.90% on the next $1.5 billion; and
Allocation Series and Fully Managed Series 0.85% on the amount over $3.5 billion
Limited Maturity Bond Series and 0.60% on the first $200 million in combined
Liquid Asset Series assets of these Series;
0.55% on the next $300 million; and
0.50% on the amount over $500 million
Emerging Markets Series 1.50%
Market Manager Series 1.00%
</TABLE>
<TABLE>
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:
<CAPTION>
SERIES PORTFOLIO MANAGER
------ -----------------
<S> <C>
Small Cap Series Fred Alger Management, Inc.
All-Growth Series Warburg, Pincus Counsellors, Inc.
Capital Appreciation Series Chancellor Trust Company
Value Equity Series Eagle Asset Management, Inc.
Rising Dividends Series Kayne, Anderson Investment Management, L.P.
Strategic Equity Series Zweig Advisors Inc.
Emerging Markets Series Bankers Trust Company
Natural Resources Series Van Eck Associates Corporation
Real Estate Series E.I.I. Realty Securities, Inc.
Market Manager Series Bankers Trust Company
Multiple Allocation Series Zweig Advisors Inc.
Fully Managed Series T. Rowe Price Associates, Inc.
Limited Maturity Bond Series Bankers Trust Company (See Note 6)
Liquid Asset Series Bankers Trust Company (See Note 6)
</TABLE>
The Manager is an indirect subsidiary of Bankers Trust Company (See Note 6).
During the six months ended June 30, 1996, SC, MM and MA Series, in the ordinary
course of business, paid commissions of $12,795, $225 and $9,603, respectively,
to certain affiliates of the respective Portfolio Manager and/or the Manager in
connection with the execution of various portfolio transactions.
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 (see Note 6).
72
<PAGE> 78
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
3. PURCHASES AND SALES OF SECURITIES
<TABLE>
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. Government and short-term investments, for the six months ended June 30,
1996 were as follows:
<CAPTION>
PURCHASES SALES
----------- ------------
<S> <C> <C>
Small Cap Series........................................................ $23,376,601 $ 5,044,897
All-Growth Series....................................................... 48,105,350 40,895,415
Capital Appreciation Series............................................. 53,782,534 49,468,660
Value Equity Series..................................................... 23,724,075 20,802,823
Rising Dividends Series................................................. 20,124,254 7,720,068
Strategic Equity Series................................................. 17,372,277 10,450,400
Emerging Markets Series................................................. 37,997,568 33,397,162
Natural Resources Series................................................ 21,355,164 18,884,200
Real Estate Series...................................................... 5,483,198 4,540,768
Market Manager Series................................................... -- 612,505
Multiple Allocation Series.............................................. 90,235,658 114,888,239
Fully Managed Series.................................................... 27,705,641 20,207,352
Limited Maturity Bond Series............................................ 14,816,419 8,174,881
</TABLE>
<TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
Government Securities, excluding short-term investments, for the six months
ended June 30, 1996 were as follows:
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Multiple Allocation Series............................................. $225,532,273 $244,413,750
Limited Maturity Bond Series........................................... 121,763,890 130,540,563
</TABLE>
<TABLE>
At June 30, 1996, 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:
<CAPTION>
NET TAX
TAX BASIS TAX BASIS BASIS
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/
APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ---------- ------------
<S> <C> <C> <C>
Small Cap Series........................................... $ 1,239,027 $1,238,707 $ 320
All-Growth Series.......................................... 12,967,187 1,777,051 11,190,136
Capital Appreciation Series................................ 21,517,649 904,617 20,613,032
Value Equity Series........................................ 2,119,073 878,503 1,240,570
Rising Dividends Series.................................... 23,052,945 233,671 22,819,274
Strategic Equity Series.................................... 1,467,314 305,056 1,162,258
Emerging Markets Series.................................... 6,433,414 4,259,722 2,173,692
Natural Resources Series................................... 6,496,714 650,553 5,846,161
Real Estate Series......................................... 4,335,246 55,878 4,279,368
Market Manager Series...................................... 1,134,717 -- 1,134,717
Multiple Allocation Series................................. 9,775,224 3,320,333 6,454,891
Fully Managed Series....................................... 16,008,929 1,863,789 14,145,140
Limited Maturity Bond Series............................... 103,946 767,460 (663,514)
</TABLE>
4. RESTRICTED AND ILLIQUID SECURITIES
Certain Series of the Trust may 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 and 4(2) money
market securities that are determined to be liquid by the Board of Trustees) are
valued under methods approved by the Board of Trustees as reflecting fair
73
<PAGE> 79
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) -- (Continued)
THE GCG TRUST
4. RESTRICTED AND ILLIQUID SECURITIES--(CONTINUED)
value which includes obtaining quotes from independent sources if available. The
dates of acquisition and costs of restricted and illiquid securities held at
June 30, 1996 are as follows:
FULLY MANAGED SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
-------- ---------- -----------
<S> <C> <C>
Food Lion Inc., Conv. Bond, 144A,
5.000% due 06/01/2003.................................................... $ 566,892 04/27/1995
Homestake Mining Company, Conv. Bond, 144A,
5.500% due 6/23/2000..................................................... 1,344,724 02/16/1995
Kemper Corporation, Series E, Conv. Prfd. Stock, 144A...................... 2,144,734 02/06/1995
Turner Broadcasting Systems Inc., Conv. Bond, 144A,
Zero coupon due 02/13/2007............................................... 1,924,961 10/04/1995
</TABLE>
Total restricted and/or illiquid securities (fair value of $6,195,797)
represented 4.8% of net assets of the Fully Managed Series at June 30, 1996.
LIQUID ASSET SERIES:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY COST DATE
-------- ---------- -----------
<S> <C> <C>
Bank of America Corporation, 5.063% due 07/15/1996......................... $1,000,000 02/13/1996
Bank of Tokyo, Ltd., 5.480% due 07/17/1996................................. 1,000,000 06/13/1996
</TABLE>
Total restricted and/or illiquid securities (fair value of $2,000,000)
represents 5.0% of net assets of the Liquid Asset Series at June 30, 1996.
On June 30, 1996, and on the dates of acquisition, there were no market
quotations available for unrestricted securities of the same class.
5. CAPITAL LOSS CARRYFORWARDS
<TABLE>
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:
<CAPTION>
LOSSES DEFERRED LOSSES DEFERRED LOSSES DEFERRED
FUND EXPIRING IN 2001 EXPIRING IN 2002 EXPIRING IN 2003
---- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Rising Dividends Series............................... $4,712 $555,934 --
Strategic Equity Series............................... -- -- $ 10,827
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.
6. SUBSEQUENT EVENTS
On August 13, 1996, Equitable of Iowa Companies acquired all of the interest in
BTV, Golden American and the Manager from Whitewood Properties Corp, a
subsidiary of Bankers Trust Company.
On July 29, 1996, the shareholders of the LA and LMB Series approved the
appointment of Equitable Investment Services, Inc. ("EISI") as Portfolio Manager
of the two Series. EISI is a wholly-owned subsidiary of Equitable of Iowa
Companies.
74
<PAGE> 80
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
SEPARATE ACCOUNT A
JUNE 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
ASSETS
Investment in The GCG Trust, at Net Asset Value:
Liquid Asset Series, shares 1,475 (Cost -- $1,475).............................................. $ 1,475
Limited Maturity Bond Series, shares 96 (Cost -- $1,055)........................................ 1,074
Natural Resources Series, shares 15 (Cost -- $250).............................................. 275
All-Growth Series, shares 145 (Cost -- $2,081).................................................. 2,020
Real Estate Series, shares 13 (Cost -- $159).................................................... 182
Fully Managed Series, shares 115 (Cost -- $1,502)............................................... 1,690
Multiple Allocation Series, shares 145 (Cost -- $1,750)......................................... 1,848
Capital Appreciation Series, shares 143 (Cost -- $2,031)........................................ 2,121
Rising Dividends Series, shares 118 (Cost -- $1,514)............................................ 1,731
Emerging Markets Series, shares 96 (Cost -- $896)............................................... 956
Value Equity Series, shares 86 (Cost -- $1,132)................................................. 1,141
Strategic Equity Series, shares 20 (Cost -- $215)............................................... 227
Small Cap Series, shares 64 (Cost -- $746)...................................................... 754
-------
Total Invested Assets (Cost -- $14,806)......................................................... 15,494
LIABILITIES
Payable to Golden American for Charges and Fees (Note 3)........................................... 37
-------
Total Net Assets................................................................................ $15,457
=======
NET ASSETS
For Variable Life Insurance Policies............................................................... $14,254
Retained in Separate Account A by Golden American (Note 3)......................................... 1,203
-------
Total Net Assets................................................................................ $15,457
=======
</TABLE>
See Notes to Financial Statements.
A-1
<PAGE> 81
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities
SEPARATE ACCOUNT A
JUNE 30, 1996
(UNAUDITED)
1. ORGANIZATION
Separate Account A (the "Account") was established on July 14, 1988, by Golden
American Life Insurance Company ("Golden American"), under Minnesota insurance
law to support the operations of flexible premium variable life insurance
policies ("Policies"). Effective September 30, 1992, Golden American became a
wholly-owned subsidiary of BT Variable, Inc. ("BTV"), an indirect wholly-owned
subsidiary of Bankers Trust Company ("Bankers Trust") ( See Note 7). Previously,
Golden American was owned by Mutual Benefit Life Insurance Company in
Rehabilitation ("Mutual Benefit"). In a transaction that closed on September 30,
1992, Bankers Trust acquired from Mutual Benefit, in accordance with the terms
of an Exchange Agreement, all of the issued and outstanding capital stock of
Golden American and Directed Services, Inc. ("DSI"), an affiliate of Golden
American, and certain related assets and contributed them to BTV. The
transaction had no effect on the accompanying Statement of Assets and
Liabilities. Golden American is primarily engaged in the issuance of variable
insurance products and is licensed as a life insurance company in the District
of Columbia and all states except New York. Effective December 30, 1993, Golden
American was redomesticated from the State of Minnesota to the State of
Delaware.
Operations of the Account commenced on February 16, 1989. Golden American
provides for variable accumulation and benefits under the Policies by crediting
insurance premiums to one or more divisions within the Account or the Golden
American Guaranteed Interest Division or the Fixed Interest Division, which are
not part of the Account, as elected by the Policyowners. The assets of the
Account are owned by Golden American. The portion of the Account's assets
applicable to Policies will not be chargeable with liabilities arising out of
any other business Golden American may conduct, but obligations of the Account,
including the promise to make benefit payments, are obligations of Golden
American.
The Account makes available, under Golden Select Policies, thirteen investment
divisions: the Liquid Asset, the Limited Maturity Bond, the Natural Resources,
the All-Growth, the Real Estate, the Fully Managed, the Multiple Allocation, the
Capital Appreciation, the Rising Dividends, the Emerging Markets, the Value
Equity, the Strategic Equity, and the Small Cap Division. The assets in each
Division are invested in shares of a designated series ("Series") of a mutual
fund, The GCG Trust (the "Trust").
The Account is a unit investment trust and is registered with the Securities and
Exchange commission under the Investment Company Act of 1940, as amended.
The net assets maintained in the Account provide the basis for the periodic
determination of the amount of benefits under the Policies. The net assets may
not be less than the amount required under state law to provide for death
benefits (without regard to the minimum death benefit guarantee) and other
policy benefits. Additional assets are held in Golden American's general account
to cover the contingency that the guaranteed minimum death benefit might exceed
the death benefit which would have been payable in the absence of such
guarantee. Golden American has entered into reinsurance agreements with
unaffiliated reinsurers to cover substantially all of the insurance risk under
the Policies. Golden American remains liable to the extent that its reinsurers
do not meet their obligations under the reinsurance agreements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies of the
Account:
USE OF ESTIMATES: The preparation of the statement of assets and liabilities in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the amounts reported in the statement
of assets and liabilities and accompanying notes. Actual results could differ
from those estimates.
INVESTMENTS: Investments are made in shares of a Series of the Trust and are
valued at the net asset value per share of the respective Series of the Trust.
Investment transactions in each Series of the Trust are recorded on the trade
date. Distributions of net investment income and capital gains of each Series of
the Trust are recognized on the ex-distribution date. Realized gains and losses
on redemptions of the Series of the Trust shares are determined on the
identified cost basis.
For the six months ended June 30, 1996, the cost of purchases of shares of the
Trust aggregated $14,025,000, and the proceeds from sales of shares of the Trust
aggregated $8,905,000.
FEDERAL INCOME TAXES: The operations of the Account form a part of, and are
taxed with, the total operations of Golden American which is taxed as a life
insurance company under the Internal Revenue Code. Earnings and realized capital
gains of the Account attributable to the Policyowners are excluded in the
determination of the federal income tax liability of Golden American.
A-2
<PAGE> 82
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT A
JUNE 30, 1996
(UNAUDITED)
3. CHARGES AND FEES
Under the terms of the Policies, certain charges are allocated to the Policies
to cover Golden American's expenses in connection with the issuance and
administration of the Policies. Following is a summary of these charges:
MORTALITY AND EXPENSE RISK CHARGES: Golden American assumes mortality and
expense risks related to the operations of the Account and, in accordance with
the terms of the Policies, deducts a daily charge from the assets of the Account
at annual rates of either .80% or .90% of the assets attributable to Policies to
cover these risks.
ADMINISTRATIVE CHARGE: An administrative charge of $200 is made to cover the
cost of underwriting and issuing a Policy on a single life issue basis and $300
for a Policy that is joint life underwritten. The charge is deducted in
installments on each Policy processing date during the first Policy year. Also,
a quarterly administrative charge of $10.00 per Policy processing period is made
to cover ongoing administrative expenses. The charge is deducted on the Policy
processing date. For certain policies, a daily charge at an annual rate of .10%
is deducted from assets attributable to Policies.
MORTALITY COST: A mortality cost is deducted which is equal to the cost of
providing coverage under the Policy. Such cost is based on each insurer's sex,
attained age, smoking status and underwriting class. The maximum cost of
insurance is shown in the Policy.
MINIMUM DEATH BENEFIT GUARANTEE CHARGE: A minimum death benefit guarantee charge
is made of a maximum per year of $0.60 per $1,000 of face or net amount at risk,
as defined in each Policy. The charge is deducted in equal installments on each
Policy quarterly processing date during the guarantee period.
LOAN CHARGE: A net loan charge of up to 1.00% is made based on the Policy loan
amount on policies that allow loans. The charge is accrued daily, as applicable,
and deducted on each Policy processing date.
OTHER CHARGES: Five free investment re-allocations among divisions per Policy
are allowed each Policy year. For each additional investment re-allocation, a
$25 charge is made from the amount transferred from each division. Also, for
each partial withdrawal, a charge is made equal to the lesser of $25 and 2% of
the amount withdrawn.
DEFERRED SALES LOAD: Under policies offered prior to October of 1995, a sales
load of up to 9% was applicable to each premium payment for sales related
expenses as specified in the Policy. For other policies previously offered, the
sales load is deducted in equal annual installments over the period the policy
is in force, not to exceed 10 years. For other policies previously offered,
although the sales load is chargeable to each premium when it is received by
Golden American, the amount of such charge is initially advanced by Golden
American to Policyowners and included in the accumulation value and then
deducted in equal installments on each policy processing date over a period of
either six or ten years. Upon surrender of the Policy, the unamortized deferred
sales load is deducted from the accumulation value by Golden American.
DEFERRED FACE AMOUNT CHARGE: There is a charge of an amount per $1,000 of
initial face amount and any increases in face amount deducted in equal
installments over a six year period following receipt of the initial premium or
increase in face amount. This charge varies based on the age and sex of the
insured and the Policy chosen and will never exceed a maximum of $12 per $1,000
of face amount. A portion of this charge is considered to be an additional sales
load.
PREMIUM TAXES: Premiums are subject to a charge for premium and other state and
local taxes. The amount and timing of the deduction depend on the state of
residence and currently ranges up to 4.0% of premiums. Although the premium tax
is chargeable to each premium when it is received, the amount of such charge is
initially advanced by Golden American to Policyowners and included as a
component of the Policyowner's investment value and then deducted in equal
installments on each Policy processing date over a period of either six or ten
years. Upon the surrender of the Policy, any unamortized premium taxes are
deducted from the Policyowner's investment value. For some policies, the
deferred premium taxes are collected in one installment at the end of the Policy
processing period following the premium collection.
A-3
<PAGE> 83
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT A
JUNE 30, 1996
(UNAUDITED)
3. CHARGES AND FEES--(CONTINUED)
The net assets retained in the Account by Golden American in the accompanying
statement of assets and liabilities represent the unamortized deferred sales
load, surrender charges and premium taxes advanced by Golden American, noted
above.
<TABLE>
Net assets retained in the Account by Golden American are as follows:
<CAPTION>
JUNE 30, 1996
----------------------
(AMOUNTS IN THOUSANDS)
<S> <C>
Balance at beginning of period.................................................... $ 603
Sales load advanced, additions to surrender charges and premium tax advanced...... 550
Net transfer (to) from Fixed Interest Division, Guaranteed Interest Division
and Golden American............................................................. 109
Amortization of deferred sales load, surrender charges and premium tax............ (59)
------
Balance at end of period.......................................................... $1,203
======
</TABLE>
4. OTHER RELATED PARTY TRANSACTIONS
DSI, a registered broker/dealer, acts as the distributor and principal
underwriter (as defined in the Securities Act of 1933 and the Investment Company
Act of 1940, as amended) of the Policies issued through the Account. For the six
months ended June 30, 1996, fees paid by Golden American to DSI approximated
$468,000.
5. TOTAL RETURNS
<TABLE>
The following represent the non-standardized total return for each of the
divisions of Separate Account A for the periods indicated. These total return
figures reflect the deduction of the expenses of The GCG Trust, mortality and
expense risk charge and the asset based administrative charge, but not the
deduction of the maximum sales load and any other annual policy fees or charges.
<CAPTION>
FOR THE YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
INCEPTION ENDED 6/30/96* 1995 1994 1993 1992 1991
--------- -------------- ------- ------- ------ ------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Liquid Asset 1/24/89
VL 80.................... 2.01% 4.68% 2.87% 1.82% 2.30% 4.81%
VL 100................... 1.91% 4.47% 2.66% 1.61% 2.09% 4.60%
Limited Maturity Bond 1/24/89
VL 80.................... 0.23% 10.83% (1.98)% 5.35% 4.00% 10.38%
VL 100................... 0.12% 10.61% (2.17)% 5.14% 3.79% 10.16%
Natural Resources 1/24/89
VL 80.................... 19.00% 9.81% 1.71% 48.73% (10.53)% 3.87%
VL 100................... 18.89% 9.59% 1.51% 48.43% (10.71)% 3.66%
All Growth 1/24/89
VL 80.................... 0.83% 21.44% (11.49)% 5.70% (3.37)% 35.39%
VL 100................... 0.73% 21.20% (11.67)% 5.49% (3.57)% 35.12%
Real Estate 1/24/89
VL 80.................... 6.46% 15.66% 5.49% 16.33% 12.96% 32.99%
VL 100................... 6.35% 15.42% 5.28% 16.10% 12.73% 32.72%
</TABLE>
A-4
<PAGE> 84
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT A
JUNE 30, 1996
(UNAUDITED)
5. TOTAL RETURNS--(CONTINUED)
<TABLE>
<CAPTION>
FOR THE YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
INCEPTION ENDED 6/30/96* 1995 1994 1993 1992 1991
--------- -------------- ------- ------- ------ ------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Fully Managed 1/24/89
VL 80.................... 6.18% 19.75% (8.01)% 6.73% 5.38% 27.89%
VL 100................... 6.07% 19.51% (8.20)% 6.51% 5.16% 27.64%
Multiple Allocation 1/24/89
VL 80.................... 1.35% 17.99% (1.96)% 10.24% 1.06% 19.07%
VL 100................... 1.25% 17.75% (2.16)% 10.02% 0.86% 18.83%
Capital Appreciation 5/4/92
VL 80.................... 9.18% 29.12% (2.38)% 7.44% 10.28% --
VL 100................... 9.07% 28.86% (2.57)% 7.22% 10.13% --
Rising Dividends 10/4/93
VL 80.................... 9.56% 30.02% (0.21)% 2.94% -- --
VL 100................... 9.45% 29.76% (0.41)% 2.89% -- --
Emerging Markets 10/4/93
VL 80.................... 9.93% (10.82)% (15.85)% 24.16% -- --
VL 100................... 9.82% (11.00)% (16.02)% 24.10% -- --
Value Equity 1/3/95
VL 80.................... 0.81% 34.17% -- -- -- --
VL 100................... 0.71% 33.91% -- -- -- --
Strategic Equity 10/2/95
VL 80.................... 10.55% 0.14% -- -- -- --
VL 100................... 10.43% 0.09% -- -- -- --
Small Cap 1/3/96
VL 80.................... 18.24% -- -- -- -- --
VL 100................... 18.12% -- -- -- -- --
<FN>
- ---------------
* Non-annualized
</TABLE>
<TABLE>
6. UNIT VALUES
Presented below is accumulation unit value information for units outstanding by
Policy type as of June 30, 1996
<CAPTION>
TOTAL UNIT
SERIES UNITS UNIT VALUE VALUE
- ------------------------------------------------------------------------- ----- ---------- --------------
(IN THOUSANDS)
<S> <C> <C> <C>
Liquid Asset
VL 80.................................................................. 9,553 13.630 $ 130
VL 100................................................................. 99,669 13.495 1,345
------
1,475
Limited Maturity Bond
VL 80.................................................................. 7,364 15.314 113
VL 100................................................................. 63,588 15.114 961
------
1,074
</TABLE>
A-5
<PAGE> 85
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT A
JUNE 30, 1996
(UNAUDITED)
<TABLE>
6. UNIT VALUES--(CONTINUED)
<CAPTION>
TOTAL UNIT
SERIES UNITS UNIT VALUE VALUE
- ------------------------------------------------------------------------- ------- ---------- --------------
(IN THOUSANDS)
<S> <C> <C> <C>
Natural Resources
VL 80.................................................................. 3,188 18.547 $ 59
VL 100................................................................. 11,836 18.263 216
------
275
All-Growth
VL 80.................................................................. 18,145 14.694 266
VL 100................................................................. 121,466 14.440 1,754
------
2,020
Real Estate
VL 80.................................................................. 5,284 17.516 92
VL 100................................................................. 5,200 17.230 90
------
182
Fully Managed
VL 80.................................................................. 4,241 16.605 71
VL 100................................................................. 98,632 16.416 1,619
------
1,690
Multiple Allocation
VL 80.................................................................. 11,411 17.406 199
VL 100................................................................. 95,826 17.208 1,649
------
1,848
Capital Appreciation
VL 80.................................................................. 13,120 16.307 214
VL 100................................................................. 117,933 16.171 1,907
------
2,121
Rising Dividends
VL 80.................................................................. 0 14.633 0
VL 100................................................................. 118,945 14.553 1,731
------
1,731
Emerging Markets
VL 80.................................................................. 43 10.242 1
VL 100................................................................. 93,780 10.186 955
------
956
Value Equity
VL 80.................................................................. 1,259 13.526 17
VL 100................................................................. 83,314 13.486 1,124
------
1,141
Strategic Equity
VL 80.................................................................. 0 11.069 0
VL 100................................................................. 20,569 11.054 227
------
227
</TABLE>
A-6
<PAGE> 86
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT A
JUNE 30, 1996
(UNAUDITED)
<TABLE>
6. UNIT VALUES--(CONTINUED)
<CAPTION>
TOTAL UNIT
SERIES UNITS UNIT VALUE VALUE
- ------------------------------------------------------------------------- -------- ---------- --------------
(IN THOUSANDS)
<S> <C> <C> <C>
Small Cap
VL 80.................................................................. 0 11.822 $ 0
VL 100................................................................. 63,881 11.812 754
-------
754
-------
Total............................................................... $15,494
=======
</TABLE>
7. SUBSEQUENT EVENTS
On August 13, 1996, Equitable of Iowa Companies acquired all of the interest in
BTV, Golden American and DSI from Whitewood Properties Corp, a subsidiary of
Bankers Trust Company.
On July 29, 1996, the shareholders of the Liquid Asset Series and the Limited
Maturity Bond Series of The GCG Trust approved the appointment of Equitable
Investment Services, Inc. ("EISI") as Portfolio Manager of the two Series. EISI
is a wholly-owned subsidiary of Equitable of Iowa Companies.
A-7
<PAGE> 87
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
ASSETS
Investment in The GCG Trust, at Net Asset Value:
Liquid Asset Series, shares 38,892 (Cost -- $38,892)......................................... $ 38,892
Limited Maturity Bond Series, shares 5,295 (Cost -- $56,244)................................. 59,410
Natural Resources Series, shares 2,019 (Cost -- $30,824)..................................... 36,284
All-Growth Series, shares 6,643 (Cost -- $86,060)............................................ 92,667
Real Estate Series, shares 2,643 (Cost -- $31,260)........................................... 35,674
Fully Managed Series, shares 8,588 (Cost -- $110,864)........................................ 126,157
Multiple Allocation Series, shares 22,740 (Cost -- $274,238)................................. 289,700
Capital Appreciation Series, shares 8,978 (Cost -- $109,879)................................. 132,961
Rising Dividends Series, shares 6,685 (Cost -- $76,224)...................................... 97,808
Emerging Markets Series, shares 4,068 (Cost -- $42,681)...................................... 40,675
Market Manager Series, shares 495 (Cost -- $5,008)........................................... 6,436
Value Equity Series, shares 2,824 (Cost -- $36,267).......................................... 37,675
Strategic Equity Series, shares 1,825 (Cost -- $18,763)...................................... 20,276
Small Cap Series, shares 1,938 (Cost -- $23,241)............................................. 23,006
----------
Total Invested Assets (Cost -- $940,445)..................................................... 1,037,621
LIABILITIES
Payable to Golden American for Charges and Fees (Note 3)........................................ 1,790
----------
Total Net Assets............................................................................. $1,035,831
==========
NET ASSETS
For Variable Annuity Insurance Contracts........................................................ $999,662
Retained in Separate Account B by Golden American (Note 3)...................................... 36,169
----------
Total Net Assets............................................................................. $1,035,831
==========
</TABLE>
See Notes to Financial Statements.
B-1
<PAGE> 88
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
1. ORGANIZATION
Separate Account B (the "Account") was established on June 14, 1988, by Golden
American Life Insurance Company ("Golden American"), under Minnesota insurance
law to support the operations of variable annuity contracts ("Contracts").
Effective September 30, 1992, Golden American became a wholly-owned subsidiary
of BT Variable, Inc. ("BTV"), an indirect wholly-owned subsidiary of Bankers
Trust Company ("Bankers Trust") (See Note 7). Previously, Golden American was
owned by Mutual Benefit Life Insurance Company in Rehabilitation ("Mutual
Benefit"). In a transaction that closed on September 30, 1992 Bankers Trust
acquired from Mutual Benefit, in accordance with the terms of an Exchange
Agreement, all of the issued and outstanding capital stock of Golden American
and Directed Services, Inc. ("DSI"), an affiliate of Golden American, and
certain related assets and contributed them to BTV. The transaction had no
effect on the accompanying Statement of Assets and Liabilities. Golden American
is primarily engaged in the issuance of variable insurance products and is
licensed as a life insurance company in the District of Columbia and all states
except New York. Effective December 30, 1993, Golden American was redomesticated
from the State of Minnesota to the State of Delaware.
Operations of the Account commenced on January 24, 1989. Golden American
provides for variable accumulation and benefits under the contracts by crediting
annuity considerations to one or more divisions within the Account or to the
Golden American Guaranteed Interest Division, the Golden American Fixed Interest
Division, the Fixed Separate Account, and the Managed Global Division of
Separate Account D, which are not part of the Account, as elected by the
Contractowners. The assets of the Account are owned by Golden American. The
portion of the Account's assets applicable to Contracts will not be chargeable
with liabilities arising out of any other business Golden American may conduct,
but obligations of the Account, including the promise to make benefit payments,
are obligations of Golden American.
The Account makes available, under Golden Select Contracts, fourteen investment
divisions: the Liquid Asset, the Limited Maturity Bond, the Natural Resources,
the All-Growth, the Real Estate, the Fully Managed, the Multiple Allocation, the
Capital Appreciation, the Rising Dividends, the Emerging Markets, the Market
Manager, the Value Equity, the Strategic Equity and the Small Cap Division. The
assets in each Division are invested in shares of a designated series ("Series")
of a mutual fund, The GCG Trust (the "Trust"). The Market Manager Division
ceased to accept new contracts effective March 3, 1995. The Account also
includes The Fund For Life Division, which is not included in the accompanying
financial statements, and which ceased to accept new contracts effective
December 31, 1994.
The Account is a unit investment trust and is registered with the Securities and
Exchange Commission under the Investment Company Act of 1940, as amended.
The net assets maintained in the Account provide the basis for the periodic
determination of the amount of benefits under the Contracts. The net assets may
not be less than the amount required under state law to provide for death
benefits (without regard to the minimum death benefit guarantee) and other
Contract benefits. Additional assets are held in Golden American's general
account to cover the contingency that the guaranteed minimum death benefit might
exceed the death benefit which would have been payable in the absence of such
guarantee. Golden American has entered into a reinsurance agreement with an
unaffiliated reinsurer to cover substantially all the insurance risk under the
Contracts. Golden American remains liable to the extent that the reinsurer does
not meet its obligations under the reinsurance agreement.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies of the
Account:
USE OF ESTIMATES: The preparation of the statement of assets and liabilities in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the amounts reported in the statement
of assets and liabilities and accompanying notes. Actual results could differ
from those estimates.
INVESTMENTS: Investments are made in shares of a Series of the Trust and are
valued at the net asset value per share of the respective Series of the Trust.
Investment transactions in each Series of the Trust are recorded on the trade
date. Distributions of net investment income and capital gains of each Series of
the Trust are recognized on the ex-distribution date. Realized gains and losses
on redemptions of the shares of the Series of the Trust are determined on the
identified cost basis.
For the six months ended June 30, 1996 the cost of purchases of shares of the
Trust aggregated $146,245,000 and the proceeds from sales of shares of the Trust
aggregated $119,373,000.
B-2
<PAGE> 89
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
2. SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
FEDERAL INCOME TAXES: Operations of the Account form a part of, and are taxed
with, the total operations of Golden American which is taxed as a life insurance
company under the Internal Revenue Code. Earnings and realized capital gains of
the Account attributable to the Contractowners are excluded in the determination
of the federal income tax liability of Golden American.
3. CHARGES AND FEES
Under the terms of the Contracts, certain charges are allocated to the Contracts
to cover Golden American's expenses in connection with the issuance and
administration of the Contracts. Following is a summary of these charges:
MORTALITY AND EXPENSE RISK CHARGES: Golden American assumes mortality and
expense risks related to the operations of the Account and, in accordance with
the terms of the Contracts, deducts a daily charge from the assets of the
Account at annual rates of .80%, .90%, 1.25%, 1.10%, 1.25% and 1.40% of the
assets attributable to the DVA 80, DVA 100, DVA Series 100, DVA Plus-Standard,
DVA Plus-Annual Ratchet, DVA Plus-7% Solution, respectively to cover these
risks.
ASSET BASED ADMINISTRATIVE CHARGE: A daily charge at an annual rate of .10% is
deducted from assets attributable to DVA 100 and DVA Series 100 Contracts. A
daily charge at an annual rate of .15% is deducted from the assets attributable
to DVA Plus Contracts.
MINIMUM DEATH BENEFIT GUARANTEE CHARGE: For certain Contracts, a minimum death
benefit guarantee charge of up to $1.20 per $1,000 of guaranteed death benefit
per Contract year is deducted from the accumulation value of Deferred Annuity
Contracts on each Contract processing date.
PREMIUM TAXES: For certain contracts, premium taxes are deducted, where
applicable, from the accumulation value of each Contract. The amount and timing
of the deduction depend on the annuitant's state of residence and currently
ranges up to 3.5% of premiums.
OTHER CONTRACT CHARGES: An administrative fee of up to $40 per Contract year is
deducted from the accumulation value of certain DVA 80, DVA 100 and DVA Plus
Contracts. Under DVA Plus Contracts, an excess allocation charge of $25 per
allocation may be imposed by Golden American after the twelfth allocation change
in a contract year. Under DVA 80, DVA 100 and DVA Series 100 Contracts
("Previous Contracts"), a partial withdrawal charge of the lower of 2% of the
withdrawal or $25 is deducted from the accumulation for each additional partial
withdrawal in a Contract year. In addition, under the Previous Contracts, there
is an excess allocation charge of $25 for each allocation change between
divisions in excess of the five free charges allowed per contract year.
DEFERRED SALES LOAD: Under contracts offered prior to October of 1995, a sales
load of up to 7 1/2% was applicable to each premium payment for sales related
expenses as specified in the Contracts. For DVA Series 100 the sales load is
deducted in equal annual installments over the period the Contract is in force,
not to exceed 10 years. For other DVA 80 and DVA 100 Contracts, although the
sales load is chargeable to each premium when it is received by Golden American,
the amount of such charge is initially advanced by Golden American to
Contractowners and included in the accumulation value and then deducted in equal
installments on each Contract processing date over a period of up to ten years.
Upon surrender of the Contract, the unamortized deferred sales load is deducted
from the accumulation value by Golden American. In addition, when partial
withdrawal limits are exceeded, a portion of the unamortized deferred sales load
is deducted.
CONTINGENT DEFERRED SALES CHARGE: Under DVA Plus Contracts issued subsequent to
September 1995, a contingent sales charge ("Surrender Charges") is imposed as a
percentage of each premium payment if the Contract is surrendered or an excess
partial withdrawal is taken during the seven year period from the date a premium
payment is received. The Surrender Charges are imposed at a rate of 7% during
the first two complete years after purchase declining to 6%, 5%, 4%, 3%, and 1%
after the second, third, fourth, fifth, and sixth years, respectively.
The net assets retained in the Account by Golden American in the accompanying
statement of assets and liabilities represent the unamortized deferred sales
load, surrender charges and premium taxes advanced by Golden American, noted
above.
B-3
<PAGE> 90
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
3. CHARGES AND FEES--(CONTINUED)
Net assets retained in the Account by Golden American are as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 1996
----------------------
(AMOUNTS IN THOUSANDS)
<S> <C>
Balance at beginning of period.................................................... $ 36,282
Sales load advanced, additions to surrender charges and premium tax advanced...... 6,419
Net transfer (to) from Guaranteed Interest Division, Separate Account D, Golden
American, Fixed Interest Division and the Fixed Separate Account................ (562)
Amortization of deferred sales load, surrender charges and premium tax............ (5,970)
----------
Balance at end of period.......................................................... $ 36,169
=================
</TABLE>
4. OTHER RELATED PARTY TRANSACTIONS
DSI, a registered broker/dealer, acts as the distributor and principal
underwriter (as defined in the Securities Act of 1933 and the Investment Company
Act of 1940, as amended) of the Contracts issued through the Account. For the
six months ended June 30, 1996 fees paid by Golden American to DSI approximated
$5,962,000.
5. TOTAL RETURNS
The following represent the non-standardized total return for each of the
divisions of Separate Account B for the periods indicated. These total return
figures reflect the deduction of the expenses of The GCG Trust, mortality and
expense risk charge and the asset based administrative charge, but not the
deduction of the maximum sales load and any other annual contract fees or
charges.
<TABLE>
<CAPTION>
FOR THE YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
INCEPTION ENDED 6/30/96* 1995 1994 1993 1992 1991
--------- -------------- ------- ------- ------ ------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Liquid Asset 1/24/89
DVA 80............................... 2.01% 4.68% 2.87% 1.82% 2.30% 4.81%
DVA 100.............................. 1.91% 4.47% 2.66% 1.61% 2.09% 4.60%
DVA Series 100....................... 1.73% 4.10% 2.30% 1.25% 1.73% 4.23%
DVA Plus -- Standard................. 1.78% 4.33% 2.41% 1.36% 1.84% 4.34%
DVA Plus -- Annual Ratchet........... 1.70% 4.19% 2.25% 1.20% 1.68% 4.18%
DVA Plus -- 7% Solution.............. 1.62% 4.05% 2.10% 1.05% 1.53% 4.02%
Limited Maturity Bond 1/24/89
DVA 80............................... 0.23% 10.83% (1.98)% 5.35% 4.00% 10.38%
DVA 100.............................. 0.12% 10.61% (2.17)% 5.14% 3.79% 10.16%
DVA Series 100....................... (0.05)% 10.22% (2.52)% 4.77% 3.42% 9.77%
DVA Plus -- Standard................. 0.00% 10.46% (2.42)% 4.88% 3.53% 9.91%
DVA Plus -- Annual Ratchet........... (0.08)% 10.31% (2.57)% 4.72% 3.38% 9.75%
DVA Plus -- 7% Solution.............. (0.15)% 10.16% (2.71)% 4.56% 3.22% 9.58%
Natural Resources 1/24/89
DVA 80............................... 19.00% 9.81% 1.71% 48.73% (10.53)% 3.87%
DVA 100.............................. 18.89% 9.59% 1.51% 48.43% (10.71)% 3.66%
DVA Series 100....................... 18.68% 9.20% 1.15% 47.90% (11.03)% 3.29%
DVA Plus -- Standard................. 18.74% 9.44% 1.25% 48.06% (10.94)% 3.40%
DVA Plus -- Annual Ratchet........... 18.65% 9.29% 1.10% 47.83% (11.08)% 3.24%
DVA Plus -- 7% Solution.............. 18.56% 9.14% 0.95% 47.61% (11.21)% 3.08%
</TABLE>
B-4
<PAGE> 91
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
5. TOTAL RETURNS--(CONTINUED)
<TABLE>
<CAPTION>
FOR THE YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
INCEPTION ENDED 6/30/96* 1995 1994 1993 1992 1991
--------- -------------- ------- ------- ------ ------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
All-Growth 1/24/89
DVA 80............................... 0.83% 21.44% (11.49)% 5.70% (3.37)% 35.39%
DVA 100.............................. 0.73% 21.20% (11.67)% 5.49% (3.57)% 35.12%
DVA Series 100....................... 0.55% 20.77% (11.98)% 5.12% (3.91)% 34.64%
DVA Plus -- Standard................. 0.60% 21.03% (11.89)% 5.23% (3.81)% 34.78%
DVA Plus -- Annual Ratchet........... 0.53% 20.87% (12.02)% 5.07% (3.96)% 34.58%
DVA Plus -- 7% Solution.............. 0.45% 20.70% (12.16)% 4.91% (4.10)% 34.37%
Real Estate 1/24/89
DVA 80............................... 6.46% 15.66% 5.49% 16.33% 12.96% 32.99%
DVA 100.............................. 6.35% 15.42% 5.28% 16.10% 12.73% 32.72%
DVA Series 100....................... 6.17% 15.02% 4.91% 15.69% 12.33% 32.26%
DVA Plus -- Standard................. 6.22% 15.27% 5.02% 15.81% 12.45% 32.39%
DVA Plus -- Annual Ratchet........... 6.14% 15.11% 4.86% 15.63% 12.28% 32.19%
DVA Plus -- 7% Solution.............. 6.06% 14.95% 4.70% 15.45% 12.11% 31.99%
Fully Managed 1/24/89
DVA 80............................... 6.18% 19.75% (8.01)% 6.73% 5.38% 27.89%
DVA 100.............................. 6.07% 19.51% (8.20)% 6.51% 5.16% 27.64%
DVA Series 100....................... 5.88% 19.09% (8.52)% 6.13% 4.79% 27.19%
DVA Plus -- Standard................. 5.94% 19.35% (8.43)% 6.24% 4.90% 27.32%
DVA Plus -- Annual Ratchet........... 5.86% 19.18% (8.56)% 6.08% 4.74% 27.12%
DVA Plus -- 7% Solution.............. 5.78% 19.02% (8.70)% 5.92% 4.58% 26.93%
Multiple Allocation 1/24/89
DVA 80............................... 1.35% 17.99% (1.96)% 10.24% 1.06% 19.07%
DVA 100.............................. 1.25% 17.75% (2.16)% 10.02% 0.86% 18.83%
DVA Series 100....................... 1.07% 17.33% (2.51)% 9.63% 0.50% 18.41%
DVA Plus -- Standard................. 1.12% 17.59% (2.41)% 9.74% 0.60% 18.53%
DVA Plus -- Annual Ratchet........... 1.05% 17.43% (2.55)% 9.57% 0.45% 18.35%
DVA Plus -- 7% Solution.............. 0.97% 17.27% (2.70)% 9.41% 0.30% 18.17%
Capital Appreciation 5/4/92
DVA 80............................... 9.18% 29.12% (2.38)% 7.44% 10.28% --
DVA 100.............................. 9.07% 28.86% (2.57)% 7.22% 10.13% --
DVA Series 100....................... 8.88% 28.41% (2.92)% 6.85% 9.87% --
DVA Plus -- Standard................. 8.94% 28.69% (2.82)% 6.96% 9.94% --
DVA Plus -- Annual Ratchet........... 8.86% 28.52% (2.96)% 6.79% 9.83% --
DVA Plus -- 7% Solution.............. 8.77% 28.34% (3.11)% 6.63% 9.72% --
Rising Dividends....................... 10/4/93
DVA 80............................... 9.56% 30.02% (0.21)% 2.94% -- --
DVA 100.............................. 9.45% 29.76% (0.41)% 2.89% -- --
DVA Series 100....................... 9.26% 29.30% (0.76)% 2.80% -- --
DVA Plus -- Standard................. 9.31% 29.59% (0.66)% 2.83% -- --
DVA Plus -- Annual Ratchet........... 9.23% 29.41% (0.81)% 2.79% -- --
DVA Plus -- 7% Solution.............. 9.15% 29.23% (0.96)% 2.75% -- --
</TABLE>
B-5
<PAGE> 92
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
5. TOTAL RETURNS--(CONTINUED)
<TABLE>
<CAPTION>
FOR THE YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED
INCEPTION ENDED 6/30/96* 1995 1994 1993 1992 1991
--------- -------------- ------- ------- ------ ------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Emerging Markets 10/4/93
DVA 80............................... 9.93% (10.82)% (15.85)% 24.16% -- --
DVA 100.............................. 9.82% (11.00)% (16.02)% 24.10% -- --
DVA Series 100....................... 9.63% (11.32)% (16.32)% 23.99% -- --
DVA Plus -- Standard................. 9.69% (11.12)% (16.23)% 24.03% -- --
DVA Plus -- Annual Ratchet........... 9.60% (11.24)% (16.36)% 23.98% -- --
DVA Plus -- 7% Solution.............. 9.52% (11.37)% (16.49)% 23.94% -- --
Market Manager 11/14/94
DVA 100.............................. 7.61% 23.32% 0.44% -- -- --
DVA Plus -- 7% Solution.............. 7.31% 22.41% 0.44% -- -- --
Value Equity 1/3/95
DVA 80............................... 0.81% 34.17% -- -- -- --
DVA 100.............................. 0.71% 33.91% -- -- -- --
DVA Series 100....................... 0.53% 33.45% -- -- -- --
DVA Plus -- Standard................. 0.58% 33.74% -- -- -- --
DVA Plus -- Annual Ratchet........... 0.51% 33.56% -- -- -- --
DVA Plus -- 7% Solution.............. 0.43% 33.39% -- -- -- --
Strategic Equity....................... 10/2/95
DVA 80............................... 10.55% 0.14% -- -- -- --
DVA 100.............................. 10.43% 0.09% -- -- -- --
DVA Series 100....................... 10.24% 0.01% -- -- -- --
DVA Plus -- Standard................. 10.30% 0.14% -- -- -- --
DVA Plus -- Annual Ratchet........... 10.21% 0.11% -- -- -- --
DVA Plus -- 7% Solution.............. 10.13% 0.09% -- -- -- --
Small Cap.............................. 1/3/96
DVA 80............................... 18.24% -- -- -- -- --
DVA 100.............................. 18.12% -- -- -- -- --
DVA Series 100....................... 17.92% -- -- -- -- --
DVA Plus -- Standard................. 17.98% -- -- -- -- --
DVA Plus -- Annual Ratchet........... 17.89% -- -- -- -- --
DVA Plus -- 7% Solution.............. 17.80% -- -- -- -- --
</TABLE>
- ---------------
* Non-annualized.
B-6
<PAGE> 93
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
6. UNIT VALUES
Presented below is accumulation unit value information for units outstanding by
Contract type as of June 30, 1996
<TABLE>
<CAPTION>
TOTAL UNIT
VALUE
SERIES UNITS UNIT VALUE ---------------
- ---------------------------------------------------------------------- ----------- ---------- (IN THOUSANDS)
<S> <C> <C> <C>
Liquid Asset
DVA 80.............................................................. 384,667 13.698 $ 5,269
DVA 100............................................................. 1,956,634 13.495 26,405
DVA Series 100...................................................... 22,887 13.145 301
DVA Plus -- Standard................................................ 49,039 13.261 650
DVA Plus -- Annual Ratchet.......................................... 85,630 13.114 1,123
DVA Plus -- 7% Solution............................................. 396,641 12.969 5,144
------
38,892
Limited Maturity Bond
DVA 80.............................................................. 155,708 15.342 2,389
DVA 100............................................................. 3,387,065 15.114 51,192
DVA Series 100...................................................... 35,618 14.721 524
DVA Plus -- Standard................................................ 66,126 14.865 983
DVA Plus -- Annual Ratchet.......................................... 36,442 14.700 536
DVA Plus -- 7% Solution............................................. 260,443 14.537 3,786
------
59,410
Natural Resources
DVA 80.............................................................. 259,656 18.538 4,814
DVA 100............................................................. 1,471,325 18.263 26,871
DVA Series 100...................................................... 26,424 17.788 470
DVA Plus -- Standard................................................ 50,142 17.946 900
DVA Plus -- Annual Ratchet.......................................... 12,669 17.748 225
DVA Plus -- 7% Solution............................................. 171,197 17.551 3004
------
36,284
All-Growth
DVA 80.............................................................. 228,200 14.657 3,345
DVA 100............................................................. 5,365,829 14.440 77,481
DVA Series 100...................................................... 47,531 14.064 668
DVA Plus -- Standard................................................ 111,187 14.189 1,578
DVA Plus -- Annual Ratchet.......................................... 93,398 14.032 1,310
DVA Plus -- 7% Solution............................................. 597,022 13.876 8,285
------
92,667
Real Estate
DVA 80.............................................................. 94,571 17.490 1,654
DVA 100............................................................. 1,751,365 17.230 30,177
DVA Series 100...................................................... 12,663 16.783 213
DVA Plus -- Standard................................................ 27,222 16.932 461
DVA Plus -- Annual Ratchet.......................................... 12,989 16.744 217
DVA Plus -- 7% Solution............................................. 178,298 16.558 2,952
------
35,674
</TABLE>
B-7
<PAGE> 94
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
6. UNIT VALUES--(CONTINUED)
<TABLE>
<CAPTION>
TOTAL UNIT
SERIES UNITS UNIT VALUE VALUE
(IN THOUSANDS)
<S> <C> <C> <C>
Fully Managed
DVA 80.............................................................. 207,049 16.663 $ 3,450
DVA 100............................................................. 6,580,414 16.416 108,022
DVA Series 100...................................................... 39,556 15.989 632
DVA Plus -- Standard................................................ 168,659 16.131 2,721
DVA Plus -- Annual Ratchet.......................................... 93,384 15.953 1,490
DVA Plus -- 7% Solution............................................. 623,869 15.776 9,842
-------
126,157
Multiple Allocation
DVA 80.............................................................. 969,614 17.467 16,936
DVA 100............................................................. 14,453,397 17.208 248,715
DVA Series 100...................................................... 134,751 16.761 2,259
DVA Plus -- Standard................................................ 328,415 16.910 5,553
DVA Plus -- Annual Ratchet.......................................... 113,730 16.723 1,902
DVA Plus -- 7% Solution............................................. 866,883 16.537 14,335
-------
289,700
Capital Appreciation
DVA 80.............................................................. 135,360 16.307 2,207
DVA 100............................................................. 7,134,049 16.171 115,362
DVA Series 100...................................................... 32,003 15.934 510
DVA Plus -- Standard................................................ 118,961 16.021 1,906
DVA Plus -- Annual Ratchet.......................................... 86,551 15.923 1,378
DVA Plus -- 7% Solution............................................. 732,943 15.824 11,598
-------
132,961
Rising Dividends
DVA 80.............................................................. 102,415 14.633 1,499
DVA 100............................................................. 5,262,609 14.553 76,584
DVA Series 100...................................................... 63,830 14.412 920
DVA Plus -- Standard................................................ 161,714 14.470 2,340
DVA Plus -- Annual Ratchet.......................................... 154,000 14.412 2,219
DVA Plus -- 7% Solution............................................. 992,444 14.354 14,246
-------
97,808
Emerging Markets
DVA 80.............................................................. 194,171 10.242 1,989
DVA 100............................................................. 3,152,309 10.186 32,110
DVA Series 100...................................................... 31,993 10.088 323
DVA Plus -- Standard................................................ 56,114 10.128 568
DVA Plus -- Annual Ratchet.......................................... 58,631 10.088 591
DVA Plus -- 7% Solution............................................. 507,045 10.047 5,094
-------
40,675
Market Manager
DVA 80.............................................................. 0 13.364 0
DVA 100............................................................. 475,015 13.328 6,331
DVA Plus -- 7% Solution............................................. 7,957 13.193 105
-------
6,436
</TABLE>
B-8
<PAGE> 95
- --------------------------------------------------------------------------------
Notes to Statement of Assets and Liabilities -- (Continued)
- --------------------------------------------------------------------------------
SEPARATE ACCOUNT B
JUNE 30, 1996
(UNAUDITED)
<TABLE>
6. UNIT VALUES--(CONTINUED)
<CAPTION>
TOTAL UNIT
SERIES UNITS UNIT VALUE VALUE
- ---------------------------------------------------------------------- --------- ---------- --------------
(IN THOUSANDS)
<S> <C> <C> <C>
Value Equity
DVA 80.............................................................. 100,820 13.526 $ 1,364
DVA 100............................................................. 1,606,237 13.486 21,661
DVA Series 100...................................................... 22,612 13.416 303
DVA Plus -- Standard................................................ 162,712 13.452 2,189
DVA Plus -- Annual Ratchet.......................................... 154,327 13.424 2,072
DVA Plus -- 7% Solution............................................. 752,915 13.396 10,086
----------
37,675
Strategic Equity
DVA 80.............................................................. 121,975 11.069 1,350
DVA 100............................................................. 653,778 11.054 7,227
DVA Series 100...................................................... 27,913 11.023 308
DVA Plus -- Standard................................................ 284,269 11.045 3,140
DVA Plus -- Annual Ratchet.......................................... 147,362 11.034 1,626
DVA Plus -- 7% Solution............................................. 601,063 11.023 6,625
----------
20,276
Small Cap
DVA 80.............................................................. 135,015 11.824 1,596
DVA 100............................................................. 939,078 11.812 11,093
DVA Series 100...................................................... 43,610 11.792 514
DVA Plus -- Standard................................................ 109,639 11.798 1,294
DVA Plus -- Annual Ratchet.......................................... 91,368 11.789 1,077
DVA Plus -- 7% Solution............................................. 630,888 11.780 7,432
----------
23,006
----------
Total............................................................ $1,037,621
==========
</TABLE>
7. SUBSEQUENT EVENTS
On August 13, 1996, Equitable of Iowa Companies acquired all of the interest in
BTV, Golden American and DSI from Whitewood Properties Corp, a subsidiary of
Bankers Trust Company.
On July 29, 1996, the shareholders of the Liquid Asset Series and the Limited
Maturity Bond Series of The GCG Trust approved the appointment of Equitable
Investment Services, Inc. ("EISI") as Portfolio Manager of the two Series. EISI
is a wholly-owned subsidiary of Equitable of Iowa Companies.
B-9
<PAGE> 96
<TABLE>
<S> <C>
---------------
BULK RATE
U.S. POSTAGE
GOLDEN AMERICAN LIFE INSURANCE COMPANY PAID
1001 JEFFERSON STREET PERMIT NO. 1387
WILMINGTON, DE 19801 WILMINGTON, DE
---------------
</TABLE>
